ارزيابي مقايسه اي انتخاب پرتفوي بهينه سهام در بورس اوراق بهادار تهران از طريق مدلهاي ماركويتز و ارزش در معرض خطر

Comparison Evaluation of Stock optimal Portfolio Select with Markowitz & VAR models in the Tehran Stock Exchange

Acording to theory of the stok exchange;supposed that investors donʹt risk. It means that they select asset from between two assets with same efficiency rate that have lower risk level. Or risk against assets that they choose to be more efficient Investors that accept Theoretical basket of securities belice that conʹt challenge with market . so;they keep several types of the Stock exchange until their efficiency become same average market efficiency Therefore, this research to select optimal portfolio shares by investors in the Tehran Stock Exchange through Markowitz models and values at risk are investigated and studied To the possibility of its application to optimal portfolio choice for investors determine the stock, time period of this research is considered from 1380 to 1387 and statistics society is all of the stock companies with special conditions then and comparison of optimum stocks by two models of markovitz and worth of exposed to danger from ttest. Results of this research show that selection of optimum stocks in Tehran Stock Exchange market is similar by madels of markovitz and worth of exposed to danger. Therefore, investors can for choose optimal portfolio shares equally from both models use