Sharif Digital Repository

Todays, one of the most important problems is optimal allocation of capital to different investment options that many researchers studied about this problem and presented a lot of solutions. In this thesis, we solve portfolio optimization problem to maximize the return of investment. The options of investment are different kinds of stocks, gold coins and we consider bank deposits as a risk free asset. We apply the problem in multi period and we can buy and sell stocks and gold coins in each period. To improve the efficiency of the proposed models, we use real data and consider transaction fees. The return of some options is uncertain, so we use robust optimization approach. At first we apply... 

Project Portfolio Selection as a part of Project Portfolio Management, is a very important issue for the organizations and is a key activity. In this thesis at the first with studding stock portfolios, it has been shown that because of mathematical features, Conditional Value at Risk is a coherent risk criteria and used efficiently in stock portfolio management. So in Project Portfolio Selection we use Conditional value at Risk as coherent risk criteria and based on that we will present a model that not only reach to the maximum utility but also but also reach to the minimum feasible Conditional Value at Risk. After that with the use of this model and with the use of mathematical features... 

Today’s organizations always encounter limitations on the way of achieving their goals. Budget constraint, inventory constraints, capital constraints are issues which complicates management decision making.
Global market has enabled manufacturers compete globally. Even position their factories in other countries and use of competitive advantages and other markets demand. This is why decision making in production and manufacturing domain has been complicated. Decision making in production and manufacturing should become faster and more precise in order to keep market competitiveness. Organization should make long term or strategic decisions and short term decisions about keeping the... 

In this thesis, a multi-stage project portfolio selection and scheduling problem in an uncertain environment is modeled, analyzed and solved. Moreover, we investigate the situations in which a project manager is confronted to a large number of projects to be selected and scheduled while the required resources of the projects are limited and renewable. The aim is to maximize objective function which is the net present value of the profit of the projects. To solve the mentioned problem, we introduce a multi-stage stochastic programming. For the reason that, in real problems, optimization problems that included all restraints are large scale and have computational complexity, these problems are... 

Today, Research and Development (R&D) plays an underlying role in all technology-based companies. It is the R&D that creates competitive advantage and determines survival or growth of a company in the fierce market place. R&D, On the other hand, consumes invaluable resources such as capital, human resource, and laboratories which are generally very scarce. This implies that R&D decisions must be treated as huge investment decisions which are made within the strategic framework of a business. The purpose of R&D portfolio selection is to select a set of projects from a pool of candidate projects in order to maximize some financial measures subject to resource availability and technical... 

Despite having major advantages such as expert management, economy of scale and lower analysis costs for investors, the mutual funds may still underperform (at suboptimal levels) due to factors like information asymmetry between fund managers and unitholders along with the difficulties involving assessment of manager's performance by investors. So the conflict of interest between the manager and unitholders propels them towards deciding to manipulate the risk measure of the fund for reasons other than the maximization of profits for unitholders by shifting risk level of the portfolio. For instance, the promise of non-linear growth in attracting money by obtaining a considerable ranking... 

During recent years a variety of decision making models for project selecting and priorities have been developed. Most of these models used quantitative indicators for projects evaluating and focused on financial and economic indicators. In this project, a decision support system for project portfolio management in construction industry has been developed. The most important feature of this model that distinct it from others is its relationship with the organization's strategies. On one hand, this model focuses on the organization to ensuring that the projects selected for investment, meet the portfolio strategy and on the other hand, it focuses on project management to delivering projects... 

In this thesis, project portfolio selection under uncertainty conditions is considered. Firstly, the problem is modeled with mathematical programming and also this problem has two objective functions that contain maximizing profitability and minimizing surplus resources. Each project has resource costs and contract prices. In addition, uncertainties for these parameters should be considered. Secondly, another innovation in this research is considering Cost/Time trade-off for duration and cost. To satisfy this subject, each project has different scenarios with various duration and usage of resources. Since the project has two objective functions, ε-constraint method is applied to optimizing... 

In this research, portfolio risk management methodology has been developed based on the portfolio management standard. This document is applicable as a template and standard for the organizations managing their projects in a portfolio structure since the methodology is based on portfolio standards and risk management, and it is being benefitted from their synergy. The most essential goal of portfolio management is to protect the organization against damages and to prepare it for responding to risks. In order to realize the goal of portfolio risk management, a well-developed and operational framework shall be provided. Therefore, the purpose of this study is to express the details of the... 

Nowadays, the selection and updating the projects portfolio in project-based organizations is mentioned as one of the most challenging issues. Project based organizations used to try to shape their portfolios according to their strategic direction. Portfolio management is especially attended for project based organizations in IT industry in which there is a lot of project proposals with different objectives and scales. On one hand, the best approach for corporate strategy implementation in these kinds of organizations is based on project and portfolio management and on the other hand, the portfolio management in these organizations will affect the strategic direction. In the Persian... 

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... 

Price prediction in financial markets is an exciting problem for a vast majority of groups and people; however, investment portfolio managers and owners are always looking for holistic predic-tion approaches and tools having high functional accurate metrics. Strictly speaking, players in fi-nancial markets are always in search of methods and toolboxes since they need to overcome the un-certainty of their buy, sell, or hold decisions in order to reduce the investment risk. In this research, we have tried to deal with the stock price prediction problem as an asset pricing problem and find a novel approach to push forward the state-of-the-art of the problem based on the fundamental pric-ing... 

Over the past few years, deep reinforcement learning(DRL) has been given a lot of attention in finance for portfolio management. With the help of experts’ signals and historical price data, we have developed a new reinforcement learning(RL) method. The use of experts’ signals in tandem with DRL has been used before in finance, but we believe this is the first time this method has been used to solve the financial portfolio management problem. As our agent, we used the Proximal Policy Optimization(PPO) algorithm to process the reward and take actions in the environment. Our framework comprises a convolutional network to aggregate signals, a convolutional network for historical price data, and... 

Business process management (BPM) is an approach which helps managers to gain success in their organization by becoming capable of identifying and developing their processes. Process improvement is a difficult and important step in BPM since modern organizations have a huge number of processes and activities with complex and complicated relationships and interrelationships. In this work our goal is to rank and prioritize processes based on operational limitations of the organization such as budget, human resources, consumer resources and also relationships among processes have been considered and finally develop a portfolio of processes which are vital and essential for improvement.... 

The construction industry is one of the main industries in Iran, and plays a fundamental role in Iran’s economy, because construction has impact on most of other industries by its vast value chain. Selecting right sets of projects is considerably crucial for construction organizations to successfully achieve their competitive advantages and corporate strategies. Due to limited resources and dynamic changes in Iran’s construction business environment, this kind of selection is quite challenging for construction organizations. Beside’s over hundreds of selection tools, techniques, and complex selection frameworks were developed or recommended by academics and practitioners to smooth the... 

The aim of this research is to develop and implement a deep reinforcement learning algorithm for portfolio management in the Tehran stock market, which is considered an emerging market with distinct patterns compared to the stock markets of developed countries. In this study, in addition to the market price data extensively used in previous research, we leverage fundamental ratio data extracted from company financial reports, which have received less attention. Furthermore, the research scope is limited to stocks in the mining and metal industries to enable the utilization of specific industry features, such as susceptibility to global prices of a key commodity. The portfolio management...