FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)
Year:2015 | Volume:6 | Issue:22|Papers Count:9

In this research, two different models of prediction, Naiva Bayesian Network of expert systems and mode Intelligence method DEA (Data Envelopment Analysis) as one of the operations research methods, applied for financial distress predicting accepted companies in Tehran stock exchange which were active in 2010 to 2012 period. Results showed that two models designed have ability to predict financial distress before two years of occurrence for accepted companies in Tehran stock exchange. Also, total precision predicting of two different models with each other compared with paired sample t test and there were no significant difference among total precision of two models with each other in financial distress year and one or two years before it. Although, comparing total precision two models with each other in verified years (t-2, t-1, t) showed no significant difference but, total precision of predicting model Naiva Bayesian Network in all of investigated years were more than DEA model, thus, this Naiva Bayesian Network model can be used with more confidence for predicting financial distress.

Following the publication of Markowitz’s Article in 1952, coming up with the best way for optimizing the portfolio has been always one of the concerns ahead of the activists in the investment management industry. In the recent decade, the introduction of the mathematical and operational research models is one of the activities which could affect the portfolio optimization. The present research tries to optimize portfolio making use of the robust optimization and the estimate of the portfolio return and risk and the comparison of the predicted risk and return of this model with those of the classic one. The research studies 115 monthly portfolios within some ten years and estimates the risk and return of each portfolio based on two robust optimization and classic model. At the next stage, the research makes use of average pair test to determine any significant difference between the risk and return predicted for the above model. The present research determined that the return predicted for the robust model is way above that of the classic model; and the risk predicted for the robust model is way below the risk predicted for the classic model. while the real risk of portfolios optimized by the robust method is way below those optimized by the classic method. The results obtained on the estimate of the return coincide with the findings of the foreign studies and does not have any difference with these researches in risk estimation. It goes without saying that none of the foreign and domestic studies have dealt with the performance of the portfolios optimized by these two models.

The main objective of this study is investigating of the simultaneous Effect of Oil price Uncertainty and Gold price Uncertainty on Tehran Stock market Index: An application of three-Variate GARCH Model over the period of 2007-2014.This study uses the daily data. In this regard, to investigate stationarity Properties of variabls, ADF unit root test and testing for ARCH Effect, LM test have been used. More over, to investigate the simultaneous Effect of Oil price Uncertainty and Gold price Uncertainty on Tehran stock market Index, the Three-Variate GARCH Model using BEKK approach is estimated with S-Plus Software. The result show that between Oil price Uncertaity and Tehran stock market Index no significant relationship exist whereas Gold price Uncertainty has a significant negative effect on stock Exchange Index of Tehran Stock market Index.

Profitability the basis for performance evaluation of corporate executives should be used. As well as it certainly can be said to is part of the decision-making ability to predict the future profitability of the companies concerned. Today, financial ratio analysis is a powerful technique and suitable tool for users to understand and assess the past, present and predict the future is companies. One of the problems in the use of financial ratios to assess the financial situation of the companies is that each set of financial to measure one aspect of the performance of companies. To surmount this problem can be multi-criteria decisionmaking methods, including Data envelopment analysis, neural networks, fuzzy logic and genetic algorithm are used.Purpose of this study is investigating profitability prediction strength of linear genetic algorithm and non-linear genetic algorithm to increase the ability of decision making for financial statement users to predicate profitability. Then, respecting the obtained results these pattern are compared with each other and the best pattern is extracted. Based on available information and statistics, of all companies listed in Tehran Stock Exchange during the period 2002-2012, the top 24 financial ratios as independent variables are used. Results of tests indicated that prediction accuracy of Non-Linear Genetic Algorithm (90.04%) was greater than that of Linear Genetic Algorithm (87.14%).

Connection between accounting information and stock market value is the result of relationship between accounting information and future benefits of stock investment and connection between future profits and stock value. The topic of this paper is measure fundamental analysis by using a real efficient frontier stock. The research method used is descriptive - analytical and statistical population includes all companies in the Stock Exchange during 1386 to 1388. In this paper, matched firms select by using cluster analysis. Companies were selected for the final number is about 198. In continued DEA method was used and In two step with performance management and evaluation approach, and The total with of 9 indexes reviews corporate performance was paid and it was based on fundamental analysis. Efficient firms review in two steps, the average 9 Indexes during three years showed that, companies with high performance, in next year and the second step is not to repeat it. The first step and performance management approach, Cain cement companies, Tayd Water Middle East have the best output, the second step and valuation approach, Tehran cement, petrochemical Shazand and Behshahr had the best performance with a double full functionality. In two steps, process Cement Cain show that, It would be very appropriate future.

In most of the world's capital markets shows that they exercise volatility range in order to achieve goals such as preventing price (the means of volatility is sharp change) manipulation and reducing market turbulence and emotions.Allowable fluctuation range of actions have effects, some of which are beneficial and some are harmful.Allowable volatility range is the price range of a share in a workday; this means that the share’s changes in that day cannot exceed or become less than this limit. Therefore this range reduces market manipultion and emotions.Beside varied advantages of exercising volatility range, there are some disadvantages and researches have been done that some allege efficiency and some allege inefficiency of this phenomenon.In this study, the type of cross - correlation is based on time series data, which are 10 companies listed in Tehran Stock Exchange for the fiscal year 1391 have been selected. The metod of sampling is Through screening and Convenient.Results show that between the examined corporations (Ceramic and tiles of Sinai, Iran Transfo, Industry of Azarab, kalsimin, The steel of Esfahan Mobarake, The Suger of Shahrod, Development of Mines and Metals, zamyad, The suger of Lorestan, The Suger of Piranshahr) 1 corporatin (gheshekar) In all companies, the role of institutional investors in incidence due to more attractive investment group.Chosen because these companies, for example, high volatility, higher trading volume during the period of investigation and that more time was open stock symbol.

The optimal selection of portfolio is one the most important decisions in managing investment funds. Several approaches have been proposed to determine what is the best trading strategy. Most of these common approaches are based on single period optimization, however, as investment is a long-term concept, such short term profit maximization cannot fully exploit the opportunities that an investor might get if he/she looks into a longer term. To this end, in this paper, we intend to extend the single-period optimization into a multi-period optimization and also, to make it more realistic, we will incorporate transaction cost in our model. To investigate the validity of the proposed scheme, we have analyzed several examples using which we have presented the steps of our approach and also statistically compared the performance of the single and multi- period optimization using Mann-Whitney U test. Based on the results of this paper, we can conclude that multi-period and singleperiod optimization might have similar performance if we look at short time span of the system. However the superiority of multi-period optimization becomes more evident as we extend the time span of the system which gives multi-period scheme more freedom to suggest better portfolio selections.

For any investment decision in the economy, we should Compar the benefit of the decision with the risk of loss in a exact and sharp welght, in order to get the correct decision. For calculation the exact return esecialy, the investment risk, different models has emerged for prcdicting the risk. The purpose of the models are to Calculate the amount of risk with regard to the need of model and deviation af data. In this research we are going to discuss the amount of value at risk of 12 investment companies, with two methods (paramethric) and nonparmetric. Then two methods parametric (Applide Econometric) and nonparametric (Monte Carlo). Then we will introduce the optimum method with the lops test.

The recent bankruptcy of international large corporates and fluctuations in Iran’s security exchange indicates the requirement for the existence of methods to evaluate the bankruptcy of corporates with the use of the methods with which the evaluation of the bankruptcy of corporates can be performed is the applying it financial ratios and network dynamic model in DEA.The aim of the current study is to answer the question that how it is possible to use the network dynamic model to evaluate the bankruptcy of corporates in independent time periods. To answer this question the efficiency scores of corporates have been used. the statistical sample of this study were the accepted corporates in Tehran security exchange between the years 1386-1389.The current study is of the type descriptive, applied and post event nalism based on mathematical DEA technique. After performing the analysis it has been found that among the 52 corporates, 9 have been efficient (17.3%), 21 have been inefficient (40-3%) and 22 others (42.3%) were efficient in some years and inefficient in other years.