| تعداد نشریات | 24 |
| تعداد شمارهها | 917 |
| تعداد مقالات | 8,230 |
| تعداد مشاهده مقاله | 16,274,282 |
| تعداد دریافت فایل اصل مقاله | 13,749,838 |
Determining an optimal investment portfolio in agricultural industries: A case study of food and beverage industries | ||
| Iran Agricultural Research | ||
| دوره 43، شماره 2، 2024، صفحه 24-32 اصل مقاله (519.53 K) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22099/iar.2025.50563.1615 | ||
| نویسندگان | ||
| Zakieh Kamali Kafrati1؛ Somayeh Shirzadi Laskookalayeh* 1؛ Zahra Nematollahi2؛ Seyed Mojtaba Mojaverian1 | ||
| 1Department of Agricultural Economic, Faculty of Agricultural Engineering, Sari Agricultural Sciences and Natural Resources University, Sari, I. R. Iran | ||
| 2Department of Nature Engineering, Shirvan Faculty of Agriculture, University of Bojnord, Bojnord, I. R. Iran | ||
| چکیده | ||
| As a crucial tool, the stock market plays a significant role in economic growth by facilitating price formation, reducing risk, and optimizing capital allocation, thereby creating a conducive environment for economic prosperity. Determining the optimal portfolio is a fundamental decision for investors in the stock market. Therefore, this study built on the Foster-Hart model to determine an optimal investment portfolio in food and beverage industries listed on the Tehran Stock Exchange, excluding sugar companies. The required data were collected from the stock exchange website, and the optimal investment portfolio was determined at different levels of risk aversion using three risk measurement indices, namely, variance, conditional value at risk, and Foster-Hart. The study results show that applying different risk measurement indices leads to diversity in the optimal stock portfolio. Moreover, a comparative analysis of optimal portfolios constructed using the three mentioned risk measurement indices across varying risk aversion levels demonstrates the superior performance of the Foster-Hart method in portfolio optimization. Given the higher efficiency of the Foster-Hart risk index, we recommend its application to determine risks more accurately in order to increase returns and reduce risks when selecting an investment portfolio. | ||
| کلیدواژهها | ||
| Food industry companies؛ Foster-Hart؛ Risk؛ Optimal portfolio؛ Stock exchange | ||
| مراجع | ||
|
Anand, A., Li, T., Kurosaki, T., & Kim,Y, Sh. (2016). Foster-Hart optimal portfolios. Journal of Banking & Finance, 68, 117-130. https://doi.org/10.1016/j.jbankfin.2016.03.011
Anuno, F., Mara Madaleno, O., & Vieira, E. (2024). Testing of portfolio optimization by timor-leste portfolio investment strategy on the stock market. Risk and Financial Mangment, 17(2), 1-22. https://doi.org/10.3390/jrfm17020078
Ardia, D., Bluteau, K., Boudt, K., & Catania, L. (2018). Forecasting risk with Markov-switching GARCH model: A large-scale performance study. International Journal of Forecasting, 34, 733-747. https://doi.org/10.1016/j.ijforecast.2018.05.004
Asefi S., Eyvazloo, R., & Tehrani R. (2019). Foster hart optimal portfolio. Quarterly Journal of Financial Engineering and Securities Management, 39, 234- 250. (In Persian)
Asgharpoor, H., & Rezazadeh, A. (2015). Determining the optimal stock portfolio using the value at risk method. Applied Theories of Economics, 2(4), 93-118. (In Persian)
Asgharpoor, H., Falahi, F., Senobar, N., & Rezazadeh, A. (2013). Comparison of optimal portfolio stocks of food processing companies in value at risk framework. Journal of Agricultural Economics Research, 5(20), 107-130. (In Persian) http://dx.doi.org/20.1001.1.20086407.1392.5.20.6.7
Bayat A., & Asadi L. (2017). Stock portfolio optimization: Benefits of the bird algorithm and markowitz model. Journal of Financial Engineering and Securities Management, (32), 63-85. (In Persian)
Chizari, A. H., & Vazirian, K. (2021). Determining the optimal stock portfolio of agricultural companies in Tehran stock exchange. Journal of Agricultural Economics and Development, 35(4), 383-395. (In Persian) http://dx.doi.org/10.22067/JEAD.2022.71461.1063
Duffie, D., & Pan, J. (1997). An overview of value at risk. Journal of Privatives, 4, 7-49. http://dx.doi.org/10.3905/jod.1997.407971
Fallahpoor, S., Rezvani F., & Rahimi, M. (2014). Estimation of conditional value at risk (CVAR) using symmetric and asymmetric conditional variance heterogeneity models in the gold and oil market. Journal of Financial knowledge of securities analysis (financial studies), 8(26), 1-18. (In Persian)
Farahbakhsh, N., & Norouzi, B. (2002). Analysis of production and export capabilities of Irans food industry. Journal of Commerce, 5(19), 135-173. (In Persian)
Ghadiri Moghadam, A., & Rafiei Darani, H. (2010). Investing and determining the optimal portfolio of shares of active food industry companies in Tehran stock exchange. Journal of Agricultural Economic and Development (Agricultural Science and Technology), 4(2), 304-309. (In Persian) https://doi.org/10.22067/jead2.v1389i3.7728
Hassanloo, K. H. (2015). Multi-period portfolio management with bankruptcy control under a dynamic planning approach. Quarterly Journal of Economic Modeling Research, (27), 27-230. (In Persian) https://doi.org/10.29252/jemr.7.27.207
Hong vo, D., Pham, N, T., Pham, T, T., & Truong, N. (2019). Risk- return and portfolio for various industries in the ASEAN region. Borsa Istanbul Review, 19(2), 132-138. https://doi.org/10.1016/j.bir.2018.09.003
Hosseini Kasgari, S. H., Hosseini Yekani, S. A., & Abedi S. (2017). Selection of optimal portfolio of stocks of food industry companies in Tehran stock exchange using combined forecasting method: Application of mean-variance-skewness model. Agricultural Economics, (11), 81-105. (In Persian) https://doi.org/10.22034/iaes.2018.28280
Huang, Y. (2020). Portfolio optimization based on jump-diffusion stochastic differential equation. Alexandria Engineering Journal, 59, 2503-2512. https://doi.org/10.1016/j.aej.2020.04.015
Iran Chamber of Commerce, Industries, Mines and Agriculture. (2024). Opportunities and challenges of food industry, deputy of economic research, Tehran. Retrived from: https://economy.tccim.ir.
Irwan, O., Krismantoro, K., & Shobari, K. H. (2022). Optimal portfolio creation using markowitz model on food and beverage companies in Indonesian stock exchange. East African Scholars of Economics, Business and Managment, 5(2), 40-47. https:// doi.org/10.36349/easjebm.2022.v05i02.002
Jahanian, F., Paytakhti Oskooe, S. A., Mohammadi A., & Mottaghi, A. A. (2022). Portfolio optimization using the modified Markowitz model based on CO-GARCH modeling in comparison white the market. Stable Economy Journal, 3(2), 69-82. (In Persian)
Johnson, R. A., and Wichern, D. W. (2014). Applied Multivariate Statistical Analysis (6sted). Pearson Education, Inc.
Khiabani, N., & Saroughi, M. (2011). Evaluation of VaR estimation based on ARCH Type Models :Case study for Tehran stock market. Iranian Journal of Economic Research, 16(47), 53-73. (In Persian)
Lu, S. (2023). Empirical analysis of value at risk (VaR) of stock portfolio based on pyton.
Proceedings of the 2022 International Conference on Mathematical Statistics and Economic Analysis,
(101), 559-567. https:// doi.org/10.2991/978-94-6463-042-8-80
Mojtahedi, F., Mojaverian S. M., & Hosseini Yekani, S. A. (2020). Determining the optimal portfolio systematic risk modeling: Selected food industry of Tehran stock exchange. Journal of Agricultural Economics and Development, 1(2), 149-161. (In Persian) https://doi.org/10.22067/jead2.v34i2.84194
Sadeghi, A., & Khalaj, M. (2023). Approximation of the var by combination of HARQ model and extreme value theory in Tehran stock exchange. New Economy and Trade, Institute for Humanities Cultural Studies (IHCS) Quarterly Journal, (1), 91-120. (In Persian) https://doi.org/10.30465/jnet.2023.39132.1817
Sarchami, M., Khodamipour, A., Mohammadi, M., & Zeinali, H. (2023). Evaluation of deep learning and markowitz models abilitu in optimal stock portfolio formation. Accounting and Auditing Researches, (57), 47-67. (In Persian) https://doi.org/10.22034/iaar.2023.172752
Shakeri, A., & Mousavi, M. H. (2004). Investing the effective factors on private and monetary investment in the agricultural sector. Agricultural Economic and Development, 11(44), 89-115. (In Persian)
Yoshida, y. (2017). Maximization of return under an average value at risk constraint in fuzzy asset management. Procedia Computer Science, (112), 11-20. https://doi.org/10.1016/j.procs.2017.08.001
Zahra, A., & Dasman, S. (2024). Stock portfolio analysis of agribusiness companies on Indonesia stock exchange. Journal of Multidisciplinary in Social Sciences, 1(3), 80-88.
Zomorodian, G. H. (2015). Comparison of explanatory power of non-parametric and neural network models in measuring the value at risk of investment companies' portfolios to determine the optimal portfolio in the Iranian capital market. Journal of Financial Engineering and Portfolio Management, (24), 147-164. (In Persian) https://doi.org/20.1001.1.22519165.1394.6.22.2.8 | ||
|
آمار تعداد مشاهده مقاله: 321 تعداد دریافت فایل اصل مقاله: 519 |
||