Modeling of Optimal Stock portfolio Optimization Based on Risk Assessment and Behavioral Financial Approach (Mental Accounting) in Tehran Stock Exchange

Document Type : Original Article

Authors

1 Ph.D. Candidate in Financial Management, Islamic Azad Uinversity, Qazvin Branch, Qazvin, Iran.

2 Ph.D. in Financial Management, Lecturer at Islamic Azad Uinversity, Qazvin Branch, Qazvin, Iran.

Abstract

This essay concentrates on modelling of Optimal Stock portfolio selection based on Risk Assessment and Behavioral Financial Approach Mental Accounting and 28 expert’s opinion. In this approach developing the model approved by the opinion of academic and practical experts using quantitative and qualitative methods.  Using quarterly return data of industrial indices for ten year in form of eight training and tow test years indicates that the performance of DMSS and MVO based portfolios is equal however by regarding the value at risk and liquidity constrains in modeling, DMSS based portfolios perform higher than MVO portfolios.

Keywords

References

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Financial Management Perspective
Volume 10, Issue 31 - Serial Number 31
November 2020
Pages 75-101

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