analtsis of risk and return on investment componies' stock in tehran stock exchange

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