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Compare Value at Risk and Return of Assets Portfolio Stock, Gold, REIT, U.S. & Iran Market Indices

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  • Felor Ghorashi
  • Roya Darabi

Abstract

Nowadays investors follow investment in asset like, stocks, gold, and real-estate investment trusts in the world. This study surveys three types of main assets portfolio of stock, gold, and REIT. This article use from S&P500, Gold price, S&P United States REIT of U.S as a development and Iran stock market, Gold price as an emerging country. Samples are collected from 2004 to2014 daily index U.S market and Iran market for 10 years. In this case, we use GARCH model for estimating return and variance with conditional variation. Then use Mont carol simulation for determination Value at Risk with three likelihood. Then calculate correlation of portfolios with multiple regression. Finally, compared Value at Risk and return and correlation for each portfolio (four types of portfolios). Then compare different type of portfolio and select best portfolio via R-Sharp criteria.

Suggested Citation

  • Felor Ghorashi & Roya Darabi, 2017. "Compare Value at Risk and Return of Assets Portfolio Stock, Gold, REIT, U.S. & Iran Market Indices," Asian Journal of Economic Modelling, Asian Economic and Social Society, vol. 5(1), pages 44-48.
    • Handle: RePEc:asi:ajemod:v:5:y:2017:i:1:p:44-48:id:886
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    Cited by:

    1. Raziah Bi Mohamed Sadique & Aida Maria Ismail & Jamal Roudaki & Norhayati Alias & Murray B. Clark, 2019. "Corporate Governance Attributes in Fraud Detterence," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 10(3), pages 51-62, May.
    2. Ilhami KARAHANOGLU, 2020. "The VaR comparison of the fresh investment toolBITCOIN with other conventional investment tools, gold, stock exchange (BIST100) and foreign currencies (EUR/USD VS TRL)," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, vol. 11, pages 160-181, December.

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