Summer and Autumn 2021, Volume 1- Number 2
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The Effect of Volatility Temporal Changes on the Predictability and Return of Optimal Portfolio Using the DMA Model
Corresponding Author : Samadi، Fatemeh ؛ Writer : Eslami Mofid Abadi، Hossein ؛
(13 page(s) - From 1 to 13 )
Keywords: Stock Returns Optimal portfolio Predictability Volatility Temporal DMA Model
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Estimating the term structure of mortality: an application to actuarial studies
Corresponding Author : Vahdani، Marzieh ؛ Writer : Safdari، Ali ؛
(12 page(s) - From 15 to 26 )
Keywords: State-space modeling Mortality forecasting Lee-Carter approach Kalman recursions
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Designing an Updatable Long Term Health Insurance
Writer : Kanani Dizaji، Atefeh ؛ Zokaei، Mohammad ؛ Corresponding Author : Payandeh Najafabadi، Amir Teimour ؛
(16 page(s) - From 27 to 42 )
Keywords: Reclassification Pareto-optimal Contract Nash solution bootstrap method
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Prediction of outstanding IBNR liabilities using delay probability
Writer : Atatalab، Fatemeh ؛ Corresponding Author : Payandeh Najafabadi، Amir Teimour ؛
(14 page(s) - From 43 to 56 )
Keywords: Insurance EM algorithm Loss reserve Zero-Inflated Gamma Mixture distribution
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An Application of Stochastic Approximation in Simulated Method of Moments
Writer : Salavati، Erfan ؛ Corresponding Author : Mohseni، Nazanin ؛
(15 page(s) - From 57 to 71 )
Keywords: CRASH Heavy Tail Factor Copula Simulated Method of Moment Newton-Raphson Method Robbins-Monroe Algorithm
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Spectral Graph Embedding for Dimension Reduction in Financial Risk Assessment
Corresponding Author : Teimoori Faal، Hossein ؛ Writer : Bagheri، Meyssam ؛
(20 page(s) - From 73 to 92 )
Keywords: Principle component analysis Bankruptcy Spectral graph embedding Financial risk assessment Affinity matrix
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Trade War and the Balanced Trade-Monetary Theory
Writer : Tajdini، Saeid ؛ Hamooni، Amir ؛ Maghsoudi، MirJamal ؛ Lotfi Ghahroud، Majid ؛ Corresponding Author : jafari، farzad ؛
(18 page(s) - From 93 to 110 )
Keywords: Consumer Price Index (CPI) Purchasing Power Parity (PPP) GDP per-capita balanced trade ratio Balanced Trade-Monetary Theory
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Efficient estimation of Markov-switching model with application in stock price classification
Corresponding Author : Mehrdoust، Farshid ؛ Writer : Noorani، Idin ؛ Khavari، Mahdi ؛
(19 page(s) - From 111 to 129 )
Keywords: Classification Regime-switching model Estimation of Parameter Expectation-maximization algorithm
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Network centrality and portfolio optimization using the genetic algorithm
Writer : Abolhasani Hastiany، Asghar ؛ Corresponding Author : Zamanpour، Alireza ؛
(32 page(s) - From 131 to 162 )
Keywords: risk Genetic Algorithm portfolio optimization return volatility Network centralization
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Modeling of Mortgage-Backed Securities based on stochastic processes
Writer : Khani، Mehrdokht ؛ Corresponding Author : Neisy، Abdolsadeh ؛
(17 page(s) - From 163 to 179 )
Keywords: Financial Crisis Prepayment Mortgage-backed security Reduced modeling Radial Basis Functions
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Portfolio Selection by a Non-Radial DEA Model; Its application in Tehran Stock Exchange (TSE)
Writer : Ebrahimi، Morteza ؛ Bagherzadeh Valami، Hadi ؛ Karamali، Leila ؛
(13 page(s) - From 181 to 193 )
Keywords: risk Efficiency Portfolio data envelopment analysis Mean-Variance
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Modelling the Block Trades Premium: Focusing on Refining and Petrochemical Companies
Corresponding Author : Kaviani، Mehran ؛ Writer : Ghanbari، Ali Mohammad ؛ Peymany، Moslem ؛
(27 page(s) - From 194 to 220 )
Keywords: Tehran Stock Exchange Financial Ratios regression models Iran FaraBourse