portfolio selection using return mean, return standard deviation and liquidity in tehran stock exchange

markowitz, in his portfolio selection theory, stated that investors select their portfolios according to two criteria of risk and return. accordingly, he presented his mathematical model. one of the criticisms of this model is that while investors, practically, consider different criteria in forming their portfolios, it only considers the return mean and return standard deviation. liquidity is one of the most important criteria in forming portfolios. the present research aims at merging this criterion with markowitz’s suggested model in iran’s market using liquidity filtering, liquidity constraints and thus forming a model by using of which investors form a portfolio whose return, risk and liquidity is optimal. the research results show that liquidity in high levels has an effect on investors decisions and their efficient frontiers.