FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)
Year:2011 | Volume:1 | Issue:5|Papers Count:8

One of the issues that in recent decades in the field of information economy is rapidly expanding economy under information and discussion in this major economic problem of asymmetric information is related. As we know in today's world information and trading stock market performance is the core. Lateral velocity and symmetry of the main role of information and market efficiency is critical. One of the roles Stock firms is that the necessary ground for investors to provide information about the spaces. If this field does not provide due to the asymmetry of information, group information advantage compared to other income earned unusual achieve. Whatever is in front of more efficient market and security market is more symmetry and more investment to produce guidance can be found in access to higher economic growth.The aim of this paper is that in line with this organization how much stock exchange has been successful in its role to the performance of the stock market pay data. In this study low-level performance with random walk hypothesis test evaluated the difference situated to perform this test, variance ratio test, which is among the strongest tests were used. Using this test due to updated its flexibility and power than other tests are. The results show that the Tehran stock market performance in a situation where there dissonance in terms of the variance in this series, we are.

One of the main concerns for stock market investors is to choose a stock portfolio which is the optimal (best) regarding its profit making (price increase and share return). Many methods of portfolio selection have been created and introduced for this purpose. The absolute majority of these methods have used financial analysis and information for analyses and conclusion. One of these methods is "Electra Tri", a subdivision of MCDM (Multi Criteria Decision Making), which identifies the best companies within an industry or multiple industries in a time period and introduces them to the investor. In this research the important and influential ratios of profit making has been used as data and 54 companies have been compared together within a three year time interval of 2006 to 2008 and finally the priority of stock choice among those companies have been clarified and decided.Thus this research shows that "Elektra Tri Method" could be used to prioritize and rank the top companies within an industry regarding stock market investments, in order to choose the optimal stock portfolio.

One tools which is used in decision making for investing in a firm models of predicting bankruptcy. The aim of this research is to offer the best model of bankruptcy of firms in Iran. For this research, the logit model is used and a model is offered to predict bankruptcy in accepted firms in stock exchange of Tehran. For designing a model, the information of two groups of accepted firms are used in stock exchange of Tehran. The first group of evaluated firms was consisted of 20 bankrupt firms and the second group was also similar to first group and was consisted of 20 non-bankrupt firms. To design these model nine financial ratios were used. According to this research among these, the logit model with explanatory variables of working capital to total assets, current liabilities to current assets and gross interest to sales are liquidity ratios, liquidity and profit ability ratios respectively, which has the most powerful predictability about bankruptcy of firms in Iran. The accuracy and precision of predictability model for the year of bankruptcy is %87.5, for one year before bankruptcy is about %72.5 and for two years before that is % 52.5.Therefore the recent research has shown that the bankruptcy procedure of firms in Iran, not only is not a long term and gradual procedure but also these firms under the condition of economical fluctuations and political variables in short term were encountered with bankruptcy.

The main objective of this research is the introduction of conditional downside capital asset pricing model which is the consolidation of conditional asset pricing model and downside capital asset pricing model.this model suggests that for the explanation of the relationship between the risk and the expected investors return its necessary to pay attention to the mere risk, and in all aspects this model indicate the relationship among risk, return and market risk elimination. it is supposed that an investor receive return in accordance with the risk it tolerate in the polar market, but at the unsymmetrical market, this assumption is not complete, however obtaining return is the identical assumption in both markets.thus several model are available for the calculation of the expected return ratio, that the presented model here has much more power in comparison with other current models with the help of pierson and spierman correlation tests, the relationship between the following variable is examined: traditional β, downside β, capital asset pricing model, downside capital asset pricing mode, conditional downside capital asset pricing model.

By notice of money market effection on capital market, determining the macro variables of capital market would give more accurate information to investors for investing in stock market. in the othere word it would create an efficient market. Clearly the capital market is affected by diffrents variables such as privatization, political and economical convulsions, foreign currency swings inflation, stocks prices and so on.This articale has composed with the aim of Examining the Effect of Interest Rate Fluctuations of money market on investors decision making and Capital Market’s Operations as on of the above mentioned various vraibles between 1373-1388 years.The type of this research based on aim categorization is practical.this kinds of researches, employes the basic research teories, legitimacies, prenciples and technices to solve the real and executive problems.moreover this research based on methodologies catorization is a correlation research which its main aim is determining the relation between guantitative variables.The outcomes of examining the research hypotises demonstrate a relation between rate of bank deposites and capital market opration, however there is a negative correlation between vraibles which shows a reverse relation.it means that with any decreasment or increasment in bank deposite interest rate the volume of capital markets operation would increase or decrease.

In recent years the main models for measuring Market risk is Value-At-Risk models. Market risk is the risk that the portfolio investment value or asset value of financial institution will decrease due to some factors Such as: changes of asset prices, interest rate, market Volatility or market liquidity.In the following Research, We are trying to evaluate the efficiency of Risk metrics model of J.P Morgan corporation And GARCH Type model for VAR estimation via index volatilities.For this purpose, we use TSE index data between 1382-1386 years in order to design and test model efficiency. This is done using a 1382-1384 TSE index data to estimate parameters of model and real data of 1385 and 1386 for credit viability of these models. Kupiec Likelihood Ratio (LR) that Calculate failure probability show us: it does not have a meaning difference between Risk metrics and GARCH type models for market risk estimation in 95% and 99% confidence levels. Both of these models are efficient to estimate market risk (VAR).

In this search we examine the relationship between return index of Tehran stock market, consumption and Investment from 1370 to 1388 using cointegration test, vector error correction model and variance decomposition. The result revealed that there was a negative and significant relation between stock index, consumption and investment in the long run term. VECM results show that in the short run term the effect of consumption on stock index was negative and investment has a positive effect on it. Variance decomposition revealed that investment showed greater forecast error for return share index and vice versa.

In this paper, we discuss the real options theory and its applications in IT investment evaluation. We provide a framework within which the appropriateness of using real options theory in strategic IT investment evaluation (in the contrast of traditional methods) is systematically justified. In our framework, IT investment opportunities are classified into four categories based on two criteria: the technology switching costs and the nature of competition. We point out those different real options models should be adopted for each category. In this paper we conclude: Applicability of various real options models should be scrutinized under different scenarios.