Study and Determination of Optimal Portfolio for Stock of Active Food Industrial Company in Tehran Stock

Ghadiri Moghadam, A.; Rafiei Darani, H.

doi:10.22067/jead2.v1389i3.7728

Study and Determination of Optimal Portfolio for Stock of Active Food Industrial Company in Tehran Stock

Document Type : Research Article

Authors

A. Ghadiri Moghadam ¹

H. Rafiei Darani ²

¹ Faculty of Economic and Administrative Sciences, Ferdowsi University of Mashhad

² Iranian Academic Center for Education, Culture and Research (ACECR), Mashhad

https://doi.org/10.22067/jead2.v1389i3.7728

Abstract

Abstract
Portfolio definition is the most important decision for individuals and legal persons that invest in stock. The main objective of this paper is study and determination of optimal portfolio for stock of active food industrial company in Tehran stock based on value at risk (VaR) index. For this purpose, we used weekly static of stock of active food industrial company in Tehran from Bahman 1387 - Tir 1389. Also for analysis of static and data, we used mathematical programming with integral number. The results show that the stock of Salemin and Magsal farming and animal husbandry are exist in all optimal portfolio that with increasing VaR, the stock of Mino industrial company is also introduces in optimal portfolio. Other results of this paper show that there is a direct relation between VaR and return expected of investors and also there isn’t a specified relation between VaR and kind of optimal portfolio (number of stocks in portfolio).

Keywords

Optimal Portfolio

Tehran Stocks

Food Industrial Company

Value at Risk Index