دانشگاه فردوسی مشهداقتصاد پولی مالی2251-8452مقالات آماده انتشار20240612The optimal combination of investment in assets in different conditions of the stock market using the Mean-VaR modelترکیب بهینه سرمایه گذاری در دارایی ها در شرایط مختلف بازار سهام با بهره گیری از مدل Mean-VaR4535410.22067/mfe.2024.79777.1259FAفرامرز طهماسبیاستادیار گروه اقتصاد دانشگاه پیام نورعلیرضا تمیزیعضو هیات علمی گروه اقتصاد دانشگاه پیام نورJournal Article20221126Introduction<br />Harry Markowitz’s portfolio selection theory is the pioneer of new theories (Markowitz, 1952). Markowitz’s mean-variance analysis is the most common method to solve the asset selection problem. In this method, the variance of asset returns is the only criterion for risk assessment. Unfavorable risks and their measurement are considered in the new financial theories about risk. Value at risk (VaR) is one of the most commonly used indicators in this field (Jorion, 1997, 2000). For the first time, Bamol (1963) proposed the concept of VaR as a new model for risk assessment (Alexander and Baptistab, 2002). But since the early 1990s, it has been widely used as a tool to assess risk. Hanifi (2010), in his first research on the model of VaR in Iran, calculated and compared VaR of different companies in Iran and several foreign countries. In the conducted studies, the portfolio risk of joint-stock companies was calculated by the VaR approach and using different models. The research results were compared with the variance criterion in some of these studies (i.e. a research by Karimi). <br />Financial markets are among the most important and influential markets of any country. Stock market is considered as one of the important components of financial markets. On the other hand, stock asset is one of the important components of people's asset portfolio; its price usually changes due to the economic fluctuations. It is believed that the demand for maintaining other assets will be influenced by changing the return in one of the components of the asset portfolio; therefore, the people's asset portfolio composition will be changed. In this study, the effect of changes in the stock market returns on the people’s asset portfolio composition was condsidered by using the VaR criterion and the mean-VaR model in different periods of the stock market.<br /><br />Theoretical framework<br />In general, two theories are considered more in the literature of financial economics and topics on optimal portfolio determination; Modern portfolio theory and ultra-modern portfolio theory. Optimal asset allocation and optimal portfolio recognition are done according to the optimization based on the mean and variance of asset returns in modern portfolio theory, which was first introduced by Markowitz. Markowitz's mean-variance model, based on a specific level of return rates, obtains optimal values of risk based on minimizing the variance of the total assets in the portfolio (Markowitz, 1952)<br />In another theory, optimal asset allocation and optimal portfolio recognition are done based on the relationship between return and unfavorable risk criteria. Ultra-modern portfolio theories explain the behavior of investors and portfolio selection based on the relationship between return and unfavorable risk. In this theory, unfavorable risk (fluctuations lower than the investor's target rate of return) is defined as a risk measurement index. From the viewpoint of the theory, risk as an emotional status is more representative of the fear of an unfavorable event such as loss or less performance than expectations or lack of access to the desired goal. So, unfavorable risk measures can explain it mathematically in a better way (Adami, 2012). Value at risk (VaR) is one of these measures. The risk of assets is calculated using VaR approach in the Mean-VaR model and it is used in the model.<br /><br /><br />Research Methodology <br />The study’s population was consisted of the price of assets, such as land, housing, gold coins, currency, stocks, bonds and bank deposits. These assets’ prices were extracted from the website of Iranian Central Bank and Statistics Center from 1991 to 2021. Then, the return and standard deviation of return on assets were calculated and used in the study. Dickey-Fuller test was used to review the stationarity of time series. Most macroeconomic variables are correlated of the first degree (integrated of 1). It is expected that data to be fixed after one time differentiation. Since the data used in this study is in the form of growth rate, it is expected that the data to be fixed. The results indicated that all the data are fixed as expectations. In order to conduct the research, after calculating the return, expected return and correlation coefficients of return on assets by Markowitz model, the asset risk with the 95% confidence level and the short-term (one-year), medium-term (10-year) and long-term (30-year) time horizons. year) were estimated using the VaR model (parametric method). Statistical calculations were performed and the results were extracted by using mean-VaR model.<br /><br />Conclusion<br />In order to select the optimal portfolio, the results of the statistical analysis indicated that the asset portfolio composition is changed due to the change in the ratio of return to risk during the entire period with respect to different time horizons. People's asset portfolio mostly includes stocks and housing during the period when stock returns are positive. Although there is a very high risk for investing in stocks, but it has a high share in people's investment portfolio due to the higher risk-return ratio in this period. At the same time as the stock returns become negative, a most change is occured in asset portfolio composition. So that stocks are completely removed from people's portfolios and are replaced by bonds and bank deposits. Under this condition, the entire asset portfolio almost consistes of the bonds and bank deposits in the short-term period.<br />These two assets, in addition to low risk, have consistent returns for investors. The results represented that the change in stock returns lead to changing the asset portfolio composition in different periods. Since there is not a study to investigate and determine the people’s asset portfolio composition in different conditions of the stock market, it is not possible to compare this study’s results with other studiesدر این مطالعه ترکیب بهینه سبد دارایی خانوارها در دوره های متفاوت بازار سهام طی سالهای 1370-1400 با بهره گیری از مدل Mean-VaR و استفاده از نرم افزار Matlab، در دوره های زمانی کوتاه مدت، میان مدت و بلند مدت و سطح اطمینان 95 درصد مورد بررسی قرار گرفت. نتایج نشان می دهند: سهام، مسکن و اوراق مشارکت بیشترین سهم از سبد دارایی را به خود اختصاص می دهند. طی دوره یاد شده، بازار سهام به لحاظ بازدهی، نوساناتی را تجربه کرده است. (بازار سهام طی سالهای 1371، 1372، 1376، 1377، 1384، 1387، 1393 و 1395 بازدهی منفی داشته و نتوانسته است بازدهی مناسبی را برای سرمایه گذاران این بازار به همراه داشته باشد و در بقیه سالها بازدهی مثبت داشته است). جهت تبیین تاثیر تغییرات بازدهی بازار سهام بر وزن سهام از سبد دارایی ها و تحول ترکیب این سبد، ترکیب بهینه سبد دارایی خانوارها برای دو دوره استخراج گردید. نتایج بیانگر اینست که طی سالهایی که بازار سهام بازدهی مثبت داشته است، درکلیه دوره های زمانی سهام، سهم غالب سبد دارایی بوده و مسکن در رتبه دوم اولویت سرمایه گذاری افراد قرار دارد. طی سالهایی که بازار سهام بازدهی منفی داشته است، سهام هیچ سهمی از سرمایه گذاری افراد در سبد دارایی را درکوتاه مدت و میان مدت به خود اختصاص نمی دهد، در این سالها، سرمایه گذاران در جهت کسب بازدهی مناسب و افزایش کارایی سبد سرمایه گذاری خود، وزن بیشتری از سبد دارایی خود را به اوراق مشارکت و سپرده های بانکی اختصاص می دهند.