The objective of this study is to determine food industry companies’ stocks optimal portfolio in Tehran stock market in value at risk framework using parametric and nonparametric approaches. For this purpose using weekly prices, value at risk of food stocks of selected companies during 2008 – 2011 periods calculated. Then, with expected return (mean return) and value at risk quantities, border between efficient investment and optimal portfolio was obtained. The results showed that there was not significant difference between optimal portfolio obtained in parametric and nonparametric approaches.
A, H., F, F., S, N., & R, A. (2014). Comparison of Optimal Portfolio Stocks of Food Processing Companies in Value at Risk Framework. Agricultural Economics Research, 5(20), 107-130.
MLA
H. A; F. F; N. S; A. R. "Comparison of Optimal Portfolio Stocks of Food Processing Companies in Value at Risk Framework". Agricultural Economics Research, 5, 20, 2014, 107-130.
HARVARD
A, H., F, F., S, N., R, A. (2014). 'Comparison of Optimal Portfolio Stocks of Food Processing Companies in Value at Risk Framework', Agricultural Economics Research, 5(20), pp. 107-130.
VANCOUVER
A, H., F, F., S, N., R, A. Comparison of Optimal Portfolio Stocks of Food Processing Companies in Value at Risk Framework. Agricultural Economics Research, 2014; 5(20): 107-130.
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