Portfolio optimization using quantitative value allocation method in Iran's capital market

Articles in Press

Document Type : Research Paper

Author

Department of Financial Management, Islamic Azad University, Esfarayen Branch, Esfarayen, Iran

Abstract

The main objective of this study is to design and implement a portfolio optimization model based on the quantitative value allocation approach within the context of Iran’s capital market. This developmental-applied research was formulated in two phases, including the quantitative evaluation of companies’ values and multi-objective portfolio optimization. Data were collected from reputable library and field sources and analyzed using the epsilon-constraint algorithm. The results confirm the effectiveness of the proposed approach in enhancing investors’ decision-making processes. Findings indicated that portfolios formed based on fundamental and technical analyses achieved higher returns compared to randomly selected portfolios and the presented model effectively incorporated diverse investor preferences in optimal asset selection. By developing a two-phase quantitative framework based on value functions and multi-objective optimization, this study introduced an accurate and flexible model for optimal asset allocation in Iran’s capital market, enabling the simultaneous incorporation of fundamental and technical analysis in the stock selection process.

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Journal of Asset Management and Financing

Articles in Press, Accepted Manuscript
Available Online from 17 December 2025

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