Presenting a risk-based value-based model to determine the optimal stock portfolio (Case Study of Ghadir Investment Company)
The issue of choosing a basket of stocks is one of the most important financial issues that is always of great importance. Every year, more investment is being made in cooperative funds and investment companies, and portfolio managers are always looking for more efficient and riskier solutions. In this research, a risk-based value-based model was proposed to form an optimal stock basket in the stock market and its performance was determined in determining the optimal basket. In this regard, a model based on asset pricing was used. The capital asset pricing model explains the relationship between risk and expected return on an asset. In order to measure the effectiveness of the approach used, a case study was conducted at Ghadir Investment Company. In this regard, data were collected from March 13 to March 13, 2009 by Tehran Stock Exchange companies. The mathematical software was used to perform computations and the Hamiltonian equation was used in coding. Using the model and statistical tests, it was found that for Ghadir Investment portfolio in 4 sectors, the difference between current and optimal stocks is significant and for 15 sectors there is no significant difference between current stocks and optimal stocks.
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