Determining an optimal investment portfolio in agricultural industries: A case study of food and beverage industries

As a crucial tool, the stock market plays a significant role in economic growth by facilitating price formation, reducing risk, and optimizing capital allocation, thereby creating a conducive environment for economic prosperity. Determining the optimal portfolio is a fundamental decision for investors in the stock market. Therefore, this study built on the Foster-Hart model to determine an optimal investment portfolio in food and beverage industries listed on the Tehran Stock Exchange, excluding sugar companies. The required data were collected from the stock exchange website, and the optimal investment portfolio was determined at different levels of risk aversion using three risk measurement indices, namely, variance, conditional value at risk, and Foster-Hart. The study results show that applying different risk measurement indices leads to diversity in the optimal stock portfolio. Moreover, a comparative analysis of optimal portfolios constructed using the three mentioned risk measurement indices across varying risk aversion levels demonstrates the superior performance of the Foster-Hart method in portfolio optimization. Given the higher efficiency of the Foster-Hart risk index, we recommend its application to determine risks more accurately in order to increase returns and reduce risks when selecting an investment portfolio.

کلیدواژه ها:

Food industry companies ، Foster-Hart ، risk ، Optimal portfolio ، Stock exchange