FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)
Year:2011 | Volume:2 | Issue:8|Papers Count:8

Today’s, due to the complexity of new business environment and variety of products and services offered by financial institutions for obtaining financial prosperity requires a proper understanding of the discussion and financial issues. Long ago in most modem societies these needs have been perceived and in the first half of early 90s were raised under the titles such as financial literacy and private finance which gained importance over time. So that the concepts related to it in countries like America and England as part of High school curriculum and various academic disciplines are mentioned. In these countries several non-profit foundations undertake the task of developing financial literacy and by performing numerous tests to measure the progress of financial literacy in our country. Despite the importance of financial literacy, so far concepts and issues related to it very little attention is given in Iran. Even there exists no suitable tool for measurement in the country, In this study, other than the concept of financial literacy, literature related to it using Delphi Fuzzy technique and using 12 financial experts from the country (as Delphi panel), a questionnaire comprising of 25 questions are designed to measure the financial literacy of Iranian students are stated and a pattern presented to measure the financial literacy at country level universities. conclusion of research revealed that selected questions are contained of diversified concepts such as time value of money, tax, investing in stock and bond, inflation, E-banking, difference method of borrowing , insurance and retirement and etc.

Ranking of companies listed on the exchange represent their status and considered a criterion for investment. Also, it increases market's competition, development and efficiency. In this study, the fifty superior companies listed in Tehran Stock Exchange were ranked based on financial ratios (liquidity, operational, leverage and profitability) using AHP-TOPSIS hybrid approach during the three years 2008 to 2010 and it's correlation with the rankings offered by stock exchange was examined by Spearman test. Initially, capital markets authorities and universities' financial masters perspectives about effect of ratios were collected by questionnaire and weighting with AHP technique and then companies were ranked based on ratios using the TOPSIS technique. The results indicate that there is a weak correlation between two groups of ranking. In fact, results show that the stock exchange's selected top companies necessarily do not have higher rankings in terms of financial ratios and the firms' financial Statements are weak approximation for firms' superiority likelihood in the stock exchange.

Initially In this study, we introduce a new index called Revised Sharp (R-Sharp) for evaluation of portfolio in investment companies in Tehran Stock Exchange, and then examine this index were compared with the Sharp index. In the R-Sharp index, value at risk concept was used due to the properties of VaR and its application in the international financial institutions.The results indicate that the VaR calculation by GARCH is not applicable since time series data have not heteroscedasticity. Therefore, VaR was calculated for 10 investment companies by Risk Metrics method with  l=0.94 in coefficient level at 99.9%, 99% and 95% for I-day and 10-day. In order to assess the accuracy of VaR calculation, the Wilcoxon signed ranks test was utilized. The results indicate that VaR Backtesting at 95% and one-day period for all companies, were reliable.In this study, after calculating VaR and VaR Backtesting, R-SHARP and SHARP indexes calculated for the period of study (2007-2010). The results show that there are some differences in the ranking of R-SHARP and SHARP indexes. So we tested the difference of R-SHARP and SHARP indexes by nonparametric tests such as Wilcoxon signed ranks test. Results of these tests indicate that sleight insignificant differences of indexes.

Stock screenig is used by investors and creditors for more time. Major point about that is using ways with so accuracy to obtain best consequences. Our research is screening of Tehran Stock Exchange (TSE) with use of multi-criteria decision making and Fuzzy Logic. Selecting of best stock only with use of one criterion is not possible, therefore that should know better to use some criteria. In the research, rank of criteria obtained with the use of AHP method and expert's opinions about the local criteria relative importance then local criteria were built in the form membership functions, (in terms of Fuzzy Set Theory) rising from 0 to 1 in intervals between the lowest and highest values of corresponding amounts. Two general criteria have used for the research that they are general criteria of financial health in the last year and general criteria of market success of current year. For the general criteria of financial health has used seven financial ratios and 2 criteria, maximum of return and maximum of loss, for general criteria of market success for 3 years. Using of AHP method was given ranks to criteria by expert's opinions, so matrix of linguistic pair comparisons is used for obtained rank of criteria. We have three analyzing channels and most of the firms can be placed only in one of channels. Therefore, to make the results of our analysis more reliable, we are looking for the firms containing simultaneously at least in two channels. We used optimization problem that it helps to better consequences and doesn't need expert's opinions.

Doubtless nowadays, most of investigations are exchange all over the world through stock market. Public economic are intensity touched from stock market treatment. In addition, stock market as an available investigation tool is both for huge investigators and for the public people. Markets not only are touched from huge parameters but also from other various factors. Many numbers and unknown of effective factors in stock market, leads to the lack of confidence in the field of investigation. It is clear that, properties of unreliable are undesirable and moreover for investigators that selected market stock as a place of investigation, this property is unavoidable. So, naturally all the trying of investigator is decreasing of unreliable, therefore anticipation of stock market is one of the tools for decreasing of unreliable.One of the application of currency price anticipation, is using of primary materials buying and required equipments from foreign country and selling of production in cash form. By buying and selling in cash in suitable time, companies can obtain considerable benefit. One of the modem method used in the field of currency price anticipation, is using of neural networks. In this research by using of: multi-layer feed forward neural network, indicator, is making for currency price anticipation with MQL4 language in metatrader software.

Portfolio selection problem includes many vague parameters, while Fuzzy set is a very powerful tool for solving of uncertainty related to financial market variables and investors behavior. This paper presents a Fuzzy Multi-Criteria Decision Making (FMCDM) approach for evaluating of 10 stocks of company listed in Tehran Stock Exchange (TSE) and selecting portfolio on that basis. We applied The Fuzzy Analytic Hierarchy Process (F AHP) method for determining criteria weights according to the investor's preferences. Performance: of investment alternatives of each criterion is evaluated by linguistic terms and that we suggest the right proportions of each stock in the portfolio on the basis of performance measurement. Results show that annual expected return of our portfolio is more than that of TSE Index.

In traditional engineering economic studies, single values are used to estimate the cash flows. Since uncertainty exists in estimating data, the resulting decision may not be reliable. To overcome, the fuzzy numbers could be applied instead of single-valued estimations, each data could be designated as a triangular fuzzy number in this approach. The TFN can be expressed as three fuzzy events: the smallest possible value, the most promising value, and the largest possible value. The fuzzy net present value (FNPV) is proposed to study a fuzzy investment project. The final result from the cash flow analysis will still be a triangular fuzzy number, which provides the decision- maker with a broader view of possible outcomes. A ranking method is recommended in this research to assist decision maker in selectin the best alter natives.

Sensitivity analysis is a specific method uses system modeling process for properly determination of interrelationship between the input parameters and evaluates the effect of each on the outcome to select most significant ones. In fact, sensitivity analysis determines the relationship and the effects of variables on each other, recognizes the related parameters of outcomes and calculates the influence of each on the associated result. The aim of this paper is to determine the most appreciable parameters containing in the net present value table of Jage granite mine in Sarbishe city, Southern Khorasan using sensitivity analysis. Being ensured about the future of economic project will be rested on the shoulder of those important parameters within highly effects on the outcomes. Hence, after the formation of discounted cash flow table, financial process of the economic system has modeled. Afterward, utilizing the various methods including tornado, spider and sensitive graphs has resulted in finding two parameters namely sales price and annual production as the most significant ones. Undoubtedly, concentrating on these important parameters can completely decrease the associated risk of investment.