بهزاد نخجواني

Portfolio optimization is a fundamental concept in financial markets, initially established by Harry Markowitz through his research studies. selecting the most appropriate approach for portfolio construction has always been a primary concern for investors, as having a suitable perspective in portfolio formation increases the likelihood of achieving goals and improving investment profitability. However, one of the crucial factors often overlooked in portfolio construction is the consideration of market psychology and the buying and selling decisions made by market participants. Understanding market psychology and incorporating it into the portfolio optimization model can lead to more realistic outcomes. Therefore, this study aims to select stocks that exhibit better returns compared to technical factors by considering both buying and selling decisions and market psychology, while also considering the constraints imposed by the market using technical analysis. Initially, a comprehensive review of the literature on portfolio optimization with a focus on market psychology is conducted. The mean-variance model is utilized as a risk metric due to its undeniable importance and continued use in financial markets. To ensure the robustness of the model results, technical analysis is employed to select stocks from chosen companies. Considering that financial markets do not exhibit a consistent trend due to natural, political, or other factors, it becomes essential to examine the trends of each stock by considering a longer time horizon. The performance of the model, incorporating the aforementioned factors, is eva‎luated using data from the energy industry of the New York Stock Exchange from January 2019 to February 2024 on a quarterly basis. The results indicate that simultaneously considering market psychology and buying and selling decisions in the Markowitz model leads to increased returns and incurred risk. The findings of this research are relevant to individual and institutional investors, as well as individuals interested in financial markets.

بهينه سازي , سبد سهام

optimization , portfolio

Behzad Nakhjavani

Dr. Omran Mohammadi