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1、InternationalJournalofIndustrialEngineering,18(1),1-15,2011.ACONCEPTUALMODELFORPORTFOLIOMANAGEMENTSENSITIVETOMASSPSYCHOLOGYOFMARKETabcMiladJasemi,AliM.Kimiagari,A.MemarianiaDepartmentofIndustrialEngineering,IslamicAzadUniversity,MasjedSoleymanBranch,MasjedSoleyman,Iran,bDepartmentofIndustria
2、lEngineering,AmirkabirUniversityofTechnology,Hafezavenue,Tehran,IrancDepartmentofIndustrialEngineering,Bu-AliSinaUniversity,Hamedan,IranCorrespondingauthor:MiladJasemi,Miladj@aut.ac.irInanefforttomodelstockmarkets,manyresearchershavedevelopedportfolioselectionmodelstomaximizesatisfactionofin
3、vestors.However,stillthisfieldsuggeststheneedformoreaccurateandcomprehensivemodels.Developmentofthesemodelsisdifficultbecauseoftheunpredictableeconomic,socialandpoliticalvariablesthatsurelyaffectmannersofstockmarkets.Theportfoliomodeldevelopershaveescapedtheinspiredcomplexitybysomesimplifyin
4、gassumptionslikeabsoluterationalityofinvestors.Inthispaperaconceptualmodelforportfoliooptimizationispresented.Someimportantfeaturesofthemodelincomparisontoothersare:1)Considerationofinvestors’emotionorpsychologyofmarketthatisarisenfromthe3abovementionedfactors;2)Significantloosingofsimplifyi
5、ngassumptionsaboutmarketsandstocks;3)Abilityofmanagingportfolioevenaccordingtoanyspecifiedtimeinterval.Asamatteroffactthemodelisamodularonewithmodulesthataredesignedinawaythatthemodelcanbeusedforbothpurposesofportfolioselectionandmanagementwithouttheproblemsthatarecommoninmostofthepreviouson
6、es.Keywords:Portfoliomanagement;Portfolioselection;Psychologyofmarket;Conceptualmodel;Technicalanalysis.(Received20Dec2008;Acceptedinrevisedform9Sep2010)1.INTRODUCTIONModernportfoliotheoryisaneffortforevolutionoftraditionalprinciplesinportfolioselection.Portfoliotheoryhasbeenorganizedtooverc
7、omethechallengeofassigningone’swealthamongdifferentassets(Dengetal.,2005).Inmathematicalprogrammingassetisarandomvariablewithastochasticdistributionforfuturereturnsandportfolioisalinearcombinationofthesevariables(LiuandShenoy,1995),orinotherwordsev
