List of Articles

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  1 - Dynamic GAS Mathematical Based Modeling for Predicting and Assessing the Memory Free Value at Risk of Tehran Stock Exchange Total Index
  محمدابراهیم سماوی هاشم نیکومرام مهدی معدنچی زاج احمد یعقوب نژاد
  In recent decades, especially since 2000, advanced mathematical methods for financial modeling have been widely used so that the basic challenges of financial science can be overcome by using these methods. The first step in risk management in the field of investment is More

  In recent decades, especially since 2000, advanced mathematical methods for financial modeling have been widely used so that the basic challenges of financial science can be overcome by using these methods. The first step in risk management in the field of investment is to calculate the variable that explains the risk accurately. One of the most widely used criteria for calculating risk is the value at risk, which has been the focus of financial researchers for the past three decades. The aim of the present study is dynamic modeling and variable time using a technique called Generalized Autoregressive Score (GAS) to estimate value at risk in TSE by using daily data since 2010 to 2020 and assuming the distribution of t-student. its results are compared with the results of known AR and GARCH models. For TSE only two models, GAS and GARCH, are suitable for estimating value at risk and GAS model is preferable. Also, the duration of risk of value at risk errors for all three models for gold and TSE lacks long-term memory, indicating its reliance on financial turmoil. Manuscript profile
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  2 - Ranking Tehran Stock Exchange Industries using a Combined FCM-ELECTRE III-LA Method
  مجتبی موحدی مهدی همایونفر مهدی فدایی اشکیکی منصور صوفی
  One of the most complex decision-making issues for stock exchange investors is the evaluation of companies' performance and their ranking in the next step, which can be done based on different approaches. In the paper, the industries of Tehran Stock Exchange (TSE) evalu More

  One of the most complex decision-making issues for stock exchange investors is the evaluation of companies' performance and their ranking in the next step, which can be done based on different approaches. In the paper, the industries of Tehran Stock Exchange (TSE) evaluated during the years 2010 to 2019 and ranked by a combined fuzzy cognitive map (FCM), Electere III and linear assignment (LA) method. To this aim, first based on the literature review, 21 more cited criteria were selected as the main criteria in performance analysis of the TSE. Then, fuzzy cognitive map as a qualitative analytical tool, was applied to rank financial eavaluation criteria based on their intractions. Applying FCM, five criteria were determined as more important criteria for performance evaluation. In the the next step, all of the industries in TSE were evaluated in 10 years from 2011 to 2020 using the ELECTRE III as a powerfull MCDA method. Finally, LA method was applied for integrating the rank of industry in the 10 years period. The results indicate that insurance and pension industries, Industrial multidisciplinary and Food (except sugar), placed at the first to third ranks. Manuscript profile
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  3 - LIE SYMMETRIES‎, ‎SELF-ADJOINTNESS, AND CONSERVATION LAWS OF THE MONG-AMPERE EQUATION‎
  زهرا مومن نژاد مهدی نجفی خواه
  ‎This paper addresses an extended 2-dimensional Mong-Ampere equation By the Lie method‎. The symmetries of Mong-Ampere equation are found ‎and the method of non-linear self-adjointness is applied to the considered equation‎. ‎By applying Ibragimov&rs More

  ‎This paper addresses an extended 2-dimensional Mong-Ampere equation By the Lie method‎. The symmetries of Mong-Ampere equation are found ‎and the method of non-linear self-adjointness is applied to the considered equation‎. ‎By applying Ibragimov’s method and Noether operators the infinite set of conservation laws associated with the finite algebra of Lie point symmetry of the Mong-Ampere equation is extracted‎. ‎The corresponding conserved quantities are computed from their respective densities‎. Manuscript profile
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  4 - Assessing the value efficiency of each unit in relation to the tangent hyper plane in DEA (units including negative data with interval scale)
  حسین عباسیان سید علی کاظمی پور
  In data envelopment analysis, value efficiency is an efficiency concept that uses the decision maker's priorities to calculate it. In this article, data with interval scale is the difference of two different data of inputs and outputs with a ratio scale, and one of the More

  In data envelopment analysis, value efficiency is an efficiency concept that uses the decision maker's priorities to calculate it. In this article, data with interval scale is the difference of two different data of inputs and outputs with a ratio scale, and one of the innovations of this research is that it calculates the value efficiency of units that include negative data with an interval scale. In real value efficiency, the indifference curve of the value function is used, which is unknown, and another innovation of this research is that we approximate this curve with the tangent hyper plane at the point with most preferences and with the proposal of the decision maker, we consider one of the technical efficiency units as the point with the most preferences. To find this tangent hyper plane, we use the dual problem of radial models, which have returns to variable scale. Finally, the distance of each decision-making unit to the tangent hyper plane shows the value efficiency of that unit. In the presented numerical example, the obtained results are very close to the results of Halme and his colleagues’ models, and this method can provide a suitable approximation for value efficiency. Manuscript profile
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  5 - The Investment Policy for the Sustainability of the Electricity Supply Chain: A Case in the Power Industry
  مژگان پورعلیزاده
  Abstract: The waste of available resources and the harmful effects of toxic emissions play a fundamental role in the sustainability assessment of energy, production, transmission, and distribution sectors in the power industry. Investing in appropriate capacity allocati More

  Abstract: The waste of available resources and the harmful effects of toxic emissions play a fundamental role in the sustainability assessment of energy, production, transmission, and distribution sectors in the power industry. Investing in appropriate capacity allocation and accurate resource control can significantly reduce the negative effects of pollutant gas emissions and wasted energy in the electricity supply chain. The current paper introduces a DEA-based model for sustainability evaluation of the electricity supply chain through harmful substances management and greenhouse gas (GHG) control in the energy, power plant, transmission, and distribution sectors. The study aims to determine the limited and effective investment regions of supply chain divisions for pollutant gas abatement. Indeed, the proposed approach distinguishes between effective and limited investment opportunities for 10 supply chain divisions, as the investment increases in the divisions with a high level of investment opportunities provide a significant decrease in flare gas and greenhouse gases (GHG) in the energy and power plant sectors and wasted energy harness in transmission and distribution lines. In 60% of supply chains, the results show that there is a distribution line network with a high level of good investment opportunities. Manuscript profile
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  6 - Sequential Optimality Conditions for Bilevel Multiobjective Fractional Programming Problems with Extremal Value Function
  Laghdir Mohamed
  In this paper, we consider a bilevel multiobjective fractional programming problem $(\mathcal{BMFP})$ with an extremal value function. We provide necessary and sufficient optimality conditions characterizing (properly, weakly) efficient solutions of the considered probl More

  In this paper, we consider a bilevel multiobjective fractional programming problem $(\mathcal{BMFP})$ with an extremal value function. We provide necessary and sufficient optimality conditions characterizing (properly, weakly) efficient solutions of the considered problem. These optimality conditions are obtained in terms of sequences and based on sequential calculus rules for the Br\o ndsted-Rockafellar subdifferential of the sum and the multi-composition of convex functions, without constraint qualifications. Manuscript profile