Financial modeling
Rouhollah Kiyani Ghalehno; Sadegh Niroomand; Hosein Didekhani; Ali Mahmoodirad
Abstract
Purpose: Optimizing the negative balance of the financial portfolio of branches by observing the limits defined in the banking system of Iran.Methodology: In recent years, several models have been proposed for the investment portfolio. In banks, Fundraising operations are carried out in parallel ...
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Purpose: Optimizing the negative balance of the financial portfolio of branches by observing the limits defined in the banking system of Iran.Methodology: In recent years, several models have been proposed for the investment portfolio. In banks, Fundraising operations are carried out in parallel with investments. Attracting deposits and repaying loans are the main pillars of investment and form the basis of the resource and expenditure portfolio in the bank. In this research, a multi-objective planning model is designed to maximize returns and minimize risk.Findings: The approach of the problem is such that by taking administrative and personnel costs and interest rates on deposits and facilities and exchange rates of the domestic market can offer a variety of portfolios. The branches select the appropriate portfolio as the goal and work plan according to their requirements.Originality/Value: Due to the nature of the problem, which is hard nonlinear, the model is solved using NSGA-II evolutionary algorithm. The output of solving the problem is a set of optimal solutions on the Pareto frontier. Each of the portfolios is a strategic choice for the decision-maker, according to the level of return and risk.
Financial modeling
Ebrahim Mirmohammadi; Mehdi Madanchi Zaj; Hossein Panahian; Hossein Jabbary
Abstract
Purpose: Risk parity is one of the stock portfolio selection models that has received a lot of attention since the US national financial crisis in 2008. The philosophy of this model is to allocate an equal amount of portfolio risk between the assets. In the present study, the portfolio selection model ...
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Purpose: Risk parity is one of the stock portfolio selection models that has received a lot of attention since the US national financial crisis in 2008. The philosophy of this model is to allocate an equal amount of portfolio risk between the assets. In the present study, the portfolio selection model is introduced which is a combination of risk parity portfolio and factor analysis with the Markov regime-switching framework.Methodology: The portfolio selection model is introduced which is a combination of risk parity portfolio and factor analysis with the Marko. Regime-switching framework approach. Markov regime switching helps to make the covariance matrix in the objective function of the risk equality model dependent on the state variable and increase the stability of the portfolio. At the beginning of each investment period, the state variable is determined and the asset covariance matrix is calculated based on it and used in the risk equality modelFindings: The research portfolio consisting of 8 industries from the Tehran Stock Exchange in the period 1390 to 1399 shows that this portfolio has a higher sharp ratio than the mean-variance and equally weighted portfolios in market declines, it is more durable and produces less damage.Originality/Value: The innovation and importance of research is robustness of risk parity portfolio by considering the covariance matrix parameter with factor analysis in Markov regime-switching framework. Thus, it is expected that in different market situations, expectations from the stock portfolio will be more consistent with reality and less losses will be produced in market declines.
Financial modeling
Masoumeh Labbafi; Roya Darabi; fatemeh sarraf
Abstract
Asset- Liability Management (ALM) is an important activity in strategic planning of banks and it can be seen as an optimization issue where banks want to achieve their specific goals. The main purpose of this study is to provide a mathematical model for optimizing the assets and liabilities of Bank Melli ...
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Asset- Liability Management (ALM) is an important activity in strategic planning of banks and it can be seen as an optimization issue where banks want to achieve their specific goals. The main purpose of this study is to provide a mathematical model for optimizing the assets and liabilities of Bank Melli Iran under conditions of uncertainty with fuzzy fractional programming model over a period of 10 years (2009-2018). In order to achieve the above goal, 14 items in the assets and liabilities of the bank's balance sheet have been extracted to calculate the 9 variables used in the model and finally, the results obtained from solving the fuzzy fractional programming model in Lingo software environment indicate that the proposed model of the article is able to provide the optimal values of each of balance sheet items for future years according to the conditions of previous years and the value of the objective function for Bank Melli can achieve the desired capital adequacy ratio by considering optimization in asset and liability management decisions.
Financial modeling
Meisam Kaviani
Abstract
The present research is aimed at predicting the beta coefficient (systematic risk) prediction dynamics within the framework of two macroeconomic structural models, the model in the context of dynamic stochastic general equilibrium (DSGE) and Panel Vector Autoregressive (PVAR) with the inclusion of financial ...
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The present research is aimed at predicting the beta coefficient (systematic risk) prediction dynamics within the framework of two macroeconomic structural models, the model in the context of dynamic stochastic general equilibrium (DSGE) and Panel Vector Autoregressive (PVAR) with the inclusion of financial data of companies and Some of the facts observed in the Iranian economy during the 15-year period (2002-2016). The results of the research show that economic shocks affect the beta coefficient of the stock. Also, in three approaches to predict stock beta coefficient, the VAR model has a lower error than the DSGE model. Finally, by comparing the moments of the present variables in the DSGE model and the real data of Iran's real moments, it shows the relative success of this model in the realities of Iran's economy.
Financial modeling
Abdorreza Asadi
Abstract
One way to reduce investment risk is to form assets portfolio. In this study, a multi-criteria analysis is employed to select equities using ANP method. For this purpose, listed firms in Tehran Stock Exchange were divided into six industrial groups and their data collected between 2016 and 2017 to calculate ...
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One way to reduce investment risk is to form assets portfolio. In this study, a multi-criteria analysis is employed to select equities using ANP method. For this purpose, listed firms in Tehran Stock Exchange were divided into six industrial groups and their data collected between 2016 and 2017 to calculate financial ratios and then two ranking methods such as DEMATEL and ANP were employed. The aim of this study is to use financial ratios as key indicators to find out their interactions using DEMATEL method, and then to recognize the importance of identifying indicators, we have used ANP techniques to determine weight of the variables. Finally, after collecting data related to selected financial indices and obtained weights, number of 185 companies in six separated industries were ranked by Excel software and their priority in both total companies and related industries was identified. The results can be used by investors, investment funds and financial advisors to determine the optimal portfolio and help to identify superior companies.
Financial modeling
Meysam Kaviani; Seyed Fakhreddin Fakhrehosseini
Abstract
This article shows that Operations research techniques play an important role in the development researches of financial and investment, and in recent years, with significant improvements in terms of the availability of real-time data and the speed of computer, this role has increased and in line with ...
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This article shows that Operations research techniques play an important role in the development researches of financial and investment, and in recent years, with significant improvements in terms of the availability of real-time data and the speed of computer, this role has increased and in line with it by creating more opportunities for these techniques, more importance has been given to research and output. Given the importance of the issue today, there is a two-way relationship between financial concepts and investment with operational research techniques, that is, as various techniques of research in operations for financial affairs have been used, financial theories also require the development and improvement of solution Operations research techniques.The present paper shows that depending on the type of decision making in the field of finance and investment through research results, these techniques, in addition to raising the accuracy of the results of financial research, can lead to a greater variety of research, especially for the fields Financial engineering.