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mokhtari--arian
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An Integrated Multi-criteria Decision Making Approach for a Sustainable Supply Chain Network Design
, M.Sc. Thesis Sharif University of Technology ; Shavandi, Hassan (Supervisor)
Abstract
Growing concerns towards social and environmental issues besides economic in supply chain causes that the sustainable supply chain become one of the most important concepts in a supply chain. Likewise, a supply chain network design which is profound influence on long-run economic, environmental, and social decisions is one of the key and strategic topics in a supply chain. In this study, we represent an integrated approach for a three-layer sustainable supply chain network design with routing and different transportation modes, the objectives of which are minimizing total costs, a minimizing 〖CO〗_2 emissions of transportation, and maximizing total values of social purchasing. In this...
Characterization of Plasma Etching Process Using Plasmonic Structures
, M.Sc. Thesis Sharif University of Technology ; Rashidian, Bizhan (Supervisor)
Abstract
plasma characterization has become an essential tool for characterization of etching process in fabrication of nano-electronic devices. The existing methods, such as Langmuir probe and interferometry, have shown drawbacks including disturbing the plasma and sensitivity to mechanical and thermal stability of the measuring systems. In recent years, due to the scale down of microelectronic devices and increase of their sensitivity to disturbance in the plasma etching process, a demand for measuring methods offering less disturbance has arisen. Plasmonic structures, owing to their unprecedented field enhancement and confinement, have been extensively studied. Their sub-wavelength dimensions,...
Pathwise grid valuation of fixed-income portfolios with applications to risk management
, Article Heliyon ; Volume 8, Issue 7 , 2022 ; 24058440 (ISSN) ; Chaghazardi, A ; Arian, H ; Sharif University of Technology
Elsevier Ltd
2022
Abstract
Numerical calculation of Value-at-Risk (VaR) for large-scale portfolios poses great challenges to financial institutions. The problem is even more daunting for large fixed-income portfolios as their underlying instruments have exposure to higher dimensions of risk factors. This article provides an efficient algorithm for calculating VaR using a historical grid-based approach with volatility updating and shows its efficiency in computational cost and accuracy. Our VaR computation algorithm is flexible and simple, while one can easily extend it to cover other nonlinear portfolios such as derivative portfolios on equities and FX securities. © 2022
Portfolio Value-at-Risk and expected-shortfall using an efficient simulation approach based on Gaussian Mixture Model
, Article Mathematics and Computers in Simulation ; Volume 190 , 2021 , Pages 1056-1079 ; 03784754 (ISSN) ; Sharifi, A ; Arian, H ; Sharif University of Technology
Elsevier B.V
2021
Abstract
Monte Carlo Approaches for calculating Value-at-Risk (VaR) are powerful tools widely used by financial risk managers across the globe. However, they are time consuming and sometimes inaccurate. In this paper, a fast and accurate Monte Carlo algorithm for calculating VaR and ES based on Gaussian Mixture Models is introduced. Gaussian Mixture Models are able to cluster input data with respect to market's conditions and therefore no correlation matrices are needed for risk computation. Sampling from each cluster with respect to their weights and then calculating the volatility-adjusted stock returns leads to possible scenarios for prices of assets. Our results on a sample of US stocks show that...
Customer Churn Prediction in Therapy Policy in Iran
, M.Sc. Thesis Sharif University of Technology ; Aslani, Shirin (Supervisor) ; Arian, Hamidreza (Supervisor)
Abstract
Using customer relationship management systems has led to the formation of databases containing businesses customer information. Increased competition in the markets, limited resources and high costs of attracting new customers compared to retaining existing customers have made customer retention an inevitable subject for business owners. Meanwhile, insurance companies, which due to their long history have suitable databases of product information and their customers, have resorted to using their databases to manage the relationship with their customers. In this research, while predicting customers churn in health insurance, as one of the most widely used products of domestic insurance...
Performance evaluation of thyristor-based static transfer switch with respect to cross current
, Article IEEE/PES Transmission and Distribution Conference and Exhibition 2002 : Asia Pacific, Yokahama, 6 October 2002 through 10 October 2002 ; Volume 2, Issue ASIA PACIFIC , 2002 , Pages 1326-1331 ; Sharif University of Technology
2002
Abstract
Providing clean, continuous and reliable power to many industrial customers has become a necessity. Where possible, sensitive customers are supplied by two medium-voltage utility feeders one of which is used as back up. Thyristor-based Static Transfer Switches (STSs) are able to provide the loads with a fast transfer to the back up feeder when the main one fails. In addition to being fast, the transfer must be performed with no source paralleling which creates a cross current flowing between the main feeder and the back up one. Due to practical limitations, however, in some cases, cross current cannot be avoided. This paper investigates the performance of thyristor-based STSs with respect to...
Comparative evaluation of advanced gas turbine cycles with modified blade cooling models [electronic resource]
, Article Proceedings of the ASME Turbo Expo ; Volume 4, Pages 537-546 , 2006 ; Sharif University of Technology
2006
Abstract
Advanced gas turbine cycles use advanced blade cooling technologies to reach high turbine inlet temperature. Accurate modeling and optimization of these cycles depend on blade cooling model. In this study, different models have been used to simulate gas turbine performance. The first model is the continuous model and the second is stage-by-stage model with alternative methods for calculating coolant, stagnation pressure loss and SPR. Variation of specific heat and enthalpy with temperature are included in both models. The composition of gas stream in turbine is changed step by step due to air cooling. These models are validated by two case study gas turbine results, which show good agreement...
Estimation of a Portfolio's Value-at-Risk Using Variational Auto-Encoders
, M.Sc. Thesis Sharif University of Technology ; Arian, Hamidreza (Supervisor) ; Talebian, Masoud (Supervisor)
Abstract
One of the most crucial aspects of financial risk management is risk measurement. Advanced AI-based solutions can provide the proper tools for assessing global markets, given the complexity of the global economy and the violation of typical modeling assumptions. A new strategy for quantifying stock portfolio risk based on one of the machine learning models known as Variational Autoencoders is provided in this dissertation. The suggested method is a generative model that can learn the stocks' dependency structure without relying on assumptions about stock return covariance and produce various market scenarios using cross-sectional stock return data with a higher signal-to-noise ratio. We...
Portfolio Management: Combining Hierarchical Models with Prior Hierarchical Structure
, M.Sc. Thesis Sharif University of Technology ; Arian, Hamid Reza (Supervisor) ; Zamani, Shiva (Supervisor)
Abstract
I investigate methods of integrating prior hierarchical structure into hierarchical portfolio optimization methods. My contributions to the literature are forming a prior hierarchical structure based on investors' priorities and generating a unique representative distance matrix, which can be used as an input to other portfolio optimization methods too. In addition, I use SIC and GICs industry classifications as priory information for S&P500 companies and use them as a complementary input to the Hierarchical Risk Parity model and Hierarchical Equal Risk Contribution and compare the resultant portfolios' performance with (López de Prado, 2019)’s method of integrating prior information and...
Integrating Supervised and Unsupervised Machine Learning Algorithms for Profit-based Credit Scoring
, M.Sc. Thesis Sharif University of Technology ; Arian, Hamid Reza (Supervisor) ; Zamani, Shiva (Supervisor)
Abstract
In this study, we combined supervised and unsupervised machine learning algorithms, included the benefits of true identification of good borrowers and costs of false identification of bad borrowers, and then proposed a model for predicting the default of loan applicants with a profit-based approach. The results show that our proposed model has the best performance in profit measure in comparison with individual supervised models. In fact, we first divided the data into two train sets and one test set. We have constructed our model by training unsupervised models on the first train set and supervised models on the second train set. The results of implementing the model on the Australian and...
Investor Experience in Chabahar Free Zone: Scale Generation
, M.Sc. Thesis Sharif University of Technology ; Najmi, Manoochehr (Supervisor) ; Arian, Hamidreza (Supervisor)
Abstract
Free economic zones in Iran have been established with the goal of developing infrastructure, improving living conditions, fostering economic growth, attracting capital and increasing income, productive job creation, regulating job and goods market, maintaining active presence in international and regional markets, manufacturing and exporting of goods and providing public services. Yet many free economic zones have fallen short of these goals. Considering the government's inability to fund the development of the free economic zones with its limited financial capacity and shortcomings in terms of management system, it is imperative to the development of these regions that private sector...
Calculating Value at Risk for Bond Portfolios by Selecting Basic Scenarios in the Historical Simulation Method
, M.Sc. Thesis Sharif University of Technology ; Zamani, Shiva (Supervisor) ; Arian, Hamid Reza (Supervisor)
Abstract
In many methods of calculating Value-at-Risk (VaR), we need to calculate the value of the portfolio several times for different scenarios. Because an explicit formula is not available to calculate the value of some fixed income assets, calculating VaR for portfolios containing these assets imposes a heavy computational burden. In this study, we introduce a new method for calculating VaR for such portfolios. In this method, some of the existing scenarios are selected as basic scenarios and the value of the portfolio is calculated only for each of them. Next, using the calculated values, the portfolio values for other scenarios are estimated by interpolation (or extrapolation). Finally, by...
Solving High Dimensional PDEs with Machine Learning Methods and Its Application in Option Pricing
, M.Sc. Thesis Sharif University of Technology ; Arian, Hamid Reza (Supervisor) ; Zamani, Shiva (Supervisor)
Abstract
differential equations. These methods have extensive applications in the financial domain, including in risk hedging and derivative pricing. One of the main advantages of using deep learning methods in this area is their high capability to solve high-dimensional problems. Despite the introduction of these new methods, some of them have not performed well in certain problems. In this research, efforts have been made to improve the efficiency of these methods by enhancing the neural network architecture and modifying the learning process
Patch testing in Iranian children with allergic contact dermatitis
, Article BMC Dermatology ; Volume 16, Issue 1 , 2016 ; 14715945 (ISSN) ; Ehsani, A ; Sajjadi, S. S ; Aghazadeh, N ; Arian, E ; Sharif University of Technology
BioMed Central Ltd
2016
Abstract
Background: Allergic contact dermatitis is a common disorder in adults and children alike and appears to be on the increase. The purpose of this study was to determine the sensitization trends in Iranian children with contact dermatitis. Methods: The result of 109 patch tests performed using the 24 allergens of the European Standard Series in patients below 18 years old from September 2007 to March 2009 were recorded and analyzed. The tests were evaluated at 48 and 72 h after performing. Results: The study population consisted of 72 (66.1 %) females and 37 (33.9 %) males. Hands were the most commonly affected anatomic site. In the final evaluation of the tests on day three, 51 (46.8 %)...
Optimal Distance Calculation Method for Portfolio Optimization using
Nested Cluster Optimization
,
M.Sc. Thesis
Sharif University of Technology
;
Arian, Hamid Reza
(Supervisor)
;
Zamani, Shiva
(Supervisor)
Abstract
In the basic model of this thesis, which is called nested cluster optimization, only one distance function is used for clustering to form clusters with similar characteristics, while depending on whether the optimization model is long-only or long-short, different functions can be used. The aim of this thesis is to find the optimal distance function between assets in the simple nested cluster optimization so that during three different and separate strategies, based on three criteria of the lowest risk, the highest Sharpe ratio, and the highest return, the optimal distance function of assets is selected and clustering and finally weighting the portfolio to be done. The optimal distance...
The group delay ripple effects on the performance of phase-modulator based microwave-photonic filter
, Article 2011 18th International Conference on Telecommunications, ICT 2011, 8 May 2011 through 11 May 2011, Ayia Napa ; 2011 , Pages 162-166 ; 9781457700248 (ISBN) ; Akbari, M ; Sharif University of Technology
2011
Abstract
We have developed an analytic approach to investigate the effect of group delay ripple on the performance of phase-modulated microwave photonic filter. Two cases with and without ripple are analyzed to clarify the ripple's effects on the performance of microwave-photonic filter. Comparison of our proposed analytical approach with simulated OptiSystem® results shows a good agreement
Two building blocks of microwave photonics filters in the presence of group delay ripple: A comparative survey
, Article Optical and Quantum Electronics ; Volume 44, Issue 8-9 , 2012 , Pages 403-414 ; 03068919 (ISSN) ; Akbari, M ; Sharif University of Technology
Springer
2012
Abstract
We have developed an analytic approach to investigate the effect of group delay ripple of the dispersive devices on the performance of two major building blocks of microwave- photonic filters. Firstly, performance of PM-based block in the presence of an arbitrary group delay ripple (GDR) is analyzed and compared with the ripple-free case to reveal the destructive effects of added group delay ripple. In the next step, we repeat the proposed approach for the AM-based one; again, the performance is compared with the ripple-free case. Two distortion metrics are also introduced to quantify this distortion. Comparison of the performance of two building blocks in the presence of group delay ripple...
Performance of phase-modulated microwave photonics in the presence of group delay and reflection amplitude ripples of the dispersive device
, Article Conference Proceedings - 11th International Conference on Laser and Fiber-Optical Networks Modeling, LFNM 2011, 4 September 2011 through 8 September 2011, Kharkov ; 2011 ; 9781612848136 (ISBN) ; Akbari, M ; Sharif University of Technology
2011
Abstract
We develop an analytic approach to investigate the effect of reflection amplitude and group delay ripples of the dispersive device on the performance of phase-modulated microwave-photonic filters. Experimental results conform to our proposed analytical approach
The reflection profile engineering approach to optimize VIPA demultiplexer for UWB-Over-Fiber systems
, Article Proceedings - 10th International Conference on Laser and Fiber-Optical Networks Modeling, LFNM 2010, 12 September 2010 through 14 September 2010 ; September , 2010 , Pages 90-92 ; 9781424469970 (ISBN) ; Akbari, M ; Sharif University of Technology
2010
Abstract
We analyze the VIPA demultiplexer for different reflection profiles, i.e., uniform, graded, and Gaussian. It is shown that VIPA demultiplexer characteristics can be improved dramatically by innovative reflection profile engineering. These improvements enhance the performance of demultiplexers in UWB-Over-Fiber systems
Effect of a phasor group delay ripple on the performance of phase-modulator based microwavephotonic filter
, Article 2010 5th International Symposium on Telecommunications, IST 2010, 4 December 2010 through 6 December 2010 ; 2010 , Pages 143-146 ; 9781424481835 (ISBN) ; Akbari, M ; Sharif University of Technology
2010
Abstract
We have developed an analytic approach to investigate the effect of a sinusoid group delay ripple on the performance of phase-modulated microwave photonic filter. Frequency of fabricated sinusoid ripple determines the pole's frequency of the resulted transfer function. Comparison of our proposed analytical approach with simulated OptiSystem results shows a good agreement