Sharif Digital Repository

The integrative supply chain management is one of the main business processes between final consumer and supplier and it is formed by responsibilities such as production, services and information those have added value for customers and beneficiaries. Therefore and as the goal of a chain is maximization of gained value for the factors involved in chain, so, this goal can be more accessible by decreasing transportation (transportation method, tracking, …) and stock costs (conservation, ordering, …). As its purpose, this thesis intends to introduce and increase the options of goods transportation possibilities between retailers’ warehouses and evaluation of its effect on transportation and... 

Gantry milling machines are one of the types of machine tools that have vast application in various industries. Considering requirements such as quality and roughness of work pieces which are becoming restricted day after day, it is necessary that various parts of this machine have sufficient functionality and precision so that it can fulfill the quality requirements; and production of these expensive machines be cost-effective. One of the most important parts of a gantry milling machines is its crossbeam that undergoes deflections when exposed to applied forces during work conditions and can have undesirable effect on work piece precision. Therefore, the goal of this research is to design... 

In this thesis, we study a continuous time financial market of some risky assets and a risk-free asset for investment in a finite time period. We use mean-variance approach for investment in this market. In the model considered here, the mean returns of individual assets are explicitly affected by underlying Gaussian economic factors. Using past and present information of the asset prices, a partial-information stochastic optimal control problem with random coefficients is formulated. Here, the partial information is due to the fact that the economic factors can not be directly observed. In first step, by filtering and in secound step by solving the stochastic control problem, we show that... 

In many methods of calculating Value-at-Risk (VaR), we need to calculate the value of the portfolio several times for different scenarios. Because an explicit formula is not available to calculate the value of some fixed income assets, calculating VaR for portfolios containing these assets imposes a heavy computational burden. In this study, we introduce a new method for calculating VaR for such portfolios. In this method, some of the existing scenarios are selected as basic scenarios and the value of the portfolio is calculated only for each of them. Next, using the calculated values, the portfolio values for other scenarios are estimated by interpolation (or extrapolation). Finally, by... 

I investigate methods of integrating prior hierarchical structure into hierarchical portfolio optimization methods. My contributions to the literature are forming a prior hierarchical structure based on investors' priorities and generating a unique representative distance matrix, which can be used as an input to other portfolio optimization methods too. In addition, I use SIC and GICs industry classifications as priory information for S&P500 companies and use them as a complementary input to the Hierarchical Risk Parity model and Hierarchical Equal Risk Contribution and compare the resultant portfolios' performance with (López de Prado, 2019)’s method of integrating prior information and... 

In this study, we combined supervised and unsupervised machine learning algorithms, included the benefits of true identification of good borrowers and costs of false identification of bad borrowers, and then proposed a model for predicting the default of loan applicants with a profit-based approach. The results show that our proposed model has the best performance in profit measure in comparison with individual supervised models. In fact, we first divided the data into two train sets and one test set. We have constructed our model by training unsupervised models on the first train set and supervised models on the second train set. The results of implementing the model on the Australian and... 

In the basic model of this thesis, which is called nested cluster optimization, only one distance function is used for clustering to form clusters with similar characteristics, while depending on whether the optimization model is long-only or long-short, different functions can be used. The aim of this thesis is to find the optimal distance function between assets in the simple nested cluster optimization so that during three different and separate strategies, based on three criteria of the lowest risk, the highest Sharpe ratio, and the highest return, the optimal distance function of assets is selected and clustering and finally weighting the portfolio to be done. The optimal distance... 

Damage detection and rehabiltation is one of the most economical methods of increasing safety and service life of the structures. In this research, a wave-based methodology is introduced for laminar damage location in single axial members and combined axial-flexural members within a structure. Laminar damage is a kind of local damage in which the cross section area of a member decreases within a specific length. In the proposed wave-based methodology, a structure with a laminar damage is analyzed using a Finite Element (FE) software under a high frequency loading, and the strain values in specific points of the structure is collected. Thereafter, using the wave propagation theories and the... 

This study delves into the intricate realm of risk evaluation within the domain of specific financial derivatives, notably options. Unlike other financial instruments, like bonds, options are susceptible to broader risks. A distinctive trait characterizing this category of instruments is their non-linear price behavior relative to their pricing parameters. Consequently, evaluating the risk of these securities is notably more intricate when juxtaposed with analogous scenarios involving fixed-income instruments, such as debt securities. A paramount facet in options risk assessment is the inherent uncertainty stemming from first-order fluctuations in the underlying asset’s volatility. The... 

Popular usage of composite materials in aerospace, civil and defense industries in the last decades has been caused more attention to optimization of composite problems. Due to natural complexity of composite problems, i.e. discrete nature, complex dependence between design variables, existence of too much local optimum and etc., traditional methods of optimization are inefficient and it is necessary to use a powerful method to work cost effectively. Genetic algorithm as a technique through evolutionary algorithms is the most popular methods of tackling composite problems. The success of a genetic algorithm can be quantified by estimating the cost, time required and the quality of final... 

In the present research, the weak level efficiency of securitise market is reviewed and examined .Therefore the “Random Walk Hypothesis” has been examined on the time series of daily efficiency index of TEHRAN SECURITISE MARKET. The main difference between this research and the previous researches which have been performed previously in Iran, is the method of Hypothesis Test. The” Variance Ratio Test” has been used as a method of Hypothesis’ Test. In the second chapter, the theoretical and experimental literatures of this research has been described in detail. In parallel with the ” Variance Ratio Test”, the impact of the Day of week and the “HETROSCEDASITY TEST” also has been... 

Risk management is one of the most important topics in banking. Risk management in banking is divided to several categories including credit risk. Credit risk is also divided to individual credit risk and portfolio credit risk. In Iran many of banks have worked on individual credit risk models, but few of them have worked on portfolio models because these models have developed only in recent years. In our project we present three categories of credit risk models and then analyze the data of a private bank in Iran with CreditPortfolioView model. In CreditPortfolioView model, macroeconomic parameters are used to analyze the correlated behavior of individuals as a benchmark in different... 

Project Finance is a novel approach in financing big projects. High debt ratio, independency to promoter credit and establishing a special purpose company, are some of project finance characteristics that could be very beneficial in some projects. Liquid Natural Gas (LNG) is a solution for exporting natural gas to far destination. As economical and environmental benefits of using natural gas have been increased in recent years, LNG industry has been experienced rapid growth. In this project we analyze project finance and then describe economical motivation of using this method in LNG industry of Iran.

 

In nature, there are types of soils that when goinging under stress at constant moisture, or increase of moisture at constant stress, or change of both characters, they show a sudden and high level decrease in their volume. These type of soils are named as Collapsible soils. Iran is one of the countries that at some parts of its land collapsible soils are found. In this research by using of laboratory equipments, the volume change behavior of collapsible loess soils of Gorgan plain (North of Iran) is evaluated under increase of water content and inundation stress. In these experiments, the usual odeometer cell has been used for exploring the behaviour of collapsibility and volume change of... 

Volatility is the most important components in numerous finance applications. So, the methods of volatility forecast with reasonable accuracy require a deep attention.In this thesis with considering several distributions for error term, GARCH forecasting performance is evaluated on the intra- day data of "Foolad" stock returns by two loss functions of "MAE" and "HMAE". This evaluation is done in three forecast horizons, 1 day, 5 days and 20 days. Finally, the result of this study is as follows. GARCH (1, 1) forecast model with skewed t- student error distribution has the minimum value in the both loss functions for 1 day and 5 day forecast horizons. Also GARCH (1, 1) forecast model with t-... 

Credit risk is one important type of various types of financial risks that banks and financial institutions are exposed to it. Therefore credit risk management for banks and other financial institutions that finance corporations and individuals, has special importance. To make decision about financing clients of the bank and managing credit risk, it is essential to measure credit risk of these clients. In recent decades there are many efforts to measure credit risk and therefore various models have been created for assessing it. In this research, we study the effects of Macroeconomic, firm specific and latent variables on clients default risk, in the context of reduced-form models. The... 

Credit scoring is a mechanism used to quantify the risk factors relevant for an obligor’s ability and willingness to pay. Credit scoring has become the norm in modern banking, due to the large number of applications received on a daily basis and the increased regulatory requirements for banks. The meaning of credit scoring is to assign scores to the characteristics of debt and borrowers, historical default, and other loss experienced as an indication of the risk level of the borrower. The aim of the credit score model is to build a single aggregate risk indicator for a set of risk factors.
In this study, current method in which Maskan bank will give a loan is explained. We developed a... 

In this thesis, we study the dependence structure between the Tehran Stock Exchange and over-the-counter market, as the two main Iranian capital market institutions. Several constant and time-varying conditional Copula functions are used to model this dependence structure from October 2009 to August 2014. It is shown that, compared to constant conditional copulas, time-varying conditional copulas, provide a better performance. Analyzing the conditional tail dependence of these indices shows an asymmetric dependence structure. Also, investigating the dynamic conditional correlation and conditional tail dependence, using time-varying conditional copulas, reveals large variations and an...