Exploring the impact of bank interest rate on forming and transformation of asset optimal portfolio in Iran; the application of mean-variance model

In this study by taking into account household assets (bank deposits, participation bonds, stocks, foreign currency, gold coin, and housing), the optimal composition of asset portfolio during 1991-2011 is extracted by applying mean-variance model and using MATLAB. Findings indicate low-risk people save 68 percent of their asset in the form of participation bonds and the rest as stocks and other assets. This study demonstrated that stock and housing will increase in the asset portfolio of people with the increase in the risk of asset portfolio. such that, stock and housing account respectively for 78 and 22 percent for high risk people. Asset composition changes due to interest rate changes was also investigated in the present research. The result indicated that while the real interest of bank deposit is negative, the highest share in asset portfolio for low-risk people was related participation to bonds (77 percent). The highest share in asset portfolio for high-risk people belonged to coin (81percent). when the real interest of bank deposit is positive, bank deposit is the highest in the asset portfolio for low–risk people (75 percent) and stock is the highest for high-risk people (76 percent). There is no place for bonds, gold coins and foreign currency in that portfolio.