بررسي قدرت پيش بيني مدل سه عاملي فاما و فرنچ (F&F) و مدل ارزش در معرض خطر (VaR) در انتخاب پرتفوي بهينه سهام شركت هاي پذيرفته شده در بورس اوراق بهادار تهران

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

If investors inrest all their stocks in one special possesson, they may confront with many risck and only gain major capital but also minor capital too. So, they select set of 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 ^models such as 3 Fama & French factors and Value at Risk model, in Power of estimation models for selection of best portfolio, to designers is helped. Hypothesis of this search is based on this subject that every one has foresight ability estimation optimazed portfolio. Atlast, after to do test of hypothesis by regresion, this result is Fama & French 3-factor has power of suggestion in selection of optimazed portfolio and Value at Risk moel has power of suggestion in selection of optimazed portfolio.