The relationship between the value at risk (VAR) and monthly returns of portfolio investment in shares of companies listed companies in Tehran Stock Exchange

This study referring to inspecting the relationship between value at risk and monthly return of investment company protfio in Tehran stock exchange. In order to calculating value at risk three methods are utilized: parametric,historical simulation and Montcarlo simulation (in 95 and 99% levels).In this study four investment company inspected in Tehran stock exchange during 1384-1390.In order to hypothesis testing line regression model is utilized.study findings demonstrated that in generally, there is a meaningful and positive relationship between value at risk and monthly return.Also value at risk having the most effect on the calculated monthly return (in Montcarlo method in 99% level).Is important to say that total hypothesis, relationship between calculated value at risk and monthly return, confirmed by different methods. demonstrating meaningful and positive relationship between two variables

کلیدواژه ها:

monthly return ، Metods parametric ، historical simulation ، Montcarlo simulation