Comparison of Optimal Portfolio Stocks of Food Processing Companies in Value at Risk Framework

Subject Areas : Agricultural Economics Research

H. اصغرپور ¹ (دانشیار گروه اقتصاد دانشگاه تبریز.)
F. فلاحی ² (استادیار گروه اقتصاد دانشگاه تبریز)
N. صنوبر ³ (دانشجوی دکتری گروه اقتصاد دانشگاه تبریز)
A. رضازاده ⁴ (دانشیار گروه اقتصاد دانشگاه تبریز)

Received: 2014-05-13 Accepted : 2014-05-13 Published : 2014-02-20

Keywords: optimal portfolio, value at risk, parametric and nonparametric methods,

Abstract :

The objective of this study is to determine food industry companies’ stocks optimal portfolio in Tehran stock market in value at risk framework using parametric and nonparametric approaches. For this purpose using weekly prices, value at risk of food stocks of selected companies during 2008 – 2011 periods calculated. Then, with expected return (mean return) and value at risk quantities, border between efficient investment and optimal portfolio was obtained. The results showed that there was not significant difference between optimal portfolio obtained in parametric and nonparametric approaches.