Traditional methods for hedging interest rate risk do not take transaction costs into account as they aim to eliminate all risk. We propose a two-stage stochastic programming model where are weighed against portfolio variance. High-quality measurements of term structures enable us extract the systematic factors and make precise estimates perceived costs. The cost is reduction in variance by usi...

iranian banks can not freely determine their interest rates in the financial market. this characteristic causes banking industry unable to perform their duties of financial intermediaries in the transmission mechanism of monetary. in these circumstances, monetary shocks will have a significant and high effect on the alternative markets (like stocks and housing). in this study, we used dynamic s...

We seek to determine the optimal amount of the insurer’s investment in all types of assets for a small and closed economy. The goal is to detect the implications and contributions the risk seeker and risk aversion insurer commonly make and the effectiveness in the investment decision. Also, finding the optimum portfolio for each is the main goal of the present study. To this end, we adopted the...

One of the most discussed assumptions of financial models, especially criticized in periods of financial turmoils, is that of market completeness, that is the perfect replication of any contingent claim by a suitable dynamic trading strategy. Theoretically, this is often achieved by ruling out any market imperfection, like illiquidity, credit risks, transactions costs, taxes, etc and by assumin...