Agent-Based Simulation in the Financial Management of Stock Portfolios

Background: due to the heterogeneity of the behavioral factors in shareholders' decision-making, the most important concern of shareholders is choosing the stock portfolio that can get the highest return.Iran's stock market has always faced severe fluctuations, and this is the most important factor in the decision of shareholders in choosing stocks. Being aware of the effects and predicting the price trend of stocks before choosing a stock portfolio helps shareholders to reduce losses or increase returns.Objective: The main objective of this research was to create a stock portfolio in accordance with the Iranian stock market in such a way as to be able to simulate different scenarios.Methods: stock portfolio selection is one of the areas that can help shareholders better with factor-based modeling tools.In this research, focusing on modeling capabilities based on factors, shareholders, tradable securities including ۲۰ symbols from different industries have been modeled.Findings: Agents sell in this artificial market in each trading period in accordance with the trading strategy and the accepted learnings.In order to check the validity of the model, the statistical output of this market was approved by experts, professors and managers of the capital market and its validity was confirmed.Conclusion: Despite the factors with variable behaviors, it is possible to form a stock portfolio for each group that leads to the relative satisfaction of the shareholders.Background: due to the heterogeneity of the behavioral factors in shareholders' decision-making, the most important concern of shareholders is choosing the stock portfolio that can get the highest return.Iran's stock market has always faced severe fluctuations, and this is the most important factor in the decision of shareholders in choosing stocks. Being aware of the effects and predicting the price trend of stocks before choosing a stock portfolio helps shareholders to reduce losses or increase returns.Objective: The main objective of this research was to create a stock portfolio in accordance with the Iranian stock market in such a way as to be able to simulate different scenarios.Methods: stock portfolio selection is one of the areas that can help shareholders better with factor-based modeling tools.In this research, focusing on modeling capabilities based on factors, shareholders, tradable securities including ۲۰ symbols from different industries have been modeled.Findings: Agents sell in this artificial market in each trading period in accordance with the trading strategy and the accepted learnings.In order to check the validity of the model, the statistical output of this market was approved by experts, professors and managers of the capital market and its validity was confirmed.Conclusion: Despite the factors with variable behaviors, it is possible to form a stock portfolio for each group that leads to the relative satisfaction of the shareholders.