Iranian Financial Engineering Association(IFEA) International Journal of Finance & Managerial Accounting 2588-4379 13 48 2026 01 01 Development of Markowitz Portfolio Optimization Model Considering Time Factor and Skewness and kurtosis of Returns 193 204 24285 10.22034/ijfma.2025.78915.2329 EN Mohammad Ebrahim Raei Ezabadi Department of Accounting and Finance, ST.C, Islamic Azad University, Tehran, Iran. Mehrdad Bakhtiar Dehkordi Department of Accounting and Finance, ST.C, Islamic Azad University, Tehran, Iran Elnaz Sabzei Department of Accounting and Finance, ST.C, Islamic Azad University, Tehran, Iran Journal Article 2025 10 20 The investment portfolio optimization problem is a topic that has always been of interest to financial researchers. The aim of this research is to develop the two-dimensional Markowitz portfolio optimization model into a five-dimensional model considering the mean, variance, skewness, kurtosis, and time factor, and then identify the optimal portfolio for investment. In this regard, the return of each share was identified using daily stock price information. Then, the average return, return variance, skewness, and kurtosis of the stock returns of the companies under study were identified in the short-term, medium-term, and long-term time periods, and then the optimal portfolio was identified based on the calculated values and the efficient utility function. To test the model, five main industries of the Tehran Stock Exchange were used, including chemical industries, petroleum products and coke, basic metals, cement, lime and gypsum, and pharmaceuticals. The most profitable company from each industry was selected, including Persian Gulf Petrochemical Industries with the trading symbol Fars, Isfahan Oil Refining with the trading symbol Shapna, Isfahan Mobarakeh Steel Company with the trading symbol Foolad, Tehran Cement Company with the trading symbol Setran, and Pars Daru Company with the trading symbol Depars. The results indicate that the proposed model is able to identify optimal portfolios in different time periods and investors choose a portfolio consisting of Foolad and Setran stocks to obtain maximum utility in the short term. In the medium term, Foolad and Setran stocks and invest in Fars and Foolad stocks in the long term. http://www.ijfma.ir/article_24285_d095e9553703cc6e3d058c3b70e8e6ce.pdf