فصلنامه دانش سرمایه گذاری
پیاپی 10 (تابستان 1393)

The balance between revenues and expenses in pension funds is one of the main objectives for continuing the activities of these funds.
This can be possible, for the purpose of doing Obligations and exploitation of economic and reliable of pension funds and resources, by using the modern methods of design and Exploitation of systems and advanced tools.
Actuarial knowledge by using the mathematical techniques, probability theory and statistical methods in finance problems which specifically applies to insurance and pension plans, can help these funds to achieve their goals.
In this paper, we develop Actuarial knowledge through review of concepts, theories and actuarial models and its relationship with pension funds, state pension funds in Iran and the balance between sources and uses of them. For this purpose, with a case study in one of the country's pension funds, we review on the second layer of the defined benefit plans (DB), by using Actuarial calculations and based on the Actuarial model Employer- Sponsored Plans.
Also, the statistical software is used to test the hypotheses of the study, based on a balance between resources and uses of the current pension funds in the country, according to Actuarial calculations and providing an appropriate strategy for strengthen these mentioned Funds. The results of this research suggest the fraction of resources to funds expenses.

Superior corporate governance can reduce the extent to which controlling shareholders can engage in expropriation and thereby decrease the firm's financial constraints. If management is more committed to emphasizing shareholder value and financial discipline, the company has a more transparent information environment, and the board of directors is more independent of controlling shareholders, it is more difficult for the controlling shareholders to expropriate from minority shareholders. The main purpose of this study is investigating the impact of corporate governance mechanisms on the financial constraints in the companies listed in the Tehran Stock Exchange. The sample of this study, includes 102 companies listed in the Tehran Stock Exchange during the period 1386-1390 and for processing and testing hypotheses, linear regression and clustering methods are used. The study results showed that count of major shareholders and board independence have increasing and significant impact on financial constraints in companies listed in Tehran Stock Exchange.

An empirical analysis is carried out establishing the existent relationship among the stock market (Beta) and (a) macroeconomic and (b) accounting informations. Regression analysis, using static and dynamic panel data estimations, is applied to a sample of 61 listed Iranian firms, between 2001and 2010. Systematic risk is estimated through OLS, EGARCH and M-GARCH models and use TEDPIX index (Tehran Stock Exchange Dividend & Price "total return" Index) as market portfolio.
The results show a connection between the systematic risk and the independent variables. The best models are found when we estimate the systematic risk using EGARCH model and applying a combination of macroeconomic and accounting variables. The most important variables explaining the systematic risk are Size (SZ), Growth Rate (GR) and Debt Ratio (DR) from accounting variables and Gross Domestic Product (GDPI),inflation (Change in CPI index), Legal interest rate (LINT), Oil price (Oilprice) and Exchange rate (EXCR). The results vary using different models and might be different if we use a different sample.

In this paper, we developed robust optimization approach that departs from the randomness assumption used in other methods of optimization under uncertainty and describe uncertainty in parameters through uncertainty sets; for portfolio selection problem. The model can control the conservativeness of investor for portfolio selection by a defined parameter. We used 50 active company of Tehran exchange stock in 3 first months of 1392 to study the performance of model. The results of paired comparisons in out of sample experiments shows that Markowitz portfolio which has same expected return by robust portfolio, has lower Sharpe ratio.

Exchange rate and its related fluctuation plays a significant role as one of the most important issues of each country's foreign trade sector. Many factors such as economic, politics, and psychological factors impress on exchange rates and these factors create more uncertainty situations. Policymakers’ attempt is to reduce this uncertainty via forecasting this variable with minimal error.Artificial neural networks have high potential in modeling complex processes and forecasting dynamic nonlinear paths .Therefore, in this study has tried to use the artificial neural network (ANN) In addition to modeling and forecasting daily exchange rates during the period of March 2002 to March 2005, and minimizing the forecast error by this method, its results were compared with that of ARIMA based on forecasting accuracy evaluation criteria , and to examine the sensitivity of model results toward exchange rates.Estimation of the model with the same method for three data sets exchange rate including dollar,euro and pound have been performed .Results indicate that used neural network has better predictive power in comparison with arima model while pound and Euro exchange rates’ prices are function of their yesterday prices and dollar exchange rate price is a function of its price over the past 6 days .

This paper presents a novel Meta-Heuristic method for solving an extended Markowitz Mean–Variance portfolio selection model. The extended model considers Value-at-Risk (VaR) as risk measure instead of Variance. Depending on the method of VaR calculation its minimizing methodology differs. if we use Historical Simulation which is applied in this paper then the curve would be non-convex.
On the other hand the Mean-VaR model here includes three sets of constraints: bounds on holdings, cardinality and minimum return which cause a Mixed Integer Quadratic Programming Problem. The first set of constraints guarantee that the amount invested (if any) in each asset is between its predetermined upper and lower bounds. The cardinality constraint ensures that the total number of assets selected in the portfolio’s equal to a predefined number.
Because of above mentioned reasons, in this paper, we propose a new Meta-Heuristic approach based on combined Ant Colony Optimization (ACO) method and Genetic Algorithm (GA). The computational results show that the proposed Hybrid Algorithm has the ability to optimized Mean-VaR portfolio for small portfolio .

In international economy, countries are specially importer or pure supplier of crude oil .The OECD and OPEC are the organizations that respectively are considered as the most importer and exporter of crude oil in the world and therefore have a significant role in determining the oil price .This paper examines the impact strength of each of the organization on the price of crude oil and also estimate the relative bargaining power for determining the price of oil in the game bilateral monopoly market model similar to the prisoners dilemma game model to describe the situation on the oil market between the two organization is presented. In this model ,the price extend in a moment is depend on player bargaining power and player wait rates. In this research, set to empirical and econometric models by using data from 1980 to 2012 and also use the same pattern johansen – juselius and the simultaneous equation system approach. Finding of this research suggest in OECD oil bazaar bargaining power is high and in compare with OPEC received more welfare also, it is possible to design win - win game model based on Rising mutual benefit trade. but because of uncoordinated and heterogeneous character of OPEC,the model cannot be considered as a long term and stable cooperative game.

This study examines the impact of political cycle on Tehran stock Exchange performance. Political cycle is a four-year cycle that Is known to political business cycle and Presidential cycle. Political cycle theory shows that stock returns fall during the first half of a presidency, and rise during the second half of a presidency .Also Stock market performance in different years from a government in USA Indicated stock returns is lower in the second year than in other years .In this study, stock market performance is measured by Trading volume and Liquidity Index.
The research method is based on the goal, application and is based on the method descriptive .we used two methods to collect data and content,library method and Using the Exchange documents. The study used descriptive and inferential statistics. Statistical analysis was performed using SPSS software.
The results of this research indicate that There is significant relationship Between the independent variable (Political cycle) and dependent variables ( Trading volume and Liquidity Index ).
In other words, there is significant difference between Thehran stock performance (Basis of two indicators) the first half and second half of a presidency. Also, there is no significant difference between Thehran stock performance the different years of a presidency. In summary , this research shows Tehran Stock Exchange follow the political cycle.

Since investment is one of the effective factors on economical growth and development,paying attention to the growth and development of of investment of pivate parts and the effective factors on on it is important.There is no doubt that the governmental expenses or consumed expenses either in the form of investing expenses of private expenses.governmental investment make the replacement of investment expenses instead of private expenses and governmental expenses have a kind of crowding out but the governmental investment in building high ways,airports and etc has an integral relationship with private investment,and practically there is a crowding in.So in this study the effect of governmental investment on private investment is studid.
They were evaluated through a neoclassical investment model and and the effect of explanatory variables on governmental section ,corporate tax ,inflation,interest rate and two dummy varibles using the econometrics metoth GMM and softwere Eviews for the economy of Iran were assessed. The investment in governmental section ,corporate tax, inflation and interest rate had a negative relationship with private investment but facilities, Adjustment policies and Currency Reserve Fund had positive effects on private investment.Regarding the reversed relationship between investment and corporate tax,applying tax exemption in corporate tax discussion,setting the rate of depreciation more than the real economical deprecation rate,speeding up the acceptable deprciationusing the rate of decresing tax on companies,after several increasing rate and on the whole reassessment of that descrease interest rate can be effective in encouraging investment.

An asset can be maintained for consumption or investment incentives. If a futures contract's market exist for an asset, the relationship between spot price of an underlying asset and cost of carry would be considered. Investigating this relationship is important in term of being beneficial for arbitrager and hedger. This study aims to examine the relationship between these two variable by investigating spot price of gold coins futures contract's during 3 years. This test will be performed by using GARCH method and based on BCSS's group model (1996).
The results indicate the negative relationship between spot price of gold coin and net cost of carry for majority of maturity.

The aim of this research is to investigate the relationship between “individual investors’ mental evaluations from product and brand” and “their preference to investing in stock”. The population of this research is individual investors that acted in Tehran Security Exchange from 1389/3/31 to 1391/3/31. The sample is 384 individual investors. For collecting data, we use questionnaire and for analyzing data, we use SPSS and PLS software. The results show that there is a significant relation between “individual investors’ mental evaluations from product and brand” and “their preference to investing in stock”.