عنوان مقاله [English]
In every society the optimal performance of economic system is
depened upon two efJkient, powerful and administered sections: Real and
Financial. The existence of different institutions in financial markets make different financial instruments available to real section. Investment
companies are among active financial institutions which collect small
amounts ofcapital by selling thier shares and invest them in profitable
economic activities, especially securities of different companies.
Investment companies invest in variety ofsecurities and shares with
different risks and investment returns. Through diversification, they can
reduce risk and increase returns of thier in vestors. Our question in this
paper is that, are these comp anies able to do so? On the basis of this
assumption, we studied the changes in risks and returns of in vestment
companies' sharesfrom March 1996 to March 1998. The results showed
that the shares of investment companies (except one or two of them) have low returns in coutrant to their risks
Therefore the shares of these companies were suitable for risk-avertcrs.
and risk-lovers could gain more hy investing in other shares.
By using EGP model and maximizing subject to fixed risk . we found
that an optimal portfolio combination contains 22 companies' shares with
low risk and reasonable return. Comparing the investment compnnics
portfolio in Tehran Stock Exchange wit h. this optimal portiolio shows that these companies have little shares in the optimal portfolio