Samira Khonsha; Mehdi Agha Sarram; Razieh Sheikhpour
Abstract
Portfolio allocation with Deep Reinforcement Learning (DRL) has been the focus of many researchers. In investing, a portfolio optimization strategy is selecting assets that maximize return on investment while minimizing the risk. The task of asset optimization involves balancing risk and return, where ...
Read More
Portfolio allocation with Deep Reinforcement Learning (DRL) has been the focus of many researchers. In investing, a portfolio optimization strategy is selecting assets that maximize return on investment while minimizing the risk. The task of asset optimization involves balancing risk and return, where stock returns are profits over a period of time and risk is the standard deviation value of the asset`s return. Many of the existing methods for portfolio optimization are essentially the expansion of diversification methods for assets in the investment. Signiant drawdowns and early entry into the share are still a challenge in portfolio construction. The idea here is that having a portfolio based on money net flow is less risky than allocating a portfolio based on historical data only and turbulence as risk aversion. In this paper, we propose a profitable stock recommendation framework for portfolio construction using DRL model based on the money net flow (MNF) indicator. We develop a new risk indicator based on the intelligent net-flow behavior of smart money to help determine the optimal market timing for buying and selling. The experimental results by real-world trading scenario validation show the model clearly outperforms all the considered baselines, and even the conventional Buy-and-Hold strategy. Moreover, in this paper, the effect of defining different environments made of various information with hyperparameter optimization on the performance of models has been investigated, and the performance of DRL-driven models in different markets and asset positions has been investigated. The empirical results show the dominance of DRL models based on MNF indicator.
hamzeh mohammady khoshouei; esmail kazemi; mohsen dastgir
Abstract
Abstract:
This study aimed to develop an internal control model for the Iranian Social Security Organization with a risk management approach. This exploratory study is applied in terms of objective, and the statistical population comprised 340 employees in the financial department of the Iranian Social ...
Read More
Abstract:
This study aimed to develop an internal control model for the Iranian Social Security Organization with a risk management approach. This exploratory study is applied in terms of objective, and the statistical population comprised 340 employees in the financial department of the Iranian Social Security Organization. The data was collected using interviews and questionnaires, and the hypotheses were tested with inferential statistics and structural equation tests. The results showed that the internal control factors of the Iranian Social Security Organization include the income bank system, the legal obligations system, compensation, the financial bookkeeping system, the movable and immovable property system, the financial management system, and check issuance requirements. The results also showed that the factors affecting internal controls are among the factors influencing risk management. Considering the extent of branches, dimensions, various services including (retirement, disability) and the size and volume of financial operations, as well as the very high budget of the Social Security Organization (for example, in 1400, the budget of the Social Security Organization is 500 thousand billion Rials), there are many factors on the controls Empty and effective risk management. The most important factor affecting the efficacy of the Social Security Organization’s internal controls is the financial bookkeeping system, Payroll system And Legal requirements for issuing checks.
akram taftiyan; Fatemeh mansuri mohammad abadi
Abstract
The forward-looking information disclosure is to present the information that enables the beneficiaries to evaluate the future of a company that might involve financial forecasts and uncertainty. This probably affects the performance of the company and decreases the stock return volatility. The present ...
Read More
The forward-looking information disclosure is to present the information that enables the beneficiaries to evaluate the future of a company that might involve financial forecasts and uncertainty. This probably affects the performance of the company and decreases the stock return volatility. The present research aims at integrated modeling of the causes and consequences of forward-looking information disclosure. This study is an applied descriptive correlational research. The sample included 93 companies listed in the Tehran stock exchange in the interval of 2013 to 2019. The impact of all the causes of forward-looking information disclosure and its consequences was extracted by applying the structural equation modeling method. The consequences include the capital cost and informational asymmetry, and the causes of forward-looking information disclosure include the macroeconomic features, financial performance, ownership structure, board characteristics, structural properties, and audit. In short, according to the obtained results, the forward-looking information disclosure has a positive significant effect on the capital cost. On the contrary, it has no significant influence on informational asymmetry. Further, the results of testing the model revealed that the variables of ownership structure and financial performance have a positive influence on the forward-looking information disclosure. In addition, the impact of macroeconomic characteristics is negative and there is no relationship between the forward-looking information disclosure with the audit, structural features, and board's characteristics.
HAMIDREZA GANJI; Mehran Jahandoust Marghoub; Vahid Menati; Seyed Rasoul Rasoul Hosayni
Abstract
Corporate Social Responsibility (CSR) concept is closely related to the notion of sustainable development and the outcome of the approach of sustainable development is specific consideration to disclosure and reporting of CSR. One of the factors that seems to be less considered in the Iranian economic ...
Read More
Corporate Social Responsibility (CSR) concept is closely related to the notion of sustainable development and the outcome of the approach of sustainable development is specific consideration to disclosure and reporting of CSR. One of the factors that seems to be less considered in the Iranian economic environment and research is the competitive nature of the product market in today's highly competitive and sensitive environment. So, the main aim of this paper is to investigate the moderating effect of competition in the product market on the debts ratio and the CSR relation among companies listed on the Tehran Stock Exchange. The independent variable in this study is CSR; and the dependent variable is the debts ratio. In order to investigate this issue, the research sample was determined using the systematic elimination method and 97 companies were selected during a 7-year period from 2012 to 2018. Multivariate regression was used to analysis the data and test the hypothesis. For this purpose, output-oriented BCC model has been used to measure the CSR of companies and the Lerner index has been used as a representative of competition in the product market. The results show that high competition in the product market has a moderating effect on the relations between CSR and debts ratio. In other words, in a situation where competition in the product market is high; Firms adopt lower debts ratio by fulfilling their social responsibilities. the investigation of the moderating effect of competition, is the distinguishing feature of our research compared to other studies. Therefore, players of industry, business, creditors and investors should have pay attention to the intensity of competition in the market.