فهرست مطالب علیرضا شریفی سلیم

In traditional portfolio selection model coefficients often are certain and deterministic, but in real world these coefficients are probabilistic. So decision maker cannot estimate them exactly. Financial optimization is one of the most attractive areas in decision under uncertainty. In the portfolio selection problem the Decision Maker considers simultaneously conflicting objectives such as rate of return, liquidity, Dividend and risk. Multi-objective programming techniques such as goal programming and compromise programming are used to choose the portfolio best satisfying the Decision Maker’s aspirations and preferences; additionally Multi Criteria Decision Making (MCDM)Techniques for dealing with portfolio selection have been used. In this article, we assume that the parameters associated with the objectives are random and normally distributed. We propose a chance constrained compromise programming model is based on compromise programming and chance constrained programming models as a deterministic transformation to multi-objective stochastic programming portfolio model. To determine the share of industry investment planning MCDM were used. The result of the planning model for portfolio selection in Tehran Stock Exchange is shown.

This study develops a dynamic model to evaluate various distinctive policies in the oil and gas industries of Iran. This model takes into account some key variables including oil and gas exports as well as the injection of additional gas into the oil reservoirs. These variables are particularly essential in determining the equilibrium quantities and prices in the supply and demand functions. Therefore، the impacts of various oil and gas policy initiatives are evaluated on the performance of various sectors of the Iranian economy. Furthermore، the impact of energy consumption on oil revenues and vice versa is thoroughly examined. In order to determine the future trends of major relevant variables، such as the rate of gas consumption in the household، commercial، and public sectors and total gas consumption rate، three scenarios are developed. According to the energy subsidy reform plan، these scenarios are as following: gas price hike، an increase in the gas injection into the oil reservoirs and concurrent increase of OPEC’s share and gas injection into the oil reservoirs. The results indicate that gas price hike will likely lead to a decline in the total gas consumption in the country and that the gas injection into the oil reservoirs will create more value for the country when the share of country in the OPEC goes up.

Decision making about the selection of shares for buying and selling for more return acquisition is the most important subject for investors in stock exchange market. Many of investors buy shares based on market gossips and informal news.As each of the existing models such as technical method, fundamental method, Markowitz model, sharp model and arbitrage model has it's own problem in use, this research gives a model for choosing portfolio regarding effective indices on investors decision making by composing the TOPSIS and GAHP techniques. A questionnaire was prepared by using Delphi method and was distributed to 30 persons of the experts of stock exchange market to identify significant indices for investors. Economical indices for choosing the industry including selling growth, profit margin growth, average return, currency rate, basic metals price volatility, industrial competitive advantages, economical growth and recession and economical indices for share selection contain EPS, DPS, P/E, share price, share return, operating profit ratio, corporation management, corporation size, capital volume and technology were achieved.Necessary information and relevant amounts to each of indices were gathered from archive unit and internet site of securities and exchange organization and financial statement of companies. Then by TOPSIS technique and weighting by Shannon entropy and group AHP techniques in changing qualitative to quantitative indices (which is one of the most advantages of this method) decision matrix was composed and the priority of industry and share identified. Five superior industries were Banking, Credit and other money institutes, Investment brokers, Foods and Beverages products except candy and sugar, coal extraction and Other Nonmetallic mineral products.