Poertfolio Risk Management in Iran: With an Special Emphasize on Oil Price

The purpose of this article is to investigate the impact of oil price on the asset portfolio in order to choose an efficient portfolio by investors in Iran by using daily data from 15nd December 2012 to 17^th December 2013. The considered portfolio in this study consists of gold, silver, platinum, stock market and foreign currency. The results of ARDL Bounds test shows that the series are co-integrated. Also, Toda–Yamamoto version of Granger causality has been employed to establish the causation amongst the variables. Furthermore, the study examines error variance decomposition of variables thanks to various shocks in the system and indicates that price fluctuations of other commodities have the least impact on stock price changes, meanwhile pointing the most importance on stock bonds in asset portfolio would be a proper decision for investors. Such information provides insight into the transmission links between the global oil market and the Iranian precious metals, foreign exchange and capital markets. These results may be helpful for investors to manage asset portfolio.