Determining the Optimal Stock Portfolio of Agricultural Companies in Tehran Stock Exchange

Document Type : Research Article-en

Authors

• A.H. Chizari
• K. Vazirian

Department of Agricultural Economics, Faculty of Agriculture, University of Tehran, Iran

https://doi.org/10.22067/jead.2022.71461.1063

Abstract

Efficient Asset allocation and investment portfolio selection are among the most critical and challenging issues in investment management and a continuous concern for investors. When investors invest in the capital market, they expect their portfolio to perform well. Therefore, this study determines the optimal stock portfolio of agricultural companies in the Tehran Stock Exchange (TSE). Thirty-two most important agriculture companies in the (TSE), with monthly data from 2014-2020, were selected from Iran's two most essential agriculture industries, the food and beverage industries, and the sugar industry. Two portfolios for the food and beverage industry and sugar industry goals: minimizing portfolio variance and maximizing portfolio return using the Markowitz model with two different scenarios and applying two minimum investment constraints of 1% and optimized maximum investment of 20% without considering these two constraints. The efficiency, variance, and Sharp ratios are also calculated. The results showed that both food and beverage industry portfolios and the sugar industry portfolios became more efficient when optimized to maximize portfolio returns. The result also indicates the food and beverage industry was more efficient than the portfolio of the sugar industry. In this portfolio, the amount of investment for the shares of Salmin Company was 86.7% and for Mehram Company was 13.3%.

Keywords

• Markowitz Model
• Optimization
• Portfolio Return
• Risk
• Sharp Ratio

20.1001.1.20084722.1400.35.4.6.2

Main Subjects

• Marketing and Trade of Agriculture Production

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