قاسم صفري

Abstract Large investors play a crucial role in the Financial markets. They can significantly influence market trends and prices. Despite this broad impact, there has been a few researches on their interactions with one another. This study focuses on presenting a Nash bargaining model to solve a multi-period competitive portfolio optimization problem using the prospect theory approach, specifically tailored for large investors in the stock market. In this research, a competitive portfolio model based on the Cournot competition principle is developed for a static, non-cooperative, and non-zero-sum game with complete information. In addition to the uncertainty of each asset’s return, the model incorporates asset purchase and sale volumes for each period, budget, initial asset holdings, and available cash to better align with real-world conditions. Furthermore, the objective function is formulated based on the prospect theory model to manage investment returns and risks. To eva‎luate the feasibility and efficiency of the proposed model, the solution is implemented through an empirical data with descriptive analysis using real data from the Iranian stock market. After solving the model, trading strategies for investors (including trading signals and portfolio stock volumes) are determined for each period. The results indicate that employing a cooperative approach based on Nash bargaining improves player returns compared to a competitive model. Finally, model validation is assessed by varying the reference points of players, demonstrating that the model exhibits robustness under all conditions.

بهينه سازي سبد سهام , سرمايه گذاران بزرگ , چانه زني نش , تئوري چشم انداز , عدم قطعيت

Portfolio optimization , Major investors , Nash bargaining , Prospect theory , Uncertainty

Ghasem Safari

Dr. Ahmad Makui