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.Modeling the selection of the optimal stock portfolio based on the combined approach of clustered value at risk and Mental Accounting

Publish place: Iranian Journal of Finance، Vol: 5، Issue: 2
Publish Year: 1400
Type: Journal paper
Language: English
View: 233

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Link to this Paper:
https://civilica.com/doc/1428437

Document National Code:

JR_IJFIFSA-5-2_004

Index date: 13 April 2022

.Modeling the selection of the optimal stock portfolio based on the combined approach of clustered value at risk and Mental Accounting abstract

This paper concentrates on the 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 years in form of eight training and two test years indicates that the performance of DMSS and MVO based portfolios is equal however by regarding the value at risk and liquidity constraints in modeling, DMSS based portfolios perform higher than MVO portfolios.

.Modeling the selection of the optimal stock portfolio based on the combined approach of clustered value at risk and Mental Accounting Keywords:

portfolio optimization , mental accounting , value at risk

.Modeling the selection of the optimal stock portfolio based on the combined approach of clustered value at risk and Mental Accounting authors

seyedeh farrokh Nikoo

Department Of Financial Management, Qazvin Branch, Islamic Azad University, Qazvin, Iran.

Shahabeddin Shams

Department of Financial Management, Qazvin Branch, Islamic Azad University, Qazvin, Iran.

Reza Tehrani

Prof., Department of Finance, Faculty of Management, University of Tehran, Tehran, Iran.

Mohsen Seighali

Prof., Department of Financial Management, Qazvin Branch, Islamic Azad University, Qazvin, Iran.

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