تعيين ريسك سرمايه گذاري در يك پرتفو ارزي با استفاده از روش ارزش در معرض خطر

Determining investment risk in an exchange portfolio by using Value at Risk (VaR) method

In optimizing an investment portfolio, the aim is to determine optimal value of per security, where prepares the minimum risk and the maximum return. One of the methods to measure risk of portfolio is Value at Risk (VaR). In the VaR method, risk of securities portfolio is estimated for a time horizon in future. In recent years, volatilities of exchange rate have been led to bankruptcy of many important industries of Iran. Hence in this paper, the investment risk in an exchange portfolio concluding five main exchange in the trades market of Iran is measured by using the VaR method and will be determined the weight optimal value of per security in exchange portfolio through to minimize the risk of investment portfolio.