General Department of Economic Affairs and Finance of Hamadan Province
Abstract: (890 Views)
In most economies, individuals usually invest their money in a portfolio of low-risk stocks and bonds. Designing and creating a portfolio of fixed income due to low risk compared to the portfolio of other assets (especially risk averse investors), has a high power of diversification. Because this portfolio has a general correlation with other assets (such as stocks, etc.).The stimulation of the capital market and the prevention of deep recessions are the result of this model of investment.Tracking the indexes of fixed income securities or assets compared to stock markets was the main issue of this research. This is due to the high diversity of these securities or assets. Therefore, it is an important necessity for the Iran Stock Exchange to find appropriate indicators for designing an optimal portfolio through diversification, that has the ability to analyze based on the boundary between the bold and conservative model. In this study, by finding13 types of fixed income assets(derived from money and capital markets and commensurate with the capacity of the financial sector of the Economy of Iran) led to a proposed model of fixed income portfolio based on the original Markowitz model and through it developed this model. The results showed that index of securities and financial assets with interest rate and fixed income can indicate the total return or price return of such securities and financial assets and the total return indicator in addition to the return resulting from price changes; It also includes the return on earnings (interest and accrued interest rates). Duration portfolio is a measure of the sensitivity of a bond’s price to changes in the yield to maturity and interest rate that it is a Short-term period of one year or less and with one exception that may lean towards a medium-term period. Indexed securities or assets have a maturity of one year or more, a high investment rating, a fixed interest coupon and a minimum nominal value. The application of this model eliminates the limitation of investment funds. It has the advantage of diversification and it is attractive to encourage small investors. Finally, it satisfies the financing of firms at the desired level. Keywords: financial market, monetary instruments, stocks, sukuk, fixed income portfolio JEL classification: D81, G19, G21, G30, G32, Z12
Abdoli G, zirak M, Etehady M. A suggested Model for fixed income portfolio to invest in Iran Stock Exchange. TFI 2023; 8 (1) :14-42 URL: http://tfe.raja.ac.ir/article-1-67-en.html