Risk, Return, and Portfolio of Selective Industries in Tehran Stock Exchange

Portfolio selection and choosing the proper risk measure is one of the pivotal argument in finance literature and working in the empirical environment. This paper aims to evaluate a portfolio selection with two methods including mean-variance and mean-CVaR to find proper risk measure in Tehran Stock Exchange. So that, nine sectors consisted of the construction, telecom, oil, banking, insurance, leasing, transportation, investment companies, and metal were investigated by using daily data from ۲۰۱۳ to ۲۰۱۸. The results showed that the share of each sector was different in the portfolio by two methods. The mean-CVaR method proposed construction sector in the first rank and mean-variance method ranked telecom sector at the first. Also, the correlation between the two risk measures and returns indicated that CVaR had a high correlation with returns about ۰.۹۳ and the correlation between returns and variance was ۰.۲۳. So, CVaR was a better than variance as a risk measure from the standpoint of correlation in Tehran stock exchange.

کلیدواژه ها:

Risk ، Return ، Portfolio ، CVaR ، Tehran Stock Exchange