组合优化回顾.pdfVIP

Life Science Journal 2013;10(5s) http :// Review the optimum portfolios to be helpful for investors *1 2 3 4 5 Iman Zare , Farhad Ghandehari , Jafar Nekounam , Hamid Reza Malak Hossini , Khadijeh Fardi *1. Department of Accounting, payame Noor University, I.R. of IRAN 2. Payam nonprofit higher education institution 3,4. Department of Accounting, khomein Branch, Islamic Azad University, khomein, Iran 5. Department of Accounting, Gachsaran branch, Islamic Azad University, Gachsaran, Iran iman.accounting@ Abstract: Analyzing expected rate of return according to the assets and estimations of value at enormously help the company in optimum use of financial and physical resources. if an assortment of investments is organized in such a way to be the best possible set, investors, by minimizing the attendant risks, can approach the optimum rate of return that is close to the market value. In this study, Capital Assets Pricing Model (CAPM), Fama and French three factor model and Value-at-Risk (VaR) model and their forecasting capabilities are thoroughly analyzed. Investors are aptly informed to make a conscious decision in extracting the best portfolio set. The study sample consisted of 118 companies listed in Tehran Stock Exchange, on a monthly basis during 2003-2010 and was selected .This study is based on assumptions that each model is efficient enough t