جستجوی مقالات مرتبط با کلیدواژه "portfolio management" در نشریات گروه "مالی"

The purpose of the research is to investigate the philosophical attitude of analysts in valuing IPO stocks with the winner's curse approach. The statistical population in the discussion of investors' behavior includes professors, capital market analysts and graduate students, and 100 people have been selected as a sample using a targeted method. To check the valuation of the companies, the statistical population includes all the companies that have made an initial offering in 2021, and the food industry, agriculture, chemical products and basic metals were selected as samples. With Smart PLS software, in the analysis of hypotheses, we found that analysts with a high philosophical attitude have a positive effect on the valuation of companies and do not suffer from the phenomenon of the winner's curse, and the dimensions of flexibility and reflection were confirmed, but then comprehensiveness was not confirmed statistically. A high philosophical attitude in financial analysts results in obtaining better returns in investment, when the dimensions of flexibility and contemplation are confirmed and comprehensive. A high philosophical attitude in financial analysts leads to the formation of a better investment portfolio, and the aspects of flexibility and contemplation were confirmed, but the aspect of comprehensiveness was statistically rejected.

The aim of the current research is to optimize the multivariate portfolio optimization algorithms under illiquid market (commodity and financial) perspective. In this regard, an optimization model for portfolio risk-return assessment with LVaR constraints is investigated using reasonable financial and operational scenarios. This approach is achieved by minimizing LVaR. The research method is descriptive and correlational. The statistical population is the companies admitted to the Tehran stock exchange, which were selected by systematic elimination sampling (screening) of 100 companies that were present in the stock exchange during the financial years of 1392-1399.The required information was extracted through the new Rah Avard software and the official website related to the Tehran Stock Exchange Organization. The unit root test of the variables was investigated using the method of Lin and Chui, and the basics of econometrics were discussed, and the variables were investigated using the vector auto-regression method (VAR) using Eviews and MATLAB statistical software. Based on the results, it can be said; Liquidity affects commodity and financial markets. Also, the effect of optimization algorithms and modeling techniques on portfolio management and risk assessment was confirmed

In analyzing relative performance, especially at the institutional level, the traditional data envelopment analysis models do not recognize vastly different and important activities as separate functions and therefore cannot identify which function may be the main source of inefficiency. Mutual fund families are a group of mutual funds that are established through one investment company. The aim of this paper is to evaluate the relative performance of 18 mutual fund families in Iran during the years 1396 and 1397, by implementing a two-stage DEA model that decomposes the overall efficiency of each decision making unit into two components of operational management efficiency and portfolio management efficiency. The results show that by decomposing the overall efficiency into two components, one can determine mutual funds with good performance from those of bad or poor performance. Also, the frontier projections of mutual fund families with poor performance is calculated in order to help management in managing the relative performance of each family. According to assessment results of 18 mutual fund families in Iran, they have poor performance in operational management which means that management of costs of the funds is poor.

Momentum and reverse strategies are two influential methods of market analysis that aim to predict future performance in different industries and to generate excess returns, applying historical information. The industry momentum claims the industries experiencing good (bad) performance in the past will provide this return in the future as well. We intend to examine the usefulness of the mentioned strategies. Moskowitz and Grinblatt (1999) focused on 20 industries and labeled three industries with the highest return as winning industries and three industries with the lowest return as losing industries. Also, Grobys and Kolari (2019) selected twentieth highest and lowest return as winning and losing industries. In this study, the statistical population includes all industries in the Tehran Security Exchange, during the years 2007 to 2017. Based on this research, a diverse set of portfolios of different industries has been examined separately for winners and losers at different times, in which the winning industries are the five industries with the highest return and the losing industries are the five industries with the lowest return. After calculating the returns of the winning and losing industries every month in 37 industries, quarterly, six-month, twelve-month, and twenty-four-month cumulative returns have been calculated as a sample and used to perform the tests. The general hypothesis of the research is that the return of the previous winner portfolios formed in the Fi period and holding in the Hj period is equal to the return of the previous loser portfolios formed in the Fi period and holding in the Hi period. The method of testing the hypothesis of this research is the test of comparing the means of two societies for two momentary and reverse industry strategies. To compare the returns of strategies, ttest and Leven variance homogeneity test were used, and to test the hypotheses, SPSS software was used. Comparison of 30 different scenarios of portfolio returns in different formation and holding periods indicates that out of 30 cases, in 22 cases the industry momentum strategy is superior, which has happened often in shorter periods. For example, during the one-month formation and holding period (F1, H1) of the portfolio, the momentum strategy at the 95% confidence level is more profitable than the reverse strategy. In addition, in 8 cases, the reverse momentum of the industry has been more useful, most of which occurred in the holding periods of one year or more. Comparisons show that, with increasing the period of portfolio formation, the returns of these two strategies are balanced and gradually in the holding periods of one year and more, the superiority of the reverse momentum strategy is evident. In total, in 8 cases, the difference in the profitability of the two strategies is significant, and in 5 cases are related to the momentum strategy, consisted of periods (F1, H1), (F1, H3), (F9, H6), (F12, H1), (F12, H3) and in other periods including (F3, H24), (F9, H24) and (F12, H24) reverse strategy had a significant advantage. The statistical sample of this study consists of 37 industries in the period from 2007 to 2017 in monthly periods, applying 60 strategies in terms of Formation and Hold of portfolios in diverse periods. To investigate the profitability of such strategies, the equality of means hypotheses and the homogeneity of variance test were examined. The results indicate that each of these approaches is superior over a certain period. In some shorter periods, the momentum of the industry has excess returns than the reverse industry; however, when the Hold period is longer than one year, the reverse strategy tends to be more profitable than the momentum strategy. In similar studies, Moskowitz and Grinblatt (1999) showed that in shorter periods, only the momentum profitability of the industry is higher. Grobys and Kolari (2019) also concluded that industry portfolios that had more returns in forming periods significantly had higher returns in the forming periods than portfolios that performed poorly in the period. The main finding of Huberg and Philips (2018) also indicates the momentum profitability of the industry. The results of the present study also reveal that in most of the shorter periods, the industry momentum has been more profitable than the industry reverse momentum, which is consistent with the results of the above researches, although this advantage is not statistically significant in all cases.

This study aims at measuring the effect of added valued of unobserved actions of mutual funds.
Using Return Gap criteria– the difference between the return of hypothetical and actual return – the researchers examined the effect of indiscernible activities in mutual funds throughout seasonal reports.
The results showed that unreported activities in mutual funds create just enough value to offset their costs.
We studied the unobserved actions of Iranian mutual funds among quarterly disclosure of holdings. We measured the effect of these unobserved actions using return gap – the difference between the return of a hypothetical constant portfolio matching the fund’s beginning of quarter and the fund’s actual return. The results indicated that these actions create just enough value to offset the costs associated with them; hence, the net effect on returns to fund investors is zero. We further documented that the funds are able to create more value through these activities in bull markets.

The aim of this study is to construct appropriate portfolios by considering investor’s risk profile and his/her preferences in a flexible, applicable and realistic manner. For this purpose, a fuzzy rule- based expert system is developed to support investment managers in their middle term decision makings. The proposed expert system is validated by using 106 stocks, traded in Tehran Stock Exchange between 1384 and 1389. Performance of the proposed expert system is analyzed in terms of risk profile and investment length compared to market average. The results revealed that performance of the expert system is better than the market average in most cases. Also, in parallel to our expectation, the proposed expert system performance is better for risk-averse investors and in middle term.

In this study, we consider the relationship between insurance companie's return and risk, risk-aversion or risk-taking of portfolio managers investing for insurance companies. It was examined by means of P/E measure. The performance of insurance companies has been studied by applying combined portfolio performance measures. First, The measure of Sharp, Treynor, Jensen and P/E measure of Iranian insurance companies and central insurance were appraised in comparison with Ghadir (irsnian Investment co. To test the hypotheses, we used the SPSS 15 software. The results show: Portfolio managers investing for insurance companies are not risktaking. Insurance companies are risk-taking in comparison with Ghadir investment company and are neutral when compared with national investing companies. According to Sharp measure, portfolio managers investing for insurance companies use the passive strategy in comparison with Market. According to Treynor measure, portfolio managers investing for Iran insurance company are neutral, whereas portfolio managers investing central insurance company apply the active strategy meaningfully. According to Jensen measure, portfolio managers investing for insurance companies are neutral in comparison with Market. On the basis of each studied measures, portfolio managers investing for insurance companies are neutral when compared with portfolio managers investing for investment companies. Hence, the hypothesis was rejected. There is no meaningful relationship between investing portfolio return and risk of Iran insurance companies. There is a meaningful relationship between investing portfolio return and risk of central insurance companies.