Sharif Digital Repository

The portfolio selection problem is always one of the most important problems of finance and investments due to its great implication and vital role in financial institutions. Many of researches in this area are based on the mean-variance model, originally proposed by Markoitz. In the last two decades, however, researchers and investors have attracted to some new models that import some new factors other than mean and variance in the portfolio decision problem, such as different risk measures, etc. In this research we compare performances of mean-variance, Elton-Gruber-Padberg (EGP) and mean-variance-skewness based on genetic algorithm in Tehran Stock Exchange. Moreover, in order to find the... 

Portfolio-based investment strategies in the currency market, unlike the stock market, have not been well-investigated as the scientific papers mostly focus on more popular investment strategies like carry trade, momentum, and technical analysis. Our main aim is to evaluate the performance of two well-known portfolio selection techniques, i.e. equally-weighted and minimum variance portfolios, in the currency market and to improve the performance, based on the characteristics of the return time series of each method. To improve the performance of the portfolios, we check for the presence of momentum in the return time series. Our findings show both portfolios do not yield abnormal returns... 

In this research, portfolio risk management methodology has been developed based on the portfolio management standard. This document is applicable as a template and standard for the organizations managing their projects in a portfolio structure since the methodology is based on portfolio standards and risk management, and it is being benefitted from their synergy. The most essential goal of portfolio management is to protect the organization against damages and to prepare it for responding to risks. In order to realize the goal of portfolio risk management, a well-developed and operational framework shall be provided. Therefore, the purpose of this study is to express the details of the... 

In this study we are looking for an optimum way to select a multi-asset portfolio. Usually portfolios only contain stocks and bonds. Here we examine if adding other sort of assets like gold, currencies, bank deposit and gilt-edged securities are optimum or not. We are doing a comprehensive research of adding other kinds of assets to the portfolio. With modeling and solving the real situation, data and constraints of Iranian financial market we decide to whether add other assets to our portfolio or not. The results show in recent years low risk assets are optimum to add to the portfolio as it is was anticipated to the major economic of Iran  

In this research, we examine the profitability of momentum investing strategy in Middle East stock markets in 2005- 2014. We find that momentum strategy is not profitable in this period, since market was negative in many months of studying period. However, we find that the momentum strategy generate positive return following up market, and negative return following down market, which is similar to its performance in other stock markets. Our results show that pastmarket return determines winner and looser portfolio. Following up markets, high beta stocks constitute looser portfolio and low beta stocks constitute winner portfolio. Conversely, following down markets, high beta stocks constitute... 

Life insurance is a contract whereby the insurer becomes insured under certain conditions and for an amount known as insurance premium. Consequently, the insurer will pay the insured inheritors some given benefit as in the contract. There are different types of life insurance in the market. Other sectors of our proposed portfolio include risky and risk free investments. Household consumption is also considered as another variable in this package. This problem can be raised in both inflationary and non-inflationary states. You can also include a variable called loan. In the literature, this problem has been addressed by considering a sub-category of life insurance (Term Life Insurance)... 

With the expansion of the use of information technology and public access to financial markets, the number of players in this field has increased and as a result, the nonlinear behavior of the market has become more complex than before. Due to this issue, investors need specific strategies to identify suitable assets for investment and also to determine the time of entry and exit to the stock market in order to make a profitable investment. Therefore, the purpose of this study is to form a stock portfolio as an asset and based on an integrated approach of fundamental and technical analysis using machine learning techniques. In this research, the stock data of Tehran Stock Exchange and OTC... 

Throughout history, forming an optimal asset portfolio has been the primary goal of capital owners and managers of investment funds in any economic activity. Achieving this goal is equivalent to trying to minimize the risk caused by the inevitable fluctuations in the capital market and maximizing the overall investment return during the expected period. Investors can operate in various financial markets where there are different stocks and asset classes in each of these markets. The main goal of investors is to identify profitable stocks and form an optimal asset portfolio based on them.Based on this, during the past decades, many studies have been conducted to form and optimize the stock... 

In this Thesis, a multi period portfolio optimization consisting stocks, gold and risk free asset is considered, in which periodical reinvestment and withdrawing is possible. Maximizing the net present value of investor’s cash flow is the objective. Due to the existence of uncertain parameters, two robust counterpart models are developed. In the first model, a conservative robust model is presented to generate feasible solution in all cases. In the second one, the conservative degree of investor is adjustable to control the risk of the model by investor appropriately. For evaluating the proposed models, the data of 5 well known stocks of Tehran market and gold prices are gathered. By using... 

Todays, one of the most important problems is optimal allocation of capital to different investment options that many researchers studied about this problem and presented a lot of solutions. In this thesis, we solve portfolio optimization problem to maximize the return of investment. The options of investment are different kinds of stocks, gold coins and we consider bank deposits as a risk free asset. We apply the problem in multi period and we can buy and sell stocks and gold coins in each period. To improve the efficiency of the proposed models, we use real data and consider transaction fees. The return of some options is uncertain, so we use robust optimization approach. At first we apply... 

Today, Research and Development (R&D) plays an underlying role in all technology-based companies. It is the R&D that creates competitive advantage and determines survival or growth of a company in the fierce market place. R&D, On the other hand, consumes invaluable resources such as capital, human resource, and laboratories which are generally very scarce. This implies that R&D decisions must be treated as huge investment decisions which are made within the strategic framework of a business. The purpose of R&D portfolio selection is to select a set of projects from a pool of candidate projects in order to maximize some financial measures subject to resource availability and technical... 

According to the rise of turnover and pace of trading, accelerating of analysis and making decision is unavoidable. Humans are unable to analyze big data quickly without behavioral biases so, using machines to analyze big data seems critical. Hence, financial markets tend to apply algorithmic trading in which some techniques like data mining and machine learning are notable. OLPS which sequentially allocates capital among a set of assets aiming to maximize the final return of investment in the long run, is the core problem in algorithmic trading. This article presents an online portfolio selection algorithm. The online portfolio selection sequentially selects a portfolio over a set of assets... 

Project Portfolio Selection as a part of Project Portfolio Management, is a very important issue for the organizations and is a key activity. In this thesis at the first with studding stock portfolios, it has been shown that because of mathematical features, Conditional Value at Risk is a coherent risk criteria and used efficiently in stock portfolio management. So in Project Portfolio Selection we use Conditional value at Risk as coherent risk criteria and based on that we will present a model that not only reach to the maximum utility but also but also reach to the minimum feasible Conditional Value at Risk. After that with the use of this model and with the use of mathematical features... 

Nowadays, the selection and updating the projects portfolio in project-based organizations is mentioned as one of the most challenging issues. Project based organizations used to try to shape their portfolios according to their strategic direction. Portfolio management is especially attended for project based organizations in IT industry in which there is a lot of project proposals with different objectives and scales. On one hand, the best approach for corporate strategy implementation in these kinds of organizations is based on project and portfolio management and on the other hand, the portfolio management in these organizations will affect the strategic direction. In the Persian...