Multi-objective portfolio selection under deep uncertainty based on scenario approach (case study: Iranian capital market)
Quarterly Journal of Securities Exchange

Quarterly Journal of Securities Exchange

Multi-objective portfolio selection under deep uncertainty based on scenario approach (case study: Iranian capital market)

Document Type : Original Article

Author
meysam doaei
Department of Finance, Esf.C., Islamic Azad University, Esfarayen, Iran.
10.22034/jse.2026.12558.2354
Abstract
This study aims to present an optimization model for a multi-objective stock portfolio in the Iranian capital market under conditions of deep uncertainty. The research adopts a descriptive-analytical approach to optimize stock portfolio selection in the Iranian capital market under deep uncertainty. This study employs a mixed-methods approach, combining both quantitative and qualitative methods. In the quantitative section, mathematical modeling and simulation techniques are used to optimize the portfolio based on three objectives: return, risk and liquidity. The two-stage approach employed allows for initial decision-making followed by alignment with real market scenarios. Data is analyzed using Monte Carlo simulation and a generalized goal programming method is utilized for optimization. This model assists investors in selecting a portfolio that is suitable under conditions of uncertainty. Overall, the findings of this study indicate that the scenario-based multi-objective approach in stock portfolio selection, especially under deep uncertainty, can be an effective tool for investors and portfolio managers. By providing a comprehensive and flexible framework, this model facilitates improved risk management and portfolio performance optimization. However, the effectiveness of this model is contingent on the accuracy of scenario determination.
Keywords
Market uncertainty
Multi-objective stock portfolio
Risk management
Subjects
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Quarterly Journal of Securities Exchange
Volume 19, Issue 73
Spring 2026
Pages 181-216