A Model for Optimization and Portfolio Risk Management Using Financial Network Theory in the Iranian Stock Market

The optimizing the investment portfolio is considered one of the most important topics in capital management. Our goal in this article is to design an optimal portfolio selection model based on the Minimum Spanning Tree method in the Iranian stock market. Designing and compiling a portfolio selection model includes two It is the basic stage. The first stage of choosing the investment portfolio was done using five criteria of centrality, betweenness, distance from the center, distance from correlation and distance from the distance criterion. The result of this work is the formation of two central and peripheral portfolios, respectively. It was the central portfolio and peripheral portfolio the network. In the second step, using risk and return measurement criteria, selected portfolios were optimized and risk managed. At the end, the extracted portfolios were evaluated with the total index and one share of the portfolio for a period of 200 days. The results showed that both portfolios had higher efficiency according to the market conditions. As expected, during the growth of the market, the surrounding portfolio recorded a higher return compared to the market.