A Evaluation Power of Value at Risk (VaR) model and Fama & French 3-Factor Estimation model Selecting Optimazed Portfolio of Stock in Stocks Market of Tehran in Year 2001-2008
Subject Areas : Management Accounting
دکتر قدرت اله طالب نیا
1
(
نویسنده مسئول مکاتبات
)
فاطمه احمدی نظام آبادی
2
(
ندارد
)
Keywords: Optimazed Portfolio of Stock, French Factor model, Value at Risk
, 
, model,
Abstract :
If investors inrest all their stocks in one special possesson, they may confront withmany risck and only gain major capital but also minor capital too. So, they select setof investories in their decisions , so that set is the best of possible set from investory ,until , they can gain access to their optimum out put that is close to market out put.Aim of this search is that with use from ٢models such as 3 Fama & French factorsand Value at Risk model, in Power of estimation models for selection of bestportfolio, to designers is helped. Hypothesis of this search is based on this subject thatevery one has foresight ability estimation optimazed portfolio. Atlast, after to do testof hypothesis by regresion, this result is Fama & French 3-factor has power ofsuggestion in selection of optimazed portfolio and Value at Risk moel has power ofsuggestion in selection of optimazed portfolio.
