Showing 2 results for Optimal Portfolio
Hossein Asgharpur, Firouz Fallahi, Naser Sanoubar, Ali Rezazadeh,
Volume 5, Issue 17 (10-2014)
Abstract
The main goal of this research is to calculate VaR index with parametric Markov-Switching GARCH approach for accepted companies in Tehran Stock Exchange and also selecting the optimal portfolio of their stocks. To calculate the index, data and information of weekly stock price of 10 representative firms during the period 2008-2014 has been used which account for 332 working weeks.
The results from estimation of VaR and determination of optimal stock portfolio in the non-linear programming framework showed that optimal portfolio of food-industry companies stock, in the context of VaR has higher returns and risk in the first regime (Boom period) compared to the second regime ( recession period). On the other hand, it has had lower weight in both stock portfolios that had lower average returns compared to the rest of the stocks and compared to the stocks which had lower VaR relative to other stocks that has higher weights.
The Kupiec and Lopez back testing using 10 future week data, showed that both of approaches is valid but the parametric approach has better rank. Therefore the optimal portfolios of stocks under parametric VaR will be accepted as final optimal portfolio.
Ebrahim Nasiroleslami, Ezatollah Abbasian,
Volume 10, Issue 36 (6-2019)
Abstract
The existence of a stable source of income for the government is crucial for the financing of current and development expenditures. The major revenues of the government in Iran are derived from two sources of tax and oil revenues. Given that much of the oil revenue fluctuations are outside the control of domestic policymakers, it is better to focus on tax revenues in order to earn relatively stable revenues. However, tax revenues are also affected by cycles of boom and recession, and in terms of economic downturns, it is also difficult to earn money from this source. Thus, the solution for this problem is that the total tax revenue of the country is considered as a portfolio of income and applied to the methods of the financial economics to optimize it, in this way, an optimal combination Tax will be specified. Accordingly, in this study, by collecting information on different government revenues during the period of 1350-1396 and using the Markovitz model from two approaches to minimize risk and maximize returns, the optimal contribution of different tax bases for Iran has been calculated. The results show that the current share of the tax revenue base of the country is different from the optimal share.
