Advances in Mathematical Finance and Applications
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ارسال های اخیر
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Uncertain Entropy as a Risk Measure in Multi-Objective Portfolio Optimization
(IA University of Arak, 2023-12-01)As we are looking for knowledge of stock future returns in portfolio optimization, we are practically faced with two principal concepts: Uncertainty and Information about variables. This paper attempts to introduce a ...
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Portfolio Optimization under Varying Market Risk Conditions: Copula Dependence and Marginal Value Approaches
(IA University of Arak, 2023-12-01)This paper aims to investigate the portfolio optimization under various market risk conditions using copula dependence and extreme value approaches. According to the modern portfolio theory, diversifying investments in ...
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Multilevel Convergence, Cluster Fluctuations, Price Bubbles and Fractal Structure; an Experimental Investigation by Foundation Factor Simulation
(IA University of Arak, 2023-12-01)Abstract Cluster fluctuations and fractal structures are the two important features of space-time correlation in complex financial systems. However, the microscopic mechanism of creating and expanding these two features ...
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Measuring the Credit Risk of Bank Based on Z-Score And KMV- Merton Models: Evidence from Iran
(IA University of Arak, 2023-12-01)This paper examines the credit risk in the Iranian banks during 2008 to 2018 through the Z-score (Accounting based data) and the KMV-Merton (Market based information) models. In the Merton model, equity is equal to call ...
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Investigation And Evaluation Of Monetary Policy Transmission Channels In The Iranian Economy
(IA University of Arak, 2023-12-01)Monetary policy plays an important role in managing the economy, but success in applying this policy requires that the monetary authority understands the process of monetary transmission in the economy. Thus, it is not ...
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The Effect of Fiscal Policies on Labor Demand in Iran
(IA University of Arak, 2023-12-01)The labor market is one of the main markets in the national economy and the equilibrium of the labor market is one of the main concerns of policymakers in every country. Theoretical foundations and empirical studies show ...
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Presenting a model of the relationship between monetary policies, capital structure and banks' risk-taking
(IA University of Arak, 2023-12-01)The main objective of this study is to investigate the relationship between monetary policies, capital structure and risk-taking of listed banks in Tehran Stock Exchange. In this study, to measure the monetary policies, ...
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Recognition and ranking the effective factors on audit quality via the TOPSIS technique
(IA University of Arak, 2023-12-01)Audit quality is one of the most important issues in the field of auditing and the capital market. Defining a framework for determining the quality of audit is important so the present study seeks to rank and compare the ...
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Providing a model for measuring the impact of economic policy uncertainty on information asymmetry
(IA University of Arak, 2023-12-01)The role of the capital market is fundamental and decisive in the economy of all countries [6]. Studies show that in the capital market, prices are determined based on macroeco-nomic variables[2]. Accordingly, In this study ...
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Identifying the Effective Factors on Investors' Behavior and Developing a Measurement Model
(IA University of Arak, 2023-12-01)Objective: To identify the components affecting the behavior of investors and to develop a measurement model using a confirmatory factor analysis approach.Method: This is a correlational paper to identifythe dimensions and ...
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Optimization of auditing strategies in companies listed on the Tehran Stock Exchange
(IA University of Arak, 2023-12-01)Accounting processes and their related decisions play an important role in organizing business. If the organization does not have a comprehensive accounting system, managing it will face many problems such as liquidity ...
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Design and Formulation of Strategic Liquidity Management Strategies in the Banking Industry (Case study: Rafah Bank)
(IA University of Arak, 2023-12-01)The purpose of this study was to design and formulate strategic liquidity management strategies in the banking industry. In this research, in order to combine qualitative and quantitative data, a sequential integrated ...
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Presenting the model of Economic and Political factors influencing investors' decision-making in investing in the stock exchange using the combined interpretive structural method (ISM) and Decision Making Trial and Evaluation Laboratory(DEMATEL) method
(IA University of Arak, 2023-12-01)This study examines the political and economic factors influencing the decision of investors in the stock exchange. For this purpose, first, by using the Meta Synthesis method, the factors affecting investment decisions ...
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Investigating the effect of stock tendency of stock collision to fluctuation limit and price fluctuation threshold and change the basis of fluctuation limit in creating returns fluctuations
(IA University of Arak, 2023-12-01)The purpose of this study is to identify the effect of stock tendency to deal with fluctuations and price fluctuation thresholds in creating fluctuations. The statistical population of the present study is the companies ...
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Designing an Analytical Model for Assessing Supply Chain Re-silience to different Types of Risks: Case Study of Iran Petro-chemical Industries
(IA University of Arak, 2023-09-01)The purpose of the study is to develop and test an analytical model for resilience assessment of supply chain risks against the risks of system and its individual tiers. In this regard a multi-method research approach is ...
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A Hybrid Entropy-TOPSIS Method to Investigate the Effect of Auditing Team Norms and Peer Personality Components on the Objectivity of Financial Auditors
(IA University of Arak, 2023-09-01)Auditors' personality traits have a significant effect on the motivation of their financial behavior. In fact, the personal and personality traits of auditors that can be influenced by the environment play an important ...
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Providing an intelligent credit risk management system of the bank based on the macroeconomic indicators in the country's stock exchange banks
(IA University of Arak, 2023-09-01)This study focuses on providing an intelligent credit risk management system of the bank in the presence of the macroeconomic indicators using a combined methodology of econometrics and artificial intelligence. In addition ...
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Presenting the smart pattern of credit risk of the real banks’ customers using machine learning algorithm.
(IA University of Arak, 2023-09-01)In the past, deciding over granting loans to bank customers in Iran would be made traditionally and based on personal judgments over the risk of repayment. However, increase in demands on banking facilities by economic ...
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Presenting and explaining the model of the role of behavioral characteristics and financial literacy of real investors on their financial management components in the Iranian capital market
(IA University of Arak, 2023-09-01)The purpose of this study is to present and explain the paradigm model of the role of behavioral characteristics and financial literacy of real investors on the components of their financial management behavior in the ...
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A Model of Investor Sentiment Based on Grounded Theory Ap-proach
(IA University of Arak, 2023-09-01)Investor expectations future economic processes are among the crucial factors affecting their decisions. The expectations seem to play a specific role since they are unsupervised variables capable of forming observable ...