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Information Journal Paper

Title

ACTIVE PORTFOLIO MANAGEMENT WITH BENCH MARKING: ADDING A VALUE-AT-RISK CONSTRAINT

Pages

 Start Page 91 | End Page 113

Keywords

TEVQ2
VARQ2

Abstract

 This research has been done for scientific purposes to determine portfolio model and practical purposes from testing TEV and VAR models in Iran Capital Market. To done research, VARiables EPS, NI, MV, BV, CFO and MTB for 77 companies in Tehran Stock Exchenge from 1386 to 1391.Have been used to estimate VAR with using VAR and CVaR and GARCH models, at first, data loaded in software. By using these 3 models, VAR has been estimated for all 77 companies. The reason of estimation VAR by using CVaR shows that VAR in the certainty levels 1%, 5%, 10% are different with each other. By increase the certainly levels, VAR increase, too. Also, the reason of Kupic testing shows that two models are reliable and attributable. At the end of study to ranking two models, Lopez testing has been carried out based on which the number of errors for CVaR model is less than GARCH model.

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