Abstract: Profit and loss sharing suggests an equitable sharing of risks and profits between the parts involved in a financial transaction. Salam is a contract in which advance payment is made for goods to be delivered at a future date. The purpose of this work is to price a new contract for profit and loss sharing based on Salam contract, using Khiyar Al Ghabn which is an agreement of choice in case of misrepresent facts.
Abstract: This research studies the joint production,
maintenance and subcontracting control policy for an unreliable
deteriorating manufacturing system. Production activities are
controlled by a derivation of the Hedging Point Policy, and given that
the system is subject to deterioration, it reduces progressively its
capacity to satisfy product demand. Multiple deterioration effects are
considered, reflected mainly in the quality of the parts produced and
the reliability of the machine. Subcontracting is available as support
to satisfy product demand; also, overhaul maintenance can be
conducted to reduce the effects of deterioration. The main objective
of the research is to determine simultaneously the production,
maintenance and subcontracting rate, which minimize the total,
incurred cost. A stochastic dynamic programming model is
developed and solved through a simulation-based approach
composed of statistical analysis and optimization with the response
surface methodology. The obtained results highlight the strong
interactions between production, deterioration and quality, which
justify the development of an integrated model. A numerical example
and a sensitivity analysis are presented to validate our results.
Abstract: The paper investigates downtrend algorithm and
trading strategy based on chart pattern recognition and technical
analysis in futures market. The proposed chart formation is a pattern
with the lowest low in the middle and one higher low on each side.
The contribution of this paper lies in the reinforcement of statements
about the profitability of momentum trend trading strategies.
Practical benefit of the research is a trading algorithm in falling
markets and back-test analysis in futures markets. When based on
daily data, the algorithm has generated positive results, especially
when the market had downtrend period. Downtrend algorithm can be
applied as a hedge strategy against possible sudden market crashes.
The proposed strategy can be interesting for futures traders, hedge
funds or scientific researchers performing technical or algorithmic
market analysis based on momentum trend trading.
Abstract: This study employs a bivariate asymmetric GARCH
model to reveal the hidden dynamics price changes and volatility
among the emerging markets of Thailand and Malaysian after the
Asian financial crisis from January 2001 to December 2008. Our
results indicated that the equity markets are sharing the common
information (shock) that transmitted among each others. These
empirical findings are used to demonstrate the importance of shock
and volatility dynamic transmissions in the cross-market hedging and
market risk.
Abstract: The study analyzed the risk and returns of commercial-property in Southwestern Nigeria and selected stocksmarket investment between 2000 and 2009; compared the inflation hedging characteristics and diversification potentials of investing in commercial-property and selected stock- market investment. Primary data were collected on characteristics, rental and capital values of commercial- properties from their property managers through the use of questionnaire. Secondary data on stock prices and dividends on banking, insurance and conglomerates sectors were sourced from the Nigerian Stock Exchange (2000-2009). The result showed that average return on all the selected stock- investments was higher than that of commercial-property. As regards risk, commercial-property indicated lower risk, compared to stocks. Also the stock-investment had better inflation hedging capacity than commercial-properties; combination of both had diversification potentials. The study concluded that stock-market investment offered attractive higher return than commercial-property although with higher risk and there could be diversification benefits in combining commercial-property with stock- investment.
Abstract: In this paper a stochastic scenario-based model predictive control applied to molten salt storage systems in concentrated solar tower power plant is presented. The main goal of this study is to build up a tool to analyze current and expected future resources for evaluating the weekly power to be advertised on electricity secondary market. This tool will allow plant operator to maximize profits while hedging the impact on the system of stochastic variables such as resources or sunlight shortage.
Solving the problem first requires a mixed logic dynamic modeling of the plant. The two stochastic variables, respectively the sunlight incoming energy and electricity demands from secondary market, are modeled by least square regression. Robustness is achieved by drawing a certain number of random variables realizations and applying the most restrictive one to the system. This scenario approach control technique provides the plant operator a confidence interval containing a given percentage of possible stochastic variable realizations in such a way that robust control is always achieved within its bounds. The results obtained from many trajectory simulations show the existence of a ‘’reliable’’ interval, which experimentally confirms the algorithm robustness.