Determining the Stock Optimal Portfolio using Value at Risk

Hossein Asgharpur () and Ali Rezazadeh ()

Quarterly Journal of Applied Theories of Economics, 2016, vol. 2, issue 4, 93-118

Abstract: The main objective of this study is determination of food industry companies’ stocks optimal portfolio in Tehran stock market. For this purpose, weekly stock prices of the companies has been used over the period of 2008-2012. We calculated VaR using parametric method for stocks and selected the optimal portfolio of stocks. Optimization portfolio is done to minimize portfolio VaR determined according to expected returns through non-linear programming.Results show that greater weight in the optimal portfolio belongs to stocks that have greater expected return and less VaR. A sensitivity analysis with respect to the confidence level shows that the optimal portfolio does not change when the level is changed. Confidence level increasing only increased portfolio value at risk without changing the optimal portfolio weights.

Keywords: Stock optimal portfolio; Value at Risk; Food industry companies; Tehran stock market (search for similar items in EconPapers)
JEL-codes: C53 C61 G11 G15 (search for similar items in EconPapers)
Date: 2016
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