Abstract

Hassani Bayat1, Parvin Aohreh2 and Neda Goli Rajavi2

In this article, we deal with the effects of company accounting variable on optimal return of Portfolio in the stock exchange market of Tehran which contains industry stocks of selected petroleum products, car industry and manufacturing, electrical machineries and extracting of metallic minerals. First, creation and estimation of conditional covariance matrix of variable time is investigated based on dissimilar models of multivariate variance, then based on portfolio Markowitz theory, effects of accounting variables were investigated with the approach of minimizing the risk of portfolio and finally optimal weights of chosen four industries in the specified time were studied. Optimization results indicate that in all three mentioned models more weight in portfolio is proportioned to industries in which there is less fluctuation in the industry stocks return. Also, optimal weight during the time was reducing for industries which their efficiency had an increase and on the opposite in spite of decrease of fluctuations in efficiency and during the time optimization portion of portfolio has increased which originates from the changes made in accounting variables containing book value, return assets, assets turnover, operation cash flow share and earnings per share.