Sorena Morovat - Department of Economics, Kermanshah Branch, Islamic Azad University, Kermanshah, Iran
Afshin Baghfalaki - Department of Economics, Kermanshah Branch, Islamic Azad University, Kermanshah, Iran

In this study, considering the necessity and importance of the relationship between risk and return on investment, some explanations were presented about the relationship between risk and return on the asset portfolio including gold, exchange and stocks during the period ۲۰۰۱: ۱ - ۲۰۱۸: ۳ using panel vector auto-regression (PVAR) method and Kao and Pedroni panel cointegration approach and pooled mean group (PMG) method and Engel-Granger time series methods. The software used in this study involves EVIEWS ۱۰ and STATA۱۵. In this study, multivariate GARCH (M-GARCH) approach (BEKK) was used to extract portfolio risk. The results showed a positive relationship between risk and return based on PVAR approach. And also, given the beta coefficient of the CAPM equation, gold was the best inflation cover during the period under study, with a slight difference from the exchange rate.

Financial Assets, Risk, Panel Cointegration, pooled mean group method, CAPM equation