Calculation of Risk of Portfolio Consisting of Agricultural Sector Stock via Monte Carlo Simulation
Articles > Article · 2021
Authors: Duran GÜLER
Iğdır Üniversitesi Fen Bilimleri Enstitüsü Dergisi, Refereed Journals of Other Institutions, International, TR DİZİN (ULAKBİM), 2021, vol 11, pp 699-708
Summary
<p>The uncertainty caused by price volatility in the capital market poses risk for investors. There are several methods to manage this risk. The aim of this study is to measure the risk of a portfolio consisting of agricultural sector stock via Monte Carlo simulation, which is one of the value at risk methods. The daily closing stock prices of IZTAR, TACTR, and YAPRK that are traded in BIST were used in the study. The value at risk ratios of the equally weighted hypothetical portfolio were determined as 24.36% and 34.61% at 95% and 99% confidence levels on a ten-day holding period, respectively. Compared with previous studies, it has been determined that the risk of a portfolio consisting of agricultural sector stock is higher than the risk of portfolios consisting of foreign exchange, banking stock and government debt securities. It is recommended to conduct searches that examine the causes of this situation in the framework of investor decisions. </p><p>Keywords: Financial risk management, portfolio risk, value at risk, Monte Carlo simulation<br></p>