University of Isfahan Mathematics and Society 2345-6493 4 1 2019 05 22 Optimal portfolio selection based on various risks Optimal portfolio selection based on various risks 49 67 24107 10.22108/msci.2019.118340.1332 FA Seyed Morteza Amini Tehran, Enghelab Street, University of Tehran, Science Campus, Faculty of Mathematics, Statistics and Computer Science Sajedeh Javadi Tehran, Enghelab Street, University of Tehran, Science Campus, Faculty of Mathematics, Statistics and Computer Science Majid Soleimani-damaneh Tehran, Enghelab Street, University of Tehran, Science Campus, Faculty of Mathematics, Statistics and Computer Science Journal Article 2019 07 22 The allocation of capital among investment opportunities in the stock market, known as optimal portfolio selection, is a focal point in mathematical economics and financial management, and it is of great interest to investors. In recent decades, the formulation of this problem in the form of optimization models and its analysis using mathematical programming has been pursued by numerous researchers. The definition and measurement of risk play a key role in this problem and can lead to various optimal stock portfolios. In this article, considering different criteria for measuring risk, including variance (risk), potential risk, and systematic risk, we explore various models for optimal portfolio selection from both theoretical and numerical perspectives. We delve into two examples of optimization models, namely the Min-Max and Max-Min models. We apply the introduced models to analyze data from the Tehran Stock Exchange market and compare the results. The allocation of capital among investment opportunities in the stock market, known as optimal portfolio selection, is a focal point in mathematical economics and financial management, and it is of great interest to investors. In recent decades, the formulation of this problem in the form of optimization models and its analysis using mathematical programming has been pursued by numerous researchers. The definition and measurement of risk play a key role in this problem and can lead to various optimal stock portfolios. In this article, considering different criteria for measuring risk, including variance (risk), potential risk, and systematic risk, we explore various models for optimal portfolio selection from both theoretical and numerical perspectives. We delve into two examples of optimization models, namely the Min-Max and Max-Min models. We apply the introduced models to analyze data from the Tehran Stock Exchange market and compare the results. https://math-sci.ui.ac.ir/article_24107_60f1858104dbf5fb8691f73b04182f47.pdf