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Developing a Strategic Behavior Model for Investors Using a Portfolio Mean-Variance Approach in the Stock Exchange
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Hamid Jalilian1   , Mehrdad Ghanbari *2 , Roholah Jamshidpour3 , Alireza Moradi3 |
1- Department of Financial Management,Ker.C., Islamic Azad University, Kermanshah, Iran.
2- Department of Accounting,Ker.C., Islamic Azad University, Kermanshah, Iran. , mehrdadghanbary@iau.ac.ir
3- Department of Accounting,Ker.C., Islamic Azad University, Kermanshah, Iran. |
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Abstract: (1 Views) |
The main objective of this study is to design and explain a model of investors’ strategic behavior in the capital market by employing the mean–variance portfolio optimization framework and analyzing it within the context of game theory and Nash equilibrium. In terms of purpose, this research is applied, and in terms of approach, it is quantitative with a descriptive–analytical nature. The statistical population consists of companies listed on the Tehran Stock Exchange, and data related to the stock returns of selected companies during the period from 2009 to 2016 were collected and analyzed. In this study, the data were first prepared in Excel and then processed in MATLAB. Subsequently, the genetic algorithm was employed as a metaheuristic method to solve the model.
The findings indicate that investors’ behavioral patterns cannot be explained solely based on the classical assumptions of market efficiency; rather, strategic interactions among market participants also play a significant role in determining the optimal weights of the asset portfolio. Moreover, the results reveal a significant difference between the behavior of large and small investors, as well as a structural difference in the relationship between price returns and trading volume in large and small firms. Overall, the integration of the mean–variance model with game theory was able to explain investors’ behavior under conditions of imperfect competition more accurately, while the genetic algorithm also provided an efficient and stable solution for deriving the optimal portfolio weights.
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| Keywords: Investors’ strategic behavior, Game theory, Nash equilibrium, Genetic algorithm, Capital market. |
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Full-Text [PDF 596 kb]
(1 Downloads)
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Article type: Research |
Subject:
General
Received: 2026/12/16 | Accepted: 2026/03/2 | Published: 2026/08/23
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