Adel Azar - Faculty of Management & Economics , University of Tarbiat Modares , Tehran, Iran
Mohsen Hamidian - Faculty of Economics & Accounting , University of Islamic Azad south Tehran, Tehran, Iran
Maryam Saberi - Faculty of Management & Economics , University of Tarbiat Modares , Tehran, Iran
Mohammad Norozi - Faculty of Economics & Accounting , University of Islamic Azad south Tehran, Tehran, Iran

Portfolio theory assumes that investors accept risk. This means thatin the equal rate of return on the two assets, the assets were chosenthat have a lower risk level. Modern portfolio theory is accepted byinvestors who believe that they are not cope with the market. Sothey keep many different types of securities in order to access theoptimum efficiency rate that is close to the rate of return on market.One way to control investment risk is establishing the portfolioshares. There are many ways to choose the optimal portfolioshares. Among these methods in this study we use loss functions.For this, we choose all firms from the year۲۰۱۱to the end of ۲۰۱۵that had been a member in the Tehran Stock Exchange. The resultsof this research show that the likelihood functions have the bestperformance in Forecasting the optimal portfolio allocationprob-lem.

Loss functions, Portfolio allocation, Evaluating forecasts