A Monte Carlo simulation technique to determine the optimal portfolio
During the past few years, there have been several studies for portfolio management. One of the primary concerns on any stock market is to detect the risk associated with various assets. One of the recognized methods in order to measure, to forecast, and to manage the existing risk is associated wit...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Growing Science
2014-03-01
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| Series: | Management Science Letters |
| Subjects: | |
| Online Access: | http://www.growingscience.com/msl/Vol4/msl_2014_23.pdf |
| _version_ | 1818293026196291584 |
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| author | Hassan Ghodrati Zahra Zahiri |
| author_facet | Hassan Ghodrati Zahra Zahiri |
| author_sort | Hassan Ghodrati |
| collection | DOAJ |
| description | During the past few years, there have been several studies for portfolio management. One of the primary concerns on any stock market is to detect the risk associated with various assets. One of the recognized methods in order to measure, to forecast, and to manage the existing risk is associated with Value at Risk (VaR), which draws much attention by financial institutions in recent years. VaR is a method for recognizing and evaluating of risk, which uses the standard statistical techniques and the method has been used in other fields, increasingly. The present study has measured the value at risk of 26 companies from chemical industry in Tehran Stock Exchange over the period 2009-2011 using the simulation technique of Monte Carlo with 95% confidence level. The used variability in the present study has been the daily return resulted from the stock daily price change. Moreover, the weight of optimal investment has been determined using a hybrid model called Markowitz and Winker model in each determined stocks. The results showed that the maximum loss would not exceed from 1259432 Rials at 95% confidence level in future day. |
| first_indexed | 2024-12-13T03:09:18Z |
| format | Article |
| id | doaj.art-10d5354b8e9b4eefb8b24cc5cc16022f |
| institution | Directory Open Access Journal |
| issn | 1923-2934 1923-9343 |
| language | English |
| last_indexed | 2024-12-13T03:09:18Z |
| publishDate | 2014-03-01 |
| publisher | Growing Science |
| record_format | Article |
| series | Management Science Letters |
| spelling | doaj.art-10d5354b8e9b4eefb8b24cc5cc16022f2022-12-22T00:01:38ZengGrowing ScienceManagement Science Letters1923-29341923-93432014-03-014346547410.5267/j.msl.2014.1.023A Monte Carlo simulation technique to determine the optimal portfolioHassan Ghodrati Zahra ZahiriDuring the past few years, there have been several studies for portfolio management. One of the primary concerns on any stock market is to detect the risk associated with various assets. One of the recognized methods in order to measure, to forecast, and to manage the existing risk is associated with Value at Risk (VaR), which draws much attention by financial institutions in recent years. VaR is a method for recognizing and evaluating of risk, which uses the standard statistical techniques and the method has been used in other fields, increasingly. The present study has measured the value at risk of 26 companies from chemical industry in Tehran Stock Exchange over the period 2009-2011 using the simulation technique of Monte Carlo with 95% confidence level. The used variability in the present study has been the daily return resulted from the stock daily price change. Moreover, the weight of optimal investment has been determined using a hybrid model called Markowitz and Winker model in each determined stocks. The results showed that the maximum loss would not exceed from 1259432 Rials at 95% confidence level in future day.http://www.growingscience.com/msl/Vol4/msl_2014_23.pdfRiskRisk ManagementValue at RiskSimulationMonte Carlo-simulation |
| spellingShingle | Hassan Ghodrati Zahra Zahiri A Monte Carlo simulation technique to determine the optimal portfolio Management Science Letters Risk Risk Management Value at Risk Simulation Monte Carlo-simulation |
| title | A Monte Carlo simulation technique to determine the optimal portfolio |
| title_full | A Monte Carlo simulation technique to determine the optimal portfolio |
| title_fullStr | A Monte Carlo simulation technique to determine the optimal portfolio |
| title_full_unstemmed | A Monte Carlo simulation technique to determine the optimal portfolio |
| title_short | A Monte Carlo simulation technique to determine the optimal portfolio |
| title_sort | monte carlo simulation technique to determine the optimal portfolio |
| topic | Risk Risk Management Value at Risk Simulation Monte Carlo-simulation |
| url | http://www.growingscience.com/msl/Vol4/msl_2014_23.pdf |
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