There are different strategies for selecting stocks, and different investors use different strategies according to their risk tolerance or their expected rate of return. In this study, the profitability of a broad range of stock selection strategies in Tehran Stock Exchange over the period 1370-1383, has been examined, and it has been investigated whether the successful strategies in other countries are also successful in Iran or not. Although a lot of comprehensive studies have been done in the developed and in a considerable number of emerging markets, and successful strategies have been well documented in those countries, such studies have never been done in Tehran Stock Exchange. The sample is all the companies in Tehran Stock Exchange in the aforementioned period. Also, in order to evaluate different strategies, various portfolios have been formed for each year according to each strategy. Then, computing the return of winner portfolios, those strategies generating the maximum return in excess of market return, are presented. The evaluation of the performance of the strategies has been done regarding various diagnostics criteria like risk and return. The results show that value strategy is the most successful strategy in Iran and generates significant excess return, in contrast to growth, size, price momentum and fundamental strategies. In other words, the most successful strategy in Iran is the multivariate strategy which selects the stocks with high E/P, B/P, C/P, S/P and D/E. Moreover, as apposed to the developed markets and a considerable number of emerging markets, size and momentum strategies are not profitable ones in Tehran Stock Exchange and can not distinguish between profitable and unprofitable stocks.

Markowitz’ s return– risk model for stock portfolio selection it is criticized. Many factors directly or indirectly influence stock markets and make movements of asset prices very uncertain and unpredictable. The purpose of this study was to investigate the selection of stock portfolios from companies admitted to Tehran Stock Exchange using the theory of Damsper-Schaffer. This research is descriptive-correlative method and is of applied research type. The statistical population of the study consisted of all companies listed on the Tehran Stock Exchange between 2010 and 2015, which has been studied and studied by 108 companies throughout the period of research in the stock exchange. The research data were extracted from financial statements of companies and analyzed using regression models using combination data. The findings of the research showed that the results of the hypothesis test showed that the EPS variables, income / price ratio (P / E), ratio of payment (PR), price to sales ratio (P / S), debt Long-term equity traders (LTDER), price / cash flow ratios (P / CF), and margin squeeze (PM) in the Demerster-Schaeffer theory model.

Choosing a stock portfolio is always one of the most important issues for investors. Theoretically, selecting a stock portfolio can be solved by minimizing risk assumptions with the help of mathematical relationships, but with the variety of choices in the capital market, mathematical relationships alone are not an effective solution. The variety of investment tools and the differences in the functionality of investors’ complexity have complicated the selection process. Now the expansion of financial and capital markets, the use of rule-based systems for quick decisions, with minimal risk and away from human error, design, development, or improvement of these systems can be a competitive advantage. In the present study, neural network algorithms and genetic programming algorithms have been used to identify effective features and the decision tree to improve id3 has been proposed as a method for predicting price and trend of stock price change to select the optimal basket. The research results show that in addition to reducing computational and memory overhead, the proposed method is able to accurately predict severe fluctuations with nonlinear patterns and compared to modern methods such as nearest neighbor search, linear regression, autoregressive integrated moving average, and time series prophet algorithm will do better.

Markovitz's risk-taking model is to select stocks based on historical asset data. In addition to the impact of historical returns, there are many other critical factors that directly or indirectly affect the stock market. The present study first uses the Fuzzy Delphi method to identify critical factors and ultimately considers factors with low correlation coefficients. Critical factors and historical data were used to adapt Dempestor-Schafer evidence theory for stock rankings. Then, in the sampling model, stocks with a higher rank are proposed. Sampling was carried out using stock held on Tehran Stock Exchange and simulated by optimization of colonization of ant. The performance of the results is satisfactory in comparison with the recent performance of assets.

Selecting effective criteria on prices and consequently on investor’ s decision making is one of the most debating topics in portfolio optimization debate. Both of market and industry price changing and the information releasement by companies can affect stock prices. As a result, the goal of this study is surveying the role of market and industry price changing on stock prices and its effect on portfolio optimization. So we use stock price synchronicity. Stock price synchronicity measures the degree to which the market change can explain stock price movement. So by collecting price changing data from 130 sample companies during 10 years and with solving regression equations we computed stock price synchronicity. Then by collecting financial and nonfinancial data from the samples and analyzing these data and using data envelopment analysis (DEA) technique we made several portfolio to compare them by sharp ratio. The result shows that stock price synchronicity is about 59% in the sample and it is in conformity with international surveys like Jin and Myers (2006). Also the result shows that if stock price synchronicity affection be considered in portfolio selection then portfolios will have better return. In this research we use data envelopment analysis to choose portfolios and use Fuzzy Delphi to choose effective criteria on stock price changing.

In this paper, a model has been provided for selection of the right portfolio in stock exchange. Industries ranking and companies ranking have been applied for selection of the right stocks in this model. These rankings have been done through the PROMETHEE decision making method. Two linear programming problems have been used for determining the amounts of investment per superior industries and superior companies in proportion to capital. Given the investor's strategies, these problems can be solved. A survey has been done for determining the effective criteria over industry and company evaluation. The developed model has been applied in Tehran Stock Exchange (TSE) as a real case and sample problems have been solved. It is concluded that industries ranking, companies ranking and then portfolio selection results could be different due to using different investment strategies. Therefore model results are largely dependent upon the investor's strategies and the investor should determine these strategies accurately.

The main purpose of this paper is to investigate selection of stock asset portfolio based on behavioral economics method (case study: Tehran Stock Exchange). Regarding method, this research is applied and in terms of time it is cross-sectional. In order to test the research hypotheses, one-sample t-test was used and Friedman test was used for ranking. The statistical population of this research includes two classes; the first class is related to high-ranking experts and officials of Tehran Stock Exchange and the second is related to the statistical population of brokers and investors active in the stock market of Tehran Stock Exchange. The sample size in the first part was selected non-randomly including 20 people and in the second part, considering that the number of statistical population was unknown, the number of sample size selected was 384 people. Field method of research and a researcher-made questionnaire were used to collect the questionnaire data. The face validity of the questionnaire was examined by experts and the content validity of the questionnaire was assessed using the Delphi method. It was shown the validity of the questionnaire’ s questions is acceptable. Then, the reliability of the questionnaire was evaluated using Cronbach's alpha coefficient. The obtained results indicated that the research questionnaire has the required reliability. Then, the collected data were analyzed in two sections of descriptive and inferential statistics. The results of one-sample t-test showed that selection of stock asset portfolio based on behavioral economics method (psychological factors), loss aversion of individuals, mass behavior of individuals, conservatism (bias), accessibility of information and excessive self-confidence affect the decision of investors in the stock market of Tehran Stock Exchange. Friedman's ranking showed that loss aversion is placed in the first place, mass behavior of individuals in the second place, and conservatism (bias) in the third place.

Various models on how investors choose the most optimum portfolio have been introduced. Majority of such models complete the process of choosing by a set of the available portfolios provided on􀀃 the􀀃 efficient􀀃 frontier. 􀀃 At􀀃 best, 􀀃 by􀀃 extracting􀀃 utility􀀃 function􀀃 based􀀃 on􀀃 the􀀃 investors’ 􀀃 preference through interactive dialogues, then the optimum portfolio according the financial situations and mental and behavioral characteristics was determined. Notably, in practice, this is very difficult for the possible differences in the utility functions. These problems distinguish the role of the compromise-programming model and the unique abilities of compromise set as one of the available models in the multi-criteria decisionmaking in choosing optimal portfolio. In current research, 20 active companies in Tehran exchange market during 2015-2018 period were selected. After determining the sum of the absolute difference of safety and profitability index of optimizing investing utility functions with direct method and its comparison with the results of compromise set method, the research hypothesis accepted.