The Research Department of Economics and Management of Tadbir Nikan Business, Marketing, and Finance Open 3 Serial Number 16 2026 07 30 The Role of Fundamental Factors in Optimal Stock Portfolio Formation Using the Fama–French Five-Factor Model with an Emphasis on Data Mining: Evidence from Pharmaceutical Companies Listed on the Tehran Stock Exchange The Role of Fundamental Factors in Optimal Stock Portfolio Formation Using the Fama–French Five-Factor Model with an Emphasis on Data Mining: Evidence from Pharmaceutical Companies Listed on the Tehran Stock Exchange 1 20 EN Journal Article 2026 03 03 <p>The purpose of the present study was to determine the role of fundamental factors in optimal stock portfolio formation using the Fama–French five-factor model with an emphasis on data mining. The statistical population consisted of companies listed on the Tehran Stock Exchange during the 2012–2023 period. To achieve the research objectives and construct an optimal stock portfolio, dimensionality-reduction approaches, Data Envelopment Analysis (DEA), Support Vector Machine (SVM), and clustering algorithms were employed. Balance-sheet financial ratios, income-statement financial ratios, cash-flow-statement financial ratios, composite financial ratios, and risk and return measures based on the Fama–French five-factor model were used as model inputs for constructing four portfolios. The findings indicated that the support vector machine method and the fourth approach, which comprised the composite model, demonstrated superior performance in stock portfolio optimization. These findings can assist investors and stock analysts in identifying appropriate financial ratios for optimal portfolio formation while achieving an appropriate balance between return and risk.</p> https://bmfopen.com/index.php/bmfopen/article/download/613/447