DEVELOPING A MODULAR PORTFOLIO SELECTION MODEL FOR SHORT-TERM AND LONGTERM MARKET TRENDS AND MASS PSYCHOLOGY

Authors

  • M. Jasemi Department of Industrial Engineering, Islamic Azad University, Masjed Soleyman Branch
  • A.M. Kimiagari Department of Industrial Engineering, Amirkabir University of Technology

DOI:

https://doi.org/10.7166/22-1-34

Keywords:

stock market behaviour, consideration of investors? emotions, the psychology of the market

Abstract

ENGLISH ABSTRACT: In an effort to model stock markets, many researchers have developed portfolio selection models to maximise investor satisfaction. However, this field still needs more accurate and comprehensive models. Development of these models is difficult because of unpredictable economic, social, and political variables that affect stock market behaviour. In this paper, a new model with three modules for portfolio optimisation is presented. The first module derives the efficient frontier through a new approach; the second presents an intelligent mechanism for emitting trading signals; while the third module integrates the outputs of the first two modules. Some important features of the model in comparison with others are: 1) consideration of investors

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Published

2011-11-05

How to Cite

Jasemi, M., & Kimiagari, A. (2011). DEVELOPING A MODULAR PORTFOLIO SELECTION MODEL FOR SHORT-TERM AND LONGTERM MARKET TRENDS AND MASS PSYCHOLOGY. The South African Journal of Industrial Engineering, 22(1). https://doi.org/10.7166/22-1-34

Issue

Vol. 22 No. 1 (2011)

Section

General Articles

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