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

Document Type : Research Paper

Authors

1 Department of Agricultural Economic, Faculty of Agricultural Engineering, Sari Agricultural Sciences and Natural Resources University,Sari, I. R. Iran.

2 Department of Nature Engineering, Shirvan Faculty of Agriculture, University of Bojnord, Bojnord, I. R. Iran.

Abstract

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.

Keywords

Main Subjects

Article Title [Persian]

تعیین پرتفوی بهینه سرمایه‌گذاری صنایع کشاورزی: مطالعه موردی صنایع غذایی و آشامیدنی

Authors [Persian]

  • زکیه کمالی کفراتی 1
  • سمیه شیرزادی لسکوکلایه 1
  • زهرا نعمت الهی 2
  • سید مجتبی مجاوریان 1
1 گروه اقتصاد کشاورزی، دانشکده مهندسی زراعی، دانشگاه علوم کشاورزی و منابع طبیعی ساری، ج.ا. ایران.
2 گروه اقتصاد کشاورزی،دانشکده کشاورزی شیروان، گروه مهندسی طبیعت، دانشگاه بجنورد، بجنورد، ج. ا. ایران.
Abstract [Persian]

بورس به عنوان ابزاری بسیار مهم، نقش ویژه‌ای را در رشد اقتصادی ایفا می‌کند و با قیمت‌گذاری، کاهش ریسک و تخصیص بهینه سرمایه، زمینه را برای رونق اقتصادی فراهم می‌نماید. تعیین پرتفوی بهینه از مهمترین تصمیمات افراد سرمایه‌گذار در بورس می‌باشد. لذا، در این مطالعه به تعیین پرتفوی بهینه سرمایه‌گذاری برای شرکت‌های صنایع غذایی و آشامیدنی به جز قند و شکر پذیرفته شده در بورس اوراق بهادار تهران با استفاده مدل فوستر-هارت پرداخته شده‌ است. داده‌های موردنیاز، از سایت بورس جمع‌آوری شده است و با استفاده از شاخص‌های محاسبه ریسک واریانس، ارزش در معرض خطر شرطی و فوستر هارت، پرتفوی بهینه سرمایه‌گذاری در درجات مختلف ریسک‌گریزی تعیین شده است. بر اساس نتایج مطالعه، اعمال شاخص‌های مختلف محاسبه ریسک، موجب تنوع در سبد بهینه سهام می‌شود. همچنین، مقایسه نتایج تعیین پرتفوی بهینه با استفاده از سه شاخص مذکور اندازه‌گیری ریسک در درجات مختلف ریسک‌گریزی، بیان‌کننده برتری روش فوستر-هارت نسبت به دو روش دیگر در تعیین پرتفوی بهینه سرمایه‌گذاری می‌باشد. بنابراین پیشنهاد می‌شود، به‌منظور افزایش بازده و کاهش ریسک در انتخاب سبد مناسب سرمایه‌گذاری، به دلیل کارایی بیشتر شاخص ریسک فوسترهارت نسبت به سایر شاخص‌های سنجش ریسک، از این شاخص در تعیین دقیق مقدار ریسک استفاده شود.

Keywords [Persian]

  • بورس اوراق بهادار
  • پرتفوی بهینه
  • ریسک
  • فوستر هارت
  • شرکت‌های صنایع غذایی

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Iran Agricultural Research
Volume 43, Issue 2
December 2024
Pages 24-32

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