Research Article
The Effect of Volatility Temporal Changes on the Predictability and Return of Optimal Portfolio Using the DMA Model

Fatemeh Samadi; Hossein Eslami Mofid Abadi

Volume 1, Issue 2 , September 2021, Pages 1-14

http://dx.doi.org/10.22054/jmmf.2021.13835

Abstract
  According to most  nancial experts, it is not possible to study the predictability of stock prices without considering the risks affecting stock returns. On the other hand, identifying risks requires determining the share of risk in the total risk and the probability of risk occurrence in different ...  Read More

Research Article
Estimating the term structure of mortality: an application to actuarial studies

Marzieh Vahdani; Ali Safdari

Volume 1, Issue 2 , September 2021, Pages 15-26

http://dx.doi.org/10.22054/jmmf.2021.13837

Abstract
  Insurance companies and pension funds which deal with human lifetime are interested in mortality forecasting to minimize the longevity risk. In this paper, we studied the mortality forecasting model based on the age-specific death rates by the usage of the state-space framework and Kalman filtering technique. ...  Read More

Research Article
Designing an Updatable Long Term Health Insurance

Atefeh Kanani Dizaji; Amir Teimour Payandeh Najafabadi; Mohammad Zokaei

Volume 1, Issue 2 , September 2021, Pages 27-42

http://dx.doi.org/10.22054/jmmf.2021.13838

Abstract
  In this paper, we considered the long-term health insurance as a sequence of annual health insurance policies. To improve the disadvantages of long-term health insurance, we specify the optimal contract including optimal insurance premiums and optimal insurance coverage for the healthcare costs using ...  Read More

Research Article
Prediction of outstanding IBNR liabilities using delay probability

Fatemeh Atatalab; Amir Teimour Payandeh Najafabadi

Volume 1, Issue 2 , September 2021, Pages 43-56

http://dx.doi.org/10.22054/jmmf.2021.13839

Abstract
  ‎An important question in non life insurance research is the ‎estimation of number of future payments and corresponding ‎amount of them. A ‎loss reserve is the money set aside by insurance companies to pay ‎policyholders claims on their policies. The policyholder behavior for reporting ...  Read More

Research Article
An Application of Stochastic Approximation in Simulated Method of Moments

Erfan Salavati; Nazanin Mohseni

Volume 1, Issue 2 , September 2021, Pages 57-72

http://dx.doi.org/10.22054/jmmf.2021.13840

Abstract
  Identifying the structures of dependence between financial assets is one of the interesting topics to researchers. However, there are challenges to this purpose. One of them is the modelling of heavy tail distributions. Distributions of financial assets generally have heavier tails than other distributions, ...  Read More

Research Article
Spectral Graph Embedding for Dimension Reduction in Financial Risk Assessment

Hossein Teimoori Faal; Meyssam Bagheri

Volume 1, Issue 2 , September 2021, Pages 73-92

http://dx.doi.org/10.22054/jmmf.2021.13841

Abstract
  The economic downturn in recent years has had a significant negative impact on corporates performance. In the last two years, as in the last years of 2010s, many companies have been influenced by the economic conditions and some have gone bankrupt. This has led to an increase in companies' financial ...  Read More

Research Article
Trade War and the Balanced Trade-Monetary Theory

Saeid Tajdini; Amir Hamooni; Jamal Maghsoudi; Farzad Jafari; Majid Lotfi Ghahroud

Volume 1, Issue 2 , September 2021, Pages 93-110

http://dx.doi.org/10.22054/jmmf.2021.13842

Abstract
  One of the longest-lasting controversies in the international macroeconomic literature is the purchasing power parity theory. It is the most controversial subject that has been tested with various econometric models in different timeframes and geographic data sets. It is a common assumption used regarding ...  Read More

Research Article
Efficient estimation of Markov-switching model with application in stock price classification

Farshid Mehrdoust; Idin Noorani; Mahdi Khavari

Volume 1, Issue 2 , September 2021, Pages 111-130

http://dx.doi.org/10.22054/jmmf.2021.13843

Abstract
  In this paper, we discuss the calibration of the geometric Brownian motion model equipped with Markov-switching factor. Since the motivation for this research comes from a recent stream of literature in stock economics, we propose an efficient estimation method to sample a series of stock prices based ...  Read More

Research Article
Network centrality and portfolio optimization using the genetic algorithm

Asghar Abolhasani Hastiany; Alireza Zamanpour

Volume 1, Issue 2 , September 2021, Pages 131-162

http://dx.doi.org/10.22054/jmmf.2021.13844

Abstract
  This study aims to optimize the portfolio using the genetic operator and network centralization. The statistical population of the study is the top 50 companies of Tehran Stock Exchange, in the first quarter of 2021, and to calculate the size of centrality, we used the difference in the overall performance ...  Read More

Research Article
Modeling of Mortgage-Backed Securities based on stochastic processes

Mehrdokht Khani; Abdolsadeh Neisy

Volume 1, Issue 2 , September 2021, Pages 163-180

http://dx.doi.org/10.22054/jmmf.2021.13847

Abstract
  In this paper, we first present a nonlinear structural model for pricing mortgage-backed securities. These derivatives are considered to be the primary cause of the 2008 financial crisis that was raised in the United States. We focus our work on pass-through mortgages, which pay both the principal and ...  Read More

Research Article
Portfolio Selection by a Non-Radial DEA Model; Its application in Tehran Stock Exchange (TSE)

Hadi Bagherzadeh Valami

Volume 1, Issue 2 , September 2021, Pages 181-194

http://dx.doi.org/10.22054/jmmf.2021.13848

Abstract
  In this paper, considering risks of a portfolio such as mean return, variance of returns, and moments of higher order as output variables including desirable and undesirable outputs, we introduce a non-radial and slack based score to measure efficiency of portfolios. Using the present measure, ranking ...  Read More

Research Article
Modelling the Block Trades Premium: Focusing on Refining and Petrochemical Companies

Mehran Kaviani; Ali Mohammad Ghanbari; Moslem Peymany

Volume 1, Issue 2 , September 2021, Pages 195-222

http://dx.doi.org/10.22054/jmmf.2021.13849

Abstract
  Business expansions being engaged in variety of industries in purpose of getting bigger market share, role of corporate governance within the financial decision. One of the important issues in corporate governance is block trading with purpose of control or invest in target firms. If the plan is to acquire ...  Read More