List of Articles ریسک غیر سیستماتیک

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  1 - Application of MPT & PMPT in Evaluation of Risk ( Financial-Marketing Approach to Iran Cement Industry )
  H. R. Vakilifard J. Barzigar
  According to Modern Portfolio Theory , the total risk dividend into two types : uncontrollable risk( systematic risk ) and controllable risk ( unsystematic risk ) . therefore , determining of systematicrisk and comparing it with unsystematic risk can assist cement Co. m More

  According to Modern Portfolio Theory , the total risk dividend into two types : uncontrollable risk( systematic risk ) and controllable risk ( unsystematic risk ) . therefore , determining of systematicrisk and comparing it with unsystematic risk can assist cement Co. managers & shareholders .In the reality word , shareholders decide about financial assets based of post modern portfolio theory(PMPT) , so comparing of different risks through undesirable risk creates realler results. So, in thisresearch , In the first process , is done the quantitative evaluation of cement risks with the financialapproach and in the result of it cleared that in the research time territory , the undesirable risk of thecement co. portfolio, in every years, was more than the risk of the market co. portfolio and alsorecognized that unsystematic risk of the cement companies is more than their systematic risk .So , the most of the risk that affecting the cement co. returns is rise of the internal factors , such as :the company management or cement industry and the external factors , such as : market factor has hadthe low affect on the risk of the cement co. portfolio returns and the reason of it is that the allgovernments is accepted the cement supply in every conditions and so , the cement industrial is noteffected of environmental changes .In the second process , is done the qualitative evaluation (identifying & rating) of Cement risks withthe marketing approach .For identifying and rating the existing risks in the cement industrial through the questionary andopinion assessment , is analyzed replies and the below results is obtained :The change in foreign exchange , inflation , governmental annoyer regulations , no foreign investment, natural unexpected events , political occurrences are effective in systematic risk in cement companiesand determined that The cheapness of the cement sale price & the governmental control on prices , thelack of the skill workers , the lack of sufficient liquidity , the lack of innovation and competition ,the hard to return of projects and the same pricing for the same cement formula with different qualities, unstability in issuance of cement exporting licences , unsafe activity of broker network in cementdistributions , weariness of equipments & installations , using of present valence in minimum of scale ,the cement smuggle and the cement import are effective in unsystematic risk of cement companies .also , The cheapness of the cement sale price & the governmental control on prices , the lack of theskill workers , the lack of sufficient liquidity , the lack of innovation and competition , the hard toreturn of projects and so on , are the most serious factors in increasing risk in cement corporations .Also, privatising and private management , foreign investment , private management with governmentsupervision and export , are the most serious factors in decreasing risk in cement corporations . Manuscript profile
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  2 - Optimizing Stock Portfolio with regard to Minimum Level of Total Risk using Genetic Algorithm
  Maedeh Kiani Harchegani Seyed Ali Nabavi Chashmi Erfan Memarian
  Risk and return are two main factors that have always been considered in the field of investment. Simultaneously with the advent of different models for portfolio optimization which the Markowitz model is the most important of those, the necessity to identify methods fo More

  Risk and return are two main factors that have always been considered in the field of investment. Simultaneously with the advent of different models for portfolio optimization which the Markowitz model is the most important of those, the necessity to identify methods for solving these models gained great Importance. Genetic Algorithm is one of the most important metaheuristic methods used for the solution of the portfolio optimization models.This study aimed at evaluating the level of efficiency of this metaheuristic model in portfolio optimization. Therefore, in this study once we have calculated the optimal efficient frontier by the use of the genetic algorithm, and then we compared this optimal efficient frontier with the efficient frontier which was obtained through exact solution method. To achieve this purpose, 25 companies were selected from companies in Tehran Stock Exchange. The results of our study shows that the optimal efficient frontier gained through genetic algorithm is equal to the efficient frontier obtained using the exact solution method, and thereby indicating the high efficiency of genetic algorithm in portfolio optimization. The other result of the present study is that the comparison of the optimal portfolio gained through exact solution with the systematic and unsystematic risk, also revealed that Stock diversity in portfolios with unsystematic risk is much greater than portfolios with systematic risk. Manuscript profile
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  3 - Anatomical Analysis of Noise Transactions and Pricing Error
  Marziye Abdolbaghi Ataabadi Abdolmajid Abdolbaghi Ataabadi
  10.30495/jdaa.2023.702086
  AbstractBehavioral finance is one of the main factors of market defects, which focuses on the systematic occurrence of decision-making errors by investors and managers, and studies how investors and managers make systematic and mental errors in their judgments, and expr More

  AbstractBehavioral finance is one of the main factors of market defects, which focuses on the systematic occurrence of decision-making errors by investors and managers, and studies how investors and managers make systematic and mental errors in their judgments, and expresses the lack of rational behavior of investors in the capital market, which leads to The creation of stock price differences is due to its intrinsic value. The purpose of the current research is to analyze the anatomy of noisy transactions and pricing errors caused by the entry of uninformed traders. The statistical population of this research is the companies accepted in the Tehran Stock Exchange and its statistical sample includes the data of 113 companies. The sampling method was systematic elimination. The method used to estimate the model is the multivariate regression method using the combined data method. The research results show that noise trading has a positive and significant effect on the level of stock pricing error. Also, the pricing error is different at different levels of noise trading; That is, the more the noise, the more the pricing error. This is despite the fact that in addition to the fluctuations of noise transactions, the B/M ratio also affects it. In other words, the pricing error is different at different levels of B/M ratio. As a result, according to the results of the research, the entry of uninformed traders in the stock market creates noise and causes the deviation of the stock price. Manuscript profile