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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
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نویسنده
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nikoo farrokh ,shams shahabeddin ,tehrani reza ,seighali mohsen
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منبع
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iranian journal of finance - 2021 - دوره : 5 - شماره : 2 - صفحه:70 -94
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چکیده
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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.
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کلیدواژه
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portfolio optimization ,mental accounting ,value at risk
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آدرس
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islamic azad university, qazvin branch, department of financial management, iran, islamic azad university, qazvin branch, department of financial management, iran, university of tehran, faculty of management, department of finance, iran, islamic azad university, qazvin branch, department of financial management, iran
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پست الکترونیکی
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seighali@ut.ac.ir
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Authors
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