كاربست var و انتخاب پرتفوي بهينه با استفاده از تكنيك شبيه سازي مونت كارلو(mcs) در بورس اوراق بهادار تهران

Using VaR and Selection an Optimal Portfolio by Monte Carlo Simulation Technique (MCS) in Tehran Stock Exchange

One of Known methods for measuring, forecasting and managing risk is value at risk, which recently has been used by financial institutions extensively. Value at risk (VaR) is a method for recognizing and evaluating risk and uses standard statistical techniques that have daily using in other contexts. This research is seeking a career for managing investment risk in stock exchange and selection an optimal Portfolio using ʹvalue at risk conceptʹ which could calculate by Monte Carlo simulation technique (MCS). Today, measuring of this concept simplified, because of that new softwares offered. In this research, after presenting definitions of risk, risk management, value at risk and Monte Carlo simulation technique, calculated value at risk of stocks using Monte Carlo simulation technique. Finally, optimal investment of any stock has determined using a compound model.