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Open Access Article
1 - Evaluating the Performance and Ability Explain of Market Index Returns by Selected Stock Portfolios Based on Throughput Accounting Criteria in Comparison with the New Network Matrix Model
Mohammad Aslani Mohammad Reza Setayesh Mohammad Hasan Janani Mahmoud HematfarOne of the strategies used in active portfolio management is the "network matrix model "which can be used to form different portfolios with different characteristics of stocks or companies. In this study, with the data of 156 companies listed on the Tehran Stock Exchang MoreOne of the strategies used in active portfolio management is the "network matrix model "which can be used to form different portfolios with different characteristics of stocks or companies. In this study, with the data of 156 companies listed on the Tehran Stock Exchange during the period 2011 to 2018 using the network matrix model and based on throughput accounting criteria, portfolio formation and their performance with the portfolios of the new network matrix model (Defensive, neutral and aggressive stocks) and market portfolio were compared. The results show that the proposed network matrix model portfolios based on throughput accounting criteria have higher performance than the new network matrix model in terms of Sharpe, Sortino, upside potential, and omega criteria. Also, portfolios consisting of stocks of companies with high system performance, in addition to the above criteria, have higher performance in terms of Jensen's Alpha criteria than the new network matrix model, and in terms of upside potential and omega criteria, have higher performance than the market portfolio. The performance of portfolios consisting of stocks of companies with low system performance has a stronger correlation with the market portfolio compared to the new network matrix model. Manuscript profile -
Open Access Article
2 - Designing the Optimal Model of Banking Assets and Liabilities Management based on System Dynamics Approach
fatemeh Taheri Mohammad Setayesh mohammad hasan janani mahmoud hematfarBanks as the largest financial intermediaries play a vital role in collecting savings and directing them toward manufacturing activities. Hence, assets and liabilities management is crucial for them and their depositors. In this study, through system dynamics approach, MoreBanks as the largest financial intermediaries play a vital role in collecting savings and directing them toward manufacturing activities. Hence, assets and liabilities management is crucial for them and their depositors. In this study, through system dynamics approach, a dynamic model was proposed to manage assets and liabili-ties optimally. After building the model and conducting validation and sensitivity analysis, three scenarios were devised and were simulated and analyzed via the proposed model. The results revealed that taking effective decisions and actions to collect more deposits, especially time deposits as well as increasing the quality of credit assets (if allocated optimally) can be effective in improving the performance of banks. Therefore, using systems thinking and system dynamics can aid banks in managing their assets and liabilities optimally. mary of the significant items in the paper, including the results and conclusions. Manuscript profile -
Open Access Article
3 - Comparative evaluation of the performance of selected portfoli-os based on AHP and Topsis multi-criteria decision-making techniques with Markowitz mean-variance model
Mahmoud HematfarIn this research, using Analytic Hierarchy Process (AHP) and TOPSIS method (TOP) based on financial criteria, earnings per share, dividend per share, operating cash flow growth, earnings per share growth, beta (systematic) risk, volatility Operating profit, stock liquid MoreIn this research, using Analytic Hierarchy Process (AHP) and TOPSIS method (TOP) based on financial criteria, earnings per share, dividend per share, operating cash flow growth, earnings per share growth, beta (systematic) risk, volatility Operating profit, stock liquidity and price-to-earnings ratio selected according to the opinions of investment experts, formed a portfolio. Then, the criteria for evaluating the performance of risk-adjusted portfolios according to modern portfolio theory (Sharp, Trainer and Alpha Jensen) were calculated based on monthly stock prices during the 5-year period from 1393 to 1397 and com-pared with the criteria for evaluating portfolio performance according to Marko-witz model. The results showed that the selection of stock portfolio using the mentioned financial criteria and using the Analytic Hierarchy Process (AHP) model leads to the acquisition of adjusted returns with more risk than the Marko-witz optimization model and the TOPSIS model (TOP). Manuscript profile
List of Articles Mahmmoud Hematfar
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