Optimal Portfolio selection in Value at Risk Framework
Abstract
The choice of the optimal portfolio is one of the important topics in the field of financial management where there are numerous models to select it with the multiple measures of portfolio risk and from those is to measure the Value at Risk , which is one part of the tail distribution approach , which researchers stiffer about the possibility of the choice of the optimal portfolio , which is the problem for research which lies in the possibility of using Value at Risk measure in the selection of optimal portfolio . To achieve the research goal it was adopted on the annual return on the assets of ten companies listed in Now York stock Exchange for the period (2005 – 2013) .
The research found a set of conclusions and recommendations including the possibility of using Value at Risk measure in the selection of the optimal portfolio .
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