Determination of the optimal investment portfolio using CAPM in Tehran Stock Exchange industries: A VAR-Multivariate GARCH approach

Hosseini, S.; Moradifard, A.; Sabzzadeh, K.

Growing Science » International Journal of Industrial Engineering Computations » Determination of the optimal investment portfolio using CAPM in Tehran Stock Exchange industries: A VAR-Multivariate GARCH approach

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International Journal of Industrial Engineering Computations

ISSN 1923-2934 (Online) - ISSN 1923-2926 (Print) Quarterly Publication Volume 4 Issue 1 pp. 155-164 , 2013

Determination of the optimal investment portfolio using CAPM in Tehran Stock Exchange industries: A VAR-Multivariate GARCH approach Pages 155-164 Download PDF

Authors: Seyed Ahmad Hosseini, Ahmad Moradifard, Kobra Sabzzadeh

DOI: 10.5267/j.ijiec.2012.10.002

Keywords: Multivariate GARCH model, Capital asset pricing model, Portfolio selection model, Value at Risk

Abstract: This study determines the optimal investment portfolio in Tehran Stock Exchange (TSE) industries. For this purpose, a conditional capital asset pricing model (CAPM) with time-varying covariance, according to a Multivariate GARCH approach has been formulated. According to this conditional CAPM, the conditional variance-covariance matrix and mean of returns are calculated for some industries. By using the Mean-Value at Risk portfolio selection model, the optimum proportion is detected. Results showed that the Pharmaceutical Industry, Financial Group and Cement Industry have the most quotas in portfolio since they maintain the minimum variance and maximum return among all other industries.

How to cite this paper

 Hosseini, S., Moradifard, A & Sabzzadeh, K. (2013). Determination of the optimal investment portfolio using CAPM in Tehran Stock Exchange industries: A VAR-Multivariate GARCH approach.International Journal of Industrial Engineering Computations , 4(1), 155-164.

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