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Total 243 records
Individual and Institutional Trading in Tehran Security Exchange and Stock Return
, M.Sc. Thesis Sharif University of Technology ; Bahramgiri, Mohsen (Supervisor) ; Haghpanah, Farshad (Supervisor)
Abstract
In finance literature there are different views of individual and institutional investors for variety of reasons. Despite having consensus on the difference of individual and institutional investors due to complexity and size, it seems there are much disagreement on how they affect the key process of market like return and liquidity. In this paper we consider the effect of individual and institutional trading on the short-term return of stocks. Specifically, first we define some factors to measure the trading activity of individual and institutional investors. Then we use these factors to sort each stock in the cross section to create decile portfolios and we compare the short-term return...
Determining Factors of Foreign Direct Investment Using Gravity Model
, M.Sc. Thesis Sharif University of Technology ; Abedini, Javad (Supervisor)
Abstract
Foreign direct investment (FDI) has considerably increased in recent years and achieved two percent of the world GDP in 2009. The positive impact of FDI on many national economic variables such as export and employment has been a great motivation for countries to seek it. In spite of many promoting factors in Iran, the Iranian FDI inflow still remains small. Using a huge panel dataset including 2604 real observations, this study aims to recognize and evaluate the impact of main factors influencing FDI inwards across the world. Based on a theoretical approach, we develop an empirical gravity model which includes not only the traditional mass variables but also some specific factors to FDI...
Wealth Management for Individuals through Asset Allocation in Iran
, M.Sc. Thesis Sharif University of Technology ; Bahramgiri, Mohsen (Supervisor)
Abstract
It has been for several years that researchers and pioneers in wealth management have suggested a variety of solutions to investors, in order to allocate their assets. One level of such suggestions is to form a portfolio of stocks. But when it is decided to choose between different asset classes, the solution is more complex. Such questions must be answered: •Is it the best pair to have a portfolio of 70% stock- 30% real estate, or vice versa? •How would it change by possibility of investing in gold market? It is obvious that exact knowledge about investor’s goals, restrictions, and preferences (which are called Investment Policy Statement or IPS) is prerequisite of answering to these...
Management of Resources and Equipments Rental in Resource Constrained Project Scheduling Problem with Consideration of Project Gains and Payments and The Cost of Non-Source
, M.Sc. Thesis Sharif University of Technology ; Shadrokh, Shahram (Supervisor)
Abstract
The subject of project scheduling is one of classic subjects in project management, and It contains the wide range of optimization problems. Using making changes in variables and constraints , it is possible to create new problems which seem better in the real world. Project tasks need resources for implementation. In some cases, it is considered that any time there are enough resources. In some other cases, it assumes, resources are limited, and resource optimum purchasing is the purpose, which this kind of issues is named resources investment problems (RIP). In this research it assumes, project necessary resources, are rented and renting costs depends on the time of owning. In standard...
A Real Option Model to Evaluate Investments in Combined Heat and Power (CHP)Projects
, M.Sc. Thesis Sharif University of Technology ; Haj Kazem Kashani, Hamed (Supervisor)
Abstract
Cogeneration technologies such as Combined Heat and Power (CHP) have promising features for providing the electrical energy that various industries require while reducing the emissions and other environmental impacts of these industries. Investments in CHP systems require substantial implementation costs followed by a relatively long period of recovering the invested capital through savings in utilities bills. Appropriate timing of CHP system investments can reduce capital expenses and enhance returns on investments. An appropriate investment valuation method is needed to identify the appropriate time to implement a given CHP system and to find the values of properly scheduled investments....
Mathematical Model of Protecting Information Technology based Organizations Against Cyber Attacks
, M.Sc. Thesis Sharif University of Technology ; Eshghi, Kourosh (Supervisor)
Abstract
According to the expanding of technology and information technology, organizations today are forced to collaborate and share knowledge with each other in order to obtain competitive advantages, and have innovation. This information sharing, in addition to its benefits, makes organizations vulnerable to loss of information in various ways by hackers, competitors or other agents through security breaches.In this research, the issue of protecting IT-based organizations from cyberattacks is discussed by using a concept of attack graphs interdiction. At first, after defining the problem precisely, it is modeled as a bi-level mathematical programming. In this problem, the attacker is looking for...
Private Sector Willingness-to-Invest in Construction of Residential Apartments in the Deteriorated Land Use Area Based on Build-Operate-Transfer Scheme and Transit-Oriented-Development Concept
, M.Sc. Thesis Sharif University of Technology ; Poorzahedy, Hossein (Supervisor)
Abstract
This study is part of a bigger project which models Transit-Oriented-Development in deteriorated land use area in order to transfer the residents of the unsafe buildings to new apartments built by the Bus Rapid Transit system, and at the same time increase transit patronage. Residents in the deteriorated land use area (R) trade their land for equivalent value of the new apartment floor area, built by the Private Sector (P). P, in return receive the permission to build equivalent value of “commercial” floor area on the land freed from R. P Builds this new commercial area, Operates it for a life-time (30 to 50 years concession period) and then Transfers it to the City Government, thus a BOT...
Designing an Algorithm for the Resource Investment Problem Considering Calendar
, M.Sc. Thesis Sharif University of Technology ; Shadrokh, Shahram (Supervisor)
Abstract
Project scheduling problems can be divided into different categories which one of the most important of them is resource investment problem. In this problem we are faced with a time limit for completion but resources are available unlimitedly and can be allocated to the project by specific cost. One of the most important constraints in real problems is the times that resources are available. In this research, resource investment problem considering calendar for resources has been investigated. Since resource investment problem is NP-Hard, after a brief overview of the different solutions, we used genetic algorithm to solve this problem. For this purpose, after determining chromosome...
Preparation of Polymeric and Polymer Coated Metallic Particles for Application in SLS Process
, M.Sc. Thesis Sharif University of Technology ; Ramezani Sadatabadi, Ahmad (Supervisor)
Abstract
Today, incremental manufacturing processes are rapidly evolving and expanding. These processes are used for the rapid fabrication of prototypes as well as the fabrication of parts with high geometric complexity and high dimensional accuracy. These processes are used in various fields such as manufacturing industrial parts, medicine, precision casting, etc. One of the most important incremental manufacturing processes that has received much attention today is the selective laser processing process. One of the problems of this process is the limitation in the use of different polymers for processing. Polyamide 12 currently has about 90% market share due to its high processability. However,...
Developing a Decision Support System for Generation Expansion Policy Making in Iranian Deregulated Electricity Market
, M.Sc. Thesis Sharif University of Technology ; Kermanshah, Ali (Supervisor) ; Bahramgiri, Mohsen (Supervisor)
Abstract
Iranian Power industry has undergone fundamental changes since deregulation started in 2003. Currently, bulk trade of electricity in the industry is mainly conducted through a day ahead wholesale market, representing over 98 percent of the exchange of electricity within the grid. Although the current market regime is under operation for over 4 years, several political, cultural and operational obstacles have hindered effective evolution of the restructuring process. Low political support from privatization of the industry assets backed by lack of confidence and trust in market economies in general, and low economic incentive of the market players has slowed down formation of an effective...
Growth Decomposition and Estimation of Investment-Specific Technological Change in Iran’s Industry
, M.Sc. Thesis Sharif University of Technology ; Nili, Massoud (Supervisor) ; Abedini, Javad (Co-Advisor)
Abstract
The aim of this research was estimation of investment-specific technological change, using industrial database which is published annually by Bureau of Statistics of Iran. Investment-specific technological change is the quality improvement of investment in capital goods during the time. Before estimation of this rate, production function (regarding 130 industrial activities and during 14 years, 1994-2007) was estimated. All industries classified in 4 groups based on the level of technology used in them. Then factor’s production elasticities were compared between different groups of industries. The results showed that in high-tech industries the elasticities of skilled workers, import and...
Demand Response Equipments Valuation from a Retailer’s Perspective
, M.Sc. Thesis Sharif University of Technology ; Abbaspour Tehranifard, Ali (Supervisor) ; Fotuhi Firuzabad, Mahmud (Co-Advisor)
Abstract
Till today types of demand response program have been identified as one of the most effective and usefull programs in order to the energy efficient consumption and followed by, improving the network's reliability. Also some of these plans have reduced the risk of the retailers and as much as possible prevent the likely loss of these companies at the high energy tariffs times. The required for doing some of these types of plans is investing on various parts like infrastructure mutual relationships between retailers and customer and also smart meters which will require valuation. Till now so many various ways have been done for valuation on types of demand response program plans. This thesis...
Political Conflicts, Uncertainty and Investment in Iran
, M.Sc. Thesis Sharif University of Technology ; Barakchian, Mahdi (Supervisor) ; Nili, Masoud (Co-Supervisor)
Abstract
Investment is a variable that would determine the future status of the economy. Given the fact that the investment behavior consequences in the economy would appear in the long-term horizons, unlike most other state variables, such as inflation and exchange rates, it may not be a tangible variable. As a result, there may be fewer sensitivities toward it. However, looking at the evidence, it is observable that the level of investment in Iran has experienced a severe reduction since the early 2010s, and this decline in investment has remained stable in its trend. The real aggregate investment level in Iran at the end of the year 2018 was approximately equal to its level in the year 2002. There...
Estimating Possible Effects of Subsidies in Competition and Development of Fixed Broadband Internet
, M.Sc. Thesis Sharif University of Technology ; Vesal, Mohammad (Supervisor) ; Rahmati, Mohammad Hossein (Supervisor)
Abstract
In this work, the dynamic competition between firms providing internet services is studied. The framework is Markov equilibrium whereby structural parameters are obtained using two-step estimations, allowing for analyzing the situation in case of subsidies for service upgrade. The results show that such subsidy has little effect on the number of firms while increasing the number of fast firms
Analysis of Profit Pool in Energy Industry of Iran and Examining the Future of this Industry
, M.Sc. Thesis Sharif University of Technology ; Talebian, Masoud (Supervisor)
Abstract
Unequal distribution of profit and income in different sectors of industries creates a challenge for investors and their managers to determine the level of concentration and investment in each industry sector. The energy industry, as one of the most important ones in the country, will not be an exception to this rule. Iran, as a country with a competitive advantage in the world in this industry, can take the path of development if this industry is used correctly and to the maximum. Also, owners, regulators and investors of this industry must constantly monitor it so that they can determine its growth. This research aims to closely monitor this industry to create guidelines for all the people...
The Impact of Industry Concentrated Investment of Iranian Mutual Funds on their Performance
, M.Sc. Thesis Sharif University of Technology ; Barakchian, Mahdi (Supervisor) ; Ebrahimnejad, Ali (Supervisor)
Abstract
Although financial theory recommends investors to diversify their portfolios to reduce their overall unsystematic risk, some fund managers hold their portfolios concentrated in specific industries. This thesis study the relation between the industry concentration and the performance of Iranian equity funds in the period from 1392 to mid-1397. This relationship has been investigated in two approaches of dividing funds into portfolios by their industry concentration index and multivariate regression model approach by considering some characteristics of funds. To measure the performance of funds, two sets of measures based on the analysis of information of fund holdings and time series of fund...
Optimization Shop Area in Construction Projrect
, M.Sc. Thesis Sharif University of Technology ; Shadrokh, Shahram (Supervisor)
Abstract
Resource investment problem is one of problems in project scheduling which concerns with gaining minimum cost for accomplishing a project in a given time. Tardiness permitted with penalty cost makes this problem close to real world. This dissertation studied constraint of resources by restricted resources and tried to gain optimal level of restricted resource and middle resources start and finish time. This problem also permits tardiness with penalty cost. In construction projects, beside renewable and Non-renewable resources, there are workshops in which part of the work to carry out an activity, is done. These workshops include welding workshops and forming workshops in piping projects,...
Optimizing the Investment Portfolio Including Life Insurance
, M.Sc. Thesis Sharif University of Technology ; Moddares Yazdi, Mohammad (Supervisor)
Abstract
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)...
Optimization in Investment Management with Uncertain data
, M.Sc. Thesis Sharif University of Technology ; Modarres Yazdi, Mohammad (Supervisor)
Abstract
In this thesis, first, the problem of valuation of a portfolio is considered. This portfolio consists of some risky assets and real options written on them, with capital budgeting constrain. Three major elements of this problem are: portfolio, capital budgeting and real options. After reviewing the relevant literature, we develop a framework for managerial decisions about risky assets, by applying of Option Valuation Theory and Stochastic Dynamic Programming. The objective is to fill the gap in the valuation literature and propose a model that considers three aspects of investment decisions– portfolio approach, capital budgeting and real options- simultaneously. The proposed model...
Investment Maximization Transmission Expansion Planning
, M.Sc. Thesis Sharif University of Technology ; Hosseini, Hamid (Supervisor)
Abstract
Trasmission system is one of the most important parts of the power system which not only creates an interface between generation and distribution section, but also provides a reliable and non-descriminated environment between them. In recent years, restructuring is introduced in many countries of the world. The competition is begun in generation section while, the transmission section was remained monopoly. Private investors don't have enough incentive to invest in this section, because, the presence of uncertainties have made decision making hard for them and increased the investment risk. On the other hand, with increase in consumption and generation, need to invest in this section seems...