بهینه‌سازی سبد سرمایه‌گذاری با استفاده از مدل نیم واریانس با تاکید بر پتانسیل مثبت (مطالعه موردی: بازار بورس اوراق بهادار تهران)

Bramante, R., & Facchinetti, S. (2021). Combining Upside and Downside Volatility in Investment Decision. Journal of Mathematical Finance, 12(1), 97–104.

Comeig, I., Holt, C., & Jaramillo-Gutiérrez, A. (2022). Upside versus downside risk: Gender, stakes, and skewness. Journal of Economic Behavior & Organization, 200(1), 21–30.

Cumova, D., & Nawrocki, D. (2014). Portfolio optimization in an upside potential and downside risk framework. Journal of Economics and Business, 71, 68–89.

Eskorouchi, A., Ghanbari, H., & Mohammadi, E. (2023). A Scientometric Analysis of Robust Portfolio Optimization. Iranian Journal of Accounting, Auditing and Finance, 8, 59–74.

Gambrah, P. S. N., & Pirvu, T. A. (2014). Risk Measures and Portfolio Optimization. Journal of Risk and Financial Management, 7(3), 113–129.

Ghanbari, H., Safari, M., Ghousi, R., Mohammadi, E., & Nakharutai, N. (2023). Bibliometric analysis of risk measures for portfolio optimization. Accounting, 9, 95–108.

Gunjan, A., & Bhattacharyya, S. (2023). A brief review of portfolio optimization techniques. Artificial Intelligence Review, 56(5), 1–40.

Hashemi, A., & Chavoshi, S. K. (2023). The Impact of Risk Tolerance, Capital Adequacy, Corporate Governance on the Performance of Tse’s Banks. Scientific Journal of Budget and Finance Strategic Research, 4(4), 91–116. [In Persian].

Kalayci, C. B., Ertenlice, O., & Akbay, M. A. (2019). A comprehensive review of deterministic models and applications for mean-variance portfolio optimization. Expert Systems with Applications, 125, 345–368.

Kaucic, M., & Daris, R. (2017). Interval-valued upside potential and downside risk portfolio optimisation. Economic Research-Ekonomska Istraživanja, 30(1), 1–21.

Mirabbasi, Y., Nikoumaram, H., Saeidi, A., & Haghshenas, F. (2018). Study of portfolio optimization based on downside risk, upside potential and behavioral variables efficiency. Financial Engineering and Portfolio Management, 9(34), 305–333. [In Persian].

Mousavi Loleti, S. A., Mohammadi, E., & Shavvalpour, S. (2023). Forecasting Future Trends of the Stock Market Using the Probit Regression Approach with Emphasis on Value at Risk. Journal of Capital Market Analysis, 4(1), 79–109. [In Persian].

Mousavi Loleti, S. A., Mohammadi, E., & Shavvalpour, S. (2023). Forecasting the status of the total index of the Tehran Stock Exchange using macroeconomic variables. The Ninth International Conference on Industrial and Systems Engineering. [In Persian].

Nourahmadi, M., Rasti, F., & Sadeqi, H. (2023). The Art of Investment Portfolio Curation through Centrality Metrics (An Enchanting Network Analysis of Tehran Stock Exchange’s Top 50 Companies). Scientific Journal of Budget and Finance Strategic Research, 4(4), 35–61. [In Persian].

Rom, B. M., & Ferguson, K. W. (1993). Post-Modern Portfolio Theory Comes of Age. The Journal of Investing, 2(4), 27–33.

Sadeghi, M., soroosh, A., & Farhanian, M. J. (2010). Investigating the volatility, upside risk, downside risk and Capital Asset Pricing Model: Evidences from Tehran Stock Exchange. Financial Research Journal, 12(29), 1–20. [In Persian].

Sadeghi Shahedani, M. (2020). Modeling the At risk Values Optimal Pattern in Pension Funds. Scientific Journal of Budget and Finance Strategic Research, 1(2), 11–31. [In Persian].

Sortino, F., van der Meer, R. A. H., & Plantinga, A. (1999). The Dutch triangle—A framework to measure upside potential relative to downside risk. Journal of Portfolio Management, 26(1), 50–58.

Zanjirdar, M. (2020). Overview of Portfolio Optimization Models. Advances in Mathematical Finance and Applications, 5(4), 419–435.