FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)
Year:2013 | Volume:4 | Issue:15|Papers Count:7

The main factor in the decision that investors put their interest is rate of return in other words, the main goal is profit for investors from investing. This research was doing to examine the influence of investment on asset growth in financial performance that measure with rate of stock return for the short (Three-month and six-month) and long (annual) periods of time. Surveying the situation of investment in fix assets for measuring the effect that have on the financial resources available to distribute between stockholders and creditors of company is so important. In this dissertation we examine this subject using wavelet transform in stock Exchange of Tehran. For this purpose, a sample of 86 companies was selected in 1383 to end of 1390. This research is a correlation using wavelet decomposition levels is four Daubchies. The result show the six-month interval between the negative and positive quarterly and annual intervals between growth in rate of fixed assets with stock returns.

Futures contracts in Iran mercantile exchange (IME) has an increasingly growth in these years. Specially, this year (2010-2011) IME saw many investors has been attracted to this market. In this paper, we investigate the effect of Dollar exchange rate, global gold price and Azadi gold coin price, on Azadi gold coin’s futures contract price. Then it is presented a neural network model to forecast the futures contracts on Azadi gold coin price in IME. At last, the performance of the proposed model is compared with multi-regression model.

After 1970, stock market of Tehran have had many variations. Price variation is naturally in the stock markets but sometimes it is not natural form and becomes bubbles and suddenly fall and enters irreparable impacts. Stock market is an official market where the stocks exchange under the special regulations and naturally there are several factors which interfere in the forming of information, the view of investors and in the stock index of firms. Some of these factors are domestic and the others are results of the condition of outside variable of domestic economic bound. In this paper, we have assessed bubble existence in the stock market of Tehran by using Run, Skewness, Kurtosis and Duration Dependence tests by using monthly and daily data from 1/2003 to 12/2010. We have found that there is bubble in the daily data by Run, Kurtosis and Duration Dependence tests but Skewness test rejects bubble existence.

Today's Bank managers are looking for some feasible investment projects to find a satisfactory level of profit subject to constrains and uncertainty during the time. Asset liability management provides an answer for this problem. This paper introduces a mathematical model for optimizing the structure of assets and liabilities in a commercial bank. After analyzing the results, the bank found some useful strategies about its cost of capital and investment portfolio.

In many time series, especially in financial time series, feature is observed heteroscedasticity. For their analysis and modeling, we use of models that take into account heteroscedasticity. So we decidedto compare different classes of GARCH and SV models. In this study, using the Maximum Likelihood (ML) estimator, we estimate the model parameters in two methods: IS1 and IS2 (Importance Sampling techniques). The results were compared with the GARCH and GARCH-t models. In addition to stochastic volatility models with Gaussian and Student-t distributed disturbances are considered. We compared these methods using VaR and backtesting. The results show that SV models have good prediction for calaulating VaR in 99%confidence level.

The object of this study forecasting of TEDPIX Error with use ARIMA & Multi rank 1, 2, 3 Fuzzy time series. The results show that forecasting error ARMA method less than Fuzzy method. But in four year end of study period, there isn’t meaning full different between two method.

The expansion of Globalization not only affects developed countries’ financial markets, but also the markets in developing countries. This condition causes investors who diversify their asset portfolio in foreign markets, pay serious attention to links between stock markets. This fact implies that there is an equilibrium relation between financial markets. Global oil price fluctuation is one of the factors that affect the capital markets in countries where the economy is based on oil revenues. Most of these markets have long-run memory characteristic which should be considered in modeling and estimation. In this research the Constant Conditional Correlation (CCC) model is expanded in the way to imply long-term memory effect in the estimation. The data which is used is daily return of stock price and oil price in the period December 2006 to January 2010. The results indicate volatility contagion from global oil market to Dubai stock and Tehran stock market and also there is contagion effect between Dubai and Tehran stock market.