Sharif Digital Repository

This thesis represents results of research about portfolio, program and project management maturity level in South Pars Projects’ contractor organizations. The purpose is to develop an understanding of management maturity regarding these three levels and especially project management in these organizations. Since oil and gas projects have major role in our economy, doing such appraisals cause cost deduction and increasing productivity in these organizations. In this research, contractor organizations and samples from South Pars Projects have been chosen, and then based on P3M3 and Wysocki Maturity Models, which is based on PMBOK standard, and by using their questionnaires appraisal has been... 

Asset and liability management is a method for optimizing cash flows of input and output of a bank . The model for optimizing the balance between liability and assets of a bank is presented in this research. Bank asset liability management and planning can be considered at the same time. In tjis model , all assets and liabilities in the bank balance sheet are discussed under different objectives and requirements , such as legal and administrate requirements, market condition, risk rate etc  

In this essay, by putting in the framework of linear-quadratic optimal control (LQ),we study and solve the mean-variance portfolio selection problem. Two models will be studied in our work; in one we assume that the price process satisfies a diffusion stochastic differential equation, while in the second model, we assume it to satisfy a jump-diffusion stochastic differential equation. In both models, a formula for the efficient frontier is obtained. This essay is mainly obtained from the works of the following articles and books:
1)X.Y. Zhou and D. Li, Continuous-Time Mean-Variance Portfolio Selection:A Stochastic LQ Framework. Applied Mathematics and Optimization. 42(2000),... 

Markowitz’s asset allocation model with mean-variance approach has well-known issues, amongst them are too much sensitivity to input parameters (especially asset returns) and portfolios that are not diversified well. In order to cope with these issues, risk parity approach has been suggested, which by omitting return parameter from the model, tries to balance portfolio’s risk among different assets. However, risk parity has not been appreciated by researchers due to ambiguity in the investor’s utility function, lack of a solid mathematical framework and its heuristic nature. This study, first tries to develop the mathematical theory of risk parity at the asset level and at the risk factors... 

Over the last two decades, anomalies in stock market have attracted attention of scholars and market practitioners. Existence of the anomalies, provide opportunity for gaining from positive return in the market. Momentum strategy is one of financial strategies that agents implement it in the stock market to get positive returns by buying stocks which were winner and making a short sell of the stocks that were loser in given period in the past. This study intends to examine, the profitability of the momentum strategy in the Toronto Stock Exchange in comparison with the returns of a risk free asset. Selection of risky assets in the portfolio are chosen based on the momentum strategy for one... 

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... 

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 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... 

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... 

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)...