Determine the optimal portfolio weights var-stock approach And compare it with the Markowitz model
Every investor is always looking for the investment portfolio that will bring him the most profit with the least risk. The standard deviation of an asset return is the amount of risk of that asset. In this study, the value-at-risk approach has been used as a measure of risk in the formation of the optimal stock portfolio. By selecting a statistical sample consisting of seven companies operating on the Tehran Stock Exchange, first the variance-covariance matrix is extracted by the moving average weighted method (EWMA) and then the Markowitz model is calculated with the aim of reducing portfolio risk against an expected return level. Portfolio performance has been achieved. Then the value-at-risk limit is added to the efficient frontier chart, and then by analyzing the sensitivity of the value-at-risk value for different values of the level of confidence and the maximum risk accepted by the investor, we show that with the risk-value approach in forming the optimal portfolio Stocks may not change the limit of the Markowitz model, or be limited, or become a point, or even disappear.
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