Investigation of capabilities of econometrist models in determination of value at risk in investment companies for determination of optimized portfolio in capital market of Iran

Subject Areas : Journal of Investment Knowledge

Hashem Nikoomaram ¹ (Professor, Islamic Azad University Science and Research Branch)
Gholamreza Zomorodian ² (Ph.D Student of Financial Management, Islamic Azad University, Science and Research Branch)

Received: 2014-03-09 Accepted : 2014-06-27 Published : 2014-06-27

Keywords: portfolio, Value at risk, Investment Companies, econometrist modelsResults,

Abstract :

In today’s complicated world, we are witness many elements that affect on the profit level of companies. Each of these changes can promote group of companies to the top while destroy other group . So investment decision for actual and legal companies are severely depended on these changes. For decreasing the risk of these sudden changes a desirable portfolio should be determined to avoid least damages from changes. Dealers uses different models to determine the risk value of their portfolio in the capital market. Each of these models uses specific assumptions to determine value under the risk of portfolio. this paper  intend to survey risk value of 21 investment companies by using the econometrist models. Then to compare the prediction power of each models, and introduce the superior model.