Surveying the Existence of Price Bubble Tehran Stock Exchange (By Using the LPPL Model) H

1 ½ Abstract

Surveying the Existence of Price Bubble Tehran Stock Exchange (by using the LPPL model) H. Abdolmaleki1 Sh.Mohammadi2 S. Kamali3, R. Vaziri4

Financial bubbles are one of the main problems that modern economics is dealing with today. Due to straight relationship between bubbles and financial crises, researchers have been ever looking for methods to understanding, identifying, forecasting bubbles as well as evaluating the losses and magnitude of the subsequent crashes. One of the methodsthat will detecting the bubbles is the log-periodic power law (LPPL) model. That consider the faster- than-exponential (power law with finite-time singularity) increase in asset prices decorated by accelerating oscillations as the main diagnostic of bubbles. The LPPL model in detecting bubbles and crashes has been performed successfully in various kinds of markets. But in this research, we performed it for first time in Iran. In this research, we use the LPPL model to detecting bubble and predicting subsequent crash of Tehran Exchange Dividend Price Index (TEDPIX) in period of 2006-2008. Consequently, in order to certainty of existence of log- periodicity in data, we performed Lomb spectral analysis on data. The results indicated the model has fitted the data well and Lomb spectral analysis well has confirmed the existence of log-periodicity. This waywhich can be concluded the data have behavior according to the LPPL model. The model in this period has identified a bubble and also has providedreasonable critical time prediction of the bubble. Keywords: Stock market crash, financial bubble, Log-periodic power law(LPPL), Lomb spectral analysis, Tabu search, Levenberg–Marquardt algorithm.

1- Assistance Professor of Imam Sadiq University 2- Associate Professor of Tehran University 3- Master of Financial Management, Azad University([email protected]) 4- M.S. in Biomedical Engineering, Sharif University of Technology Abstract ½ 2

A Comparison of One – Performance of Value and Growth Stocks; Using Random Weight Portfolio Formation Approach

Gh. Assad1 S. Eslami Bidgoli2

Abstract: Over the recent decades efficient market hypothesis has been challenged at the two micro and macro levels. One challenge addressing financial markets on a large scale is the existence or lack of strategies that can create excess return. The topic of value and growth stocks (or value and growth strategy) is very important in adopting strategies that bring about excess return. The topic came to academic focus by the well-known research by Fama and French (11 9 2 while many other researches have addressed this issue before and after their paper. This research attempts to compare the performance of value and growth stocks in TSE, Using five valuation multiples, this paper categorized value and growth stocks in Tehran Stock Exchange during 1380 to 1389 to compare their performance. In This research we exploit a new approach to portfolio formation. Based on this approach the weights of the stocks in the portfolios are random. The results show the existence of value premium in Tehran Stock Exchange and this premium, the performance gap between value and growth stocks, is statistically significant when the random weight method is exploited.

Keywords: Value stock, growth stock, investing strategy, value premium, performance measurement, Random weight portfolio formation

1- AssistantProfessor of Accounting, Shahid Beheshti university 2- Ph.D of finance, shahid Beheshti university 3 ½ Abstract

Feasibility of using value at risk models in Tehran Stock Exchange ( case study : Metallic minerals industry )

Gholam Hosein Golarzi1 Azim Allah Zareai2 Leila Delavari Marghzar3

Abstract The Purpose of investment is efficiency gain but it is need to risk tolerance such are the nature of trade and investment activities . Risk can be controlled and minimized to appropriate risk management techniques but cannot be deletion . Nowadays Value at risk (VaR) is the new science of risk management and in recently year criteria of market risk equivalent toValue at risk.VAR is the statistical scale which calculates the maximum expected disadvantage for keeping an asset, for a specified period of time and with a certain probability. In this research is examined the possibility of using value at risk, In order to anticipate and management of investment risk in metallic minerals industry. the VaR is estimated by parametric methods and Index of metallic mineral industry. For this purpose, logarithmic return on the industry index that is considered as basic historical observations is calculated daily for a period of time from 1386 Until Shahrivar of 1391. Forecasting of return volatility is calculated by Simple moving average and exponential moving weighted average method with JP Morgan index (0.94) and smoothing coefficient (0.97) in 95% and 99% confidence level. For examining of accuracy of forecasts by VAR are used Kupiec test failures. The results show the method of weighted exponential moving average with smoothing coefficient (0.97) is better predictor for both of confidence levels. Finally, it can be concluded that market risk of metallic minerals industry is Predictable and Manageable by VAR. Keywords: Value at Risk, Risk Management, Risk Metrics, Exponentially Weighted Moving Average, Kupiec Test

1 - Assistant Professor Faculty of Economics and Management Semnan University 2 - Assistant Professor Faculty of Economics and Management Semnan University 3 - Master Degree Business Management _ Financial Management Semnan University Abstract ½ 4

Using Goal Programming for Asset Liability Management Case Staudy: X Bank

Nader Naghshinh1 Farhad Hanifi2 Hamidreza Kordlouie3

Abstract Asset – Liability Management (ALM) of banks is one of the significant issues that many managers are being faced with that. Also it is a challenge in the firms' path and especially financial institutions and banks, while many restrictions and rules are being enacted by supervisory organizations and market. On the other hand banks have different objectives that some of them are in different directions. Therefore, Goal Programming is the best method and technique in optimization. In this research a model designed including the operational profit and bounds or restrictions, legal and structural. Coefficients were found through statistical simulation methods. Then LINGO software was ran. There is a significant deviation out coming from the model and reality, but management can not conform itself with the model, because it is impossible to change the deposits and loans completely and suddenly. The model can be used as a guide in the bank rout.

Keywords Goal Programming, Asset Liability Management, Econometrics Simulation

1 - Ph. D. sholar: Islamic Azad University, Qeshm International Branch 2 - Professor Assistant, Islamic Azad University, Central Tehran Branch 3 - Ph. D. Holder in Finance, Islamic Azad University, Islamshahr Branch 5 ½ Abstract

The estimate and evaluation of value at risk in forex market

Ebrahim Abbasi1

Abstract The purpose of this study is estimating and evaluating the value at risk in forex market. For this purpose based on logritme of Euro/Dollar ratio the value at risk were estimated to three methods: Parametric , Historical and Montecarlo,Simulization from 12/10/2004 to 12/3/2009 in time periods 3 ,6 ,9 ,12 ,36 months and in confidence level 90,95,99 percent. The results of multi-variable tests demonstrated that there is no significant difference in value at risk average based on three methods and the confidence level and multi-time periods on two currency Euro and dollar. The results of back tests demonstrated that validity of calculations for the minimum value at risk is not confirmed but for the maximum value at risk is confirmed.

Key words: Forex market, Value at risk, Euro/Dollar ratio, Parametric, Historical and Monte Carlo .

1 - Associate professor at Alzahra university, Iran , Tehran Abstract ½ 6

Forecasting the undesirable risk using of VaR model by approach of anthropy maximization density in Tehran exchange

M. Fallah Shams1 A. Saleh Ardestani2 F. Haghshenas3 S. Radsar4

Abstract Globalization of business and evolution of international financial markets structures have extensively changed the risks which firms are exposed to. Today on the hand, costs and revenues of firms are faced with complex risks that are from global business interactions and financial decisions and on the other hand are encountered with uncertainty from goods price and currency rate and interest rate and shares values. Synchronically, by advent of derived tools in 1980s, risk management was faced with new challenge, because the traditional methods of risk management no longer were responsible to risks control due to such novel tools. Thus the American banks began to use from VaR model or value at risk. The banks by using of Var technique that could measure the risk in portfolio could develop the model in order to measure economic loss. In the current research, the econometric model of garch and garch model based on maximization of antropy density was used in order to estimate the one day and ten days value at risk. The model correctness was examined by kopik and kristofersen tests and Lopez test was used for grading models that are adopted statistically. The results show that in the Lopez test grading based on each LRcc and LR pof tests in estimation of value at risk 1 day and 10 days, the econometric model of garch have the better performance thengarch model based on maximization of antropy density. Keywords: value at risk, market risk, anthropy

1 - Professor Assistant Islamic Azad University Tehran Central Branch 2 - Professor Assistant Islamic Azad University Tehran Central Branch 3 - Professor Assistant Islamic Azad University Tehran Central Branch 4 Master of Art in Business management, Islamic Azad University Tehran Central Branch 7 ½ Abstract

Mathematical Two-Stage Approach in Portfolio Optimization

SaeedKhodamoradi1 Mohammad TorabiGoodarzi2 Mohammad EbrahimRaeiEzabadi3

Abstract The process of portfolio selection is a subject that many researchers focus on it. Different criteria that affect this process change during the time and this situation make it important use suitable investment decisions support tool. In this paper, by using a multi-stage mathematical model, a new method is provided for solving stock selection problem according to fundamental analysis approach. First, we determine the priority of factors affecting industries selection by using analytical hierarchy process and then by solving a linear programming model, the weights of each industry is determined according to the common constraints and output of analytical hierarchy process approach. Finally, by using goal programming model, the weights of stock in each industry is determined. In this paper, in order to validating the presented model, we test it by real data. The results show that the presented model can lead to select a portfolio with higher return.

Keywords : Fundamental Analysis, Portfolio Selection, Analytical Hierarchy Process, Goal Linear Programming, Model

1 - Professor Assistant Shahed University 2 Master of Art in Business management, Shahed University 3 Master of Art in Business management, Shahed University Abstract ½ 8

In the name of God

Islamic Azad University Journal of Financial Engineering and Portfolio Management (IFEPM) License Holder : Islamic Azad University, Central Tehran Branch, Faculty of Management. Director : Dr. Vahid Reza Mirabi Editor in Chief: Dr. Fraydoon Rahnamay Roodposhti Executive Manager: Kiyanoosh Haghdoost

Editorial Board: Dr. Gholmareza Eslami Bidgoli Associate Professor of Tehran University Dr. Ebrahim Poorzarandi Associate Professor of Islamix Azad University Dr. Gholamreza Jahanshahloo Professor of Tarbiat Moallem University Dr. Farhad Hanifi Assistant Professor of Islamic Azad University Dr. Ali Divandari Associate Professor of Tehran University Dr. Reza Raiee Associate Professor of Tehran University Dr. Fraydoon Rahnamay Roodposhti Professor of Islamic Azad University Dr. Abbas Toloie Eshlagy Professor of Islamic Azad University De. Hashem Nikomaram Professor of Islamic Azad University Dr. Farshad Heybati Assistant Professor of Economic Research Institute of Iran

Publisher: IAU, Central Tehran Branch, Research Deputy. Journal's Address: Office of Financial Engineering and Portfolio Management of the Faculty of Management, Islamic Azad University, Central Tehran Branch, Azadi Strct, Tehran, Iran. Email: [email protected]

This journal has been published under the permission of Ministry of Central Tehran. Islamic Azad University, Central Tehran is committed to procurement of financial resources for the printing and publishing.