Title of article
.Modeling the selection of the optimal stock portfolio based on the combined approach of clustered value at risk and Mental Accounting
Author/Authors
Nikoo, farrokh Department Of Financial Management - Qazvin Branch Islamic Azad University, Qazvin, Iran , Shams, Shahabeddin Department Of Financial Management - Qazvin Branch Islamic Azad University, Qazvin, Iran , Tehrani. Reza Department of Finance - Faculty of Management - University of Tehran, Tehran, Iran , Seighali, Mohsen Department of Financial Management - Qazvin Branch Islamic Azad University, Qazvin, Iran
Pages
25
From page
70
To page
94
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.
Keywords
Portfolio Optimization , Value at Risk , Mental Accounting
Journal title
Iranian Journal of Finance (IJFIFSA)
Serial Year
2021
Record number
2663431
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