WorldWideScience

Sample records for integrated portfolio analysis

  1. Risk Assessment and Integration Team (RAIT) Portfolio Risk Analysis Strategy

    Science.gov (United States)

    Edwards, Michelle

    2010-01-01

    Impact at management level: Qualitative assessment of risk criticality in conjunction with risk consequence, likelihood, and severity enable development of an "investment policy" towards managing a portfolio of risks. Impact at research level: Quantitative risk assessments enable researchers to develop risk mitigation strategies with meaningful risk reduction results. Quantitative assessment approach provides useful risk mitigation information.

  2. USING MATRIX METHODS OF PORTFOLIO ANALYSIS IN DESIGNING VERTICAL-INTEGRATED BUILDING STRUCTURE

    Directory of Open Access Journals (Sweden)

    Rakytska S.

    2018-01-01

    Full Text Available Introduction. Ensuring productive functioning of corporations requires assessment and management decisions in terms of choosing effective areas of its activities. Purpose. Investigation of the possibilities of using matrix methods in the formation of a business portfolio in order to create a vertically-integrated structure in the construction complex. Results. Portfolio analysis is an effective tool, first of all, for functionally flexible, “many grocery” companies, who have the opportunity to quickly make changes to their business portfolio. For the production of the final construction product, you need the entire technological chain – from the supplier of primary raw materials, to the implementation and further maintenance of finished products. The strategy of the integrated structure is designed to: coordinate the objectives of the merged enterprises, determine the degree of their interaction, maximize the effect of the integration of business entities, develop ways to react newly formed corporation to changes taking place in the external environment, determine the most effective way of its development time, to ensure the competitive advantages of an integrated structure. The construction of a complex multi-level corporation in a building complex requires the development of a certain algorithm of action, which will ensure the optimality of the newly created structure and effective functioning.

  3. Portfolio Analysis for Vector Calculus

    Science.gov (United States)

    Kaplan, Samuel R.

    2015-01-01

    Classic stock portfolio analysis provides an applied context for Lagrange multipliers that undergraduate students appreciate. Although modern methods of portfolio analysis are beyond the scope of vector calculus, classic methods reinforce the utility of this material. This paper discusses how to introduce classic stock portfolio analysis in a…

  4. Integrated Portfolio Analysis: Return on Investment and Real Options Analysis of Intelligence Information Systems (Cryptologic Carry On Program)

    National Research Council Canada - National Science Library

    Rios, Jr., Cesar G; Housel, Thomas; Mun, Johnathan

    2006-01-01

    ...) on individual projects, programs, and processes within a portfolio of IT investments. Using KVA historical data as a platform, the authors evaluate potential strategic investments with real options analysis...

  5. Cluster analysis for portfolio optimization

    OpenAIRE

    Vincenzo Tola; Fabrizio Lillo; Mauro Gallegati; Rosario N. Mantegna

    2005-01-01

    We consider the problem of the statistical uncertainty of the correlation matrix in the optimization of a financial portfolio. We show that the use of clustering algorithms can improve the reliability of the portfolio in terms of the ratio between predicted and realized risk. Bootstrap analysis indicates that this improvement is obtained in a wide range of the parameters N (number of assets) and T (investment horizon). The predicted and realized risk level and the relative portfolio compositi...

  6. An integrated portfolio optimisation procedure based on data envelopment analysis, artificial bee colony algorithm and genetic programming

    Science.gov (United States)

    Hsu, Chih-Ming

    2014-12-01

    Portfolio optimisation is an important issue in the field of investment/financial decision-making and has received considerable attention from both researchers and practitioners. However, besides portfolio optimisation, a complete investment procedure should also include the selection of profitable investment targets and determine the optimal timing for buying/selling the investment targets. In this study, an integrated procedure using data envelopment analysis (DEA), artificial bee colony (ABC) and genetic programming (GP) is proposed to resolve a portfolio optimisation problem. The proposed procedure is evaluated through a case study on investing in stocks in the semiconductor sub-section of the Taiwan stock market for 4 years. The potential average 6-month return on investment of 9.31% from 1 November 2007 to 31 October 2011 indicates that the proposed procedure can be considered a feasible and effective tool for making outstanding investment plans, and thus making profits in the Taiwan stock market. Moreover, it is a strategy that can help investors to make profits even when the overall stock market suffers a loss.

  7. A Mean variance analysis of arbitrage portfolios

    Science.gov (United States)

    Fang, Shuhong

    2007-03-01

    Based on the careful analysis of the definition of arbitrage portfolio and its return, the author presents a mean-variance analysis of the return of arbitrage portfolios, which implies that Korkie and Turtle's results ( B. Korkie, H.J. Turtle, A mean-variance analysis of self-financing portfolios, Manage. Sci. 48 (2002) 427-443) are misleading. A practical example is given to show the difference between the arbitrage portfolio frontier and the usual portfolio frontier.

  8. Integrated Portfolio Analysis: Return on Investment and Real Options Analysis of Intelligence Information Systems (Cryptologic Carry On Program)

    Science.gov (United States)

    2006-09-30

    14 IV. Proof-of-Concept: USS Readiness Case Study 16 A. Background 17 B. Applying KVA Methodology 19 C. KVA Results 20 D. Real Options Analysis 23...technology assets. • Quantifying intangible human capital assets (i.e., training, skills, knowledge). The average large company spends the equivalent of...Portfolios/Motorola, Unilever • IT Infrastructure/Credit Suisse • Electricity/Peaker-Plants • Acquisitions/Seagate • Contracts/Syngenta, GM Although

  9. Validation of Competencies in E-Portfolios: A Qualitative Analysis

    Science.gov (United States)

    Zawacki-Richter, Olaf; Hanft, Anke; Baecker, Eva Maria

    2011-01-01

    This paper uses the example of an Internet-based advanced studies course to show how the portfolio method, as a competence-based form of examination, can be integrated in a blended learning design. Within the framework of a qualitative analysis of project portfolios, we examined which competencies are documented and how students reflected on their…

  10. Specific patterns in portfolio analysis

    Directory of Open Access Journals (Sweden)

    Gabriela Victoria ANGHELACHE

    2013-11-01

    Full Text Available In the mid-twentieth century, under an unprecedented growth of the business of trading in securities, the need to provide a modern framework for assessing the performance of portfolios of financial instruments was felt. To that effect, it is noted that over this period, more and more economists have attempted to develop statistical mathematical models that ensure the evaluation of profitability and portfolio risk securities. These models are considered to be part of "the modern portfolio theory".

  11. PRODUCT PORTFOLIO ANALYSIS - ARTHUR D. LITTLE MATRIX

    Directory of Open Access Journals (Sweden)

    Curmei Catalin Valeriu

    2011-07-01

    Full Text Available In recent decades we have witnessed an unseen dynamism among companies, which is explained by their desire to engage in more activities that provide a high level of development and diversification. Thus, as companies are diversifying more and more, their managers confront a number of challenges arising from the management of resources for the product portfolio and the low level of resources with which companies can identify, at a time. Responding to these challenges, over time were developed a series of analytical product portfolio methods through which managers can balance the sources of cash flows from the multiple products and also can identify the place and role of products, in strategic terms, within the product portfolio. In order to identify these methods the authors of the present paper have conducted a desk research in order to analyze the strategic marketing and management literature of the last 2 decades. Widely were studied a series of methods that are presented in the marketing and management literature as the main instruments used within the product portfolio strategic planning process. Among these methods we focused on the Arthur D. Little matrix. Thus the present paper has the purpose to outline the characteristics and strategic implications of the ADL matrix within a company’s product portfolio. After conducting this analysis we have found that restricting the product portfolio analysis to the A.D.L. matrix is not a very wise decision. The A.D.L. matrix among with other marketing tools of product portfolio analysis have some advantages and disadvantages and is trying to provide, at a time, a specific diagnosis of a company’s product portfolio. Therefore, the recommendation for the Romanian managers consists in a combined use of a wide range of tools and techniques for product portfolio analysis. This leads to a better understanding of the whole mix of product markets, included in portfolio analysis, the strategic position

  12. Portfolio analysis of layered security measures.

    Science.gov (United States)

    Chatterjee, Samrat; Hora, Stephen C; Rosoff, Heather

    2015-03-01

    Layered defenses are necessary for protecting the public from terrorist attacks. Designing a system of such defensive measures requires consideration of the interaction of these countermeasures. In this article, we present an analysis of a layered security system within the lower Manhattan area. It shows how portfolios of security measures can be evaluated through portfolio decision analysis. Consideration is given to the total benefits and costs of the system. Portfolio diagrams are created that help communicate alternatives among stakeholders who have differing views on the tradeoffs between security and economic activity. © 2014 Society for Risk Analysis.

  13. Integrating Project Portfolio With Business Strategy: Imagineering

    Directory of Open Access Journals (Sweden)

    Cesar Buaes Dal Maso

    2015-12-01

    Full Text Available Aligning project management to the strategy of a big company is a difficult job. Through Imagineering (the business department and project management program, The Walt Disney Company has done this alignment in an exemplary way. Using a theoretical investigation, this study analyzed the Imagineering as a reference in strategic management of global projects through Disney´s business portfolio, a global benchmarking and with Malmberg et al. (2010 as a company guide. As the main results of the correlations carried out, it was noted that the Imagineers who work in project teams apply tools and techniques with a strategic vision focused on differentiation, generating value, and mixing imagination with technical capacity. The Blue Sky department and its integrated units make possible the creation and deployment of the attractions, the theme parks, hotels, resorts and the Disney sea cruises, demonstrating in this way, to be a highly effective project management office.

  14. Portfolio Selection Using Level Crossing Analysis

    Science.gov (United States)

    Bolgorian, Meysam; Shirazi, A. H.; Jafari, G. R.

    Asset allocation is one of the most important and also challenging issues in finance. In this paper using level crossing analysis we introduce a new approach for portfolio selection. We introduce a portfolio index that is obtained based on minimizing the waiting time to receive known return and risk values. By the waiting time, we mean time that a special level is observed in average. The advantage of this approach is that the investors are able to set their goals based on gaining return and knowing the average waiting time and risk value at the same time. As an example we use our model for forming portfolio of stocks in Tehran Stock Exchange (TSE).

  15. Assessment and Planning Using Portfolio Analysis

    Science.gov (United States)

    Roberts, Laura B.

    2010-01-01

    Portfolio analysis is a simple yet powerful management tool. Programs and activities are placed on a grid with mission along one axis and financial return on the other. The four boxes of the grid (low mission, low return; high mission, low return; high return, low mission; high return, high mission) help managers identify which programs might be…

  16. Analysis of the Capability Portfolio Review (CPR)

    Science.gov (United States)

    2014-06-01

    10  2.4.1.1.  The Basics of Modern Portfolio Theory ...of Modern Portfolio Theory Much of modern portfolio management has been motivated by the influential work of Harry Markowitz (Markowitz, 1952) and...unsystematic risk associated with individual stocks, leaving only the generally market risk (Walls, 2004). The basic assumption of modern portfolio theory is

  17. Analysis of renewable portfolio standards

    Energy Technology Data Exchange (ETDEWEB)

    Bernow, S.; Dougherty, W.; Duckworth, M.

    1997-12-31

    A national RPS would increase the fraction of U.S. electricity generation from renewable technologies at least cost. It would help ensure that the cost and performance of these technologies would improve with manufacturing experience, scale economies, and learning-by-doing from their integration into electric systems. Thus, their economic, environmental, energy security, and sustainability benefits would be realized.

  18. USAGE OF THE MAIN COMPONENTS ANALYSIS IN THE MANAGEMENT OF THE INVESTMENT PORTFOLIO

    OpenAIRE

    Dan ARMEANU; Andreea NEGRU

    2011-01-01

    When managing investment portfolios on integrated capital markets, beyond the models put forth by the modern portfolio theory, (the Markowitz model, the CML model, the CAPM model, the Treynor-Black model and more), one can successfully resort to the statistical and mathematical tools made available by the multidimensional data analysis. The reason why we shall use those tools in our analysis is simple: they make it possible to reduce the number of variables in the analysis while preserving mu...

  19. Application of an integrated model for evaluation and optimization of business projects portfolios

    Directory of Open Access Journals (Sweden)

    Camila Costa Dutra

    2016-12-01

    Full Text Available This work presents an application of an integrated model for the evaluation and probabilistic optimization of projects portfolios, integrating economic, risk and social and environmental impacts analysis. The model uses the Monte Carlo simulation and linear programming techniques for treatment of uncertainties and optimization of projects portfolio. The integrated model was applied in a Brazilian company of electricity distributions. The portfolio of selected projects was related to the expansion of the supply of electricity in a town in the south of the country and the analysis horizon was set in ten years. The aim of the application was to maximize the return for the implementation of a substation and a transmission line in a set of projects, which are diverse in terms of costs, benefits and environmental and social impacts. As a result, the model generates: i an analysis of each individual projects, from budget information (costs and benefits involved and estimation of social and environmental impacts generated by the project and the risks (uncertainties involved and ii the optimum combination of projects that the company should prioritize to ensure the best financial return and lower social and environmental impacts, thus generating an optimal portfolio.

  20. APPLICATION OF AN INTEGRATED MODEL FOR EVALUATION AND OPTIMIZATION OF BUSINESS PROJECTS PORTFOLIOS

    Directory of Open Access Journals (Sweden)

    Maria Auxiliadora Cannarozzo Tinoco

    2016-12-01

    Full Text Available This work presents an application of an integrated model for the evaluation and probabilistic optimization of projects portfolios, integrating economic, risk and social and environmental impacts analysis. The model uses the Monte Carlo simulation and linear programming techniques for treatment of uncertainties and optimization of projects portfolio. The integrated model was applied in a Brazilian company of electricity distributions. The portfolio of selected projects was related to the expansion of the supply of electricity in a town in the south of the country and the analysis horizon was set in ten years. The aim of the application was to maximize the return for the implementation of a substation and a transmission line in a set of projects, which are diverse in terms of costs, benefits and environmental and social impacts. As a result, the model generates: i an analysis of each individual projects, from budget information (costs and benefits involved and estimation of social and environmental impacts generated by the project and the risks (uncertainties involved and ii the optimum combination of projects that the company should prioritize to ensure the best financial return and lower social and environmental impacts, thus generating an optimal portfolio

  1. Portfolio Analysis of Renewable Energy Opportunities: Preprint

    Energy Technology Data Exchange (ETDEWEB)

    Richards, Allison; Deprizio, Jodi; Anderson, Kate; DiOrio, Nick; Elgqvist, Emma; Simpkins, Travis

    2016-11-01

    Time Warner Cable (TWC), now Charter Communications (CC), partnered with the National Renewable Energy Laboratory (NREL) to assess the technical and economic potential for solar photovoltaic (PV), wind, and ground-source heat-pump systems at 696 TWC facilities. NREL identified 306 sites where adding a renewable energy system would provide cost savings over the project life-cycle. In general, the top sites have some combination of high electricity rates ($0.16-$0.29/kWh), significant state incentives, and favorable net-metering policies. If all projects were implemented via third-party power purchase agreements, TWC/CC would save $37 million over 25 years and meet 10.5% of their energy consumption with renewable energy. This paper describes the portfolio screening methodology used to identify and prioritize renewable energy opportunities across the TWC sites, as well as a summary of the potential cost savings that may be realized by implementing these projects. This may provide a template for other companies interested in identifying and prioritizing renewable energy opportunities across a large number of geographically dispersed sites. Following this initial portfolio analysis, NREL will be conducting in-depth analysis of project development opportunities at ten sites and evaluating off-grid solutions that may enable carbon emission reduction and grid independence at select facilities.

  2. A Method for Exploring Program and Portfolio Affordability Tradeoffs Under Uncertainty Using Epoch-Era Analysis: A Case Application to Carrier Strike Group Design

    Science.gov (United States)

    2015-04-30

    design for affordability by augmenting Epoch-Era Analysis with aspects of Modern Portfolio Theory . The method is demonstrated through the design of a...introduces a method to conduct portfolio design for affordability by augmenting Epoch-Era Analysis with aspects of Modern Portfolio Theory . The method...through the integration of elements of Modern Portfolio Theory (MPT) and the SoS design literature. The proposed method is demonstrated in a case study

  3. Portfolio Decision Analysis Framework for Value-Focused Ecosystem Management.

    Science.gov (United States)

    Convertino, Matteo; Valverde, L James

    2013-01-01

    Management of natural resources in coastal ecosystems is a complex process that is made more challenging by the need for stakeholders to confront the prospect of sea level rise and a host of other environmental stressors. This situation is especially true for coastal military installations, where resource managers need to balance conflicting objectives of environmental conservation against military mission. The development of restoration plans will necessitate incorporating stakeholder preferences, and will, moreover, require compliance with applicable federal/state laws and regulations. To promote the efficient allocation of scarce resources in space and time, we develop a portfolio decision analytic (PDA) framework that integrates models yielding policy-dependent predictions for changes in land cover and species metapopulations in response to restoration plans, under different climate change scenarios. In a manner that is somewhat analogous to financial portfolios, infrastructure and natural resources are classified as human and natural assets requiring management. The predictions serve as inputs to a Multi Criteria Decision Analysis model (MCDA) that is used to measure the benefits of restoration plans, as well as to construct Pareto frontiers that represent optimal portfolio allocations of restoration actions and resources. Optimal plans allow managers to maintain or increase asset values by contrasting the overall degradation of the habitat and possible increased risk of species decline against the benefits of mission success. The optimal combination of restoration actions that emerge from the PDA framework allows decision-makers to achieve higher environmental benefits, with equal or lower costs, than those achievable by adopting the myopic prescriptions of the MCDA model. The analytic framework presented here is generalizable for the selection of optimal management plans in any ecosystem where human use of the environment conflicts with the needs of

  4. Portfolio Decision Analysis Framework for Value-Focused Ecosystem Management.

    Directory of Open Access Journals (Sweden)

    Matteo Convertino

    Full Text Available Management of natural resources in coastal ecosystems is a complex process that is made more challenging by the need for stakeholders to confront the prospect of sea level rise and a host of other environmental stressors. This situation is especially true for coastal military installations, where resource managers need to balance conflicting objectives of environmental conservation against military mission. The development of restoration plans will necessitate incorporating stakeholder preferences, and will, moreover, require compliance with applicable federal/state laws and regulations. To promote the efficient allocation of scarce resources in space and time, we develop a portfolio decision analytic (PDA framework that integrates models yielding policy-dependent predictions for changes in land cover and species metapopulations in response to restoration plans, under different climate change scenarios. In a manner that is somewhat analogous to financial portfolios, infrastructure and natural resources are classified as human and natural assets requiring management. The predictions serve as inputs to a Multi Criteria Decision Analysis model (MCDA that is used to measure the benefits of restoration plans, as well as to construct Pareto frontiers that represent optimal portfolio allocations of restoration actions and resources. Optimal plans allow managers to maintain or increase asset values by contrasting the overall degradation of the habitat and possible increased risk of species decline against the benefits of mission success. The optimal combination of restoration actions that emerge from the PDA framework allows decision-makers to achieve higher environmental benefits, with equal or lower costs, than those achievable by adopting the myopic prescriptions of the MCDA model. The analytic framework presented here is generalizable for the selection of optimal management plans in any ecosystem where human use of the environment conflicts with the

  5. Portfolio Decision Analysis Framework for Value-Focused Ecosystem Management

    Science.gov (United States)

    Convertino, Matteo; Valverde, L. James

    2013-01-01

    Management of natural resources in coastal ecosystems is a complex process that is made more challenging by the need for stakeholders to confront the prospect of sea level rise and a host of other environmental stressors. This situation is especially true for coastal military installations, where resource managers need to balance conflicting objectives of environmental conservation against military mission. The development of restoration plans will necessitate incorporating stakeholder preferences, and will, moreover, require compliance with applicable federal/state laws and regulations. To promote the efficient allocation of scarce resources in space and time, we develop a portfolio decision analytic (PDA) framework that integrates models yielding policy-dependent predictions for changes in land cover and species metapopulations in response to restoration plans, under different climate change scenarios. In a manner that is somewhat analogous to financial portfolios, infrastructure and natural resources are classified as human and natural assets requiring management. The predictions serve as inputs to a Multi Criteria Decision Analysis model (MCDA) that is used to measure the benefits of restoration plans, as well as to construct Pareto frontiers that represent optimal portfolio allocations of restoration actions and resources. Optimal plans allow managers to maintain or increase asset values by contrasting the overall degradation of the habitat and possible increased risk of species decline against the benefits of mission success. The optimal combination of restoration actions that emerge from the PDA framework allows decision-makers to achieve higher environmental benefits, with equal or lower costs, than those achievable by adopting the myopic prescriptions of the MCDA model. The analytic framework presented here is generalizable for the selection of optimal management plans in any ecosystem where human use of the environment conflicts with the needs of

  6. Comparative Analysis of Investment Funds Stocks-based Portfolios and BET Stocks-based Portfolios

    Directory of Open Access Journals (Sweden)

    Ion STANCU

    2010-04-01

    Full Text Available In this paper we intend to find out what is the best choice of stocks-based portfolio. The major goal is to find whether is more efficient to invest the whole capital in a single sector, like financial investments, or to create a diversified portfolio, taking into account assets from various economic sectors. Capital allocation will be based on the concept of cointegration. We have chosen this method because it can be applied on non-stationary data series, and, besides, it has the advantage of using the whole set of information provided by the financial assets. Another goal is to study how the portfolio structure adjusts if a shock occurs during the period under analysis so that to preserve a certain return or minimize a potential loss. The study will result in an investment solution in the Romanian capital market, even in the context of financial crisis.

  7. An Analysis of a Free Cashflow Portfolio Investment Strategy ...

    African Journals Online (AJOL)

    An Analysis of a Free Cashflow Portfolio Investment Strategy. ... African Journal of Finance and Management ... risks that are less than one, so without additional risk, the investment strategy yields higher returns than an international investment ...

  8. A Comparative Analysis of Ability of Mimicking Portfolios in Representing the Background Factors

    OpenAIRE

    Asgharian, Hossein

    2004-01-01

    Our aim is to give a comparative analysis of ability of different factor mimicking portfolios in representing the background factors. Our analysis contains a cross-sectional regression approach, a time-series regression approach and a portfolio approach for constructing factor mimicking portfolios. The focus of the analysis is the power of mimicking portfolios in the asset pricing models. We conclude that the time series regression approach, with the book-to-market sorted portfolios as the ba...

  9. PORTFOLIO ANALYSIS BASED ON THE EXAMPLE OF ZAGREB STOCK EXCHANGE

    Directory of Open Access Journals (Sweden)

    Sinisa Bogdan

    2010-06-01

    Full Text Available In this paper we analyze the portfolio that was selected from the Zagreb Stock Exchange and also try to assess its risks and its future offerings that are relevant in making the decisions about investments. Through the work we will explain the importance of diversification and how the very diversification reduces risk. We will also analyze the systemic risk of individual stocks within the portfolio and the systemic risk of the given portfolio and explain its importance. Through regression analysis we will analyze the securities with the highest and lowest systemic risk and will clarify the results. At the end we will explain the correlation in the selected portfolio and point out the importance of the correlation and diversification itself.

  10. Strategy and Portfolio Management Aspects of Integrated Business Planning

    Directory of Open Access Journals (Sweden)

    Peter Jurečka

    2013-03-01

    Full Text Available With ongoing globalization and thereof derived growing competitiveness on most markets, companies are under constant pressure to increase the effectiveness and efficiencies of their operations. This article focuses on one of the core business management processes – on planning, namely on Sales and Operations Planning (S&OP and its latest development stage represented by the concept of Integrated Business Planning (IBP. It aims to extend the traditional concept of S&OP for selected topics from business strategy and portfolio management, which structured inclusion into planning represent one of key factors distinguishing IBP from conventional S&OP. Implementation of IBP, which constitutes significant step towards operational excellence, is applicable for almost all business and thus can be used broadly as effective tool for facing the challenges of economic and financial crisis.

  11. Random Matrix Theory Approach to Indonesia Energy Portfolio Analysis

    Science.gov (United States)

    Mahardhika, Alifian; Purqon, Acep

    2017-07-01

    In a few years, Indonesia experienced difficulties in maintaining energy security, the problem is the decline in oil production from 1.6 million barrels per day to 861 thousand barrels per day in 2012. However, there is a difference condition in 2015 until the third week in 2016, world oil prices actually fell at the lowest price level since last 12 years. The decline in oil prices due to oversupply of oil by oil-producing countries of the world due to the instability of the world economy. Wave of layoffs in Indonesia is a response to the decline in oil prices, this led to the energy and mines portfolios Indonesia feared would not be more advantageous than the portfolio in other countries. In this research, portfolio analysis will be done on energy and mining in Indonesia by using stock price data of energy and mines in the period 26 November 2010 until April 1, 2016. It was found that the results have a wide effect of the market potential is high in the determination of the return on the portfolio energy and mines. Later, it was found that there are eight of the thirty stocks in the energy and mining portfolio of Indonesia which have a high probability of return relative to the average return of stocks in a portfolio of energy and mines.

  12. A Multi-Criteria Portfolio Analysis of Hedge Fund Strategies

    NARCIS (Netherlands)

    D.E. Allen (David); M.J. McAleer (Michael); A.K. Singh (Abhay)

    2016-01-01

    textabstractThis paper features a tri-criteria analysis of Eurekahedge fund data strategy index data. We use nine Eurekahedge equally weighted main strategy indices for the portfolio analysis. The tri-criteria analysis features three objectives: return, risk and dispersion of risk objectives in a

  13. Mean-Gini Portfolio Analysis: A Pedagogic Illustration

    Directory of Open Access Journals (Sweden)

    C. Sherman Cheung

    2007-05-01

    Full Text Available It is well known in the finance literature that mean-variance analysis is inappropriate when asset returns are not normally distributed or investors’ preferences of returns are not characterized by quadratic functions. The normality assumption has been widely rejected in cases of emerging market equities and hedge funds. The mean-Gini framework is an attractive alternative as it is consistent with stochastic dominance rules regardless of the probability distributions of asset returns. Applying mean-Gini to a portfolio setting involving multiple assets, however, has always been challenging to business students whose training in optimization is limited. This paper introduces a simple spreadsheet-based approach to mean-Gini portfolio optimization, thus allowing the mean-Gini concepts to be covered more effectively in finance courses such as portfolio theory and investment analysis.

  14. 78 FR 31568 - Proposed Collection; 60-day Comment Request: Autism Spectrum Disorder Research Portfolio Analysis

    Science.gov (United States)

    2013-05-24

    ... Comment Request: Autism Spectrum Disorder Research Portfolio Analysis SUMMARY: In compliance with the.... Proposed Collection: Autism Spectrum Disorder (ASD) Research Portfolio Analysis, 0925--NEW--National... Collection: The purpose of the ASD portfolio analysis is to collect research funding data from U.S. and...

  15. The Research Portfolio: Educating Teacher Researchers in Data Analysis

    Science.gov (United States)

    Bates, Alisa J.; Bryant, Jill D.

    2013-01-01

    This paper describes research on a course assignment, the research portfolio, designed for a two-course teacher research experience in a Masters of Arts in Teaching program. The focus of the assignment is the process of data collection and analysis that is critical to the success of teacher research. We sought a way to help our teacher candidates…

  16. 2009 Autism Spectrum Disorder Research: Portfolio Analysis Report

    Science.gov (United States)

    Interagency Autism Coordinating Committee, 2011

    2011-01-01

    In 2010, the Office of Autism Research Coordination (OARC) and Acclaro Research Solutions, Inc., on behalf of the Interagency Autism Coordinating Committee (IACC), conducted a comprehensive analysis of the 2009 autism spectrum disorder (ASD) research portfolio of major Federal agencies and private organizations. This is the second annual analysis…

  17. Project Portfolio Risk Identification and Analysis, Considering Project Risk Interactions and Using Bayesian Networks

    Directory of Open Access Journals (Sweden)

    Foroogh Ghasemi

    2018-05-01

    Full Text Available An organization’s strategic objectives are accomplished through portfolios. However, the materialization of portfolio risks may affect a portfolio’s sustainable success and the achievement of those objectives. Moreover, project interdependencies and cause–effect relationships between risks create complexity for portfolio risk analysis. This paper presents a model using Bayesian network (BN methodology for modeling and analyzing portfolio risks. To develop this model, first, portfolio-level risks and risks caused by project interdependencies are identified. Then, based on their cause–effect relationships all portfolio risks are organized in a BN. Conditional probability distributions for this network are specified and the Bayesian networks method is used to estimate the probability of portfolio risk. This model was applied to a portfolio of a construction company located in Iran and proved effective in analyzing portfolio risk probability. Furthermore, the model provided valuable information for selecting a portfolio’s projects and making strategic decisions.

  18. "Customer-Based Brand Portfolio Analysis"(in Japanese)

    OpenAIRE

    Jun Masuyama; Makoto Abe

    2007-01-01

    With multi-facets of branding strategy, such as Co-branding, Brand Extension, Ingredient Branding, brand management is becoming increasingly complex yet crucial to corporate success. In Marketing, much attention has been paid to competitive brands, and competitive market structure analysis has been popular. In today's brand strategy, however, it is necessary to manage not only competition between firms but also coordination of portfolio brands a firm owns. When planning corporate strategy ove...

  19. Validity of the Learning Portfolio: Analysis of a Portfolio Proposal for the University

    Science.gov (United States)

    Gregori-Giralt, Eva; Menéndez-Varela, José Luis

    2015-01-01

    Validity is a central issue in portfolio-based assessment. This empirical study used a quantitative approach to analyse the validity of the inferences drawn from a disciplinary course work portfolio assessment comprising profession-specific and learning competencies. The study also examined the problems involved in the development of the…

  20. Faculty Professional Development: Advancing Integrative Social Pedagogy Using ePortfolio

    Science.gov (United States)

    Bhika, Rajendra; Francis, Andrea; Miller, Dionne

    2013-01-01

    This article highlights the work of three faculty members across two different professional development seminars at LaGuardia Community College. It illustrates how their work was guided and is linked together by a common thread--the use of ePortfolio to foster integrative social pedagogy--as a result of their participation in these seminars. This…

  1. Replica Analysis for Portfolio Optimization with Single-Factor Model

    Science.gov (United States)

    Shinzato, Takashi

    2017-06-01

    In this paper, we use replica analysis to investigate the influence of correlation among the return rates of assets on the solution of the portfolio optimization problem. We consider the behavior of an optimal solution for the case where the return rate is described with a single-factor model and compare the findings obtained from our proposed methods with correlated return rates with those obtained with independent return rates. We then analytically assess the increase in the investment risk when correlation is included. Furthermore, we also compare our approach with analytical procedures for minimizing the investment risk from operations research.

  2. Integration of a Portfolio-based Approach to Evaluate Aerospace R and D Problem Formulation Into a Parametric Synthesis Tool

    Science.gov (United States)

    Oza, Amit R.

    The focus of this study is to improve R&D effectiveness towards aerospace and defense planning in the early stages of the product development lifecycle. Emphasis is on: correct formulation of a decision problem, with special attention to account for data relationships between the individual design problem and the system capability required to size the aircraft, understanding of the meaning of the acquisition strategy objective and subjective data requirements that are required to arrive at a balanced analysis and/or "correct" mix of technology projects, understanding the meaning of the outputs that can be created from the technology analysis, and methods the researcher can use at effectively support decisions at the acquisition and conceptual design levels through utilization of a research and development portfolio strategy. The primary objectives of this study are to: (1) determine what strategy should be used to initialize conceptual design parametric sizing processes during requirements analysis for the materiel solution analysis stage of the product development lifecycle when utilizing data already constructed in the latter phase when working with a generic database management system synthesis tool integration architecture for aircraft design , and (2) assess how these new data relationships can contribute for innovative decision-making when solving acquisition hardware/technology portfolio problems. As such, an automated composable problem formulation system is developed to consider data interactions for the system architecture that manages acquisition pre-design concept refinement portfolio management, and conceptual design parametric sizing requirements. The research includes a way to: • Formalize the data storage and implement the data relationship structure with a system architecture automated through a database management system. • Allow for composable modeling, in terms of level of hardware abstraction, for the product model, mission model, and

  3. Integrating sustainable generation technologies in the Canadian energy portfolio

    International Nuclear Information System (INIS)

    Saulnier, B.

    2001-01-01

    The structure of the energy industry and the planning of electrical networks are experiencing rapid changes under the combined action of social, technico-economical, environmental and trade pressures. Given the widening diversity of competing (demand and supply) options being offered to consumers, energy policy makers must establish a fair and consistent technico-economic methodology to compare the sustainability and natural synergies of energy options. Such an approach towards energy issues should allow renewable energies, energy efficiency and storage technologies to build strong alliances with information technology and take a major place in the long-term energy portfolio of societies. With examples of recent projects involving significant penetration of wind energy in electrical grids in Canada and abroad, the author presents the rationale for technico-economic comparison indicators that canadian policy makers need to take into account so as to bring the full advantage and value of promising renewable energy technologies to the canadian energy market. The merits of expanding the pace of the current Canadian GHG reduction program by granting all provinces, irrespective of their electricity market structure or generation mix, an equal opportunity to invest in RE projects contributing to the national goal are presented. In this regard, the limitations of the prevailing accounting rules found in the Canadian GHG reduction program are analysed and corrections are proposed. (author)

  4. Windfall profit in portfolio diversification? An empirical analysis of the potential benefits of renewable energy investments

    Energy Technology Data Exchange (ETDEWEB)

    Bruns, Frederik

    2013-05-01

    Modern Portfolio Theory is a theory which was introduced by Markowitz, and which suggests the building of a portfolio with assets that have low or, in the best case, negative correlation. In times of financial crises, however, the positive diversification effect of a portfolio can fail when Traditional Assets are highly correlated. Therefore, many investors search for Alternative Asset classes, such as Renewable Energies, that tend to perform independently from capital market performance. 'Windfall Profit in Portfolio Diversification?' discusses the potential role of Renewable Energy investments in an institutional investor's portfolio by applying the main concepts from Modern Portfolio Theory. Thereby, the empirical analysis uses a unique data set from one of the largest institutional investors in the field of Renewable Energies, including several wind and solar parks. The study received the Science Award 2012 of the German Alternative Investments Association ('Bundesverband Alternative Investments e.V.').

  5. Are Integrated Portfolio Systems the Answer? An Evaluation of a Web-Based Portfolio System to Improve Preservice Teachers' Reflective Thinking Skills

    Science.gov (United States)

    Oner, Diler; Adadan, Emine

    2016-01-01

    This study investigated the effectiveness of an integrated web-based portfolio system, namely the BOUNCE System, which primarily focuses on improving preservice teachers' reflective thinking skills. BOUNCE©, the software component of the system, was designed and developed to support a teaching practice model including a cycle of activities to be…

  6. Analysis of the energy portfolio for electricity generation

    International Nuclear Information System (INIS)

    Ramirez S, J. R.; Alonso V, G.; Esquivel E, J.

    2016-09-01

    The planning of electricity generation systems considers several factors that must be taken into account in order to design systems that are economical, reliable and sustainable. For this purpose, the Financial Portfolio Theory is applicable to the energy portfolio or the diversification of electricity generation technologies, such as is the combined cycle, wind, thermoelectric and nuclear. This paper presents an application of the Portfolio Theory to the national energy system, based on the total generation costs for each technology, which allows determining the average variance portfolio and the respective share of each of the electricity generation technologies considered, obtaining a portfolio of electricity generation with the maximum possible return for the risk taken in the investments. This paper describes the basic aspects of the Portfolio Theory and its methodology, in which matrices are implemented for the solution of the resulting Lagrange system. (Author)

  7. Portfolio analysis based on the example of Zagreb Stock Exchange

    OpenAIRE

    Bogdan, Sinisa; Baresa, Suzana; Ivanovic, Sasa

    2010-01-01

    In this paper we analyze the portfolio that was selected from the Zagreb Stock Exchange and also try to assess its risks and its future offerings that are relevant in making the decisions about investments. Through the work we will explain the importance of diversification and how the very diversification reduces risk. We will also analyze the systemic risk of individual stocks within the portfolio and the systemic risk of the given portfolio and explain its importance. Through regression ana...

  8. Forecast Correlation Coefficient Matrix of Stock Returns in Portfolio Analysis

    OpenAIRE

    Zhao, Feng

    2013-01-01

    In Modern Portfolio Theory, the correlation coefficients decide the risk of a set of stocks in the portfolio. So, to understand the correlation coefficients between returns of stocks, is a challenge but is very important for the portfolio management. Usually, the stocks with small correlation coefficients or even negative correlation coefficients are preferred. One can calculate the correlation coefficients of stock returns based on the historical stock data. However, in order to control the ...

  9. Development of integrated brand portfolio strategies: a horizontal and vertical integrated planning model

    NARCIS (Netherlands)

    Bakker, Diederich; Raabe, Thorsten; Haas, Sandra

    2014-01-01

    Brand portfolio strategies are an essential prerequisite for securing long-term success for multi-brand companies. Only by focusing on the entire portfolio can it be ensured that all brands “act in concert” to achieve superordinate objectives. Thereby, an increasing vertical competition caused by

  10. Information technology portfolio in supply chain management using factor analysis

    Directory of Open Access Journals (Sweden)

    Ahmad Jaafarnejad

    2013-11-01

    Full Text Available The adoption of information technology (IT along with supply chain management (SCM has become increasingly a necessity among most businesses. This enhances supply chain (SC performance and helps companies achieve the organizational competitiveness. IT systems capture and analyze information and enable management to make decisions by considering a global scope across the entire SC. This paper reviews the existing literature on IT in SCM and considers pertinent criteria. Using principal component analysis (PCA of factor analysis (FA, a number of related criteria are divided into smaller groups. Finally, SC managers can develop an IT portfolio in SCM using mean values of few extracted components on the relevance –emergency matrix. A numerical example is provided to explain details of the proposed method.

  11. Replica analysis for the duality of the portfolio optimization problem.

    Science.gov (United States)

    Shinzato, Takashi

    2016-11-01

    In the present paper, the primal-dual problem consisting of the investment risk minimization problem and the expected return maximization problem in the mean-variance model is discussed using replica analysis. As a natural extension of the investment risk minimization problem under only a budget constraint that we analyzed in a previous study, we herein consider a primal-dual problem in which the investment risk minimization problem with budget and expected return constraints is regarded as the primal problem, and the expected return maximization problem with budget and investment risk constraints is regarded as the dual problem. With respect to these optimal problems, we analyze a quenched disordered system involving both of these optimization problems using the approach developed in statistical mechanical informatics and confirm that both optimal portfolios can possess the primal-dual structure. Finally, the results of numerical simulations are shown to validate the effectiveness of the proposed method.

  12. Discrete Analysis of Portfolio Selection with Optimal Stopping Time

    Directory of Open Access Journals (Sweden)

    Jianfeng Liang

    2009-01-01

    Full Text Available Most of the investments in practice are carried out without certain horizons. There are many factors to drive investment to a stop. In this paper, we consider a portfolio selection policy with market-related stopping time. Particularly, we assume that the investor exits the market once his wealth reaches a given investment target or falls below a bankruptcy threshold. Our objective is to minimize the expected time when the investment target is obtained, at the same time, we guarantee the probability that bankruptcy happens is no larger than a given level. We formulate the problem as a mix integer linear programming model and make analysis of the model by using a numerical example.

  13. Replica analysis for the duality of the portfolio optimization problem

    Science.gov (United States)

    Shinzato, Takashi

    2016-11-01

    In the present paper, the primal-dual problem consisting of the investment risk minimization problem and the expected return maximization problem in the mean-variance model is discussed using replica analysis. As a natural extension of the investment risk minimization problem under only a budget constraint that we analyzed in a previous study, we herein consider a primal-dual problem in which the investment risk minimization problem with budget and expected return constraints is regarded as the primal problem, and the expected return maximization problem with budget and investment risk constraints is regarded as the dual problem. With respect to these optimal problems, we analyze a quenched disordered system involving both of these optimization problems using the approach developed in statistical mechanical informatics and confirm that both optimal portfolios can possess the primal-dual structure. Finally, the results of numerical simulations are shown to validate the effectiveness of the proposed method.

  14. Vacation portfolio decisions: analysis using a Bayesian belief network

    NARCIS (Netherlands)

    Grigolon, A.B.; Kemperman, A.D.A.M.; Timmermans, H.J.P.

    2011-01-01

    The aim of this study is to analyse the extent to which vacation portfolio decisions are influenced by socio-demographic characteristics. A vacation portfolio involves interdependent decisions related to the facets that make the vacation trip, including transport mode, accommodation, destination,

  15. Energy R and D portfolio analysis based on climate change mitigation

    International Nuclear Information System (INIS)

    Pugh, Graham; Clarke, Leon; Marlay, Robert; Kyle, Page; Wise, Marshall; McJeon, Haewon; Chan, Gabriel

    2011-01-01

    The diverse nature and uncertain potential of the energy technologies that are or may be available to mitigate greenhouse gas emissions pose a challenge to policymakers trying to invest public funds in an optimal R and D portfolio. This paper discusses two analytical approaches to this challenge used to inform funding decisions related to the U.S. Department of Energy (DOE) applied energy R and D portfolio. The two approaches are distinguished by the constraints under which they were conducted: the need to provide an end-to-end portfolio analysis as input to internal DOE budgeting processes, but with limited time and subject to institutional constraints regarding important issues such as expert judgment. Because of these constraints, neither approach should be viewed as an attempt to push forward the state of the art in portfolio analysis in the abstract. Instead, they are an attempt to use more stylized, heuristic methods that can provide first-order insights in the DOE institutional context. Both approaches make use of advanced technology scenarios implemented in an integrated assessment modeling framework and then apply expert judgment regarding the likelihood of achieving associated R and D and commercialization goals. The approaches differ in the granularity of the scenarios used and in the definition of the benefits of technological advance: in one approach the benefits are defined as the cumulative emission reduction attributable to a particular technology; in the other approach benefits are defined as the cumulative cost reduction. In both approaches a return on investment (ROI) criterion is established based on benefits divided by federal R and D investment. The ROI is then used to build a first-order approximation of an optimal applied energy R and D investment portfolio. Although these methodologies have been used to inform an actual budget request, the results reflect only one input among many used in budget formulation. The results are therefore not

  16. An empirical analysis of the hydropower portfolio in Pakistan

    International Nuclear Information System (INIS)

    Siddiqi, Afreen; Wescoat, James L.; Humair, Salal; Afridi, Khurram

    2012-01-01

    The Indus Basin of Pakistan with 800 hydropower project sites and a feasible hydropower potential of 60 GW, 89% of which is undeveloped, is a complex system poised for large-scale changes in the future. Motivated by the need to understand future impacts of hydropower alternatives, this study conducted a multi-dimensional, empirical analysis of the full hydropower portfolio. The results show that the full portfolio spans multiple scales of capacity from mega (>1000 MW) to micro (<0.1 MW) projects with a skewed spatial distribution within the provinces, as well as among rivers and canals. Of the total feasible potential, 76% lies in two (out of six) administrative regions and 68% lies in two major rivers (out of more than 125 total channels). Once projects currently under implementation are commissioned, there would be a five-fold increase from a current installed capacity of 6720 MW to 36759 MW. It is recommended that the implementation and design decisions should carefully include spatial distribution and environmental considerations upfront. Furthermore, uncertainties in actual energy generation, and broader hydrological risks due to expected climate change effects should be included in the current planning of these systems that are to provide service over several decades into the future. - Highlights: ► Pakistan has a hydropower potential of 60 GW distributed across 800 projects. ► Under-development projects will realize 36.7 GW of this potential by 2030. ► Project locations are skewed towards some sub-basins and provinces. ► Project sizes are very diverse and have quite limited private sector ownership. ► Gaps in data prevent proper risk assessment for Pakistan's hydropower development.

  17. Fuzzy Investment Portfolio Selection Models Based on Interval Analysis Approach

    Directory of Open Access Journals (Sweden)

    Haifeng Guo

    2012-01-01

    Full Text Available This paper employs fuzzy set theory to solve the unintuitive problem of the Markowitz mean-variance (MV portfolio model and extend it to a fuzzy investment portfolio selection model. Our model establishes intervals for expected returns and risk preference, which can take into account investors' different investment appetite and thus can find the optimal resolution for each interval. In the empirical part, we test this model in Chinese stocks investment and find that this model can fulfill different kinds of investors’ objectives. Finally, investment risk can be decreased when we add investment limit to each stock in the portfolio, which indicates our model is useful in practice.

  18. Mapping patent classifications: Portfolio and statistical analysis, and the comparison of strengths and weaknesses

    NARCIS (Netherlands)

    Leydesdorff, L.; Kogler, D.F.; Yan, B.

    The Cooperative Patent Classifications (CPC) recently developed cooperatively by the European and US Patent Offices provide a new basis for mapping patents and portfolio analysis. CPC replaces International Patent Classifications (IPC) of the World Intellectual Property Organization. In this study,

  19. Use of crops and livestock futures contracts in portfolios: an analysis of feasibility

    Directory of Open Access Journals (Sweden)

    Mattos Fabio L.

    2003-01-01

    Full Text Available According to Portfolio Theory, by combining assets that show a correlation inferior to one (1 among their individual returns, it becomes possible to create portfolios that reduce risk without damaging expected return. Crop and livestock futures contracts and company stocks show such a characteristic, which signals potential benefits when forming portfolios combining these two types of assets. This investment strategy is not often utilized in Brazil. The purpose of our research was to assess whether such an asset combination is actually advantageous to those creating investment portfolios in the Brazilian market. Our evaluation used instruments of analysis developed by Markowitz in Portfolio Theory and data about the return from crop and livestock futures contracts and stocks. The data was gathered from the Brazilian Futures and Commodities Exchange (BM&F and Brazil?s National Association of Open Market Institutions (ANDIMA between July 1994 and December 1998. The results of this work showed that the combination of these two types of assets in investment portfolios can be an interesting portfolio management alternative.

  20. Portfolio theory and cost-effectiveness analysis: a further discussion.

    Science.gov (United States)

    Sendi, Pedram; Al, Maiwenn J; Rutten, Frans F H

    2004-01-01

    Portfolio theory has been suggested as a means to improve the risk-return characteristics of investments in health-care programs through diversification when costs and effects are uncertain. This approach is based on the assumption that the investment proportions are not subject to uncertainty and that the budget can be invested in toto in health-care programs. In the present paper we develop an algorithm that accounts for the fact that investment proportions in health-care programs may be uncertain (due to the uncertainty associated with costs) and limited (due to the size of the programs). The initial budget allocation across programs may therefore be revised at the end of the investment period to cover the extra costs of some programs with the leftover budget of other programs in the portfolio. Once the total budget is equivalent to or exceeds the expected costs of the programs in the portfolio, the initial budget allocation policy does not impact the risk-return characteristics of the combined portfolio, i.e., there is no benefit from diversification anymore. The applicability of portfolio methods to improve the risk-return characteristics of investments in health care is limited to situations where the available budget is much smaller than the expected costs of the programs to be funded.

  1. Mapping patent classifications: portfolio and statistical analysis, and the comparison of strengths and weaknesses.

    Science.gov (United States)

    Leydesdorff, Loet; Kogler, Dieter Franz; Yan, Bowen

    2017-01-01

    The Cooperative Patent Classifications (CPC) recently developed cooperatively by the European and US Patent Offices provide a new basis for mapping patents and portfolio analysis. CPC replaces International Patent Classifications (IPC) of the World Intellectual Property Organization. In this study, we update our routines previously based on IPC for CPC and use the occasion for rethinking various parameter choices. The new maps are significantly different from the previous ones, although this may not always be obvious on visual inspection. We provide nested maps online and a routine for generating portfolio overlays on the maps; a new tool is provided for "difference maps" between patent portfolios of organizations or firms. This is illustrated by comparing the portfolios of patents granted to two competing firms-Novartis and MSD-in 2016. Furthermore, the data is organized for the purpose of statistical analysis.

  2. From Metacognition to Practice Cognition: The DNP e-Portfolio to Promote Integrated Learning.

    Science.gov (United States)

    Anderson, Kelley M; DesLauriers, Patricia; Horvath, Catherine H; Slota, Margaret; Farley, Jean Nelson

    2017-08-01

    Educating Doctor of Nursing Practice (DNP) students for an increasingly complex health care environment requires novel applications of learning concepts and technology. A deliberate and thoughtful process is required to integrate concepts of the DNP program into practice paradigm changes to subsequently improve students' abilities to innovate solutions to complex practice problems. The authors constructed or participated in electronic portfolio development inspired by theories of metacognition and integrated learning. The objective was to develop DNP student's reflection, integration of concepts, and technological capabilities to foster the deliberative competencies related to the DNP Essentials and the foundations of the DNP program. The pedagogical process demonstrates how e-portfolios adapted into the doctoral-level curriculum for DNP students can address the Essentials and foster the development of metacognitive capabilities, which translates into practice changes. The authors suggest that this pedagogical approach has the potential to optimize reflective and deliberative competencies among DNP students. [J Nurs Educ. 2017;56(8):497-500.]. Copyright 2017, SLACK Incorporated.

  3. Analysis of the NSF IUSE Physics & Astronomy Education Portfolio

    Science.gov (United States)

    Lee, Kevin M.

    2017-01-01

    The National Science Foundation’s IUSE:EHR (Improving Undergraduate STEM Education) Program is now over 3 years old. This presentation will describe the characteristics of the awards presently in the physics & astronomy portfolio. Awards will be described based upon a) general characteristics (duration, total funding, PI rank, type of institution, etc.), b) applicability (intended audience, level, and arena of implementation), c) nature of project (educational research, practical implementation, or both), and d) pedagogical focus (curriculum, STEM recruitment, STEM retention, information collection, and tools and/or skills development). General trends and exemplars will be identified as well as voids in the portfolio. Understanding what has been funded will help attendees design future proposals that will make innovative contributions to the portfolio.

  4. Concordance measures and second order stochastic dominance-portfolio efficiency analysis

    Czech Academy of Sciences Publication Activity Database

    Kopa, Miloš; Tichý, T.

    2012-01-01

    Roč. 15, č. 4 (2012), s. 110-120 ISSN 1212-3609 R&D Projects: GA ČR(CZ) GBP402/12/G097 Institutional support: RVO:67985556 Keywords : dependency * concordance * portfolio selection * second order stochastic dominance Subject RIV: BB - Applied Statistics, Operational Research Impact factor: 0.633, year: 2012 http://library.utia.cas.cz/separaty/2013/E/kopa-concordance measures and second order stochastic dominance- portfolio efficiency analysis.pdf

  5. Strategic biopharmaceutical portfolio development: an analysis of constraint-induced implications.

    Science.gov (United States)

    George, Edmund D; Farid, Suzanne S

    2008-01-01

    Optimizing the structure and development pathway of biopharmaceutical drug portfolios are core concerns to the developer that come with several attached complexities. These include strategic decisions for the choice of drugs, the scheduling of critical activities, and the possible involvement of third parties for development and manufacturing at various stages for each drug. Additional complexities that must be considered include the impact of making such decisions in an uncertain environment. Presented here is the development of a stochastic multi-objective optimization framework designed to address these issues. The framework harnesses the ability of Bayesian networks to characterize the probabilistic structure of superior decisions via machine learning and evolve them to multi-objective optimality. Case studies that entailed three- and five-drug portfolios alongside a range of cash flow constraints were constructed to derive insight from the framework where results demonstrate that a variety of options exist for formulating nondominated strategies in the objective space considered, giving the manufacturer a range of pursuable options. In all cases limitations on cash flow reduce the potential for generating profits for a given probability of success. For the sizes of portfolio considered, results suggest that naïvely applying strategies optimal for a particular size of portfolio to a portfolio of another size is inappropriate. For the five-drug portfolio the most preferred means for development across the set of optimized strategies is to fully integrate development and commercial activities in-house. For the three-drug portfolio, the preferred means of development involves a mixture of in-house, outsourced, and partnered activities. Also, the size of the portfolio appears to have a larger impact on strategy and the quality of objectives than the magnitude of cash flow constraint.

  6. The portfolio as an evaluation tool: an analysis of its use in an undergraduate nursing program.

    Science.gov (United States)

    Friedrich, Denise Barbosa de Castro; Gonçalves, Angela Maria Corrêa; de Sá, Tatiana Santos; Sanglard, Leticia Ribeiro; Duque, Débora Ribeiro; de Oliveira, Gabriela Mota Antunes

    2010-01-01

    This qualitative study was carried out between April and August 2007. It analyzed the use of portfolios in the academic community. A total of nine full-time professors and 119 students enrolled in their third semester were interviewed through a semi-structured interview. Content analysis was used to analyze data. Learning evaluations are seen as a verification of knowledge and efficacy of pedagogical method, and also as an incentive to study. Evaluations are procedural, that is, evaluation is continuous, or one-time, e.g. semester end tests. The portfolio is defined as a gradual and continuous evaluation tool. The faculty members and students need to accept the use of portfolios and evaluate the possibilities of this resource. This study is a first attempt to appraise the evaluation process of an undergraduate program, and the use of portfolios and other strategies needs to be consolidated in order to improve the educational process in undergraduate nursing programs.

  7. Mean-variance portfolio analysis data for optimizing community-based photovoltaic investment

    Directory of Open Access Journals (Sweden)

    Mahmoud Shakouri

    2016-03-01

    Full Text Available The amount of electricity generated by Photovoltaic (PV systems is affected by factors such as shading, building orientation and roof slope. To increase electricity generation and reduce volatility in generation of PV systems, a portfolio of PV systems can be made which takes advantages of the potential synergy among neighboring buildings. This paper contains data supporting the research article entitled: PACPIM: new decision-support model of optimized portfolio analysis for community-based photovoltaic investment [1]. We present a set of data relating to physical properties of 24 houses in Oregon, USA, along with simulated hourly electricity data for the installed PV systems. The developed Matlab code to construct optimized portfolios is also provided in Supplementary materials. The application of these files can be generalized to variety of communities interested in investing on PV systems. Keywords: Community solar, Photovoltaic system, Portfolio theory, Energy optimization, Electricity volatility

  8. A Cross-State Analysis of Renewable Portfolio Standard Development

    Science.gov (United States)

    Marchand, Mariel

    As of December 2016, thirty-seven states have a renewable portfolio standard (RPS). RPS require that utilities provide a certain percentage of electricity generated using renewable sources by a certain date. This thesis builds on diffusion of innovation literature to understand how factors within a state, such as its political climate and the strength of interest groups, appear to influence the adoption process and structure of the RPS in five states--Connecticut, New Jersey, Michigan, Colorado, and Washington. Each of these states has a strong RPS as measured by its renewable energy goal over its current renewable energy production, the time frame in which this goal must be met, and the percentage of the electric load that is included in the regulation. This thesis uses both within-case and cross-case analysis to understand which combinations of internal state factors potentially lead to the adoption of a strong RPS. It finds that there are a number of combinations of factors that appear to contribute to strong RPS, depending on the internal circumstances of each state. However, more important is that without the opportunity to tailor the policy to meet the needs of the state, it is likely that states with unfavorable internal factors may not choose to adopt a RPS at all, let alone a strong RPS. While the innovation factors identified through the RPS diffusion research often contribute to states adopting a strong RPS, this thesis finds that the influence of these factors depends on a combination of the internal state factors with the RPS adoption process in shaping the structure of the RPS.

  9. A portfolio risk analysis on electricity supply planning

    International Nuclear Information System (INIS)

    Huang, Y.-H.; Wu, J.-H.

    2008-01-01

    Conventional electricity planning selects from a range of alternative technologies based on the least-cost method without assessing cost-related risks. The current approach to determining energy generation portfolios creates a preference for fossil fuel. Consequently, this preference results in increased exposure to recent fluctuations in fossil fuel prices, particularly for countries heavily depend on imported energy. This paper applies portfolio theory in conventional electricity planning with Taiwan as a case study. The model objective is to minimize the 'risk-weighted present value of total generation cost'. Both the present value of generating cost and risk (variance of the generating cost) are considered. Risk of generating cost is introduced for volatile fuel prices and uncertainty of technological change and capital cost reduction. The impact of risk levels on the portfolio of power generation technologies is also examined to provide some valuable policy suggestions. Study results indicate that replacing fossil fuel with renewable energy helps reduce generating cost risk. However, due to limited renewable development potential in Taiwan, there is an upper bound of 15% on the maximum share of renewable energy in the generating portfolio. In the meantime, reevaluating the current nuclear energy policy for reduced exposure to fossil fuel price fluctuations is worthwhile

  10. Stochastic Dominance in Portfolio Analysis and Asset Pricing

    NARCIS (Netherlands)

    A.M. Lizyayev (Andrey)

    2010-01-01

    textabstractStochastic Dominance relation is a probabilistic concept which allows random outcomes such as portfolio returns to be ranked, by utilizing the full information about the distribution of the returns, in contrast to the mean-variance rule or other mean-risk models which only use a single

  11. Portfolio Analysis and Management for Naval Research and Development

    National Research Council Canada - National Science Library

    Silberglitt, Richard

    2004-01-01

    .... This report describes the adaptation of an R&D portfolio management decision framework recently developed by RAND (Silberglitt and Sherry; 2002), PortMan, to support ONR's R&D decision-making, and the demonstration of its use via a case study evaluation of 20 sample ONR applied research projects.

  12. A MODEL OF HETEROGENEOUS DISTRIBUTED SYSTEM FOR FOREIGN EXCHANGE PORTFOLIO ANALYSIS

    Directory of Open Access Journals (Sweden)

    Dragutin Kermek

    2006-06-01

    Full Text Available The paper investigates the design of heterogeneous distributed system for foreign exchange portfolio analysis. The proposed model includes few separated and dislocated but connected parts through distributed mechanisms. Making system distributed brings new perspectives to performance busting where software based load balancer gets very important role. Desired system should spread over multiple, heterogeneous platforms in order to fulfil open platform goal. Building such a model incorporates different patterns from GOF design patterns, business patterns, J2EE patterns, integration patterns, enterprise patterns, distributed design patterns to Web services patterns. The authors try to find as much as possible appropriate patterns for planned tasks in order to capture best modelling and programming practices.

  13. The Profitability of the Strategy Linking Fundamental, Portfolio and Technical Analysis on the Polish Capital Market

    Directory of Open Access Journals (Sweden)

    Flotyński Marcin

    2016-12-01

    Full Text Available In the article, several methods of taking investment decisions are described: a fundamental, portfolio, and technical analysis. They constitute different approaches which are convenient for different types of investors with various expectations and time horizons of their investments. The simultaneous combination of these three analyses is not popular. The aim of this study is to test the effectiveness of simultaneous use of a fundamental analysis, portfolio analysis, and technical analysis for shares quoted on the Warsaw Stock Exchange (WSE in 2000–2007. The research hypothesis is advanced that the concurrent-linked application of a fundamental, portfolio, and technical analysis brings better results than the separate use of these analyses. Models of capital market, such as CAPM and APT, have been used, as well as P/E ratio, Return on Equity (RoE, Relative Strength Index (RSI, and Exponential Moving Average (EMA. The combination of a financial analysis, technical indicators, and models of the capital market in order to invest on the stock exchange is author’s own method. In general, the survey has been carried out on the grounds of quantitative methods (financial analysis, regression model, and multi regression model and a comparative analysis. The results of the research have been used to create diversified portfolios on the WSE. It occurs that the concurrent use of the three analyses brings the highest rate of return of a portfolio.

  14. Decentralised Portfolio Management: Analysis of Australian Accumulation Funds

    OpenAIRE

    Hazel Bateman; Susan Thorp

    2005-01-01

    In Australia, pension fund trustees choose investment managers on behalf of members. We investigate the structure and performance of delegated investment choice in the Australian retirement incomes sector. We find that funds where trustees employ many managers generate higher risk-adjusted returns over the 3 year sample than those with few, but funds with 13 or fewer managers show no improvement over funds with a single diversified manager. All do worse than a benchmark portfolio of asset cla...

  15. Critical asset and portfolio risk analysis: an all-hazards framework.

    Science.gov (United States)

    Ayyub, Bilal M; McGill, William L; Kaminskiy, Mark

    2007-08-01

    This article develops a quantitative all-hazards framework for critical asset and portfolio risk analysis (CAPRA) that considers both natural and human-caused hazards. Following a discussion on the nature of security threats, the need for actionable risk assessments, and the distinction between asset and portfolio-level analysis, a general formula for all-hazards risk analysis is obtained that resembles the traditional model based on the notional product of consequence, vulnerability, and threat, though with clear meanings assigned to each parameter. Furthermore, a simple portfolio consequence model is presented that yields first-order estimates of interdependency effects following a successful attack on an asset. Moreover, depending on the needs of the decisions being made and available analytical resources, values for the parameters in this model can be obtained at a high level or through detailed systems analysis. Several illustrative examples of the CAPRA methodology are provided.

  16. Marketing analysis of brand Yves Saint Laurent in portfolio L´Oréal

    OpenAIRE

    Petránková, Tereza

    2011-01-01

    The aim of this thesis Marketing analysis of brand Yves Saint Laurent in portfolio L'Oréal is analysis of brand Yves Saint Laurent. The theoretical part focuses mainly on marketing, brand, luxury, analysis of brand and marketing strategies. Practical part based on the findings in theoretical part analysed brand - history, indentity, value and marketing strategy and reccomend new marketing strategies.

  17. Journal portfolio analysis for countries, cities, and organizations: Maps and comparisons

    NARCIS (Netherlands)

    Leydesdorff, L.; Heimeriks, G.; Rotolo, D.

    Using Web of Science data, portfolio analysis in terms of journal coverage can be projected onto a base map for units of analysis such as countries, cities, universities, and firms. The units of analysis under study can be compared statistically across the 10,000+ journals. The interdisciplinarity

  18. Switching portfolios.

    Science.gov (United States)

    Singer, Y

    1997-08-01

    A constant rebalanced portfolio is an asset allocation algorithm which keeps the same distribution of wealth among a set of assets along a period of time. Recently, there has been work on on-line portfolio selection algorithms which are competitive with the best constant rebalanced portfolio determined in hindsight (Cover, 1991; Helmbold et al., 1996; Cover and Ordentlich, 1996). By their nature, these algorithms employ the assumption that high returns can be achieved using a fixed asset allocation strategy. However, stock markets are far from being stationary and in many cases the wealth achieved by a constant rebalanced portfolio is much smaller than the wealth achieved by an ad hoc investment strategy that adapts to changes in the market. In this paper we present an efficient portfolio selection algorithm that is able to track a changing market. We also describe a simple extension of the algorithm for the case of a general transaction cost, including the transactions cost models recently investigated in (Blum and Kalai, 1997). We provide a simple analysis of the competitiveness of the algorithm and check its performance on real stock data from the New York Stock Exchange accumulated during a 22-year period. On this data, our algorithm outperforms all the algorithms referenced above, with and without transaction costs.

  19. Gaming Change: A Many-objective Analysis of Water Supply Portfolios under Uncertainty

    Science.gov (United States)

    Reed, P. M.; Kasprzyk, J.; Characklis, G.; Kirsch, B.

    2008-12-01

    This study explores the uncertainty and tradeoffs associated with up to six conflicting water supply portfolio planning objectives. A ten-year Monte Carlo simulation model is used to evaluate water supply portfolios blending permanent rights, adaptive options contracts, and spot leases for a single city in the Lower Rio Grande Valley. Historical records of reservoir mass balance, lease pricing, and demand serve as the source data for the Monte Carlo simulation. Portfolio planning decisions include the initial volume and annual increases of permanent rights, thresholds for an adaptive options contract, and anticipatory decision rules for purchasing leases and exercising options. Our work distinguishes three cases: (1) permanent rights as the sole source of supply, (2) permanent rights and adaptive options, and (3) a combination of permanent rights, adaptive options, and leases. The problems have been formulated such that cases 1 and 2 are sub-spaces of the six objective formulation used for case 3. Our solution sets provide the tradeoff surfaces between portfolios' expected values for cost, cost variability, reliability, frequency of purchasing permanent rights increases, frequency of using leases, and dropped (or unused) transfers of water. The tradeoff surfaces for the three cases show that options and leases have a dramatic impact on the marginal costs associated with improving the efficiency and reliability of urban water supplies. Moreover, our many-objective analysis permits the discovery of a broad range of high quality portfolio strategies. We differentiate the value of adaptive options versus leases by testing a representative subset of optimal portfolios' abilities to effectively address regional increases in demand during drought periods. These results provide insights into the tradeoffs inherent to a more flexible, portfolio-style approach to urban water resources management, an approach that should become increasingly attractive in an environment of

  20. Original article Portfolio working – a psychological analysis of the phenomenon

    Directory of Open Access Journals (Sweden)

    Agnieszka Lipińska-Grobelny

    2014-10-01

    Full Text Available Background It turns out from the latest Eurostat data that Poland holds the second place in Europe in terms of the number of so-called portfolio workers, i.e. persons who work for more than one employer. From the psychological point of view, there arises the question regarding the possible determinants of the mentioned phenomenon. Therefore the general purpose of this study is to present the personal and situational indicators of portfolio working. Participants and procedure Two hundred and eighteen portfolio workers and 218 workers employed in one workplace (i.e. monoworkers participated in research using the following set of ‘paper-pencil’ techniques: a self-made survey, the Value Scale by Rokeach, the Formal Characteristics of Behaviour – Temperament Questionnaire by Zawadzki and Strelau, the Masculinity and Femininity Scale by Lipińska-Grobelny and Gorczycka, and the Organizational Climate Questionnaire by Kolb. Results Portfolio working is mainly determined by a number of personal variables (temperamental characteristics, values and spheres of motivation, intensity of masculinity and femininity. A specific role is played by values represented by portfolio workers. The discriminant analysis conducted in groups selected on the basis of working hours indicates that the prediction of participation of the examined persons in the group of portfolio workers with the greatest accuracy appeared in the case of a workload of 48 or more hours, next in the case of a smaller workload up to 47 hours, and finally for the whole group. Conclusions The examination of the phenomenon of portfolio working from the psychological perspective presents an important contribution to the discussion on work and directions of its transformations.

  1. Impact of Credit Restructuring on the Quality of Bank Asset Portfolio. A Cluster Analysis Approach

    Directory of Open Access Journals (Sweden)

    Nicolae Dardac

    2011-06-01

    Full Text Available In this paper we proposed an analysis of the financial crisis impact on the procedures formanagement of loan portfolios in several banking systems. Despite ample liquidity injectionprograms implemented by major central banks and government actions, credit risk remains a keychallenge of the current banking systems. On a medium term, the high percentage of bad loans hasbecome a structural vulnerability. To maintain an acceptable quality of loan portfolios and not todamage the prudential and profitability indicators, credit institutions in EU member states haveproceeded to apply various techniques for credit restructuring. The quantitative analysis carried out inthe last part of the paper revealed a relatively moderate granularity of banking systems considered, interms of capitalization, volume of bank reserves and net provisions, in response to the persistent trendof loan portfolio deterioration.

  2. On-Line Investment Analysis and Portfolio Management: Using Learning Outcome Statements To Design Projects.

    Science.gov (United States)

    Pettijohn, James B.; Ragan, Gay A.; Ragan, Kent P.

    2003-01-01

    Describes an Internet-based project to familiarize students with online investment analysis and stock portfolio management. Outlines a process for writing learning outcomes that address three levels of cognition: knowledge/comprehension, application/analysis, and synthesis/evaluation. (SK)

  3. Asset correlations and credit portfolio risk: an empirical analysis

    OpenAIRE

    Düllmann, Klaus; Scheicher, Martin; Schmieder, Christian

    2007-01-01

    In credit risk modelling, the correlation of unobservable asset returns is a crucial component for the measurement of portfolio risk. In this paper, we estimate asset correlations from monthly time series of Moody's KMV asset values for around 2,000 European firms from 1996 to 2004. We compare correlation and value-atrisk (VaR) estimates in a one-factor or market model and a multi-factor or sector model. Our main finding is a complex interaction of credit risk correlations and default probabi...

  4. Dynamics of market correlations: taxonomy and portfolio analysis.

    Science.gov (United States)

    Onnela, J-P; Chakraborti, A; Kaski, K; Kertész, J; Kanto, A

    2003-11-01

    The time dependence of the recently introduced minimum spanning tree description of correlations between stocks, called the "asset tree" has been studied in order to reflect the financial market taxonomy. The nodes of the tree are identified with stocks and the distance between them is a unique function of the corresponding element of the correlation matrix. By using the concept of a central vertex, chosen as the most strongly connected node of the tree, an important characteristic is defined by the mean occupation layer. During crashes, due to the strong global correlation in the market, the tree shrinks topologically, and this is shown by a low value of the mean occupation layer. The tree seems to have a scale-free structure where the scaling exponent of the degree distribution is different for "business as usual" and "crash" periods. The basic structure of the tree topology is very robust with respect to time. We also point out that the diversification aspect of portfolio optimization results in the fact that the assets of the classic Markowitz portfolio are always located on the outer leaves of the tree. Technical aspects such as the window size dependence of the investigated quantities are also discussed.

  5. Financing translation: analysis of the NCATS rare-diseases portfolio.

    Science.gov (United States)

    Fagnan, David E; Yang, N Nora; McKew, John C; Lo, Andrew W

    2015-02-25

    The portfolio of the National Center for Advancing Translational Sciences (NCATS) rare-diseases therapeutic development program comprises 28 research projects initiated at the preclinical stage. Historical data reveal substantially lower costs and higher success rates but longer preclinical timelines for the NCATS projects relative to the industry averages for early-stage translational medical research and development (R&D) typically cited in literature. Here, we evaluate the potential risks and rewards of investing in a portfolio of rare-disease therapeutics. Using a "megafund" financing structure, NCATS data, and valuation estimates from a panel of industry experts, we simulate a hypothetical megafund in which senior and junior debt yielded 5 and 8%, respectively. The simulated expected return to equity was 14.7%, corresponding to a modified internal rate of return of 21.6%. These returns and the likelihood of private-sector funding can be enhanced through third-party funding guarantees from philanthropies, patient advocacy groups, and government agencies. Copyright © 2015, American Association for the Advancement of Science.

  6. Dynamics of market correlations: Taxonomy and portfolio analysis

    Science.gov (United States)

    Onnela, J.-P.; Chakraborti, A.; Kaski, K.; Kertész, J.; Kanto, A.

    2003-11-01

    The time dependence of the recently introduced minimum spanning tree description of correlations between stocks, called the “asset tree” has been studied in order to reflect the financial market taxonomy. The nodes of the tree are identified with stocks and the distance between them is a unique function of the corresponding element of the correlation matrix. By using the concept of a central vertex, chosen as the most strongly connected node of the tree, an important characteristic is defined by the mean occupation layer. During crashes, due to the strong global correlation in the market, the tree shrinks topologically, and this is shown by a low value of the mean occupation layer. The tree seems to have a scale-free structure where the scaling exponent of the degree distribution is different for “business as usual” and “crash” periods. The basic structure of the tree topology is very robust with respect to time. We also point out that the diversification aspect of portfolio optimization results in the fact that the assets of the classic Markowitz portfolio are always located on the outer leaves of the tree. Technical aspects such as the window size dependence of the investigated quantities are also discussed.

  7. CO_2 volatility impact on energy portfolio choice: A fully stochastic LCOE theory analysis

    International Nuclear Information System (INIS)

    Lucheroni, Carlo; Mari, Carlo

    2017-01-01

    Highlights: • Stochastic LCOE theory is an extension of the levelized cost of electricity analysis. • The fully stochastic analysis include stochastic processes for fossil fuels prices and CO_2 prices. • The nuclear asset is risky through uncertainty about construction times and it is used as a hedge. • Volatility of CO_2 prices has a strong influence on CO_2 emissions reduction. - Abstract: Market based pricing of CO_2 was designed to control CO_2 emissions by means of the price level, since high CO_2 price levels discourage emissions. In this paper, it will be shown that the level of uncertainty on CO_2 market prices, i.e. the volatility of CO_2 prices itself, has a strong influence not only on generation portfolio risk management but also on CO_2 emissions abatement. A reduction of emissions can be obtained when rational power generation capacity investors decide that the capacity expansion cost risk induced jointly by CO_2 volatility and fossil fuels prices volatility can be efficiently hedged adding to otherwise fossil fuel portfolios some nuclear power as a carbon free asset. This intriguing effect will be discussed using a recently introduced economic analysis tool, called stochastic LCOE theory. The stochastic LCOE theory used here was designed to investigate diversification effects on energy portfolios. In previous papers this theory was used to study diversification effects on portfolios composed of carbon risky fossil technologies and a carbon risk-free nuclear technology in a risk-reward trade-off frame. In this paper the stochastic LCOE theory will be extended to include uncertainty about nuclear power plant construction times, i.e. considering nuclear risky as well, this being the main uncertainty source of financial risk in nuclear technology. Two measures of risk will be used, standard deviation and CVaR deviation, to derive efficient frontiers for generation portfolios. Frontier portfolios will be analyzed in their implications on emissions

  8. Information Technology Project Portfolio and Strategy Alignment Assessment Based on Data Envelopment Analysis

    Directory of Open Access Journals (Sweden)

    Marisa Analía Sánchez

    2012-11-01

    Full Text Available Recent researches have shown that companies face considerable difficulties in assessing the strategy value contribution of Information Technology (IT investments. One of the major obstacles to achieving strategy alignment is that organizations find extremely difficult to link and quantify the IT investments benefits with strategic goals. The aim of this paper is to define an approach to assess portfolio-strategy alignment. To this end a formal specification of Kaplan and Norton Strategy Map is developed utilizing Unified Modeling Language (UML. The approach uses the Strategy Map as a framework for defining the portfolio value contribution and Data Envelopment Analysis (DEA is used as the methodology for measuring efficiency of project portfolios.DOI:10.5585/gep.v3i2.66

  9. Mean-variance portfolio analysis data for optimizing community-based photovoltaic investment.

    Science.gov (United States)

    Shakouri, Mahmoud; Lee, Hyun Woo

    2016-03-01

    The amount of electricity generated by Photovoltaic (PV) systems is affected by factors such as shading, building orientation and roof slope. To increase electricity generation and reduce volatility in generation of PV systems, a portfolio of PV systems can be made which takes advantages of the potential synergy among neighboring buildings. This paper contains data supporting the research article entitled: PACPIM: new decision-support model of optimized portfolio analysis for community-based photovoltaic investment [1]. We present a set of data relating to physical properties of 24 houses in Oregon, USA, along with simulated hourly electricity data for the installed PV systems. The developed Matlab code to construct optimized portfolios is also provided in . The application of these files can be generalized to variety of communities interested in investing on PV systems.

  10. Analysis of portfolio optimization with lot of stocks amount constraint: case study index LQ45

    Science.gov (United States)

    Chin, Liem; Chendra, Erwinna; Sukmana, Agus

    2018-01-01

    To form an optimum portfolio (in the sense of minimizing risk and / or maximizing return), the commonly used model is the mean-variance model of Markowitz. However, there is no amount of lots of stocks constraint. And, retail investors in Indonesia cannot do short selling. So, in this study we will develop an existing model by adding an amount of lot of stocks and short-selling constraints to get the minimum risk of portfolio with and without any target return. We will analyse the stocks listed in the LQ45 index based on the stock market capitalization. To perform this analysis, we will use Solver that available in Microsoft Excel.

  11. A Portfolio Analysis Tool for Measuring NASAs Aeronautics Research Progress toward Planned Strategic Outcomes

    Science.gov (United States)

    Tahmasebi, Farhad; Pearce, Robert

    2016-01-01

    Description of a tool for portfolio analysis of NASA's Aeronautics research progress toward planned community strategic Outcomes is presented. The strategic planning process for determining the community Outcomes is also briefly described. Stakeholder buy-in, partnership performance, progress of supporting Technical Challenges, and enablement forecast are used as the criteria for evaluating progress toward Outcomes. A few illustrative examples are also presented.

  12. Can the Integration of a PLE in an E-Portfolio Platform Improve Generic Competences?

    Science.gov (United States)

    Galván-Fernández, Cristina; Rubio-Hurtado, María José; Martínez-Olmo, Francesc; Rodríguez-Illera, José Luis

    2017-01-01

    The study analyzes the improvement in generic competences through e-portfolio/PLE platform and didactic planning. The new version of the platform, Digital Folder, contains utilities for students and teachers and some PLE components that help the learning process through e-portfolios. Didactic planning is compared for students from the University…

  13. Integrated Sociology Program Assessment: Inclusion of a Senior Portfolio Graduation Requirement

    Science.gov (United States)

    Crockett, Jason L.; Fu, Albert S.; Greenwood, Joleen L.; John, Mauricia A.

    2018-01-01

    This article presents information about the planning, implementation, and findings of an assessment-based student portfolio designed by the faculty of a sociology program at Kutztown University of Pennsylvania, a midsized public regional liberal arts institution. First, we briefly present the rationale for implementing a portfolio system and the…

  14. Conflicts in Coalitions: A Stability Analysis of Robust Multi-City Regional Water Supply Portfolios

    Science.gov (United States)

    Gold, D.; Trindade, B. C.; Reed, P. M.; Characklis, G. W.

    2017-12-01

    Regional cooperation among water utilities can improve the robustness of urban water supply portfolios to deeply uncertain future conditions such as those caused by climate change or population growth. Coordination mechanisms such as water transfers, coordinated demand management, and shared infrastructure, can improve the efficiency of resource allocation and delay the need for new infrastructure investments. Regionalization does however come at a cost. Regionally coordinated water supply plans may be vulnerable to any emerging instabilities in the regional coalition. If one or more regional actors does not cooperate or follow the required regional actions in a time of crisis, the overall system performance may degrade. Furthermore, when crafting regional water supply portfolios, decision makers must choose a framework for measuring the performance of regional policies based on the evaluation of the objective values for each individual actor. Regional evaluations may inherently favor one actor's interests over those of another. This work focuses on four interconnected water utilities in the Research Triangle region of North Carolina for which robust regional water supply portfolios have previously been designed using multi-objective optimization to maximize the robustness of the worst performing utility across several objectives. This study 1) examines the sensitivity of portfolio performance to deviations from prescribed actions by individual utilities, 2) quantifies the implications of the regional formulation used to evaluate robustness for the portfolio performance of each individual utility and 3) elucidates the inherent regional tensions and conflicts that exist between utilities under this regionalization scheme through visual diagnostics of the system under simulated drought scenarios. Results of this analysis will help inform the creation of future regional water supply portfolios and provide insight into the nature of multi-actor water supply systems.

  15. Portfolio Optimization

    OpenAIRE

    Issagali, Aizhan; Alshimbayeva, Damira; Zhalgas, Aidana

    2015-01-01

    In this paper Portfolio Optimization techniques were used to determine the most favorable investment portfolio. In particular, stock indices of three companies, namely Microsoft Corporation, Christian Dior Fashion House and Shevron Corporation were evaluated. Using this data the amounts invested in each asset when a portfolio is chosen on the efficient frontier were calculated. In addition, the Portfolio with minimum variance, tangency portfolio and optimal Markowitz portfolio are presented.

  16. Formation and bases of the analysis of the investment portfolio of the enterprise

    Directory of Open Access Journals (Sweden)

    I. I. Hasanshin

    2018-01-01

    Full Text Available This article discusses several methods for project design and analysis. After all, they are the key ones in creating a new IT portfolio of the enterprise, according to the standards for the formation and management of projects, which is especially important in investment analysis. Considering these stages, we touch topics from the beginning of an enterprise to its formation, as a working business. After all, every enterprise begins its life with a choice of methods, stopping at one, it chooses a plan and sets tasks. Attraction of investments will be one of the main points in this task. For today, investments are the cause for the consequences of economic processes and various phenomena in the economy. This view will be of interest to specialists in the field of information technology and economic sciences. The idea is substantiated that the analysis of such results gives a good assessment in order to further identify weaknesses, build business processes and solutions from the point of view of forming a new portfolio of the enterprise and tools that allow determining the profitability of the module or the project as a whole in terms of money and technical equivalents. The article helps to reveal the topic and the main problem that is interesting and relevant for today, what method of attracting investors and implementing / shaping the IT portfolio of the project, choose which innovative portfolio management systems should be used and how they differ from traditional ones and how to properly link them with architecture of the enterprise. The key stages of investment analysis will be: increase in profits, accumulation of resources, proper portfolio formation and diversification.

  17. Analysis of the portfolio of sites to characterize for selecting a nuclear repository

    International Nuclear Information System (INIS)

    Keeney, R.L.

    1987-01-01

    The US Department of Energy has selected three sites, from five nominated, to characterize for a nuclear repository to permanently dispose of nuclear waste. This decision was made without the benefit of an analysis of this portfolio problem. This paper analyzes different portfolios of three sites for simultaneous characterization and strategies for sequential characterization. Characterization of each site, which involves significant subsurface excavation, is now estimated to cost $1 billion. Mainly because of the high characterization costs, sequential characterization strategies are identified which are the equivalent of $1.7-2.0 billion less expensive than the selected DOE simultaneous characterization of the three sites. If three sites are simultaneously characterized, one portfolio is estimated to be the equivalent of $100-400 million better than the selected DOE portfolio. Because of these potential savings and several other complicating factors that may influence the relative desirability of characterization strategies, a thorough analysis of characterization strategies that addresses the likelihood of finding disqualifying conditions during site characterization, uncertainties, and dependencies in forecast site repository costs, preclosure and postclosure health and safety impacts, potential delays of both sequential and simultaneous characterization strategies, and the environmental, socioeconomic, and health and safety impacts of characterization activities is recommended

  18. Do Sustainable Stocks Offer Diversification Benefits for Conventional Portfolios? An Empirical Analysis of Risk Spillovers and Dynamic Correlations

    Directory of Open Access Journals (Sweden)

    Mehmet Balcilar

    2017-10-01

    Full Text Available This paper explores the potential diversification benefits of socially responsible investments for conventional stock portfolios by examining the risk spillovers and dynamic correlations between conventional and sustainability stock indexes from a number of regions. We observe significant unidirectional volatility transmissions from conventional to sustainable equities, suggesting that the criteria applied for socially responsible investments do not necessarily shield these securities from common market shocks. While significant dynamic correlations are observed between sustainable and conventional stocks, particularly in Europe, the analysis of both in- and out-of-sample dynamic portfolios suggests that supplementing conventional stock portfolios with sustainable counterparts improves the risk/return profile of stock portfolios in all regions. The findings overall suggest that sustainable investments can indeed provide diversification gains for conventional stock portfolios globally.

  19. Sensitivity analysis of Portfolio Volatility: Importance of Weights, Sectors and the Impact of Trading Strategies

    OpenAIRE

    E. Borgonovo; PERCOCO M

    2007-01-01

    This work discusses the Sensitivity Analysis (SA) of portfolio volatility ( σ_{p}) and its role in the interpretation of trading/reallocation strategies. Starting from recent findings in the SA field, we show that results obtained utilizing partial derivatives (PD) or Elasticity (E) cannot be applied to the analysis of the generic trading strategy. We show that such limitations can be overcome by making use of the Differential Importance Measure (D). We also show that, thanks to D additivity ...

  20. Evaluating patent portfolios by means of multicriteria analysis

    Directory of Open Access Journals (Sweden)

    Xiaolu Wang

    2011-06-01

    Full Text Available Valuation of intangible assets is a complex topic where traditional methodologies are not always successful. Nevertheless, intangible assets, like patents, have become of great importance to companies, as their value is considered to be relevant economic and strategic information, so it is necessary to evaluate firms’ patent portfolios. The present research introduces an extended goal programming model to calculate the relative importance of the patents of companies in a patent pool. This information may be useful for patent valuation as well as for management purposes. The proposed multicriteria methodology has been applied to the 19 companies in the MPEG2 patent pool, with a total of 770 valid patents, using 7 criteria to obtain a composite measure of the relative position of the firms in the patent pool.RESUMENLa valoración de activos intangibles constituye un área compleja donde los métodos tradicionales no siempre obtienen buenos resultados. Sin embargo, los activos intangibles, entre ellos las patentes, han ganado importancia en las empresas, de forma que el cálculo de su valor se ha convertido en una cuestión estratégica en muchos casos. Este hecho requiere que las empresas valoren la cartera de patentes en su conjunto. La presente investigación presenta un modelo extendido de programación por metas y su aplicación para el cálculo de la importancia relativa de las patentes. Este modelo puede resultar importante tanto para la valoración de las patentes como para la gestión empresarial. La metodología multicriterio propuesta ha sido aplicado a 19 empresas en el sector de las patentes del formato MPEG2, con un total de 770 patentes válidas, y utilizando 7 criterios con el objetivo de obtener una medida compuesta de la posición relativa de las empresas en el conjunto de patentes.

  1. Supporting Building Portfolio Investment and Policy Decision Making through an Integrated Building Utility Data Platform

    Energy Technology Data Exchange (ETDEWEB)

    Aziz, Azizan [Carnegie Mellon Univ., Pittsburgh, PA (United States); Lasternas, Bertrand [Carnegie Mellon Univ., Pittsburgh, PA (United States); Alschuler, Elena [US DOE; View Inc; Loftness, Vivian [Carnegie Mellon Univ., Pittsburgh, PA (United States); Wang, Haopeng [Carnegie Mellon Univ., Pittsburgh, PA (United States); Mo, Yunjeong [Carnegie Mellon Univ., Pittsburgh, PA (United States); Wang, Ting [Carnegie Mellon Univ., Pittsburgh, PA (United States); Zhang, Chenlu [Carnegie Mellon Univ., Pittsburgh, PA (United States); Sharma, Shilpi [Carnegie Mellon; Stevens, Ivana [Carnegie Mellon Univ., Pittsburgh, PA (United States)

    2016-03-18

    The American Recovery and Reinvestment Act stimulus funding of 2009 for smart grid projects resulted in the tripling of smart meters deployment. In 2012, the Green Button initiative provided utility customers with access to their real-time1 energy usage. The availability of finely granular data provides an enormous potential for energy data analytics and energy benchmarking. The sheer volume of time-series utility data from a large number of buildings also poses challenges in data collection, quality control, and database management for rigorous and meaningful analyses. In this paper, we will describe a building portfolio-level data analytics tool for operational optimization, business investment and policy assessment using 15-minute to monthly intervals utility data. The analytics tool is developed on top of the U.S. Department of Energy’s Standard Energy Efficiency Data (SEED) platform, an open source software application that manages energy performance data of large groups of buildings. To support the significantly large volume of granular interval data, we integrated a parallel time-series database to the existing relational database. The time-series database improves on the current utility data input, focusing on real-time data collection, storage, analytics and data quality control. The fully integrated data platform supports APIs for utility apps development by third party software developers. These apps will provide actionable intelligence for building owners and facilities managers. Unlike a commercial system, this platform is an open source platform funded by the U.S. Government, accessible to the public, researchers and other developers, to support initiatives in reducing building energy consumption.

  2. Specifics of formation the portfolio of orders on the basis of break even analysis for Iron and Steel Works

    Directory of Open Access Journals (Sweden)

    Zambrzhitskaia Evgenia

    2017-01-01

    Full Text Available The issue of orders portfolio formation becomes more and more actual in terms of evolving economy crisis, consequences of which turned into the growing competition both in domestic and foreign markets. Goals of research – formalization of order portfolio formation procedure. The purpose of our academic research – to develop the algorithm for order portfolio formation suitable for iron and steel works. The article suggests the possibility of using break-even analysis indices, in particular, the research introduces a «break-even point» concept in terms of efficient order portfolio. Usage of break-even point indices is more preferable to others (marginal revenue, cost-effectiveness and etc. the main advantages of the suggested analysis are: 1 great information capacity from the point of management decision making; 2 the suggested analysis is less governed by price factor than marginal revenue.

  3. Can the integration of a PLE in an e-portfolio platform improve generic competences?

    Directory of Open Access Journals (Sweden)

    Cristina Galván-Fernández

    2017-07-01

    Full Text Available The study analyzes the improvement in generic competences through e-portfolio/PLE platform and didactic planning. The new version of the platform, Digital Folder, contains utilities for students and teachers and some PLE components that help the learning process through e-portfolios. Didactic planning is compared for students from the University of Vic and the University of Barcelona, with a total of 61 participants. A questionnaire has been applied for measuring the use of functions and how much these functions aid in the improvement of the generic competences (reflection, planning and selection of information. The results confirm that the most helpful functions for students are: the Schedule, the Academic tasks, the Teacher’s portfolio and Dialogue with the teacher. However, the implication of these functions in the improvement of the competences depends on didactic planning overall for reflection on learning.

  4. Portfolio Dietary Pattern and Cardiovascular Disease: A Systematic Review and Meta-Analysis of Controlled Trials.

    Science.gov (United States)

    Chiavaroli, Laura; Nishi, Stephanie K; Khan, Tauseef A; Braunstein, Catherine R; Glenn, Andrea J; Mejia, Sonia Blanco; Rahelić, Dario; Kahleová, Hana; Salas-Salvadó, Jordi; Jenkins, David J A; Kendall, Cyril W C; Sievenpiper, John L

    2018-05-25

    The evidence for the Portfolio dietary pattern, a plant-based dietary pattern that combines recognized cholesterol-lowering foods (nuts, plant protein, viscous fibre, plant sterols), has not been summarized. To update the European Association for the Study of Diabetes clinical practice guidelines for nutrition therapy, we conducted a systematic review and meta-analysis of controlled trials using GRADE of the effect of the Portfolio dietary pattern on the primary therapeutic lipid target for cardiovascular disease prevention, low-density lipoprotein cholesterol (LDL-C), and other established cardiometabolic risk factors. We searched MEDLINE, EMBASE, and The Cochrane Library through April 19, 2018. We included controlled trials ≥ 3-weeks assessing the effect of the Portfolio dietary pattern on cardiometabolic risk factors compared with an energy-matched control diet free of Portfolio dietary pattern components. Two independent reviewers extracted data and assessed risk of bias. The primary outcome was LDL-C. Data were pooled using the generic inverse-variance method and expressed as mean differences (MDs) with 95% confidence intervals (CIs). Heterogeneity was assessed (Cochran Q statistic) and quantified (I 2 -statistic). GRADE assessed the certainty of the evidence. Eligibility criteria were met by 7 trial comparisons in 439 participants with hyperlipidemia, in which the Portfolio dietary pattern was given on a background of a National Cholesterol Education Program (NCEP) Step II diet. The combination of a portfolio dietary pattern and NCEP Step II diet significantly reduced the primary outcome LDL-C by ~17% (MD, -0.73mmol/L, [95% CI, -0.89 to -0.56 mmol/L]) as well as non-high-density lipoprotein cholesterol, apolipoprotein B, total cholesterol, triglycerides, systolic and diastolic blood pressure, C-reactive protein, and estimated 10-year coronary heart disease (CHD) risk, compared with an NCEP Step 2 diet alone (PPortfolio dietary pattern leads to clinically

  5. Potential barriers to the application of multi-factor portfolio analysis in public hospitals: evidence from a pilot study in the Netherlands.

    Science.gov (United States)

    Pavlova, Milena; Tsiachristas, Apostolos; Vermaeten, Gerhard; Groot, Wim

    2009-01-01

    Portfolio analysis is a business management tool that can assist health care managers to develop new organizational strategies. The application of portfolio analysis to US hospital settings has been frequently reported. In Europe however, the application of this technique has received little attention, especially concerning public hospitals. Therefore, this paper examines the peculiarities of portfolio analysis and its applicability to the strategic management of European public hospitals. The analysis is based on a pilot application of a multi-factor portfolio analysis in a Dutch university hospital. The nature of portfolio analysis and the steps in a multi-factor portfolio analysis are reviewed along with the characteristics of the research setting. Based on these data, a multi-factor portfolio model is developed and operationalized. The portfolio model is applied in a pilot investigation to analyze the market attractiveness and hospital strengths with regard to the provision of three orthopedic services: knee surgery, hip surgery, and arthroscopy. The pilot portfolio analysis is discussed to draw conclusions about potential barriers to the overall adoption of portfolio analysis in the management of a public hospital. Copyright (c) 2008 John Wiley & Sons, Ltd.

  6. Renewable energy technology portfolio planning with scenario analysis: A case study for Taiwan

    International Nuclear Information System (INIS)

    Chen, T.-Y.; Yu, Oliver S.; Hsu, George Jyh-yih; Hsu, Fang-Ming; Sung, W.-N.

    2009-01-01

    This paper presents the results of a case study of applying a systematic and proven process of technology portfolio planning with the use of scenario analysis to renewable energy developments in Taiwan. The planning process starts with decision values of technology development based on a survey of society leaders. It then generates, based on expert opinions and literature search, a set of major technology alternatives, which in this study include: wind energy, photovoltaic, bio-energy, solar thermal power, ocean energy, and geothermal energy. Through a committee of technical experts with diversified professional backgrounds, the process in this study next constructs three scenarios ('Season in the Sun', 'More Desire than Energy', and 'Castle in the Air') to encompass future uncertainties in the relationships between the technology alternatives and the decision values. Finally, through a second committee of professionals, the process assesses the importance and risks of these alternative technologies and develops a general strategic plan for the renewable energy technology portfolio that is responsive and robust for the future scenarios. The most important contributions of this paper are the clear description of the systematic process of technology portfolio planning and scenario analysis, the detailed demonstration of their application through a case study on the renewable energy development in Taiwan, and the valuable results and insights gained from the application.

  7. Implementation of portfolio theory to the analysis of electricity generation in Mexico

    International Nuclear Information System (INIS)

    Esquivel E, J.; Ramirez S, J. R.; Palacios H, J. C.

    2014-10-01

    As part of the activities of economic analysis to the National Energy Strategy 2013-2027 of Mexico has been developed a computational platform to support decision-making based on the risk and performance in obtaining the optimum combination of technologies involved in the electricity generation. To this end, they consider five technologies: combined cycle, thermal coal, nuclear, hydro and wind. Each technology has been analyzed independently based on the total cost of generation level (given in dl s/KWh or dl s/MWh), leaning on documents as the Poise 2012-2026 and COPAR 2013. Subsequently by portfolio theory proposed by Markowitz, that combination of technologies that provide a greater benefit in the electricity generation is determined. In this study we consider two base work areas on which the proposed portfolios are reflected. The conformation of work areas is derived from the National Energy Strategy 2013-2027, considering a scenario with fossil technologies (combined cycle, thermal coal and nuclear) and other, making greater emphasis on the use of renewable technologies (combined cycle, hydro and wind). Finally, four portfolios are presented, each one with different percentages of ownership of technology in electricity generation, verifying the risk and performance of each combination. Of the analyzed portfolios, one corresponds to the mix of technologies which are currently in the country. The remaining derive the percentage share of combined-cycle technology, by subtracting 10% of their contribution and distributing it in three ways: by increasing the 10% share of nuclear technology; increasing 10% contribution of thermal coal technology and finally, extending the 5% of the electricity generation of nuclear technology and 5% increase in the electricity generation by wind technology. (Author)

  8. Real option analysis in a replicating portfolio perspective

    NARCIS (Netherlands)

    van Heeswijk, W.J.A.; Joosten, Reinoud A.M.G.; Huisman, Kuno; Bos, Christian

    2013-01-01

    In the last decades, a vast body of literature has arisen on real option analysis (ROA). The use of di¤erent approaches and the often implicit adoption of major assumptions may cause confusion on what ROA precisely entails, or in which situations it may be applied. We assess the �eld of real option

  9. Technology Clusters Exploration for Patent Portfolio through Patent Abstract Analysis

    Directory of Open Access Journals (Sweden)

    Gabjo Kim

    2016-12-01

    Full Text Available This study explores technology clusters through patent analysis. The aim of exploring technology clusters is to grasp competitors’ levels of sustainable research and development (R&D and establish a sustainable strategy for entering an industry. To achieve this, we first grouped the patent documents with similar technologies by applying affinity propagation (AP clustering, which is effective while grouping large amounts of data. Next, in order to define the technology clusters, we adopted the term frequency-inverse document frequency (TF-IDF weight, which lists the terms in order of importance. We collected the patent data of Korean electric car companies from the United States Patent and Trademark Office (USPTO to verify our proposed methodology. As a result, our proposed methodology presents more detailed information on the Korean electric car industry than previous studies.

  10. The use of the multi-cumulant tensor analysis for the algorithmic optimisation of investment portfolios

    Science.gov (United States)

    Domino, Krzysztof

    2017-02-01

    The cumulant analysis plays an important role in non Gaussian distributed data analysis. The shares' prices returns are good example of such data. The purpose of this research is to develop the cumulant based algorithm and use it to determine eigenvectors that represent investment portfolios with low variability. Such algorithm is based on the Alternating Least Square method and involves the simultaneous minimisation 2'nd- 6'th cumulants of the multidimensional random variable (percentage shares' returns of many companies). Then the algorithm was tested during the recent crash on the Warsaw Stock Exchange. To determine incoming crash and provide enter and exit signal for the investment strategy the Hurst exponent was calculated using the local DFA. It was shown that introduced algorithm is on average better that benchmark and other portfolio determination methods, but only within examination window determined by low values of the Hurst exponent. Remark that the algorithm is based on cumulant tensors up to the 6'th order calculated for a multidimensional random variable, what is the novel idea. It can be expected that the algorithm would be useful in the financial data analysis on the world wide scale as well as in the analysis of other types of non Gaussian distributed data.

  11. Portfolio Diversification in the South-East European Equity Markets

    Directory of Open Access Journals (Sweden)

    Zaimovic Azra

    2017-04-01

    Full Text Available Diversification potential enables investors to manage their risk and decrease risk exposure. Good diversification policy is a safety net that prevents a portfolio from losing its value. A well-diversified portfolio consists of different categories of property with low correlations, while highly correlated markets have the feature of low possibilities for diversification. The biggest riddle in the world of investments is to find the optimal portfolio within a set of available assets with limited capital. There are numerous studies and mathematical models that deal with portfolio investment strategies. These strategies take advantage of diversification by spreading risk over several financial assets. Modern portfolio theory seeks to find the optimal model with the best results. This paper tries to identify relationships between returns of companies traded in South-East European equity markets. A Markowitz mean-variance (MV portfolio optimization method is used to identify possibilities for diversification among these markets and world leading capital markets. This research also offers insight into to the level of integration of South-East European equity markets. Principal component analysis (PCA is used to determine components that describe the strong patterns and co-movements of the dataset. Finally, we combined MV efficient frontier and equity, which represent PCA components, to draw conclusions. Our findings show that PC analysis substantially simplifies asset selection process in portfolio management. The results of the paper have practical applications for portfolio investors.

  12. ANALYSIS OF PROJECT PORTFOLIO MANAGEMENT MATURITY: THE CASE OF A SMALL FINANCIAL INSTITUTION

    Directory of Open Access Journals (Sweden)

    Karoline Doro Alves Carneiro

    2012-04-01

    Full Text Available This study explores the implementation of project portfolio management in the organizational context. The objective is to analyze the methodology of project portfolio management adopted by an organization based in the project portfolio management maturity model proposed by Rad and Levin (2006. We developed an exploratory case study in a small financial institution that experienced problems with the implementation of its methodology in project portfolio management. As a result of study, we found that the organization has maturity level 2 in portfolio project management, and that some methodology aspects are not appropriate at this level.

  13. Strategic Technology Investment Analysis: An Integrated System Approach

    Science.gov (United States)

    Adumitroaie, V.; Weisbin, C. R.

    2010-01-01

    Complex technology investment decisions within NASA are increasingly difficult to make such that the end results are satisfying the technical objectives and all the organizational constraints. Due to a restricted science budget environment and numerous required technology developments, the investment decisions need to take into account not only the functional impact on the program goals, but also development uncertainties and cost variations along with maintaining a healthy workforce. This paper describes an approach for optimizing and qualifying technology investment portfolios from the perspective of an integrated system model. The methodology encompasses multi-attribute decision theory elements and sensitivity analysis. The evaluation of the degree of robustness of the recommended portfolio provides the decision-maker with an array of viable selection alternatives, which take into account input uncertainties and possibly satisfy nontechnical constraints. The methodology is presented in the context of assessing capability development portfolios for NASA technology programs.

  14. Students' reflections in a portfolio pilot: highlighting professional issues.

    Science.gov (United States)

    Haffling, Ann-Christin; Beckman, Anders; Pahlmblad, Annika; Edgren, Gudrun

    2010-01-01

    Portfolios are highlighted as potential assessment tools for professional competence. Although students' self-reflections are considered to be central in the portfolio, the content of reflections in practice-based portfolios is seldom analysed. To investigate whether students' reflections include sufficient dimensions of professional competence, notwithstanding a standardized portfolio format, and to evaluate students' satisfaction with the portfolio. Thirty-five voluntary final-year medical students piloted a standardized portfolio in a general practice (GP) attachment at Lund University, Sweden. Students' portfolio reflections were based upon documentary evidence from practice, and aimed to demonstrate students' learning. The reflections were qualitatively analysed, using a framework approach. Students' evaluations of the portfolio were subjected to quantitative and qualitative analysis. Among professional issues, an integration of cognitive, affective and practical dimensions in clinical practice was provided by students' reflections. The findings suggested an emphasis on affective issues, particularly on self-awareness of feelings, attitudes and concerns. In addition, ethical problems, clinical reasoning strategies and future communication skills training were subjects of several reflective commentaries. Students' reflections on their consultation skills demonstrated their endeavour to achieve structure in the medical interview by negotiation of an agenda for the consultation, keeping the interview on track, and using internal summarizing. The importance of active listening and exploration of patient's perspective was also emphasized. In students' case summaries, illustrating characteristic attributes of GP, the dominating theme was 'patient-centred care', including the patient-doctor relationship, holistic modelling and longitudinal continuity. Students were satisfied with the portfolio, but improved instructions were needed. A standardized portfolio in a

  15. Designing Modern Equity Portfolios

    OpenAIRE

    Ronald Jean Degen

    2011-01-01

    This aim of this paper is to describe possible ways of investing in equity; choosing the right stocks(among small-cap, large-cap, value, growth, and foreign) using fundamental analysis, defining their appropriate mix in the portfolios according to the desired return-risk profiles based on Markowitz?s modern portfolio theory, and using technical analysis to buy and sell them.

  16. Matches, Mismatches, and Methods: Multiple-View Workflows for Energy Portfolio Analysis.

    Science.gov (United States)

    Brehmer, Matthew; Ng, Jocelyn; Tate, Kevin; Munzner, Tamara

    2016-01-01

    The energy performance of large building portfolios is challenging to analyze and monitor, as current analysis tools are not scalable or they present derived and aggregated data at too coarse of a level. We conducted a visualization design study, beginning with a thorough work domain analysis and a characterization of data and task abstractions. We describe generalizable visual encoding design choices for time-oriented data framed in terms of matches and mismatches, as well as considerations for workflow design. Our designs address several research questions pertaining to scalability, view coordination, and the inappropriateness of line charts for derived and aggregated data due to a combination of data semantics and domain convention. We also present guidelines relating to familiarity and trust, as well as methodological considerations for visualization design studies. Our designs were adopted by our collaborators and incorporated into the design of an energy analysis software application that will be deployed to tens of thousands of energy workers in their client base.

  17. A Prospective Analysis of the Costs, Benefits, and Impacts of U.S. Renewable Portfolio Standards

    Energy Technology Data Exchange (ETDEWEB)

    Mai, Trieu [National Renewable Energy Lab. (NREL), Golden, CO (United States); Wiser, Ryan [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Barbose, Galen [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Bird, Lori [National Renewable Energy Lab. (NREL), Golden, CO (United States); Heeter, Jenny [National Renewable Energy Lab. (NREL), Golden, CO (United States); Keyser, David [National Renewable Energy Lab. (NREL), Golden, CO (United States); Krishnan, Venkat [National Renewable Energy Lab. (NREL), Golden, CO (United States); Macknick, Jordan [National Renewable Energy Lab. (NREL), Golden, CO (United States); Millstein, Dev [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States)

    2016-12-01

    This report evaluates the future costs, benefits, and other impacts of renewable energy used to meet current state renewable portfolio standards (RPSs). It also examines a future scenario where RPSs are expanded. The analysis examines changes in electric system costs and retail electricity prices, which include all fixed and operating costs, including capital costs for all renewable, non-renewable, and supporting (e.g., transmission and storage) electric sector infrastructure; fossil fuel, uranium, and biomass fuel costs; and plant operations and maintenance expenditures. The analysis evaluates three specific benefits: air pollution, greenhouse gas emissions, and water use. It also analyzes two other impacts, renewable energy workforce and economic development, and natural gas price suppression. This analysis finds that the benefits or renewable energy used to meet RPS polices exceed the costs, even when considering the highest cost and lowest benefit outcomes.

  18. Utility portfolio diversification

    International Nuclear Information System (INIS)

    Griffes, P.H.

    1990-01-01

    This paper discusses portfolio analysis as a method to evaluate utility supply decisions. Specifically a utility is assumed to increase the value of its portfolio of assets whenever it invests in a new supply technology. This increase in value occurs because the new asset either enhances the return or diversifies the risks of the firm's portfolio of assets. This evaluation method is applied to two supply innovations in the electric utility industry: jointly-owned generating plants and supply contracts with independent power producers (IPPs)

  19. Analysis of the energy portfolio for electricity generation; Analisis del portafolio energetico para la generacion electrica

    Energy Technology Data Exchange (ETDEWEB)

    Ramirez S, J. R.; Alonso V, G.; Esquivel E, J., E-mail: ramon.ramirez@inin.gob.mx [ININ, Carretera Mexico-Toluca s/n, 52750 Ocoyoacac, Estado de Mexico (Mexico)

    2016-09-15

    The planning of electricity generation systems considers several factors that must be taken into account in order to design systems that are economical, reliable and sustainable. For this purpose, the Financial Portfolio Theory is applicable to the energy portfolio or the diversification of electricity generation technologies, such as is the combined cycle, wind, thermoelectric and nuclear. This paper presents an application of the Portfolio Theory to the national energy system, based on the total generation costs for each technology, which allows determining the average variance portfolio and the respective share of each of the electricity generation technologies considered, obtaining a portfolio of electricity generation with the maximum possible return for the risk taken in the investments. This paper describes the basic aspects of the Portfolio Theory and its methodology, in which matrices are implemented for the solution of the resulting Lagrange system. (Author)

  20. Portfolio and diversity analysis of energy technologies using full-spectrum risk measures

    Energy Technology Data Exchange (ETDEWEB)

    Jansen, J.C.; Beurskens, L.W.M. [ECN Policy Studies, Petten (Netherlands); Awerbuch, S.; Stirling, A.C. [Science and Technology Policy Research SPRU, University of Sussex, Brighton, East Sussex (United Kingdom)

    2005-01-01

    Energy diversity and security have been evaluated using the multi-criteria diversity analysis (MDA) of A. C. Stirling as well as more classical Markowitz mean-variance portfolio (MVP) theory. Each of these approaches is capable of producing an efficient frontier that shows optimal generating portfolio mixes, those that maximize performance (i.e. minimize cost) while minimizing risk or uncertainty (i.e. maximizing diversity). MDA covers the full-spectrum of uncertainty, reaching into areas where little is known about the range of possible outcomes, let alone their probabilities. However, MDA does not exploit statistical information that is available in certain parts of the risk-spectrum where historic means, variances and co-variances of outcomes are known and can be used to make inferences about the future. MVP operates precisely in this space. However, like other capital market models, its prescriptive value rests on the idea that the past is the best guide to the future. As such MVP can be blind to unforeseen events that create future structural change. Used in isolation, therefore, neither model offers a fully satisfying result. An MVP analysis of energy technologies tells us how to create generating portfolios with minimum cost and risk (cost-variance), assuming historic ranges predict the future well enough. If policy makers are confident that past expected values, ranges and variances will continue, then the solutions are fine. But what about so-called unknown risks? Possible future events that may produce outcomes with unknown consequences? This is where MDA becomes a potentially powerful tool. This project seeks to merge the two approaches and to map the space between optimal MVP and MDA solutions using a combined MVP+MDA optimization and weighting scheme. Placing 100% of the emphasis on MVP, for example, produces results based purely on historical trends. These may serve for short planning horizons. On the other hand, giving MDA a 100% weighting produces

  1. Performance analysis of portuguese equity mutual funds: indexing vs active portfolio management

    OpenAIRE

    Ribeiro, Alexandra João Santana

    2011-01-01

    Master in Finance The present thesis was done with the objective of analyzing the portfolio management strategies followed by managers of Portuguese Equity Funds, using the PSI Geral as the benchmark. Thus, the quarter returns and compositions of portfolio were used. The market timing ability and the variables that may have influenced tracking error (vs. PSI Geral) were also analyzed. The main conclusion was that just 1 fund managed to put successfully into practice the active portfolio...

  2. Analysis of the rebalancing frequency in log-optimal portfolio selection

    OpenAIRE

    Kuhn, Daniel; Luenberger, David G.

    2010-01-01

    In a dynamic investment situation, the right timing of portfolio revisions and adjustments is essential to sustain long-term growth. A high rebalancing frequency reduces the portfolio performance in the presence of transaction costs, whereas a low rebalancing frequency entails a static investment strategy that hardly reacts to changing market conditions. This article studies a family of portfolio problems in a Black-Scholes type economy which depend parametrically on the rebalancing frequency...

  3. The Requirement of a Positive Definite Covariance Matrix of Security Returns for Mean-Variance Portfolio Analysis: A Pedagogic Illustration

    Directory of Open Access Journals (Sweden)

    Clarence C. Y. Kwan

    2010-07-01

    Full Text Available This study considers, from a pedagogic perspective, a crucial requirement for the covariance matrix of security returns in mean-variance portfolio analysis. Although the requirement that the covariance matrix be positive definite is fundamental in modern finance, it has not received any attention in standard investment textbooks. Being unaware of the requirement could cause confusion for students over some strange portfolio results that are based on seemingly reasonable input parameters. This study considers the requirement both informally and analytically. Electronic spreadsheet tools for constrained optimization and basic matrix operations are utilized to illustrate the various concepts involved.

  4. Retrospective Analysis of the Benefits and Impacts of U.S. Renewable Portfolio Standards

    Energy Technology Data Exchange (ETDEWEB)

    Wiser, Ryan [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Barbose, Galen [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Heeter, Jenny [National Renewable Energy Lab. (NREL), Golden, CO (United States); Mai, Trieu [National Renewable Energy Lab. (NREL), Golden, CO (United States); Bird, Lori [National Renewable Energy Lab. (NREL), Golden, CO (United States); Bolinger, Mark [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Carpenter, Alberta [National Renewable Energy Lab. (NREL), Golden, CO (United States); Heath, Garvin [National Renewable Energy Lab. (NREL), Golden, CO (United States); Keyser, David [National Renewable Energy Lab. (NREL), Golden, CO (United States); Macknick, Jordan [National Renewable Energy Lab. (NREL), Golden, CO (United States); Mills, Andrew [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Millstein, Dev [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States)

    2016-01-06

    This analysis is the first-ever comprehensive assessment of the benefits and impacts of state renewable portfolio standards (RPSs). This joint National Renewable Energy Laboratory-Lawrence Berkeley National Laboratory project provides a retrospective analysis of RPS program benefits and impacts, including greenhouse gas emissions reductions, air pollution emission reductions, water use reductions, gross jobs and economic development impacts, wholesale electricity price reduction impacts, and natural gas price reduction impacts. Wherever possible, benefits and impacts are quantified in monetary terms. The paper will inform state policymakers, RPS program administrators, industry, and others about the costs and benefits of state RPS programs. In particular, the work seeks to inform decision-making surrounding ongoing legislative proposals to scale back, freeze, or expand existing RPS programs, as well as future discussions about increasing RPS targets or otherwise increasing renewable energy associated with Clean Power Plan compliance or other emission-reduction goals.

  5. An analysis of the relation between return and beta for portfolios of Turkish equities

    Directory of Open Access Journals (Sweden)

    Salvatore J. Terregrossa

    2016-12-01

    Full Text Available The present study investigates the possible existence of a systematic relation between beta and excess-return for portfolios of Turkish equities. In the process, no systematic relation is found between beta and realized portfolio excess-return, in an unconditional sense. However, the study does find a systematic relation between realized portfolio excess-return and beta, conditioned upon the sign of realized market-portfolio excess-return. Moreover, an even stronger systematic relation is found between realized portfolio excess-return and beta, conditioned not only upon the sign, but also the magnitude of realized market-portfolio excess-return, with the estimation of the security market plane (SMP model. The study has several useful implications for portfolio managers. Firstly, the empirical findings strongly suggest that employment of the SMP model may generate more accurate estimations of expected asset-return, compared with straightforward application of the capital asset pricing model (CAPM. Enhanced accuracy of expected asset-return, in turn, may lead to more accurate appraisals of asset value, resulting in more profitable investment opportunities and decisions. Employment of the SMP model may thus lead to enhanced efficient-portfolio development, by leading to construction of portfolios with greater expected-return, for a given class of quantifiable-risk.

  6. Teacher Portfolios.

    Science.gov (United States)

    Wolfe-Quintero, Kate; Brown, James Dean

    1998-01-01

    A portfolio of achievements, experiences, and reflections can help English-as-a-Second-Language teachers attain professional development goals and offer administrators greater insight for making informed hiring and job-performance decisions. This paper focuses on what teacher portfolios are, what their contents should be, and what their uses are…

  7. Teaching Portfolio

    DEFF Research Database (Denmark)

    Pedersen, Christian Fischer

    The present teaching portfolio has been submitted for evaluation in partial fulfillment of the requirements of the teacher training programme for Assistant Professors at Department of Engineering, Aarhus University, Denmark.......The present teaching portfolio has been submitted for evaluation in partial fulfillment of the requirements of the teacher training programme for Assistant Professors at Department of Engineering, Aarhus University, Denmark....

  8. Customer portfolios

    DEFF Research Database (Denmark)

    Clarke, Ann Højbjerg; Freytag, Per Vagn; Zolkiewski, Judith

    2017-01-01

    gives managers a tool to help to cope with the dynamic aspects of the customer portfolio. Recognition of the importance of communication to the process, the development of trust and the role of legitimacy also provides areas that managers can focus upon in their relationship management processes......Purpose The purpose of this paper is to extend the discussion about customer portfolios beyond simple identification of models and how they can be used for balanced resource allocation to a discussion about how portfolios should take into account views from relationship partners and how they should...... that helps improve the understanding of how customer portfolio models can actually be applied from a relational perspective. Findings The key aspects of the conceptual framework relate to how alignment of the relationships in the portfolio is achieved. Critical to this are the interaction spaces...

  9. THE DEVELOPMENT OF THEMATIC – INTEGRATED E-PORTFOLIO MEDIA WEB BLOG BASED TO INCREASE THE SCIENTIFIC LITERACY OF ELEMENTARY TEACHER EDUCATION PROGRAM’S STUDENT

    Directory of Open Access Journals (Sweden)

    A. Wijayanti

    2016-10-01

    Full Text Available The aim of this study is to improve the scientific literacy of Elementary Teacher Education Program’s students using a valid thematic-integrated e-portfolio media web blog based. Applied research and development methods for elementary school’s course planning by applying thematic-integrated e-portfolio media web blog based. The result of media and evaluation experts recommend that e-portfolio which has been developed gets 98.75% of eligibility percentage which means that it is very decent to be used in the lecturing.  Thematic-Integrated e-portfolio media web blog based effectively improves the scientific literacy of students to reach multidimensional level, in which students are able to take advantage of various concepts and demonstrate the ability to connect these concepts to daily life.  Students understand how science, society and technology are interrelated and influence each other. Students also demonstrate an understanding of the nature of science through his answer.

  10. Exploratory Content Analysis of Candidates' Perspectives on Multicultural Education as Evidenced in Their edTPA Portfolios

    Science.gov (United States)

    Cannon, Sarah

    2016-01-01

    This exploratory qualitative content analysis examined the edTPA portfolios of 36 randomly selected teacher candidates to address a national trend towards standardization and accountability in teacher education in relationship to the critical need for multicultural educators. Using multicultural education as a theoretical framework, this study…

  11. Patterns of connections and movements in dual-map overlays: a new method of publication portfolio analysis

    NARCIS (Netherlands)

    Chen, C.; Leydesdorff, L.

    2014-01-01

    Portfolio analysis of the publication profile of a unit of interest, ranging from individuals and organizations to a scientific field or interdisciplinary programs, aims to inform analysts and decision makers about the position of the unit, where it has been, and where it may go in a complex

  12. PORTFOLIO ANALYSIS - A BASIC INSTRUMENT IN STRATEGIC PLANNING. CASE STUDY ON THE ROMANIAN INSURANCE MARKET

    Directory of Open Access Journals (Sweden)

    Petrescu Marian

    2011-12-01

    Full Text Available Practice proved that strategic planning is a necessary process for insurance companies. This process can help companies to adapt more easily to environmental changes. The strategic planning of the activity of an insurance company cannot be realized without a careful analysis of the evolution of the market and without studying the company's market position. A classic model used in the portfolio analysis is the Boston Consulting Group model. In this paper we have used the model for studying the activity of the leader of the Romanian insurance market. In 2009 Alliantz Tiriac had 17 types of insurance in the portfolio. Each class of insurance was considered a strategic business unit. We have studied the insurance portfolio by using secondary data from specialized publications, such as the Romanian Insurance Supervisory Commission. Using the data, we have calculated for Alliantz Tiriac, for each class of insurance, the relative market share. The company was leader on the market for five classes of insurance. The economic crisis had a severe impact on the evolution of the Romanian insurance market: from the 17 classes of insurance studied: nine had registered a decrease of the market, eight had registered an increase, but only for three of them the growth exceeded 10%. Using the relative market share and the market growth we have identified the “cash cows”: there are five classes of insurance in this category, among which the “Insurance for land vehicles (CASCO” which represented more than half of the sales (55.82%; unfortunately, in the case of this insurance type there was a very significant decrease of the market in 2010 compared to 2009: -25.12%, the “question marks” – there are three classes of insurance in this category, and the “dogs”. Due to the crisis, a large number of the company's products are in this category and there are no “star” products. This work was supported by CNCSIS – UEFISCSU, project number 915 / 2009

  13. Institutional Assessment and the Integrative Core Curriculum: Involving Students in the Development of an ePortfolio System

    Science.gov (United States)

    Silva, Mary Lourdes; Adams Delaney, Susan; Cochran, Jolene; Jackson, Ruth; Olivares, Cory

    2015-01-01

    The majority of research on the implementation of ePortfolios focuses on curriculum, faculty development, or student buy-in. When ePortfolio systems have been described in technical terms, the focus has been on the functionality, affordances, and limitations of ePortfolio systems (e.g., TaskStream, LiveText), free web tools (e.g., Google Docs),…

  14. Empirical analysis on future-cash arbitrage risk with portfolio VaR

    Science.gov (United States)

    Chen, Rongda; Li, Cong; Wang, Weijin; Wang, Ze

    2014-03-01

    This paper constructs the positive arbitrage position by alternating the spot index with Chinese Exchange Traded Fund (ETF) portfolio and estimating the arbitrage-free interval of futures with the latest trade data. Then, an improved Delta-normal method was used, which replaces the simple linear correlation coefficient with tail dependence correlation coefficient, to measure VaR (Value-at-risk) of the arbitrage position. Analysis of VaR implies that the risk of future-cash arbitrage is less than that of investing completely in either futures or spot market. Then according to the compositional VaR and the marginal VaR, we should increase the futures position and decrease the spot position appropriately to minimize the VaR, which can minimize risk subject to certain revenues.

  15. A portfolio decision analysis approach to support energy research and development resource allocation

    International Nuclear Information System (INIS)

    Kurth, Margaret; Keisler, Jeffrey M.; Bates, Matthew E.; Bridges, Todd S.; Summers, Jeffrey; Linkov, Igor

    2017-01-01

    Research sponsored by the US Department of Energy (DOE) aims to facilitate a clean and independent energy future for the nation. Strategic planning for energy research and development (R&D) can be complex and dynamic, in part due to federal budgetary constraints and volatility. Managing R&D funding to advance energy technologies, in spite of these challenges, is a crucial component of the nation's long term energy policy. This study demonstrates a portfolio decision analysis (PDA) approach to support R&D resource allocation decisions for the DOE Office of Fossil Energy's Carbon Capture and Storage R&D program. A multi-attribute value model uses technology readiness levels (TRLs) and other metrics to represent the overall objectives of the R&D program in order to evaluate alternative research portfolios given limited funding. Mathematical optimization identifies efficient funding allocations for each technology program area to maximize the multi-attribute value generated from the total budget. This is especially useful for responding to externally imposed budget changes. As the case study demonstrates, explicitly funding the most value-generating options leads to greater expected R&D programmatic value than typical strategies of equal or proportional distributions of a budget change among technology program areas. - Highlights: • Decision analysis can minimize the effect of a budget decrement on an R&D program. • Greater expected benefits are yielded by differentially funding technologies. • Budget scenario testing illustrates factors that influence value generation. • Coordinating with US DOE bridges gap between decision research and practice.

  16. Portfolio: a prototype workstation for development and evaluation of tools for analysis and management of digital portal images

    International Nuclear Information System (INIS)

    Boxwala, Aziz A.; Chaney, Edward L.; Fritsch, Daniel S.; Friedman, Charles P.; Rosenman, Julian G.

    1998-01-01

    Purpose: The purpose of this investigation was to design and implement a prototype physician workstation, called PortFolio, as a platform for developing and evaluating, by means of controlled observer studies, user interfaces and interactive tools for analyzing and managing digital portal images. The first observer study was designed to measure physician acceptance of workstation technology, as an alternative to a view box, for inspection and analysis of portal images for detection of treatment setup errors. Methods and Materials: The observer study was conducted in a controlled experimental setting to evaluate physician acceptance of the prototype workstation technology exemplified by PortFolio. PortFolio incorporates a windows user interface, a compact kit of carefully selected image analysis tools, and an object-oriented data base infrastructure. The kit evaluated in the observer study included tools for contrast enhancement, registration, and multimodal image visualization. Acceptance was measured in the context of performing portal image analysis in a structured protocol designed to simulate clinical practice. The acceptability and usage patterns were measured from semistructured questionnaires and logs of user interactions. Results: Radiation oncologists, the subjects for this study, perceived the tools in PortFolio to be acceptable clinical aids. Concerns were expressed regarding user efficiency, particularly with respect to the image registration tools. Conclusions: The results of our observer study indicate that workstation technology is acceptable to radiation oncologists as an alternative to a view box for clinical detection of setup errors from digital portal images. Improvements in implementation, including more tools and a greater degree of automation in the image analysis tasks, are needed to make PortFolio more clinically practical

  17. Optimal trading quantity integration as a basis for optimal portfolio management

    Directory of Open Access Journals (Sweden)

    Saša Žiković

    2005-06-01

    Full Text Available The author in this paper points out the reason behind calculating and using optimal trading quantity in conjunction with Markowitz’s Modern portfolio theory. In the opening part the author presents an example of calculating optimal weights using Markowitz’s Mean-Variance approach, followed by an explanation of basic logic behind optimal trading quantity. The use of optimal trading quantity is not limited to systems with Bernoulli outcome, but can also be used when trading shares, futures, options etc. Optimal trading quantity points out two often-overlooked axioms: (1 a system with negative mathematical expectancy can never be transformed in a system with positive mathematical expectancy, (2 by missing the optimal trading quantity an investor can turn a system with positive expectancy into a negative one. Optimal trading quantity is that quantity which maximizes geometric mean (growth function of a particular system. To determine the optimal trading quantity for simpler systems, with a very limited number of outcomes, a set of Kelly’s formulas is appropriate. In the conclusion the summary of the paper is presented.

  18. Climate Change, Human Health, and Biomedical Research: Analysis of the National Institutes of Health Research Portfolio

    Science.gov (United States)

    Balbus, John M.; Christian, Carole; Haque, Ehsanul; Howe, Sally E.; Newton, Sheila A.; Reid, Britt C.; Roberts, Luci; Wilhelm, Erin; Rosenthal, Joshua P.

    2013-01-01

    Background: According to a wide variety of analyses and projections, the potential effects of global climate change on human health are large and diverse. The U.S. National Institutes of Health (NIH), through its basic, clinical, and population research portfolio of grants, has been increasing efforts to understand how the complex interrelationships among humans, ecosystems, climate, climate variability, and climate change affect domestic and global health. Objectives: In this commentary we present a systematic review and categorization of the fiscal year (FY) 2008 NIH climate and health research portfolio. Methods: A list of candidate climate and health projects funded from FY 2008 budget appropriations were identified and characterized based on their relevance to climate change and health and based on climate pathway, health impact, study type, and objective. Results: This analysis identified seven FY 2008 projects focused on climate change, 85 climate-related projects, and 706 projects that focused on disease areas associated with climate change but did not study those associations. Of the nearly 53,000 awards that NIH made in 2008, approximately 0.17% focused on or were related to climate. Conclusions: Given the nature and scale of the potential effects of climate change on human health and the degree of uncertainty that we have about these effects, we think that it is helpful for the NIH to engage in open discussions with science and policy communities about government-wide needs and opportunities in climate and health, and about how NIH’s strengths in human health research can contribute to understanding the health implications of global climate change. This internal review has been used to inform more recent initiatives by the NIH in climate and health. PMID:23552460

  19. Climate change, human health, and biomedical research: analysis of the National Institutes of Health research portfolio.

    Science.gov (United States)

    Jessup, Christine M; Balbus, John M; Christian, Carole; Haque, Ehsanul; Howe, Sally E; Newton, Sheila A; Reid, Britt C; Roberts, Luci; Wilhelm, Erin; Rosenthal, Joshua P

    2013-04-01

    According to a wide variety of analyses and projections, the potential effects of global climate change on human health are large and diverse. The U.S. National Institutes of Health (NIH), through its basic, clinical, and population research portfolio of grants, has been increasing efforts to understand how the complex interrelationships among humans, ecosystems, climate, climate variability, and climate change affect domestic and global health. In this commentary we present a systematic review and categorization of the fiscal year (FY) 2008 NIH climate and health research portfolio. A list of candidate climate and health projects funded from FY 2008 budget appropriations were identified and characterized based on their relevance to climate change and health and based on climate pathway, health impact, study type, and objective. This analysis identified seven FY 2008 projects focused on climate change, 85 climate-related projects, and 706 projects that focused on disease areas associated with climate change but did not study those associations. Of the nearly 53,000 awards that NIH made in 2008, approximately 0.17% focused on or were related to climate. Given the nature and scale of the potential effects of climate change on human health and the degree of uncertainty that we have about these effects, we think that it is helpful for the NIH to engage in open discussions with science and policy communities about government-wide needs and opportunities in climate and health, and about how NIH's strengths in human health research can contribute to understanding the health implications of global climate change. This internal review has been used to inform more recent initiatives by the NIH in climate and health.

  20. Do portfolios have a future?

    Science.gov (United States)

    Driessen, Erik

    2017-03-01

    While portfolios have seen an unprecedented surge in popularity, they have also become the subject of controversy: learners often perceive little gain from writing reflections as part of their portfolios; scholars question the ethics of such obligatory reflection; and students, residents, teachers and scholars alike condemn the bureaucracy surrounding portfolio implementation in competency-based education. It could be argued that mass adoption without careful attention to purpose and format may well jeopardize portfolios' viability in health sciences education. This paper explores this proposition by addressing the following three main questions: (1) Why do portfolios meet with such resistance from students and teachers, while educators love them?; (2) Is it ethical to require students to reflect and then grade their reflections?; (3) Does competency-based education empower or hamper the learner during workplace-based learning? Twenty-five years of portfolio reveal a clear story: without mentoring, portfolios have no future and are nothing short of bureaucratic hurdles in our competency-based education programs. Moreover, comprehensive portfolios, which are integrated into the curriculum and much more diverse in content than reflective portfolios, can serve as meaningful patient charts, providing doctor and patient with useful information to discuss well-being and treatment. In this sense, portfolios are also learner charts that comprehensively document progress in a learning trajectory which is lubricated by meaningful dialogue between learner and mentor in a trusting relationship to foster learning. If we are able to make such comprehensive and meaningful use of portfolios, then, yes, portfolios do have a bright future in medical education.

  1. The Impact of Transaction Costs on Rebalancing an Investment Portfolio in Portfolio Optimization

    OpenAIRE

    B. Marasović; S. Pivac; S. V. Vukasović

    2015-01-01

    Constructing a portfolio of investments is one of the most significant financial decisions facing individuals and institutions. In accordance with the modern portfolio theory maximization of return at minimal risk should be the investment goal of any successful investor. In addition, the costs incurred when setting up a new portfolio or rebalancing an existing portfolio must be included in any realistic analysis. In this paper rebalancing an investment portfolio in the pr...

  2. Portfolio risk-return analysis: The case of the automotive industry in the Czech Republic

    Directory of Open Access Journals (Sweden)

    Florin Aliu

    2017-12-01

    Full Text Available Risk has always been the concern of managers and shareholders as a part of decision-making processes. Managers tend to control unsystematic risk mostly while trying to minimize the exposure to systematic (market risk. The paper aims to assess the risk level and risk-return tradeoffs for the companies operating in Czech automotive industry. A diversification formula and calculation of returns using return-on-equity were employed on the yearly basis from 2005 till 2014. The returns and risk calculations were conducted on the portfolio of auto manufacturers, followed by the portfolio of auto suppliers, while the third one was performed for suppliers and manufacturers taken together. The results of the study show that the average correlation coefficient tends to decrease when we move from manufacturers to suppliers, while increasing when we join manufacturers and suppliers in one portfolio. The highest diversification benefit has been reached in the portfolio of auto suppliers. The highest risk is manifested for the portfolio of manufacturers, while the lowest – in the portfolio of auto suppliers. Risk level declined when we joined manufacturers and suppliers in comparison with risk of manufacturers alone. However, the lowest risk and the highest risk-return tradeoff were achieved in the portfolio of suppliers.

  3. Portfolio Management

    Science.gov (United States)

    Duncan, Sharon L.

    2011-01-01

    Enterprise Business Information Services Division (EBIS) supports the Laboratory and its functions through the implementation and support of business information systems on behalf of its business community. EBIS Five Strategic Focus Areas: (1) Improve project estimating, planning and delivery capability (2) Improve maintainability and sustainability of EBIS Application Portfolio (3) Leap forward in IT Leadership (4) Comprehensive Talent Management (5) Continuous IT Security Program. Portfolio Management is a strategy in which software applications are managed as assets

  4. Street ball, swim team and the sour cream machine: a cluster analysis of out of school time participation portfolios.

    Science.gov (United States)

    Nelson, Ingrid Ann; Gastic, Billie

    2009-10-01

    Adolescents spend only a fraction of their waking hours in school and what they do with the rest of their time varies dramatically. Despite this, research on out-of-school time has largely focused on structured programming. The authors analyzed data from the Educational Longitudinal Study of 2002 (ELS:2002) to examine the out-of-school time activity portfolios of 6,338 high school sophomores, accounting for time spent in school clubs and sports as well as 17 other activities. The analytical sample was balanced with respect to sex and racially and ethnically diverse: 49% female, 67% White, 10% Latino, 10% African American, and 6% Asian and Pacific Islander. Approximately 76% of the sample attended public schools, 30% were in the highest socioeconomic quartile, and 20% were in the lowest socioeconomic quartile. The authors identified five distinct out-of-school time activity portfolios based on a cluster analysis. The demographic profiles of students by portfolio type differed significantly with respect to sex, race/ethnicity, socioeconomic status, school type and location. Students by portfolio type also differed significantly in terms of measures of academic success, school behavior, victimization and perceptions of school climate, controlling for covariates. These findings underscore the importance of more complex considerations of adolescents' out-of-school time.

  5. Portfolio Assessment: A Handbook for Educators. Assessment Bookshelf Series.

    Science.gov (United States)

    Barton, James, Ed.; Collins, Angelo, Ed.

    This guide contains practical steps for integrating portfolios into any K-12 classroom and tips for effective classroom management of portfolios. It also contains actual examples of portfolios in action in a variety of subject areas. The chapters are: (1) "Starting Out: Designing Your Portfolio" (James Barton and Angelo Collins); (2) "Preparing…

  6. Portfolio Management Decision Support Tools Analysis Relating to Management Value Metrics

    National Research Council Canada - National Science Library

    Goodson, Christopher J; Knutson, Richard D

    2007-01-01

    .... The results of this research will assist MDA managers, and operational leaders, in making portfolio management decisions for allocating resources to create the correct support tools for MDA processes...

  7. Portfolio theory and the alternative decision rule of cost-effectiveness analysis: theoretical and practical considerations.

    Science.gov (United States)

    Sendi, Pedram; Al, Maiwenn J; Gafni, Amiram; Birch, Stephen

    2004-05-01

    Bridges and Terris (Soc. Sci. Med. (2004)) critique our paper on the alternative decision rule of economic evaluation in the presence of uncertainty and constrained resources within the context of a portfolio of health care programs (Sendi et al. Soc. Sci. Med. 57 (2003) 2207). They argue that by not adopting a formal portfolio theory approach we overlook the optimal solution. We show that these arguments stem from a fundamental misunderstanding of the alternative decision rule of economic evaluation. In particular, the portfolio theory approach advocated by Bridges and Terris is based on the same theoretical assumptions that the alternative decision rule set out to relax. Moreover, Bridges and Terris acknowledge that the proposed portfolio theory approach may not identify the optimal solution to resource allocation problems. Hence, it provides neither theoretical nor practical improvements to the proposed alternative decision rule.

  8. Macro-Financial Linkages in Egypt; A Panel Analysis of Economic Shocks and Loan Portfolio Quality

    OpenAIRE

    Inessa Love; Rima Turk-Ariss

    2013-01-01

    This paper investigates macro-financial linkages in Egypt using two complementary methods, assessing the interaction between different macroeconomic aggregates and loan portfolio quality in a multivariate framework as well as through a panel vector autoregressive method that controls for bank-level characteristics. Using a panel of banks over 1993-2010, the authors find that a positive shock to capital inflows and growth in gross domestic product improves banks’ loan portfolio quality, and ...

  9. Portfolio-Associated Faculty: A Qualitative Analysis of Successful Behaviors from the Perspective of the Student

    Directory of Open Access Journals (Sweden)

    Jack Kopechek

    2016-01-01

    Full Text Available Purpose. While some aspects of what makes for an effective portfolio program are known, little is published about what students value in the faculty-student-portfolio relationship. Lack of student buy-in and faculty engagement can be significant challenges. The purpose of this study was to identify behaviors and types of engagement that students value in their relationships with portfolio-associated faculty. Methods. Medical students (174 participating in the Ohio State University College of Medicine Portfolio Program described behaviors observed in their portfolio-associated faculty in a survey completed at the end of the first year of their four-year program. Narrative responses were coded and categorized into themes, followed by member checking. Results. A total of 324 comments from 169 students were analyzed. Four themes were identified: (1 creating a supportive environment; (2 inspiring academic and professional growth; (3 investing time in students; and (4 providing advice and direction. Conclusions. The themes identified suggest that students value certain types of coaching and mentoring behaviors from their portfolio-associated faculty. The themes and their specific subcategories may be useful in making decisions regarding program development and guiding recruitment and training of these faculty coaches.

  10. An empirical analysis of the risk of crude oil imports in China using improved portfolio approach

    International Nuclear Information System (INIS)

    Wu, Gang; Wei, Yi-Ming; Fan, Ying; Liu, Lan-Cui

    2007-01-01

    This paper quantifies the diversification index of China's crude oil imports during the period 1996-2004, and explores the relationship between the monthly prices and Brent crude oil cash prices. Accordingly, we calculate the systematic and specific risks using portfolio theory of China's crude oil import over the period 1996-2004. Because China's crude oil import increased rapidly since 1996, we improve upon the traditional portfolio theory and develop a risk index model of portfolio theory for crude oil imports in order to explore objectively the changes in China's crude oil import risks. The results show that China's crude oil import risk is affected extensively by the fluctuation of international oil prices. So the traditional portfolio theory is insufficient to measure China's crude oil import risk. The improved portfolio theory risks index model reflects the effect of international oil prices, diversification, imports, and geopolitics factors etc., on crude oil import risk, and changes in crude oil import risk. Therefore, the risk index model of portfolio theory provides greater theoretical and methodological robustness as an indicator of China's crude oil import security than that offered from the application of traditional measures of dependence. (author)

  11. Using an Integrated Hydrologic-Economic Model to Develop Minimum Cost Water Supply Portfolios and Manage Supply Risk

    Science.gov (United States)

    Characklis, G. W.; Ramsey, J.

    2004-12-01

    Water scarcity has become a reality in many areas as a result of population growth, fewer available sources, and reduced tolerance for the environmental impacts of developing the new supplies that do exist. As a result, successfully managing future water supply risk will become more dependent on coordinating the use of existing resources. Toward that end, flexible supply strategies that can rapidly respond to hydrologic variability will provide communities with increasing economic advantages, particularly if the frequency of more extreme events (e.g., drought) increases due to global climate change. Markets for established commodities (e.g., oil, gas) often provide a framework for efficiently responding to changes in supply and demand. Water markets, however, have remained relatively crude, with most transactions involving permanent transfers and long regulatory processes. Recently, interest in the use of flexible short-term transfers (e.g., leases, options) has begun to motivate consideration of more sophisticated strategies for managing supply risk, strategies similar to those used in more mature markets. In this case, communities can benefit from some of the advantages that water enjoys over other commodities, in particular, the ability to accurately characterize the stochastic nature of supply and demand through hydrologic modeling. Hydrologic-economic models are developed for two different water scarce regions supporting active water markets: Edward Aquifer and Lower Rio Grande Valley. These models are used to construct portfolios of water supply transfers (e.g., permanent transfers, options, and spot leases) that minimize the cost of meeting a probabilistic reliability constraint. Real and simulated spot price distributions allow each type of transfer to be priced in a manner consistent with financial theory (e.g., Black-Scholes). Market simulations are integrated with hydrologic models such that variability in supply and demand are linked with price behavior

  12. Program and Portfolio Tradeoffs Under Uncertainty Using Epoch-Era Analysis: A Case Application to Carrier Strike Group Design

    Science.gov (United States)

    2015-05-01

    Modern Portfolio Theory (MPT) • Joint EEA and MPT Method... Modern Portfolio Theory (MPT) for Engineering Portfolios Consistencies • Value elicitation from stakeholders • Modeling of asset value • Founded...correlation • Asset availability is dynamic • Costs may accompany diversification Select elements of Modern Portfolio Theory can improve the design

  13. Portfolio optimization and performance evaluation

    DEFF Research Database (Denmark)

    Juhl, Hans Jørn; Christensen, Michael

    2013-01-01

    Based on an exclusive business-to-business database comprising nearly 1,000 customers, the applicability of portfolio analysis is documented, and it is examined how such an optimization analysis can be used to explore the growth potential of a company. As opposed to any previous analyses, optimal...... customer portfolios are determined, and it is shown how marketing decision-makers can use this information in their marketing strategies to optimize the revenue growth of the company. Finally, our analysis is the first analysis which applies portfolio based methods to measure customer performance......, and it is shown how these performance measures complement the optimization analysis....

  14. An integrated multi-criteria scenario evaluation web tool for participatory land-use planning in urbanized areas: The Ecosystem Portfolio Model

    Science.gov (United States)

    Labiosa, Bill; Forney, William M.; Hearn,, Paul P.; Hogan, Dianna M.; Strong, David R.; Swain, Eric D.; Esnard, Ann-Margaret; Mitsova-Boneva, D.; Bernknopf, R.; Pearlstine, Leonard; Gladwin, Hugh

    2013-01-01

    Land-use land-cover change is one of the most important and direct drivers of changes in ecosystem functions and services. Given the complexity of the decision-making, there is a need for Internet-based decision support systems with scenario evaluation capabilities to help planners, resource managers and communities visualize, compare and consider trade-offs among the many values at stake in land use planning. This article presents details on an Ecosystem Portfolio Model (EPM) prototype that integrates ecological, socio-economic information and associated values of relevance to decision-makers and stakeholders. The EPM uses a multi-criteria scenario evaluation framework, Geographic Information Systems (GIS) analysis and spatially-explicit land-use/land-cover change-sensitive models to characterize changes in important land-cover related ecosystem values related to ecosystem services and functions, land parcel prices, and community quality-of-life (QoL) metrics. Parameters in the underlying models can be modified through the interface, allowing users in a facilitated group setting to explore simultaneously issues of scientific uncertainty and divergence in the preferences of stakeholders. One application of the South Florida EPM prototype reported in this article shows the modeled changes (which are significant) in aggregate ecological value, landscape patterns and fragmentation, biodiversity potential and ecological restoration potential for current land uses compared to the 2050 land-use scenario. Ongoing refinements to EPM, and future work especially in regard to modifiable sea level rise scenarios are also discussed.

  15. Mortgage loans: an analysis of the portfolios of the largest banks in Brazil

    Directory of Open Access Journals (Sweden)

    Bruno Vinícius Ramos Fernandes

    2013-05-01

    Full Text Available Given the current macroeconomic environment experienced in Brazil, where inflation has stabilized and the basic interest rate of the economy is in one of their historical lows, demand for mortgages is increasing. In this context, the mortgage is presented with great emphasis to meet the demand for purchasing housing in addition to being a catalyst for the reduction of the high housing deficit. From a descriptive and empirical-analytic was analyzed the mortgage loan portfolio of the largest banks of the country between the years 2001 and 2010 through Quarterly Financial Information (IFT available on the Central Bank website. It was settled a comparative relationship between the data in order to check the development of mortgage portfolios over the years and the factors that influenced this evolution, and evaluate the timeliness and quality of those loans. For the evolution of the portfolio there was an economic context in which Brazil was included in the period, and observed that for most of these operations are long term the banks are more exposed to market risk. With regard to credit risk parse that, over the years, Brazilian banks are presenting a mortgage loan portfolio with lower risk, and it is found that institutions with real estate credits with higher levels of portfolio risk are subject to have higher losses on such operations in the possibility of default.

  16. Mean-risk efficient portfolio analysis of demand response and supply resources

    International Nuclear Information System (INIS)

    Deng, Shi-Jie; Xu, Li

    2009-01-01

    In the restructured electric power utility industry, reducing the risk exposure of profit to the highly volatile electricity wholesale price and the fluctuating demand of end users is essential to the financial success of load-serving entities (LSEs). Demand response (DR) programs have been utilized to manage the correlated price and volumetric risks, and simultaneously improve the reliability of the power system. This paper proposes an efficient portfolio framework for LSEs to evaluate the role of DR programs in achieving a desirable tradeoff between profit and risk. The mean-risk efficient frontier formed by the optimal portfolios allows LSEs to identify the least amount of risk to bear corresponding to a given profit target. Numerical examples are provided to illustrate the impact of DR programs on the composition of the optimal portfolios in achieving different levels of tradeoff between risk and reward. (author)

  17. Optimal Strategy Analysis of a Competing Portfolio Market with a Polyvariant Profit Function

    International Nuclear Information System (INIS)

    Bogolubov, Nikolai N. Jr.; Kyshakevych, Bohdan Yu.; Blackmore, Denis; Prykarpatsky, Anatoliy K.

    2010-12-01

    A competing market model with a polyvariant profit function that assumes 'zeitnot' stock behavior of clients is formulated within the banking portfolio medium and then analyzed from the perspective of devising optimal strategies. An associated Markov process method for finding an optimal choice strategy for monovariant and bivariant profit functions is developed. Under certain conditions on the bank 'promotional' parameter with respect to the 'fee' for a missed share package transaction and at an asymptotically large enough portfolio volume, universal transcendental equations - determining the optimal share package choice among competing strategies with monovariant and bivariant profit functions - are obtained. (author)

  18. Cointegration and Causality Analysis on Developed Asian Markets for Risk Management and Portfolio Selection

    Directory of Open Access Journals (Sweden)

    Aldrin Herwany

    2008-09-01

    This study assesses the cointegration and causal relations among seven developed Asian markets, i.e., Tokyo, Hong Kong, Korea, Taiwan, Shanghai, Singapore, and Kuala Lumpur stock exchanges, using more frequent time series data. It employs the recently developed techniques for investigating unit roots, cointegration, time-varying volatility, and causality in variance. For estimating portfolio market risk, this study employs Value-at-Risk with delta normal approach. The results would recommend whether fund managers are able to diversify their portfolio in these developed stock markets either in long run or in short run.

  19. Analysis of optoelectronic strategic planning in Taiwan by artificial intelligence portfolio tool

    Science.gov (United States)

    Chang, Rang-Seng

    1992-05-01

    Taiwan ROC has achieved significant advances in the optoelectronic industry with some Taiwan products ranked high in the world market and technology. Six segmentations of optoelectronic were planned. Each one was divided into several strategic items, design artificial intelligent portfolio tool (AIPT) to analyze the optoelectronic strategic planning in Taiwan. The portfolio is designed to provoke strategic thinking intelligently. This computer- generated strategy should be selected and modified by the individual. Some strategies for the development of the Taiwan optoelectronic industry also are discussed in this paper.

  20. Applying a Data Stewardship Maturity Matrix to the NOAA Observing System Portfolio Integrated Assessment Process

    Science.gov (United States)

    Peng, G.; Austin, M.

    2017-12-01

    Identification and prioritization of targeted user community needs are not always considered until after data has been created and archived. Gaps in data curation and documentation in the data production and delivery phases limit data's broad utility specifically for decision makers. Expert understanding and knowledge of a particular dataset is often required as a part of the data and metadata curation process to establish the credibility of the data and support informed decision-making. To enhance curation practices, content from NOAA's Observing System Integrated Assessment (NOSIA) Value Tree, NOAA's Data Catalog/Digital Object Identifier (DOI) projects (collection-level metadata) have been integrated with Data/Stewardship Maturity Matrices (data and stewardship quality information) focused on assessment of user community needs. This results in user focused evidence based decision making tools created by NOAA's National Environmental Satellite, Data, and Information Service (NESDIS) through identification and assessment of data content gaps related to scientific knowledge and application to key areas of societal benefit. Through enabling user need feedback from the beginning of data creation through archive allows users to determine the quality and value of data that is fit for purpose. Data gap assessment and prioritization are presented in a user-friendly way using the data stewardship maturity matrices as measurement of data management quality. These decision maker tools encourages data producers and data providers/stewards to consider users' needs prior to data creation and dissemination resulting in user driven data requirements increasing return on investment. A use case focused on need for NOAA observations linked societal benefit will be used to demonstrate the value of these tools.

  1. What did first-year students experience during their interprofessional education? A qualitative analysis of e-portfolios.

    Science.gov (United States)

    Imafuku, Rintaro; Kataoka, Ryuta; Ogura, Hiroshi; Suzuki, Hisayoshi; Enokida, Megumi; Osakabe, Keitaro

    2018-05-01

    Interprofessional collaboration is an essential approach to comprehensive patient care. As previous studies have argued, interprofessional education (IPE) must be integrated in a stepwise, systematic manner in undergraduate health profession education programmes. Given this perspective, first-year IPE is a critical opportunity for building the foundation of interprofessional collaborative practice. This study aims to explore the first-year students' learning processes and the longitudinal changes in their perceptions of learning in a year-long IPE programme. Data were collected at a Japanese medical university, in which different pedagogical approaches are adopted in the IPE programme. Some of these approaches include interprofessional problem-based learning, early exposure, and interactive lecture-based teaching. The students are required to submit written reflections as a formative assessment. This study conducted an inductive thematic analysis of 104 written reflections from a series of e-portfolios of 26 first-year students. The themes related to learning outcomes from student perspectives included communication (e.g., active listening and intelligible explanation), teams and teamwork (e.g., mutual engagement and leadership), roles/responsibilities as a group member (e.g., self-directed learning and information literacy), and roles/responsibilities as a health professional (e.g., understanding of the student's own professional and mutual respect in an interprofessional team). The study also indicated three perspectives of students' learning process at different stages of the IPE, i.e., processes by which students became active and responsible learners, emphasised the enhancement of teamwork, and developed their own interprofessional identities. This study revealed the first-year students' learning processes in the year-long IPE programme and clarified the role of the first-year IPE programme within the overall curriculum. The findings suggest that the students

  2. A Prospective Analysis of the Costs, Benefits, and Impacts of U.S. Renewable Portfolio Standards

    Energy Technology Data Exchange (ETDEWEB)

    Mai, Trieu [National Renewable Energy Lab. (NREL), Golden, CO (United States); Wiser, Ryan [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Barbose, Galen [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Bird, Lori [National Renewable Energy Lab. (NREL), Golden, CO (United States); Heeter, Jenny [National Renewable Energy Lab. (NREL), Golden, CO (United States); Keyser, David [National Renewable Energy Lab. (NREL), Golden, CO (United States); Krishnan, Venkat [National Renewable Energy Lab. (NREL), Golden, CO (United States); Macknick, Jordan [National Renewable Energy Lab. (NREL), Golden, CO (United States); Millstein, Dev [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States)

    2016-12-31

    As states have gained experience with renewable portfolio standards (RPS) policies, many have made significant revisions to existing programs. In 2015 and 2016, seven states raised and extended their final RPS targets, while another state enacted a new RPS policy (Barbose 2016b). Interest in expanding and strengthening state RPS programs may continue, while efforts like recent proposals in many states to repeal or freeze existing RPS policies may also persist. In either context, questions about the potential costs, benefits, and other impacts of RPS programs are usually central to the decision-making process. This report follows on previous analyses that have focused on the historical costs, benefits, and other impacts of existing state RPS programs (Heeter et al. 2014; Wiser et al. 2016a). This report examines RPS outcomes prospectively, considering both current RPS policies as well as a potential expansion of those policies. The goal of this work is to provide a consistent and independent analytical methodology for that examination. This analysis relies on National Renewable Energy Laboratory’s (NREL’s) Regional Energy Deployment System (ReEDS) model to estimate changes to the U.S. electric power sector across a number of scenarios and sensitivity cases, focusing on the 2015–2050 timeframe. Based on those modeled results, we evaluate the costs, benefits, and other impacts of renewable energy contributing to RPS compliance using the suite of methods employed in a number of recent studies sponsored by the U.S. Department of Energy (DOE): a report examining retrospective benefits and impacts of RPS programs (Wiser et al. 2016a), the Wind Vision report (DOE 2015), the On the Path to SunShot report focusing on environmental benefits (Wiser et al. 2016b), and the Hydropower Vision report (DOE 2016).

  3. A portfolio analysis model of the demand for nuclear power plants

    International Nuclear Information System (INIS)

    Sutherland, R.J.

    1986-01-01

    Electric utilities are characterized as timid risk averters that select coal or nuclear plants or both, where the levellized cost of each is characterized by considerable risk. A portfolio selection model is developed to explain the historical demand for nuclear reactors by region. Some qualitative policy implications are derived with respect to the DOE's objective of reviving the nuclear power market. (author)

  4. Determining e-Portfolio Elements in Learning Process Using Fuzzy Delphi Analysis

    Science.gov (United States)

    Mohamad, Syamsul Nor Azlan; Embi, Mohamad Amin; Nordin, Norazah

    2015-01-01

    The present article introduces the Fuzzy Delphi method results obtained in the study on determining e-Portfolio elements in learning process for art and design context. This method bases on qualified experts that assure the validity of the collected information. In particular, the confirmation of elements is based on experts' opinion and…

  5. Application of portfolio analysis to the Dutch generating mix. Reference case and two renewables cases, year 2030, SE and GE scenario

    International Nuclear Information System (INIS)

    Jansen, J.C.; Beurskens, L.W.M.; Van Tilburg, X.

    2006-02-01

    This report presents results of an application of Markowitz Portfolio Theory (MPT) to the future portfolio of electricity generating technologies in the Netherlands in year 2030. Projections are made based on two specific scenarios constructed by the Netherlands Bureau for Economic Policy Analysis (CPB), i.e. 'Strong Europe (SE)' and 'Global Economy (GE)'. This study zooms in on the electricity cost risk dimension of the Dutch portfolio of generating technologies. Major results of this study are: (a) In both scenarios, the base variant is not very efficient. Graphical analysis suggests that diversification may yield up to 20% risk reduction at no extra cost; (b) Promotion of renewable energy can greatly decrease the portfolio risk. Defining mixes without renewables results in significantly riskier mixes with relatively small impact on portfolio costs; (c) Because of its relative low risk and high potential, large-scale implementation of offshore wind can reduce cost risk of the Dutch generating portfolio while only in the GE scenario a (small) upward effect on the projected Dutch electricity cost in year 2030 is foreseen. In a SE world large-scale implementation of offshore wind is projected to have a downward effect on Dutch electricity prices by the year 2030

  6. Integrated genetic analysis microsystems

    International Nuclear Information System (INIS)

    Lagally, Eric T; Mathies, Richard A

    2004-01-01

    With the completion of the Human Genome Project and the ongoing DNA sequencing of the genomes of other animals, bacteria, plants and others, a wealth of new information about the genetic composition of organisms has become available. However, as the demand for sequence information grows, so does the workload required both to generate this sequence and to use it for targeted genetic analysis. Microfabricated genetic analysis systems are well poised to assist in the collection and use of these data through increased analysis speed, lower analysis cost and higher parallelism leading to increased assay throughput. In addition, such integrated microsystems may point the way to targeted genetic experiments on single cells and in other areas that are otherwise very difficult. Concomitant with these advantages, such systems, when fully integrated, should be capable of forming portable systems for high-speed in situ analyses, enabling a new standard in disciplines such as clinical chemistry, forensics, biowarfare detection and epidemiology. This review will discuss the various technologies available for genetic analysis on the microscale, and efforts to integrate them to form fully functional robust analysis devices. (topical review)

  7. The Use of Neural Network and Portfolio Analysis in Forecasting Share Prices at the Stock Exchange

    Directory of Open Access Journals (Sweden)

    Przemyslaw Stochel

    2000-01-01

    Full Text Available The article presents the use of neural networks in decision making process on the capital market. The author tried to show the efficiency of established solution in Polish reality which features different conditions in comparison with the markets of higher developed countries. The aim of the paper was to prove that neural networks are flexible tools which on one hand might be adjusted to investor's requirements and on the other, can reduce equirements to his experience. The article is based on the author's own research carried out by modelling neural network operation with a simulation program. The established solutions are input which employs stocks portfolio computed on the basis of Markowitz portfolio theory and Sharpe's model. According to the established propositions, the portfolio created in such a way is modified by neutral network in order to optimise a criterion which maximises the income of such a modified portfolio. A detailed genesis of the established input vector and network structure are presented. It allows the reader to carry out his own research and create his own attitude towards applied values. The research results based on a real stock market database with the use of one-output networks predicting thc price of a single company - Agros as well as networks predicting the desirable structure of the whole portfolio are presented. The effect of the network structure leaming parameters, input vector (not only as to the input quantity but also as to period of time they were collected was examined. The dependence between the factors mentioned above such as input vector and network structure were discussed. lt seems that the presented paper has proved that some not widely spread methods with neural networks can become at competitive tool to optimisation methods.

  8. Directional variance adjustment: bias reduction in covariance matrices based on factor analysis with an application to portfolio optimization.

    Directory of Open Access Journals (Sweden)

    Daniel Bartz

    Full Text Available Robust and reliable covariance estimates play a decisive role in financial and many other applications. An important class of estimators is based on factor models. Here, we show by extensive Monte Carlo simulations that covariance matrices derived from the statistical Factor Analysis model exhibit a systematic error, which is similar to the well-known systematic error of the spectrum of the sample covariance matrix. Moreover, we introduce the Directional Variance Adjustment (DVA algorithm, which diminishes the systematic error. In a thorough empirical study for the US, European, and Hong Kong stock market we show that our proposed method leads to improved portfolio allocation.

  9. Directional variance adjustment: bias reduction in covariance matrices based on factor analysis with an application to portfolio optimization.

    Science.gov (United States)

    Bartz, Daniel; Hatrick, Kerr; Hesse, Christian W; Müller, Klaus-Robert; Lemm, Steven

    2013-01-01

    Robust and reliable covariance estimates play a decisive role in financial and many other applications. An important class of estimators is based on factor models. Here, we show by extensive Monte Carlo simulations that covariance matrices derived from the statistical Factor Analysis model exhibit a systematic error, which is similar to the well-known systematic error of the spectrum of the sample covariance matrix. Moreover, we introduce the Directional Variance Adjustment (DVA) algorithm, which diminishes the systematic error. In a thorough empirical study for the US, European, and Hong Kong stock market we show that our proposed method leads to improved portfolio allocation.

  10. Directional Variance Adjustment: Bias Reduction in Covariance Matrices Based on Factor Analysis with an Application to Portfolio Optimization

    Science.gov (United States)

    Bartz, Daniel; Hatrick, Kerr; Hesse, Christian W.; Müller, Klaus-Robert; Lemm, Steven

    2013-01-01

    Robust and reliable covariance estimates play a decisive role in financial and many other applications. An important class of estimators is based on factor models. Here, we show by extensive Monte Carlo simulations that covariance matrices derived from the statistical Factor Analysis model exhibit a systematic error, which is similar to the well-known systematic error of the spectrum of the sample covariance matrix. Moreover, we introduce the Directional Variance Adjustment (DVA) algorithm, which diminishes the systematic error. In a thorough empirical study for the US, European, and Hong Kong stock market we show that our proposed method leads to improved portfolio allocation. PMID:23844016

  11. Oil prices, stock markets and portfolio investment. Evidence from sector analysis in Europe over the last decade

    International Nuclear Information System (INIS)

    Hedi Arouri, Mohamed El; Khuong Nguyen, Duc

    2010-01-01

    This article extends the understanding of oil-stock market relationships over the last turbulent decade. Unlike previous empirical investigations, which have largely focused on broad-based market indices (national and/or regional indices), we examine short-term linkages in the aggregate as well as sector by sector levels in Europe using different econometric techniques. Our main findings suggest that the reactions of stock returns to oil price changes differ greatly depending on the activity sector. In the out-of-sample analysis we show that introducing oil asset into a diversified portfolio of stocks allows to significantly improve its risk-return characteristics. (author)

  12. Environment and economic risk: An analysis of carbon emission market and portfolio management.

    Science.gov (United States)

    Luo, Cuicui; Wu, Desheng

    2016-08-01

    Climate change has been one of the biggest and most controversial environmental issues of our times. It affects the global economy, environment and human health. Many researchers find that carbon dioxide (CO2) has contributed the most to climate change between 1750 and 2005. In this study, the orthogonal GARCH (OGARCH) model is applied to examine the time-varying correlations in European CO2 allowance, crude oil and stock markets in US, Europe and China during the Protocol's first commitment period. The results show that the correlations between EUA carbon spot price and the equity markets are higher and more volatile in US and Europe than in China. Then the optimal portfolios consisting these five time series are selected by Mean-Variance and Mean-CVAR models. It shows that the optimal portfolio selected by MV-OGARCH model has the best performance. Copyright © 2016 Elsevier Inc. All rights reserved.

  13. Synthetic Analysis about Single-Criterion and Multi-Criterion Financial Assets Portfolio

    Directory of Open Access Journals (Sweden)

    Leonardo Badea

    2006-06-01

    Full Text Available This paper as a synthetic analyzis based on the Markowitz and Sharpe models deals with the problem of portfolio trying to determine both the optimum proportion of titles and the influence of a considered macroeconomic factor over their level of efficiency and risk. The improvement of these models was made through the introduction of a new model, the APT model (Arbitrage Price Theory, as a development of the uni-factorial CAPM model, in other words, the above-mentioned model only constitutes a particular form of the APT model trying to establish a relationship between the individual efficiency of a title from the portfolio and several macroeconomic factors. Also, this model involves the identification of macroeconomic factors influencing the profitability of the titles and the determination of the influence of these factors individually, through the application of the APT model.

  14. Synthetic Analysis about Single-Criterion and Multi-Criterion Financial Assets Portfolio

    Directory of Open Access Journals (Sweden)

    Leonardo Badea

    2006-08-01

    Full Text Available This paper as a synthetic analyzis based on the Markowitz and Sharpe models deals with the problem of portfolio trying to determine both the optimum proportion of titles and the influence of a considered macroeconomic factor over their level of efficiency and risk. The improvement of these models was made through the introduction of a new model, the APT model (Arbitrage Price Theory, as a development of the uni-factorial CAPM model, in other words, the above-mentioned model only constitutes a particular form of the APT model trying to establish a relationship between the individual efficiency of a title from the portfolio and several macroeconomic factors. Also, this model involves the identification of macroeconomic factors influencing the profitability of the titles and the determination of the influence of these factors individually, through the application of the APT model.

  15. Portfolio optimization retail investor

    Directory of Open Access Journals (Sweden)

    I. А. Kiseleva

    2016-01-01

    Full Text Available The article notes that the task of the investor's risk management is to, on the one hand, as much as possible to strive to achieve the criterion of risk level, and on the other hand, in any case not exceed it. Since the domestic theory of risk management is under development, the problem of the optimal ratio of "risk-income" becomes now of particular relevance. This article discusses the different distribution areas of the private investor in order to obtain the maximum profit. The analysis showed us the overall economic and political system of the country, as well as the legislative provision of guarantees to the investor. To obtain sufficient income and reduce losses it is important to maintain the optimum value found between the amount of the investor's risk and capital transactions. Model of optimal placement of funds led to the conclusion about inexpediency strong increase in the diversification of the investment portfolio (more than 10 different types of assets in the portfolio, since it increases the complexity of its practical form, while the portfolio characteristics are improved significantly. It is concluded that it is impossible to increase revenue without increasing the risk or reduce risk without reducing income. The analysis shows that there is no single best asset portfolio. It is impossible to increase revenue without increasing the risk or reduce risk without reducing income. Possible combination of the "riskincome" will depend on the objective function. Most diversified and bringing the best return per unit of risk, is a portfolio that contains the most risky assets.

  16. Multivariate GARCH models and Black-Litterman approach for tracking error constrained portfolios: an empirical analysis

    OpenAIRE

    Giulio PALOMBA

    2006-01-01

    In a typical tactical asset allocation set up managers generally make their investment decisions by inserting private information in an optimisation mechanism used to beat a benchmark portfolio; in this context the sole approach a' la Markowitz (1959) does not use all the available information about expected excess return and especially it does not take two main factors into account: first, asset returns often show changes in volatility, and second, the manager's private information plays no ...

  17. The current state of funded NIH grants in implementation science in genomic medicine: a portfolio analysis.

    Science.gov (United States)

    Roberts, Megan C; Clyne, Mindy; Kennedy, Amy E; Chambers, David A; Khoury, Muin J

    2017-10-26

    PurposeImplementation science offers methods to evaluate the translation of genomic medicine research into practice. The extent to which the National Institutes of Health (NIH) human genomics grant portfolio includes implementation science is unknown. This brief report's objective is to describe recently funded implementation science studies in genomic medicine in the NIH grant portfolio, and identify remaining gaps.MethodsWe identified investigator-initiated NIH research grants on implementation science in genomic medicine (funding initiated 2012-2016). A codebook was adapted from the literature, three authors coded grants, and descriptive statistics were calculated for each code.ResultsForty-two grants fit the inclusion criteria (~1.75% of investigator-initiated genomics grants). The majority of included grants proposed qualitative and/or quantitative methods with cross-sectional study designs, and described clinical settings and primarily white, non-Hispanic study populations. Most grants were in oncology and examined genetic testing for risk assessment. Finally, grants lacked the use of implementation science frameworks, and most examined uptake of genomic medicine and/or assessed patient-centeredness.ConclusionWe identified large gaps in implementation science studies in genomic medicine in the funded NIH portfolio over the past 5 years. To move the genomics field forward, investigator-initiated research grants should employ rigorous implementation science methods within diverse settings and populations.Genetics in Medicine advance online publication, 26 October 2017; doi:10.1038/gim.2017.180.

  18. Analysis Of Dynamic Portfolio Allocation Of Indonesian LQ45 During 2005 – 2011 Following The Markowitz Theowry

    Directory of Open Access Journals (Sweden)

    Agustini Hamid

    2016-09-01

    Full Text Available The research observed that equity portfolio and investment managers were facing challenges in determining the optimum portfolio, especially during the turbulent times. As a result, they needed to implement portfolio management strategies to overcome the risk associated with stock return volatility in turbulence periods. This research focused on selecting stocks from the LQ-45 index during 2005-2011 using The Markowitz theory combining the Solver Linear Programming. The portfolio selection method which has been introduced by Markowitz (1952 used variance or standard deviation as a risk measurement. The result of this research proves that the composition of the portfolio is not the same in the different period. In the bearish period, the composition of the optimum portfolio is dominated by the banking sector and manufacture sector. In the bullish period, the optimum portfolio is dominated by the commodity stocks.

  19. Analysis of Scientific and Methodical Approaches to Portfolio Investment as a Tool of Financial Provision of Sustainable Economic Development

    Directory of Open Access Journals (Sweden)

    Leus Daryna V.

    2013-12-01

    Full Text Available The article analyses scientific and methodical approaches to portfolio investment. It develops recommendations on specification of the categorical apparatus of portfolio investment in the context of differentiation of strategic (direct and portfolio investments as alternative approaches to the conduct of investment activity. It identifies the composition and functions of objects and subjects of portfolio investment under conditions of globalisation of the world financial markets. It studies main postulates of the portfolio theory and justifies a necessity of identification of the place, role and functions of subjects of portfolio investment in them for ensuring sustainable development of the economy. It offers to specify, as one of the ways of further development of portfolio theories, a separate direction in the financial provision of economy with consideration of ecologic and social components – socio responsible investment.

  20. Academic portfolio in the digital era: organizing and maintaining a portfolio using reference managers.

    Science.gov (United States)

    Bhargava, Puneet; Patel, Vatsal B; Iyer, Ramesh S; Moshiri, Mariam; Robinson, Tracy J; Lall, Chandana; Heller, Matthew T

    2015-02-01

    The academic portfolio has become an integral part of the promotions process. Creating and maintaining an academic portfolio in paper-based or web-based formats can be a cumbersome and time-consuming task. In this article, we describe an alternative way to efficiently organize an academic portfolio using a reference manager software, and discuss some of the afforded advantages. The reference manager software Papers (Mekentosj, Amsterdam, The Netherlands) was used to create an academic portfolio. The article outlines the key steps in creating and maintaining a digital academic portfolio. Using reference manager software (Papers), we created an academic portfolio that allows the user to digitally organize clinical, teaching, and research accomplishments in an indexed library enabling efficient updating, rapid retrieval, and easy sharing. To our knowledge, this is the first digital portfolio of its kind.

  1. The benefit of regional diversification of cogeneration investments in Europe: A mean-variance portfolio analysis

    Energy Technology Data Exchange (ETDEWEB)

    Westner, Guenther, E-mail: guenther.westner@eon-energie.co [E.ON Energy Projects GmbH, Arnulfstrasse 56, 80335 Munich (Germany); Madlener, Reinhard, E-mail: rmadlener@eonerc.rwth-aachen.d [Institute for Future Energy Consumer Needs and Behavior (FCN), Faculty of Business and Economics/E.ON Energy Research Center, RWTH Aachen University, Mathieustrasse 6, 52074 Aachen (Germany)

    2010-12-15

    The EU Directive 2004/8/EC, concerning the promotion of cogeneration, established principles on how EU member states can support combined heat and power generation (CHP). Up to now, the implementation of these principles into national law has not been uniform, and has led to the adoption of different promotion schemes for CHP across the EU member states. In this paper, we first give an overview of the promotion schemes for CHP in various European countries. In a next step, we take two standard CHP technologies, combined-cycle gas turbines (CCGT-CHP) and engine-CHP, and apply exemplarily four selected support mechanisms used in the four largest European energy markets: feed-in tariffs in Germany; energy efficiency certificates in Italy; benefits through tax reduction in the UK; and purchase obligations for power from CHP generation in France. For contracting companies, it could be of interest to diversify their investment in new CHP facilities regionally over several countries in order to reduce country and regulatory risk. By applying the Mean-Variance Portfolio (MVP) theory, we derive characteristic return-risk profiles of the selected CHP technologies in different countries. The results show that the returns on CHP investments differ significantly depending on the country, the support scheme, and the selected technology studied. While a regional diversification of investments in CCGT-CHP does not contribute to reducing portfolio risks, a diversification of investments in engine-CHP can decrease the risk exposure. - Research highlights: {yields}Preconditions for CHP investments differ significantly between the EU member states. {yields}Regional diversification of CHP investments can reduce the total portfolio risk. {yields}Risk reduction depends on the chosen CHP technology.

  2. eSecurity Portfolio : Overview, Analysis of Value Added, and Way Ahead

    Science.gov (United States)

    2014-11-01

    d’un portefeuille connexe de sécurité électronique, des projets de cybersécurité ont été regroupés afin de faciliter la gestion et de favoriser la...Targeted Investments ( TI ):  TIs allow for direct funding of projects and activities proposed by portfolio managers that address critical gaps...multiyear undertakings e.g., 2 of the 3 FY 13/14 TIs are two year projects. Figure 10 might be more accurately described as eSecurity Start-ups by type

  3. Essays on Rational Portfolio Theory

    DEFF Research Database (Denmark)

    Nielsen, Simon Ellersgaard

    market prices, we findonly a very modest improvement in portfolio wealth over the corresponding strategy whichonly trades in bonds and stocks. Optimal Hedge Tracking Portfolios in a Limit Order Book. In this paper we developa control theoretic solution to the manner in which a portfolio manager optimally...... shouldtrack a targeted D, given that he wishes to hedge a short position in European call optionsthe underlying of which is traded in a limit order book. Specifically, we are interested in theinterplay between posting limit and market orders respectively: when should the portfoliomanager do what (and at what......’s theory of optimal portfolio selection for wealth maximisingagents. In this paper we present a systematic analysis of the optimal asset allocation in aderivative-free market for the Heston model, the 3/2 model, and a Fong Vasicek type model.Under the assumption that the market price of risk...

  4. Universal portfolios in stochastic portfolio theory

    OpenAIRE

    Wong, Ting-Kam Leonard

    2015-01-01

    Consider a family of portfolio strategies with the aim of achieving the asymptotic growth rate of the best one. The idea behind Cover's universal portfolio is to build a wealth-weighted average which can be viewed as a buy-and-hold portfolio of portfolios. When an optimal portfolio exists, the wealth-weighted average converges to it by concentration of wealth. Working under a discrete time and pathwise setup, we show under suitable conditions that the distribution of wealth in the family sati...

  5. Analysis on the cost performance and its impact to Japanese electric utilities and vision of the power portfolio

    International Nuclear Information System (INIS)

    Yamaguchi, Yuji; Matsuo, Yuji; Murakami, Tomoko

    2013-01-01

    Most of the nuclear power plants in Japan have been shut down since the Fukushima accident in March 2011, without being permitted to restart after periodical inspections. Accordingly, thermal power generation significantly increased in FY 2011. In this paper the authors made a quantitative analysis on the unit costs of power generation and on the financial performance based on the financial reports of electric utilities. The average unit cost in FY 2011 rose to 11.6 JPY/kWh, 3 JPY/kWh higher than that in FY 2010, and will rise further to 12.6 JPY/kWh in FY 2012. The total retained profit of 8 utilities decreased by some 1 trillion JPY from FY 2010 to FY 2011 and will decrease further to 1 trillion JPY by the end of FY 2012, which is the lowest level in history. Clear decisions on energy policies and future power portfolio, as well as the restructuring of the electricity system in line with the rapid change in the power portfolio will be highly required for policy planners in Japan. (author)

  6. Portfolio Development in Teacher Education and Educational Leadership.

    Science.gov (United States)

    Biddle, James

    The Ohio Consortium for Portfolio Development was established in 1988 as an interinstitutional research effort to integrate portfolio development into teacher education. A subphase focused on portfolio use by entry year teachers in a metropolitan school system. Personnel at Wright State University, Central State University, and the University of…

  7. Different Variants of Fundamental Portfolio

    Directory of Open Access Journals (Sweden)

    Tarczyński Waldemar

    2014-06-01

    Full Text Available The paper proposes the fundamental portfolio of securities. This portfolio is an alternative for the classic Markowitz model, which combines fundamental analysis with portfolio analysis. The method’s main idea is based on the use of the TMAI1 synthetic measure and, in limiting conditions, the use of risk and the portfolio’s rate of return in the objective function. Different variants of fundamental portfolio have been considered under an empirical study. The effectiveness of the proposed solutions has been related to the classic portfolio constructed with the help of the Markowitz model and the WIG20 market index’s rate of return. All portfolios were constructed with data on rates of return for 2005. Their effectiveness in 2006- 2013 was then evaluated. The studied period comprises the end of the bull market, the 2007-2009 crisis, the 2010 bull market and the 2011 crisis. This allows for the evaluation of the solutions’ flexibility in various extreme situations. For the construction of the fundamental portfolio’s objective function and the TMAI, the study made use of financial and economic data on selected indicators retrieved from Notoria Serwis for 2005.

  8. An analysis of the impact of Renewable Portfolio Standards on residential electricity prices

    Science.gov (United States)

    Larson, Andrew James

    A Renewable Portfolio Standard (RPS) has become a popular policy for states seeking to increase the amount of renewable energy generated for consumers of electricity. The success of these state programs has prompted debate about the viability of a national RPS. The impact that these state level policies have had on the price consumers pay for electricity is the subject of some debate. Several federal organizations have conducted studies of the impact that a national RPS would have on electricity prices paid by consumers. NREL and US EIA utilize models that analyze the inputs in electricity generation to examine the future price impact of changes to electricity generation and show marginal increases in prices paid by end users. Other empirical research has produced similar results, showing that the existence of an RPS increases the price of electricity. These studies miss important aspects of RPS policies that may change how we view these price increases from RPS policies. By examining the previous empirical research on RPS policies, this study seeks to identify the controls necessary to build an effective model. These controls are utilized in a fixed effects model that seeks to show how the controls and variables of interest impact electricity prices paid by residential consumers of electricity. This study utilizes a panel data set from 1990 to 2014 to analyze the impact of these policies controlling for generating capacity, the regulatory status of utilities in each state, demographic characteristics of the states, and fuel prices. The results of the regressions indicate that prices are likely to be higher in states that have an RPS compared to states that do not have such a policy. Several of the characteristics mentioned above have price impacts, and so discussing RPS policies in the context of other factors that contribute to electricity prices is essential. In particular, the regulatory status of utilities in each state is an important determinate of price as

  9. Optimal Premium as a Function of the Deductible: Customer Analysis and Portfolio Characteristics

    Directory of Open Access Journals (Sweden)

    Julie Thøgersen

    2016-11-01

    Full Text Available An insurance company offers an insurance contract ( p , K , consisting of a premium p and a deductible K. In this paper, we consider the problem of choosing the premium optimally as a function of the deductible. The insurance company is facing a market of N customers, each characterized by their personal claim frequency, α, and risk aversion, β. When a customer is offered an insurance contract, she/he will, based on these characteristics, choose whether or not to insure. The decision process of the customer is analyzed in detail. Since the customer characteristics are unknown to the company, it models them as i.i.d. random variables; A 1 , … , A N for the claim frequencies and B 1 , … , B N for the risk aversions. Depending on the distributions of A i and B i , expressions for the portfolio size n ( p ; K ∈ [ 0 , N ] and average claim frequency α ( p ; K in the portfolio are obtained. Knowing these, the company can choose the premium optimally, mainly by minimizing the ruin probability.

  10. The benefit of regional diversification of cogeneration investments in Europe. A mean-variance portfolio analysis

    International Nuclear Information System (INIS)

    Westner, Guenther; Madlener, Reinhard

    2010-01-01

    The EU Directive 2004/8/EC, concerning the promotion of cogeneration, established principles on how EU member states can support combined heat and power generation (CHP). Up to now, the implementation of these principles into national law has not been uniform, and has led to the adoption of different promotion schemes for CHP across the EU member states. In this paper, we first give an overview of the promotion schemes for CHP in various European countries. In a next step, we take two standard CHP technologies, combined-cycle gas turbines (CCGT-CHP) and engine-CHP, and apply exemplarily four selected support mechanisms used in the four largest European energy markets: feed-in tariffs in Germany; energy efficiency certificates in Italy; benefits through tax reduction in the UK; and purchase obligations for power from CHP generation in France. For contracting companies, it could be of interest to diversify their investment in new CHP facilities regionally over several countries in order to reduce country and regulatory risk. By applying the Mean-Variance Portfolio (MVP) theory, we derive characteristic return-risk profiles of the selected CHP technologies in different countries. The results show that the returns on CHP investments differ significantly depending on the country, the support scheme, and the selected technology studied. While a regional diversification of investments in CCGT-CHP does not contribute to reducing portfolio risks, a diversification of investments in engine-CHP can decrease the risk exposure. (author)

  11. Analysis of the effectiveness of the variance and Downside Risk measures for formation of investment portfolios

    Directory of Open Access Journals (Sweden)

    Mariúcha Nóbrega Bezerra

    2016-09-01

    Full Text Available This paper aims to analyze the efficacy of variance and measures of downside risk for of formation of investment portfolios in the Brazilian stock market. Using the methodologies of Ang (1975, Markowitz et al. (1993, Ballestero (2005, Estrada (2008 and Cumova and Nawrocki (2011, sought to find what the best method to solve the problem of asymmetric and endogenous matrix and, inspired by the work of Markowitz (1952 and Lohre, Neumann and Winterfeldt (2010, intended to be seen which risk metric is most suitable for the realization of more efficient allocation of resources in the stock market in Brazil. The sample was composed of stocks of IBrX 50, from 2000 to 2013. The results indicated that when the semivariance was used as a measure of asymmetric risk, if the investor can use more refined models for solving the problem of asymmetric semivariance-cosemivariance matrix, the model of Cumova and Nawrocki (2011 will be more effective. Furthermore, from the Brazilian data, VaR had become more effective than variance and other measures of downside risk with respect to minimizing the risk of loss. Thus, taken the assumption that the investor has asymmetric preferences regarding risk, forming portfolios of stocks in the Brazilian market is more efficient when using criteria of minimizing downside risk than the traditional mean-variance approach.

  12. The benefit of regional diversification of cogeneration investments in Europe. A mean-variance portfolio analysis

    Energy Technology Data Exchange (ETDEWEB)

    Westner, Guenther; Madlener, Reinhard [E.ON Energy Projects GmbH, Arnulfstrasse 56, 80335 Munich (Germany)

    2010-12-15

    The EU Directive 2004/8/EC, concerning the promotion of cogeneration, established principles on how EU member states can support combined heat and power generation (CHP). Up to now, the implementation of these principles into national law has not been uniform, and has led to the adoption of different promotion schemes for CHP across the EU member states. In this paper, we first give an overview of the promotion schemes for CHP in various European countries. In a next step, we take two standard CHP technologies, combined-cycle gas turbines (CCGT-CHP) and engine-CHP, and apply exemplarily four selected support mechanisms used in the four largest European energy markets: feed-in tariffs in Germany; energy efficiency certificates in Italy; benefits through tax reduction in the UK; and purchase obligations for power from CHP generation in France. For contracting companies, it could be of interest to diversify their investment in new CHP facilities regionally over several countries in order to reduce country and regulatory risk. By applying the Mean-Variance Portfolio (MVP) theory, we derive characteristic return-risk profiles of the selected CHP technologies in different countries. The results show that the returns on CHP investments differ significantly depending on the country, the support scheme, and the selected technology studied. While a regional diversification of investments in CCGT-CHP does not contribute to reducing portfolio risks, a diversification of investments in engine-CHP can decrease the risk exposure. (author)

  13. The Capability Portfolio Analysis Tool (CPAT): A Mixed Integer Linear Programming Formulation for Fleet Modernization Analysis (Version 2.0.2).

    Energy Technology Data Exchange (ETDEWEB)

    Waddell, Lucas [Sandia National Lab. (SNL-NM), Albuquerque, NM (United States); Muldoon, Frank [Sandia National Lab. (SNL-NM), Albuquerque, NM (United States); Henry, Stephen Michael [Sandia National Lab. (SNL-NM), Albuquerque, NM (United States); Hoffman, Matthew John [Sandia National Lab. (SNL-NM), Albuquerque, NM (United States); Zwerneman, April Marie [Sandia National Lab. (SNL-NM), Albuquerque, NM (United States); Backlund, Peter [Sandia National Lab. (SNL-NM), Albuquerque, NM (United States); Melander, Darryl J. [Sandia National Lab. (SNL-NM), Albuquerque, NM (United States); Lawton, Craig R. [Sandia National Lab. (SNL-NM), Albuquerque, NM (United States); Rice, Roy Eugene [Teledyne Brown Engineering, Huntsville, AL (United States)

    2017-09-01

    In order to effectively plan the management and modernization of their large and diverse fleets of vehicles, Program Executive Office Ground Combat Systems (PEO GCS) and Program Executive Office Combat Support and Combat Service Support (PEO CS&CSS) commis- sioned the development of a large-scale portfolio planning optimization tool. This software, the Capability Portfolio Analysis Tool (CPAT), creates a detailed schedule that optimally prioritizes the modernization or replacement of vehicles within the fleet - respecting numerous business rules associated with fleet structure, budgets, industrial base, research and testing, etc., while maximizing overall fleet performance through time. This paper contains a thor- ough documentation of the terminology, parameters, variables, and constraints that comprise the fleet management mixed integer linear programming (MILP) mathematical formulation. This paper, which is an update to the original CPAT formulation document published in 2015 (SAND2015-3487), covers the formulation of important new CPAT features.

  14. The supervisor's portfolio: the market price risk of German banks from 2001 to 2003 - Analysis and models for risk aggregation

    OpenAIRE

    Memmel, Christoph; Wehn, Carsten

    2005-01-01

    The Value at Risk of a portfolio differs from the sum of the Values at Risk of the portfolio's components. In this paper, we analyze the problem of how a single economic risk figure for the Value at Risk of a hypothetical portfolio composed of different commercial banks might be obtained for a supervisor. Using the daily profits and losses and the daily Value at Risk figures of twelve German banks for the period from 2001 to 2003, we estimate the Value at Risk of the entire portfolio. We assu...

  15. Evaluation of an established learning portfolio.

    Science.gov (United States)

    Vance, Gillian; Williamson, Alyson; Frearson, Richard; O'Connor, Nicole; Davison, John; Steele, Craig; Burford, Bryan

    2013-02-01

    The trainee-held learning portfolio is integral to the foundation programme in the UK. In the Northern Deanery, portfolio assessment is standardised through the Annual Review of Competence Progression (ARCP) process. In this study we aimed to establish how current trainees evaluate portfolio-based learning and ARCP, and how these attitudes may have changed since the foundation programme was first introduced. Deanery-wide trainee attitudes were surveyed by an electronic questionnaire in 2009 and compared with perceptions recorded during the pilot phase (2004-2005).  Many trainees continue to view the e-portfolio negatively. Indeed, significantly fewer trainees in 2009 thought that the e-portfolio was a 'good idea' or a 'worthwhile investment of time' than in 2005. Trainees remain unconvinced about the educational value of the e-portfolio: fewer trainees in 2009 regarded it as a tool that might help focus on training or recognise individual strengths and weaknesses. Issues around unnecessary bureaucracy persist. Current trainees tend to understand how to use the e-portfolio, but many did not know how much, or what evidence to collect. Few supervisors were reported to provide useful guidance on the portfolio. ARCP encouraged portfolio completion but did not give meaningful feedback to drive future learning.   Continued support is needed for both trainees and supervisors in portfolio-building skills and in using the e-portfolio as an educational tool. Trainee-tailored feedback is needed to ensure that portfolio-based assessment promotes lifelong, self-directed and reflective learners. © Blackwell Publishing Ltd 2013.

  16. Evaluation of portfolio credit risk based on survival analysis for progressive censored data

    Science.gov (United States)

    Jaber, Jamil J.; Ismail, Noriszura; Ramli, Siti Norafidah Mohd

    2017-04-01

    In credit risk management, the Basel committee provides a choice of three approaches to the financial institutions for calculating the required capital: the standardized approach, the Internal Ratings-Based (IRB) approach, and the Advanced IRB approach. The IRB approach is usually preferred compared to the standard approach due to its higher accuracy and lower capital charges. This paper use several parametric models (Exponential, log-normal, Gamma, Weibull, Log-logistic, Gompertz) to evaluate the credit risk of the corporate portfolio in the Jordanian banks based on the monthly sample collected from January 2010 to December 2015. The best model is selected using several goodness-of-fit criteria (MSE, AIC, BIC). The results indicate that the Gompertz distribution is the best model parametric model for the data.

  17. A Retrospective Analysis of the Benefits and Impacts of U.S. Renewable Portfolio Standards

    Energy Technology Data Exchange (ETDEWEB)

    Wiser, Ryan [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Barbose, Galen [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Heeter, Jenny [National Renewable Energy Lab. (NREL), Golden, CO (United States); Mai, Trieu [National Renewable Energy Lab. (NREL), Golden, CO (United States); Bird, Lori [National Renewable Energy Lab. (NREL), Golden, CO (United States); Bolinger, Mark [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Carpenter, Alberta [National Renewable Energy Lab. (NREL), Golden, CO (United States); Heath, Garvin [National Renewable Energy Lab. (NREL), Golden, CO (United States); Keyser, David [National Renewable Energy Lab. (NREL), Golden, CO (United States); Macknick, Jordan [National Renewable Energy Lab. (NREL), Golden, CO (United States); Mills, Andrew [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Millstein, Dev [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States)

    2016-01-01

    This is the second in a series of reports exploring the costs, benefits, and other impacts of state renewable portfolio standards (RPS), both retrospectively and prospectively. This report focuses on the benefits and impacts of all state RPS programs, in aggregate, for the year 2013 (the most-recent year for which the requisite data were available). Relying on a well-vetted set of methods, the study evaluates a number of important benefits and impacts in both physical and monetary terms, where possible, and characterizes key uncertainties. The prior study in this series focused on historical RPS compliance costs, and future work will evaluate costs, benefits, and other impacts of RPS policies prospectively.

  18. A Prospective Analysis of the Costs, Benefits, and Impacts of U.S. Renewable Portfolio Standards

    Energy Technology Data Exchange (ETDEWEB)

    Mai, Trieu [National Renewable Energy Lab. (NREL), Golden, CO (United States); Wiser, Ryan [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Barbose, Galen [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Bird, Lori [National Renewable Energy Lab. (NREL), Golden, CO (United States); Heeter, Jenny [National Renewable Energy Lab. (NREL), Golden, CO (United States); Keyser, David [National Renewable Energy Lab. (NREL), Golden, CO (United States); Krishnan, Venkat [National Renewable Energy Lab. (NREL), Golden, CO (United States); Macknick, Jordan [National Renewable Energy Lab. (NREL), Golden, CO (United States); Millstein, Dev [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States)

    2016-12-01

    This is the third in a series of reports exploring the costs, benefits, and other impacts of state renewable portfolio standards (RPS). This report evaluates the effects of renewable electricity used to meet aggregate RPS demand growth prospectively, over the period 2015-2050, under both current RPS policies as well as a potential expansion of those policies. Relying on a well-vetted suite of methods, the report quantifies: the costs to the electric system and retail electricity price impacts; the potential societal benefits associated with reduced greenhouse gas emissions, air pollution emissions, and water use; workforce requirements and economic development effects; and consumer savings associated with reduced natural gas prices. The study quantifies these effects in both physical and monetary terms, where possible, at both national and regional levels, and characterizes key uncertainties. The two prior studies in the series have focused, instead, on the historical costs and on the historical benefits and impacts of state RPS policies.

  19. Is it time to rebalance the case mix? A portfolio analysis of direct catheterization laboratory costs over a 5-year period.

    Science.gov (United States)

    Plehn, Gunnar; Butz, Thomas; Maagh, Petra; Oernek, Ahmet; Meissner, Axel; Plehn, Natalie

    2016-11-03

    Cardiac catheterization laboratories (CLL) have continued to function as profit centers for hospitals. Due to a high percentage of material and labor costs, they are natural targets for process improvement. Our study applied a contribution margin (CBM) concept to evaluate costs and cost dynamics over a 5-year period. We retrospectively analyzed all procedures performed at a tertiary heart center between 2007 and 2011. Total variable costs, including labor time, material, and maintenance-expenses, were allocated at a global as well as a procedural level. CBM and CBM ratios were calculated by integration of individual DRG revenues. Annual case volume increased from 1288 to 1545. In parallel, overall profitability improved as indicated by a 2% increase in CBM ratio and a higher CBM generated per hour of CLL working time (4325 vs. 5892 €, p analysis of CLL costs and cost dynamics. From a health service providers view, its range of application includes global profitability analysis, portfolio evaluation, and a detailed cost analysis of specific service lines. From a healthcare payers perspective, it may help to monitor hospital activities and to provide a solid data basis in cases where inappropriate developments are suspected. The calculation principle is simple which may increase user acceptance and thus the motivation of team members.

  20. A retrospective analysis of benefits and impacts of U.S. renewable portfolio standards

    International Nuclear Information System (INIS)

    Barbose, Galen; Wiser, Ryan; Heeter, Jenny; Mai, Trieu; Bird, Lori; Bolinger, Mark; Carpenter, Alberta; Heath, Garvin; Keyser, David; Macknick, Jordan; Mills, Andrew; Millstein, Dev

    2016-01-01

    As states consider revising or developing renewable portfolio standards (RPS), they are evaluating policy costs, benefits, and other impacts. We present the first U. S. national-level assessment of state RPS program benefits and impacts, focusing on new renewable electricity resources used to meet RPS compliance obligations in 2013. In our central-case scenario, reductions in life-cycle greenhouse gas emissions from displaced fossil fuel-generated electricity resulted in $2.2 billion of global benefits. Health and environmental benefits from reductions in criteria air pollutants (sulfur dioxide, nitrogen oxides, and particulate matter 2.5) were even greater, estimated at $5.2 billion in the central case. Further benefits accrued in the form of reductions in water withdrawals and consumption for power generation. Finally, although best considered resource transfers rather than net societal benefits, new renewable electricity generation used for RPS compliance in 2013 also supported nearly 200,000 U. S.-based gross jobs and reduced wholesale electricity prices and natural gas prices, saving consumers a combined $1.3–$4.9 billion. In total, the estimated benefits and impacts well-exceed previous estimates of RPS compliance costs. - Highlights: •Benefits of satisfying U. S. renewable portfolio standards in 2013 were evaluated. •Carbon dioxide (equivalent) was cut by 59 million metric tons (worth $2.2 billion). •Reduced air pollution provided $5.2 billion in health and environmental benefits. •Water withdrawals (830 billion gal) and consumption (27 billion gal) were reduced. •Job/economic, electricity price, and natural gas price impacts were also evaluated.

  1. Adaptation portfolios in water management

    NARCIS (Netherlands)

    Aerts, J.C.J.H.; Botzen, W.J.W.; Werners, S.

    2015-01-01

    This study explores how Modern Portfolio Theory (MPT) can guide investment decisions in integrated water resources management (IWRM) and climate change adaptation under uncertainty. The objectives of the paper are to: (i) explain the concept of diversification to reduce risk, as formulated in MPT;

  2. [New portfolio, a users' manual].

    Science.gov (United States)

    Cougnoux, Nadège; Deken, Éric; Juif, Isabelle; Papas, Anne

    2015-10-01

    The portfolio, a tool for monitoring nursing students throughout their internship period, has now been modified. The new 2015 version can be used to monitor and trace the student's career as well as progress made. One of the major new points is the integration of an intermediate internship assessment. Copyright © 2015 Elsevier Masson SAS. All rights reserved.

  3. Managing risk and expected financial return from selective expansion of operating room capacity: mean-variance analysis of a hospital's portfolio of surgeons.

    Science.gov (United States)

    Dexter, Franklin; Ledolter, Johannes

    2003-07-01

    Surgeons using the same amount of operating room (OR) time differ in their achieved hospital contribution margins (revenue minus variable costs) by >1000%. Thus, to improve the financial return from perioperative facilities, OR strategic decisions should selectively focus additional OR capacity and capital purchasing on a few surgeons or subspecialties. These decisions use estimates of each surgeon's and/or subspecialty's contribution margin per OR hour. The estimates are subject to uncertainty (e.g., from outliers). We account for the uncertainties by using mean-variance portfolio analysis (i.e., quadratic programming). This method characterizes the problem of selectively expanding OR capacity based on the expected financial return and risk of different portfolios of surgeons. The assessment reveals whether the choices, of which surgeons have their OR capacity expanded, are sensitive to the uncertainties in the surgeons' contribution margins per OR hour. Thus, mean-variance analysis reduces the chance of making strategic decisions based on spurious information. We also assess the financial benefit of using mean-variance portfolio analysis when the planned expansion of OR capacity is well diversified over at least several surgeons or subspecialties. Our results show that, in such circumstances, there may be little benefit from further changing the portfolio to reduce its financial risk. Surgeon and subspecialty specific hospital financial data are uncertain, a fact that should be taken into account when making decisions about expanding operating room capacity. We show that mean-variance portfolio analysis can incorporate this uncertainty, thereby guiding operating room management decision-making and reducing the chance of a strategic decision being made based on spurious information.

  4. Managing R&D Alliance Portfolios

    DEFF Research Database (Denmark)

    Engel Nielsen, Lars; Mahnke, Volker

    2003-01-01

    be observed in several companies engaged in the cross section of telecommunication and mobile technology where increased complexity magnifies managerial challenges. Drawing on modern portfolio theory, this paper offers a model for managing portfolios of R&D alliances. In particular, an analysis...

  5. Reflection during Portfolio-Based Conversations

    Science.gov (United States)

    Oosterbaan, Anne E.; van der Schaaf, Marieke F.; Baartman, Liesbeth K. J.; Stokking, Karel M.

    2010-01-01

    This study aims to explore the relationship between the occurrence of reflection (and non-reflection) and thinking activities (e.g., orientating, selecting, analysing) during portfolio-based conversations. Analysis of 21 transcripts of portfolio-based conversations revealed that 20% of the segments were made up of reflection (content reflection…

  6. Robust Active Portfolio Management

    National Research Council Canada - National Science Library

    Erdogan, E; Goldfarb, D; Iyengar, G

    2006-01-01

    ... on the portfolio beta, and limits on cash and industry exposure. We show that the optimal portfolios can be computed by solving second-order cone programs -- a class of optimization problems with a worst case complexity (i.e...

  7. DIA2: Web-based Cyberinfrastructure for Visual Analysis of Funding Portfolios.

    Science.gov (United States)

    Madhavan, Krishna; Elmqvist, Niklas; Vorvoreanu, Mihaela; Chen, Xin; Wong, Yuetling; Xian, Hanjun; Dong, Zhihua; Johri, Aditya

    2014-12-01

    We present a design study of the Deep Insights Anywhere, Anytime (DIA2) platform, a web-based visual analytics system that allows program managers and academic staff at the U.S. National Science Foundation to search, view, and analyze their research funding portfolio. The goal of this system is to facilitate users' understanding of both past and currently active research awards in order to make more informed decisions of their future funding. This user group is characterized by high domain expertise yet not necessarily high literacy in visualization and visual analytics-they are essentially casual experts-and thus require careful visual and information design, including adhering to user experience standards, providing a self-instructive interface, and progressively refining visualizations to minimize complexity. We discuss the challenges of designing a system for casual experts and highlight how we addressed this issue by modeling the organizational structure and workflows of the NSF within our system. We discuss each stage of the design process, starting with formative interviews, prototypes, and finally live deployments and evaluation with stakeholders.

  8. A retrospective analysis of benefits and impacts of U.S. renewable portfolio standards

    Energy Technology Data Exchange (ETDEWEB)

    Barbose, Galen; Wiser, Ryan; Heeter, Jenny; Mai, Trieu; Bird, Lori; Bolinger, Mark; Carpenter, Alberta; Heath, Garvin; Keyser, David; Macknick, Jordan; Mills, Andrew; Millstein, Dev

    2016-09-01

    As states consider revising or developing renewable portfolio standards (RPS), they are evaluating policy costs, benefits, and other impacts. We present the first U. S. national-level assessment of state RPS program benefits and impacts, focusing on new renewable electricity resources used to meet RPS compliance obligations in 2013. In our central-case scenario, reductions in life-cycle greenhouse gas emissions from displaced fossil fuel-generated electricity resulted in $2.2 billion of global benefits. Health and environmental benefits from reductions in criteria air pollutants (sulfur dioxide, nitrogen oxides, and particulate matter 2.5) were even greater, estimated at $5.2 billion in the central case. Further benefits accrued in the form of reductions in water withdrawals and consumption for power generation. Finally, although best considered resource transfers rather than net societal benefits, new renewable electricity generation used for RPS compliance in 2013 also supported nearly 200,000 U. S.-based gross jobs and reduced wholesale electricity prices and natural gas prices, saving consumers a combined $1.3-$4.9 billion. In total, the estimated benefits and impacts well-exceed previous estimates of RPS compliance costs.

  9. Analysis of Heuristics in Business Recruitment based on a Portfolio of Real Derivatives

    Directory of Open Access Journals (Sweden)

    Silvia Bou Ysás

    2014-01-01

    Full Text Available Departing from the notion that labour legislation should be founded in the generation of job stability a model for recruitment is presented in which the employer is likened to the holder of an investment portfolio containing two real derivatives – swap or the option of sale. This model allows us on one hand to analyze sensitivity to the variables that are at play in an employment contract and, on the other, look at the effects that the most recent reforms in Spanish labour laws have had on contracting decisions made by employers. The results are clear: social security benefits are shown to be the most sensitive variable on the work contract, and applying the changes proposed in the latest labour reforms, this effect is upheld. The study concludes that reducing the costs of dismissal does not increase the likelihood of employers’ taking on new staff.

  10. Analytical Methods for Energy Diversity and Security. Portfolio Optimization in the Energy Sector: A Tribute to the work of Dr. Shimon Awerbuch. Chapter 6. Portfolio analysis of the future Dutch generating mix

    Energy Technology Data Exchange (ETDEWEB)

    Jansen, J.C.; Beurskens, L.W.M.

    2008-11-15

    This volume aims at professionals in academia, industry and government interested in the rapidly evolving area at the nexus between energy and climate change policy. The cutting-edge international contributions allow for a wide coverage of the topic. Energy Diversity and Security focuses on the consideration of financial risk in the energy sector. It describes how tools borrowed from financial economic theory, in particular mean-variance portfolio theory, can provide insights on the costs and benefits of diversity, and thus inform investment decision making in conditions of uncertainty. It gives the reader an in-depth understanding of how to manage risk at a time when the world's focus is on this area. The book provides insights from leading authorities in the area of energy security. It gives readers abundant, rigorous analysis and guidance at a critical time in facing the twin challenges of energy security and climate change. The book also highlights the role of clean energy technology in moving towards future diverse and intelligent electricity systems. In this chapter the portfolio of the future Dutch generating mix is analyzed.

  11. UK Household Portfolios

    OpenAIRE

    Banks, James; Smith, Sarah

    2000-01-01

    This paper presents a detailed analysis of the composition of household portfolios, using both aggregate and micro-data. Among the key findings are that: Most household wealth is held in the form of housing and pensions. Over time, there has been a shift away from housing towards financial assets, driven largely by the growth in life and pension funds. Liquid financial wealth (excluding life and pension funds) is not predominantly held in risky form. By far the most commonly held asset is an ...

  12. Providing Policy Implication Based on the R and D Portfolio Analysis in Advanced Countries in the Nuclear Technology

    International Nuclear Information System (INIS)

    Moon, K. H.; Lee, M. K.; Won, B. C.; Kim, S. S.; Lee, J. H.; Yun, S. W.; Jeong, I. K.; Lee, Y. C.; Lee, Y. J.; Kim, Y. S.

    2013-08-01

    This study is to provide the investment direction of nuclear R and D, which is the most efficient and reasonable integrating the various aspects comprehensively. This study includes four parts. In the first part, we extracted Mega-trend and driving forces of nuclear R and D field by using various reports published by National Intelligence Council of US, UN, etc. Also, in this part we established the linkage between megatrend factors focussing on nuclear and the five aspects including society, technology, ecology, economics and politics. In the second part, we analyzed the nuclear R and D investment directions of major advanced countries including US, Japan, EU and China for comparing the investment portfolio in the specific research area. In the third part, domestic investment of nuclear R and D was reviewed by analyzing the investment trend of nuclear R and D in the past, with their connection to nuclear policy, and to the levels and capacities of national technologies of nuclear. In the final part, the desirable directions of nuclear R and D investment were suggested comprehensively taking into consideration various aspects including the Mega-trend associated with nuclear, nuclear R and D directions of major advanced countries, and the level and capacities of the domestic nuclear technologies

  13. Providing Policy Implication Based on the R and D Portfolio Analysis in Advanced Countries in the Nuclear Technology

    Energy Technology Data Exchange (ETDEWEB)

    Moon, K. H.; Lee, M. K.; Won, B. C.; Kim, S. S.; Lee, J. H.; Yun, S. W.; Jeong, I. K.; Lee, Y. C.; Lee, Y. J.; Kim, Y. S.

    2013-08-15

    This study is to provide the investment direction of nuclear R and D, which is the most efficient and reasonable integrating the various aspects comprehensively. This study includes four parts. In the first part, we extracted Mega-trend and driving forces of nuclear R and D field by using various reports published by National Intelligence Council of US, UN, etc. Also, in this part we established the linkage between megatrend factors focussing on nuclear and the five aspects including society, technology, ecology, economics and politics. In the second part, we analyzed the nuclear R and D investment directions of major advanced countries including US, Japan, EU and China for comparing the investment portfolio in the specific research area. In the third part, domestic investment of nuclear R and D was reviewed by analyzing the investment trend of nuclear R and D in the past, with their connection to nuclear policy, and to the levels and capacities of national technologies of nuclear. In the final part, the desirable directions of nuclear R and D investment were suggested comprehensively taking into consideration various aspects including the Mega-trend associated with nuclear, nuclear R and D directions of major advanced countries, and the level and capacities of the domestic nuclear technologies.

  14. Mature Basin Development Portfolio Management in a Resource Constrained Environment

    International Nuclear Information System (INIS)

    Mandhane, J. M.; Udo, S. D.

    2002-01-01

    Nigerian Petroleum industry is constantly faced with management of resource constraints stemming from capital and operating budget, availability of skilled manpower, capacity of an existing surface facility, size of well assets, amount of soft and hard information, etceteras. Constrained capital forces the industry to rank subsurface resource and potential before proceeding with preparation of development scenarios. Availability of skilled manpower limits scope of integrated reservoir studies. Level of information forces technical and management to find low-risk development alternative in a limited time. Volume of either oil or natural gas or water or combination of them may be constrained due to design limits of the existing facility, or an external OPEC quota, requires high portfolio management skills.The first part of the paper statistically analyses development portfolio of a mature basin for (a) subsurface resources volume, (b) developed and undeveloped and undeveloped volumes, (c) sweating of wells, and (d) facility assets. The analysis presented conclusively demonstrates that the 80/20 is active in the statistical sample. The 80/20 refers to 80% of the effect coming from the 20% of the cause. The second part of the paper deals with how 80/20 could be applied to manage portfolio for a given set of constraints. Three application examples are discussed. Feedback on implementation of them resulting in focussed resource management with handsome rewards is documented.The statistical analysis and application examples from a mature basin form a way forward for a development portfolio management in an resource constrained environment

  15. Exploring students' perceptions on the use of significant event analysis, as part of a portfolio assessment process in general practice, as a tool for learning how to use reflection in learning.

    Science.gov (United States)

    Grant, Andrew J; Vermunt, Jan D; Kinnersley, Paul; Houston, Helen

    2007-03-30

    Portfolio learning enables students to collect evidence of their learning. Component tasks making up a portfolio can be devised that relate directly to intended learning outcomes. Reflective tasks can stimulate students to recognise their own learning needs. Assessment of portfolios using a rating scale relating to intended learning outcomes offers high content validity. This study evaluated a reflective portfolio used during a final-year attachment in general practice (family medicine). Students were asked to evaluate the portfolio (which used significant event analysis as a basis for reflection) as a learning tool. The validity and reliability of the portfolio as an assessment tool were also measured. 81 final-year medical students completed reflective significant event analyses as part of a portfolio created during a three-week attachment (clerkship) in general practice (family medicine). As well as two reflective significant event analyses each portfolio contained an audit and a health needs assessment. Portfolios were marked three times; by the student's GP teacher, the course organiser and by another teacher in the university department of general practice. Inter-rater reliability between pairs of markers was calculated. A questionnaire enabled the students' experience of portfolio learning to be determined. Benefits to learning from reflective learning were limited. Students said that they thought more about the patients they wrote up in significant event analyses but information as to the nature and effect of this was not forthcoming. Moderate inter-rater reliability (Spearman's Rho .65) was found between pairs of departmental raters dealing with larger numbers (20-60) of portfolios. Inter-rater reliability of marking involving GP tutors who only marked 1-3 portfolios was very low. Students rated highly their mentoring relationship with their GP teacher but found the portfolio tasks time-consuming. The inter-rater reliability observed in this study should

  16. Portfolios and the market geometry

    Science.gov (United States)

    Eleutério, Samuel; Araújo, Tanya; Vilela Mendes, R.

    2014-09-01

    A geometric analysis of return time series, performed in the past, implied that most of the systematic information in the market is contained in a space of small dimension. Here we have explored subspaces of this space to find out the relative performance of portfolios formed from companies that have the largest projections in each one of the subspaces. As expected, it was found that the best performance portfolios are associated with some of the small eigenvalue subspaces and not to the dominant dimensions. This is found to occur in a systematic fashion over an extended period (1990-2008).

  17. Comprehensive Education Portfolio with a Career Focus

    Science.gov (United States)

    Kruger, Evonne J.; Holtzman, Diane M.; Dagavarian, Debra A.

    2013-01-01

    There are many types of student portfolios used within academia: the prior learning portfolio, credentialing portfolio, developmental portfolio, capstone portfolio, individual course portfolio, and the comprehensive education portfolio. The comprehensive education portfolio (CEP), as used by the authors, is a student portfolio, developed over…

  18. Concurrent credit portfolio losses.

    Science.gov (United States)

    Sicking, Joachim; Guhr, Thomas; Schäfer, Rudi

    2018-01-01

    We consider the problem of concurrent portfolio losses in two non-overlapping credit portfolios. In order to explore the full statistical dependence structure of such portfolio losses, we estimate their empirical pairwise copulas. Instead of a Gaussian dependence, we typically find a strong asymmetry in the copulas. Concurrent large portfolio losses are much more likely than small ones. Studying the dependences of these losses as a function of portfolio size, we moreover reveal that not only large portfolios of thousands of contracts, but also medium-sized and small ones with only a few dozens of contracts exhibit notable portfolio loss correlations. Anticipated idiosyncratic effects turn out to be negligible. These are troublesome insights not only for investors in structured fixed-income products, but particularly for the stability of the financial sector. JEL codes: C32, F34, G21, G32, H81.

  19. Using cost-effectiveness analysis to support research and development portfolio prioritization for product innovations in measles vaccination.

    Science.gov (United States)

    Garrison, Louis P; Bauch, Chris T; Bresnahan, Brian W; Hazlet, Tom K; Kadiyala, Srikanth; Veenstra, David L

    2011-07-01

    Several potential measles vaccine innovations are in development to address the shortcomings of the current vaccine. Funders need to prioritize their scarce research and development resources. This article demonstrates the usefulness of cost-effectiveness analysis to support these decisions. This study had 4 major components: (1) identifying potential innovations, (2) developing transmission models to assess mortality and morbidity impacts, (3) estimating the unit cost impacts, and (4) assessing aggregate cost-effectiveness in United Nations Children's Fund countries through 2049. Four promising technologies were evaluated: aerosol delivery, needle-free injection, inhalable dry powder, and early administration DNA vaccine. They are projected to have a small absolute impact in terms of reducing the number of measles cases in most scenarios because of already improving vaccine coverage. Three are projected to reduce unit cost per dose by $0.024 to $0.170 and would improve overall cost-effectiveness. Each will require additional investments to reach the market. Over the next 40 years, the aggregate cost savings could be substantial, ranging from $98.4 million to $689.4 million. Cost-effectiveness analysis can help to inform research and development portfolio prioritization decisions. Three new measles vaccination technologies under development hold promise to be cost-saving from a global perspective over the long-term, even after considering additional investment costs. © The Author 2011. Published by Oxford University Press on behalf of the Infectious Diseases Society of America. All rights reserved.

  20. Managing a "N" Securities Portfolio

    Directory of Open Access Journals (Sweden)

    Costică Vlad

    2016-01-01

    For the application that will be described below, namely the management of a portfolio of eightsecurity bonds, a financial analyst should carry more than 10^15 computing operations. Thedemonstration focuses on the analysis of results and on summarizing the concepts used.

  1. Fellows' Perceptions of a Mandatory Reflective Electronic Portfolio in a Geriatric Medicine Fellowship Program

    Science.gov (United States)

    Ruiz, Jorge G.; Qadri, Syeda S.; Karides, Marina; Castillo, Carmen; Milanez, Marcos; Roos, Bernard A.

    2009-01-01

    Electronic portfolios (ePortfolios) can be useful for evaluating and documenting mastery of competencies. We investigated geriatric medicine fellows' perceptions of an ePortfolio. We conducted surveys and focus groups followed by quantitative and qualitative data analysis. Our study revealed that fellows considered the ePortfolio acceptable and…

  2. Weighing the Costs and Benefits of Renewables Portfolio Standards:A Comparative Analysis of State-Level Policy Impact Projections

    Energy Technology Data Exchange (ETDEWEB)

    Chen, Cliff; Wiser, Ryan; Bolinger, Mark

    2007-01-16

    State renewables portfolio standards (RPS) have emerged as one of the most important policy drivers of renewable energy capacity expansion in the U.S. Collectively, these policies now apply to roughly 40% of U.S. electricity load, and may have substantial impacts on electricity markets, ratepayers, and local economies. As RPS policies have been proposed or adopted in an increasing number of states, a growing number of studies have attempted to quantify the potential impacts of these policies, focusing primarily on projecting cost impacts, but sometimes also estimating macroeconomic and environmental effects. This report synthesizes and analyzes the results and methodologies of 28 distinct state or utility-level RPS cost impact analyses completed since 1998. Together, these studies model proposed or adopted RPS policies in 18 different states. We highlight the key findings of these studies on the costs and benefits of RPS policies, examine the sensitivity of projected costs to model assumptions, assess the attributes of different modeling approaches, and suggest possible areas of improvement for future RPS analysis.

  3. An analysis of Renewable Portfolio Standard policy formulation and its influence on state level energy prices

    Science.gov (United States)

    McCollester, Peter Colin

    Over the past two decades, environmental concern has crept to the forefront of the world policy agenda. This concern has manifested itself differently throughout the world. In the United States, this has come in the form of Renewable Portfolio Standards (RPS) which have become one of the primary policy tools which states use to encourage renewable energy generation. The advent of RPS has spurred intense debate at a federal and state level, centering on the economic merits of promoting renewable energy generation. Detractors argue that RPS will raise electricity rates, since generation from renewable sources is typically costlier than energy generated from fossil fuels. At this point, evidence to the relationship between RPS on electricity prices remains unclear. Researchers have attempted to understand this relationship through a variety of means. The most common being regression based models, which utilize readily available United States Energy Information Agency (US EIA) data, and have uncovered a number of important independent variables which are incorporated into the model in this study. Examples include personal income, state population, and deregulation of an energy market. In addition to empirical studies, the National Renewable Energy Laboratory (NREL) has created complex mathematical models which generate scenario projections based on a number of assumptions. While interesting, these are forward looking tools and as such have not yielded a tremendous amount of insight into the underlying policy mechanics of RPS. A challenge of addressing this topic which is worth noting is that much of the research available which analyzes the merits of RPS caters to distinct political or private sector agendas. The research gathered for this study is comprehensive, and attempts to avoid studies with any clear political, ideological, or financial motivation. Using the insights from previous researchers this study develops a rigorous fixed effects regression model to

  4. From aggregation to interpretation: how assessors judge complex data in a competency-based portfolio.

    Science.gov (United States)

    Oudkerk Pool, Andrea; Govaerts, Marjan J B; Jaarsma, Debbie A D C; Driessen, Erik W

    2018-05-01

    While portfolios are increasingly used to assess competence, the validity of such portfolio-based assessments has hitherto remained unconfirmed. The purpose of the present research is therefore to further our understanding of how assessors form judgments when interpreting the complex data included in a competency-based portfolio. Eighteen assessors appraised one of three competency-based mock portfolios while thinking aloud, before taking part in semi-structured interviews. A thematic analysis of the think-aloud protocols and interviews revealed that assessors reached judgments through a 3-phase cyclical cognitive process of acquiring, organizing, and integrating evidence. Upon conclusion of the first cycle, assessors reviewed the remaining portfolio evidence to look for confirming or disconfirming evidence. Assessors were inclined to stick to their initial judgments even when confronted with seemingly disconfirming evidence. Although assessors reached similar final (pass-fail) judgments of students' professional competence, they differed in their information-processing approaches and the reasoning behind their judgments. Differences sprung from assessors' divergent assessment beliefs, performance theories, and inferences about the student. Assessment beliefs refer to assessors' opinions about what kind of evidence gives the most valuable and trustworthy information about the student's competence, whereas assessors' performance theories concern their conceptualizations of what constitutes professional competence and competent performance. Even when using the same pieces of information, assessors furthermore differed with respect to inferences about the student as a person as well as a (future) professional. Our findings support the notion that assessors' reasoning in judgment and decision-making varies and is guided by their mental models of performance assessment, potentially impacting feedback and the credibility of decisions. Our findings also lend further

  5. Une analyse des représentations des enseignants réfléchissant sur une expérience d’implantation d’un portfolio électronique / An Analysis of the Perceptions of Teachers Reflecting on an Experience of e-Portfolio Implementation

    Directory of Open Access Journals (Sweden)

    Ann-Louise Davidson

    2012-08-01

    Full Text Available Cet article rend compte d’une analyse des représentations avec des enseignants, qui a eu lieu à la fin d’une expérience d’implantation d’un portfolio électronique favorisant l’autorégulation des apprentissages des élèves et la professionnalisation des enseignants. Le texte s’appuie sur le contexte éducatif québécois actuel. Ensuite, il présente une revue de littérature entourant les compétences technologiques, les portfolios électroniques et l’autorégulation des apprentissages. La méthodologie présente le design de la recherche, les instruments utilisés pour les entretiens et pour animer le groupe de discussion. Les résultats montrent que pour une enseignante qui avait déjà adopté la pédagogie sous-jacente au renouveau pédagogique Québécois, le portfolio électronique était une expérience fort utile. Toutefois, pour les deux autres enseignants, l’implantation du portfolio électronique était beaucoup trop exigeante. Finalement, nous discutons des implications des résultats, autant au point de vue de l’expérience d’implantation des portfolios électroniques que du point de vue de la contribution méthodologique. This article presents an analysis of the perceptions of teachers, which took place in 2010 at the end of an experiment implementing an e-portfolio that facilitates student self-regulation of learning. The article is based on the current Quebec educational context. It presents a review of literature on technology skills, e-portfolios and the self-regulation of learning. The methodology describes the research design, the tools used in the individual interviews and in the group discussion. The results indicate that the e-portfolio was a valuable experience for a teacher who had already adopted the pedagogy underlying the education reform in Quebec. However the implementation of the e-portfolio was difficult for the other two teachers due to challenges in terms of technology and managing

  6. Decentralized portfolio management

    OpenAIRE

    Coutinho, Paulo; Tabak, Benjamin Miranda

    2003-01-01

    We use a mean-variance model to analyze the problem of decentralized portfolio management. We find the solution for the optimal portfolio allocation for a head trader operating in n different markets, which is called the optimal centralized portfolio. However, as there are many traders specialized in different markets, the solution to the problem of optimal decentralized allocation should be different from the centralized case. In this paper we derive conditions for the solutions to be equiva...

  7. Household portfolio choices, health status and health care systems: A cross-country analysis based on SHARE.

    Science.gov (United States)

    Atella, Vincenzo; Brunetti, Marianna; Maestas, Nicole

    2012-05-01

    Health risk is increasingly viewed as an important form of background risk that affects household portfolio decisions. However, its role might be mediated by the presence of a protective full-coverage national health service that could reduce households' probability of incurring current and future out-of-pocket medical expenditures. We use SHARE data to study the influence of current health status and future health risk on the decision to hold risky assets, across ten European countries with different health systems, each offering a different degree of protection against out-of-pocket medical expenditures. We find robust empirical evidence that perceived health status matters more than objective health status and, consistent with the theory of background risk, health risk affects portfolio choices only in countries with less protective health care systems. Furthermore, portfolio decisions consistent with background risk models are observed only with respect to middle-aged and highly-educated investors.

  8. Risk modelling in portfolio optimization

    Science.gov (United States)

    Lam, W. H.; Jaaman, Saiful Hafizah Hj.; Isa, Zaidi

    2013-09-01

    Risk management is very important in portfolio optimization. The mean-variance model has been used in portfolio optimization to minimize the investment risk. The objective of the mean-variance model is to minimize the portfolio risk and achieve the target rate of return. Variance is used as risk measure in the mean-variance model. The purpose of this study is to compare the portfolio composition as well as performance between the optimal portfolio of mean-variance model and equally weighted portfolio. Equally weighted portfolio means the proportions that are invested in each asset are equal. The results show that the portfolio composition of the mean-variance optimal portfolio and equally weighted portfolio are different. Besides that, the mean-variance optimal portfolio gives better performance because it gives higher performance ratio than the equally weighted portfolio.

  9. Portfolio Sensitivity Model for Analyzing Credit Risk Caused by Structural and Macroeconomic Changes

    Directory of Open Access Journals (Sweden)

    Goran Klepac

    2008-12-01

    Full Text Available This paper proposes a new model for portfolio sensitivity analysis. The model is suitable for decision support in financial institutions, specifically for portfolio planning and portfolio management. The basic advantage of the model is the ability to create simulations for credit risk predictions in cases when we virtually change portfolio structure and/or macroeconomic factors. The model takes a holistic approach to portfolio management consolidating all organizational segments in the process such as marketing, retail and risk.

  10. Technology Audit: Assessment of Innovative Portfolio

    Directory of Open Access Journals (Sweden)

    Kurushina Viktoria

    2016-01-01

    Full Text Available The article discusses the features of the technological audit performing in the companies of oil and gas sector of Russian economy. To measure the innovations quality level the scale was developed based on the Theory of Inventive Problem Solving and the theory of technological structures. Figures of the innovations quantity by levels, volume and quality of the innovative portfolio are offered for assessment the innovative portfolio quality. The method was tested on an example of oil and gas transporting enterprises. The results of the comparative analysis of innovative portfolio are shown.

  11. Differentiated risk models in portfolio optimization: a comparative analysis of the degree of diversification and performance in the São Paulo Stock Exchange (BOVESPA

    Directory of Open Access Journals (Sweden)

    Ivan Ricardo Gartner

    2012-08-01

    Full Text Available Faced with so many risk modeling alternatives in portfolio optimization, several questions arise regarding their legitimacy, utility and applicability. In particular, a question arises involving the adherence of the alternative models with regard to the basic presupposition of Markowitz's classical model, with regard to the concept of diversification as a means of controlling the relationship between risk and return within a process of optimization. In this context, the aim of this article is to explore the risk-differentiated configurations that entropy can provide, from the point of view of the repercussions that these have on the degree of diversification and on portfolios performance. The reach of this objective requires that a comparative analysis is made between models that include entropy in their formulation and the classic Markowitz model. In order to contribute to this debate, this article proposes that adaptations are made to the models of relative minimum entropy and of maximum entropy, so that these can be applied to investment portfolio optimizations. The comparative analysis was based on performance indicators and on a ratio of the degree of portfolio diversification. The portfolios were formed by considering a sample of fourteen assets that compose the IBOVESPA, which were projected during the period from January 2007 to December 2009, and took into account the matrices of covariance that were formed as from January 1999. When comparing the Markowitz model with two models that were constructed to represent new risk configurations based on entropy optimization, the present study concluded that the first model was far superior to the others. Not only did the Markowitz model present better accumulated nominal yields, it also presented a far greater predictive efficiency and better effective performance, when considering the trade-off between risk and return. However, with regards to diversification, the Markowitz model concentrated

  12. Large deviations and portfolio optimization

    Science.gov (United States)

    Sornette, Didier

    Risk control and optimal diversification constitute a major focus in the finance and insurance industries as well as, more or less consciously, in our everyday life. We present a discussion of the characterization of risks and of the optimization of portfolios that starts from a simple illustrative model and ends by a general functional integral formulation. A major item is that risk, usually thought of as one-dimensional in the conventional mean-variance approach, has to be addressed by the full distribution of losses. Furthermore, the time-horizon of the investment is shown to play a major role. We show the importance of accounting for large fluctuations and use the theory of Cramér for large deviations in this context. We first treat a simple model with a single risky asset that exemplifies the distinction between the average return and the typical return and the role of large deviations in multiplicative processes, and the different optimal strategies for the investors depending on their size. We then analyze the case of assets whose price variations are distributed according to exponential laws, a situation that is found to describe daily price variations reasonably well. Several portfolio optimization strategies are presented that aim at controlling large risks. We end by extending the standard mean-variance portfolio optimization theory, first within the quasi-Gaussian approximation and then using a general formulation for non-Gaussian correlated assets in terms of the formalism of functional integrals developed in the field theory of critical phenomena.

  13. Clustering Analysis for Credit Default Probabilities in a Retail Bank Portfolio

    Directory of Open Access Journals (Sweden)

    Elena ANDREI (DRAGOMIR

    2012-08-01

    Full Text Available Methods underlying cluster analysis are very useful in data analysis, especially when the processed volume of data is very large, so that it becomes impossible to extract essential information, unless specific instruments are used to summarize and structure the gross information. In this context, cluster analysis techniques are used particularly, for systematic information analysis. The aim of this article is to build an useful model for banking field, based on data mining techniques, by dividing the groups of borrowers into clusters, in order to obtain a profile of the customers (debtors and good payers. We assume that a class is appropriate if it contains members that have a high degree of similarity and the standard method for measuring the similarity within a group shows the lowest variance. After clustering, data mining techniques are implemented on the cluster with bad debtors, reaching a very high accuracy after implementation. The paper is structured as follows: Section 2 describes the model for data analysis based on a specific scoring model that we proposed. In section 3, we present a cluster analysis using K-means algorithm and the DM models are applied on a specific cluster. Section 4 shows the conclusions.

  14. Do Scaffolding Tools Improve Reflective Writing in Professional Portfolios? A Content Analysis of Reflective Writing in an Advanced Preparation Program

    Science.gov (United States)

    Houston, Cynthia R.

    2016-01-01

    Reflective practice is an important skill that teachers must develop to be able to assess the effectiveness of their teaching and modify their instructional behavior. In many education programs reflective narratives, which are often part of teaching portfolios, are intended to assess students' abilities in these areas. Research on reflectivity in…

  15. A computer software system for integration and analysis of grid-based remote sensing data with other natural resource data. Remote Sensing Project

    Science.gov (United States)

    Tilmann, S. E.; Enslin, W. R.; Hill-Rowley, R.

    1977-01-01

    A computer-based information system is described designed to assist in the integration of commonly available spatial data for regional planning and resource analysis. The Resource Analysis Program (RAP) provides a variety of analytical and mapping phases for single factor or multi-factor analyses. The unique analytical and graphic capabilities of RAP are demonstrated with a study conducted in Windsor Township, Eaton County, Michigan. Soil, land cover/use, topographic and geological maps were used as a data base to develope an eleven map portfolio. The major themes of the portfolio are land cover/use, non-point water pollution, waste disposal, and ground water recharge.

  16. Simplify Uncertainty Analysis with Excel Macros Reflective ePortfolios--ChE Student Perceptions of Learning from Reflective ePortfolio Creation

    Science.gov (United States)

    Davis, Richard A.

    2015-01-01

    A simple classroom exercise is used to teach students about the law of propagation of uncertainty in experimental measurements and analysis. Students calculate the density of a rectangular wooden block with a hole from several measurements of mass and length using a ruler and scale. The ruler and scale give students experience with estimating…

  17. PSN: Portfolio Social Network

    DEFF Research Database (Denmark)

    Cortes, Jordi Magrina; Nizamani, Sarwat; Memon, Nasrullah

    2014-01-01

    In this paper we present a web-based information system which is a portfolio social network (PSN) that provides solutions to the recruiters and job seekers. The proposed system enables users to create portfolio so that he/she can add his specializations with piece of code if any specifically...

  18. Using Electronic Portfolios

    Science.gov (United States)

    Page, Deb

    2012-01-01

    The digitized collections of artifacts known as electronic portfolios are creating solutions to a variety of performance improvement needs in ways that are cost-effective and improve both individual and group learning and performance. When social media functionality is embedded in e-portfolios, the tools support collaboration, social learning,…

  19. Households' portfolio choices

    NARCIS (Netherlands)

    Hochgürtel, S.

    1998-01-01

    This thesis presents four topics on households' portfolio choices. Empirically, households do not hold well-diversified wealth portfolios. In particular, they refrain from putting their savings into risky assets. We explore several ways that might help explaining this observation. Using Dutch

  20. Portfolio i erhvervsuddannelserne

    DEFF Research Database (Denmark)

    2008-01-01

    Materialet kombinerer korte film med introducerende tekster og belyser fra forskellige vinkler, hvordan portfolio kan bruges som evalueringsmetode i erhvervsuddannelserne. Udgiver: Undervisningsministeriet Udgivelsessted: Pub.uvm.dk......Materialet kombinerer korte film med introducerende tekster og belyser fra forskellige vinkler, hvordan portfolio kan bruges som evalueringsmetode i erhvervsuddannelserne. Udgiver: Undervisningsministeriet Udgivelsessted: Pub.uvm.dk...

  1. Leptokurtic portfolio theory

    Science.gov (United States)

    Kitt, R.; Kalda, J.

    2006-03-01

    The question of optimal portfolio is addressed. The conventional Markowitz portfolio optimisation is discussed and the shortcomings due to non-Gaussian security returns are outlined. A method is proposed to minimise the likelihood of extreme non-Gaussian drawdowns of the portfolio value. The theory is called Leptokurtic, because it minimises the effects from “fat tails” of returns. The leptokurtic portfolio theory provides an optimal portfolio for investors, who define their risk-aversion as unwillingness to experience sharp drawdowns in asset prices. Two types of risks in asset returns are defined: a fluctuation risk, that has Gaussian distribution, and a drawdown risk, that deals with distribution tails. These risks are quantitatively measured by defining the “noise kernel” — an ellipsoidal cloud of points in the space of asset returns. The size of the ellipse is controlled with the threshold parameter: the larger the threshold parameter, the larger return are accepted for investors as normal fluctuations. The return vectors falling into the kernel are used for calculation of fluctuation risk. Analogously, the data points falling outside the kernel are used for the calculation of drawdown risks. As a result the portfolio optimisation problem becomes three-dimensional: in addition to the return, there are two types of risks involved. Optimal portfolio for drawdown-averse investors is the portfolio minimising variance outside the noise kernel. The theory has been tested with MSCI North America, Europe and Pacific total return stock indices.

  2. Optimal diversification of the securities portfolio

    Directory of Open Access Journals (Sweden)

    Валентина Михайловна Андриенко

    2016-09-01

    Full Text Available The article deals with problems of the theory and methods of forming the optimal portfolio of financial markets. The analytical review of methods in their historical development is given. Recommendations on the use of a particular method depends on the specific conditions are formulated. The classical and alternative methods are considered. The main attention is paid to the analysis of the investment portfolio of derivative securities in B/S-market modelThe article deals with problems of the theory and methods of forming the optimal portfolio of financial markets. The analytical review of methods in their historical development is given. Recommendations on the use of a particular method depends on the specific conditions are formulated. The classical and alternative methods are considered. The main attention is paid to the analysis of the investment portfolio of derivative securities in -market model

  3. Towards a reference model for portfolio management for product development

    DEFF Research Database (Denmark)

    Larsson, Flemming

    2006-01-01

    The aim of this paper is to explore the concept of portfolio management for product development at company level. Departing from a combination of explorative interviews with industry professionals and a literature review a proposal for a reference model for portfolio management is developed....... The model consists of a set of defined and interrelated concepts which forms a coherent and consistent reference model that explicate the totality of the portfolio management concept at company level in terms of structure, processes and elements. The model simultaneously pinpoints, positions and integrates...... several central dimensions of portfolio management....

  4. Testing for structural changes in large portfolios

    OpenAIRE

    Posch, Peter N.; Ullmann, Daniel; Wied, Dominik

    2015-01-01

    Model free tests for constant parameters often fail to detect structural changes in high dimensions. In practice, this corresponds to a portfolio with many assets and a reasonable long time series. We reduce the dimensionality of the problem by looking a compressed panel of time series obtained by cluster analysis and the principal components of the data. Using our methodology we are able to extend a test for a constant correlation matrix from a sub portfolio to whole indices a...

  5. A Retrospective Analysis of the Benefits and Impacts of U.S. Renewable Portfolio Standards

    Energy Technology Data Exchange (ETDEWEB)

    Wiser, Ryan H. [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Barbose, Galen [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Heeter, Jenny [National Renewable Energy Lab. (NREL), Golden, CO (United States); Mai, Trieu [National Renewable Energy Lab. (NREL), Golden, CO (United States); Bird, Lori [National Renewable Energy Lab. (NREL), Golden, CO (United States); Bolinger, Mark [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Carpenter, Alberta [National Renewable Energy Lab. (NREL), Golden, CO (United States); Heath, Garvin [National Renewable Energy Lab. (NREL), Golden, CO (United States); Keyser, David [National Renewable Energy Lab. (NREL), Golden, CO (United States); Macknick, Jordan [National Renewable Energy Lab. (NREL), Golden, CO (United States); Mills, Andrew [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Millstein, Dev [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States)

    2017-07-31

    This report, the second in the series, analyzes historical benefits and impacts of all state RPS policies, in aggregate, employing a consistent and well-vetted set of methods and data sets. The analysis focuses on three specific benefits: greenhouse gas emissions, air pollution, and water use. It also analyzes three other impacts: gross job additions, wholesale electricity market price suppression, and natural gas price suppression. These are an important subset, but by no means a comprehensive set, of all possible effects associated with RPS policies. These benefits and impacts are also subject to many uncertainties, which are described and, to the extent possible, quantified within the report.

  6. An analysis of the NIH-supported sickle cell disease research portfolio.

    Science.gov (United States)

    Gavini, Nara; Hoots, W Keith; Mensah, George A; Hanspal, Manjit

    2015-02-01

    Sickle cell disease (SCD), an inherited blood disorder is due to a single amino acid substitution on the beta chain of hemoglobin, and is characterized by anemia, severe infections, acute and chronic pain, and multi-organ damage. The National Institutes of Health (NIH) is dedicated to support basic, translational and clinical science research to improve care and ultimately, to find a cure for SCD that causes such suffering. This report provides a detailed analysis of grants funded by the NIH for SCD research in Fiscal Years 2007 through 2013. During this period, the NIH supported 247 de novo grants totaling $272,210,367 that address various aspects of SCD. 83% of these funds supported research project grants investigating the following 5 scientific themes: Pathology of Sickle Red Blood Cells; Globin Gene Expression; Adhesion and Vascular Dysfunction; Neurological Complications and Organ-specific Dysfunction; and Pain Management and Intervention. The remaining 17% of total funds supported career development and training grants; Small Business Innovation Research (SBIR) and Small Business Technology Transfer (STTR) grants; large Center grants; and Conference grants. Further analysis showed that the National Heart, Lung, and Blood Institute (NHLBI) is the largest funder of SCD research within NIH with 67% of total grants, contributing 77% of total funds; followed by the National Institute for Digestive Diseases and Kidney (NIDDK) that is funding 19% of grants, contributing 13% of total funds. The remaining 14% of grants totaling 10% of the funds were supported by all other NIH Institutes/Centers (ICs) combined. In summary, the NIH is using multiple funding mechanisms to support a sickle cell disease research agenda that is intended to advance the detection, treatment, and cure of this debilitating genetic disease. Published by Elsevier Inc.

  7. PORTFOLIO SELECTION OF INFORMATION SYSTEMS PROJECTS USING PROMETHEE V WITH C-OPTIMAL CONCEPT

    Directory of Open Access Journals (Sweden)

    Jonatas A. de Almeida

    2014-05-01

    Full Text Available This paper presents a multicriteria decision model for selecting a portfolio of information system (IS projects, which integrates strategic and organizational view within a multicriteria decision structure. The PROMETHEE V method, based on outranking relations is applied, considering the c-optimal concept in order to overcome some scaling problems found in the classical PROMETHEE V approach. Then, a procedure is proposed in order to make a final analysis of the c-optimal portfolios found as a result of using PROMETHEE V. Also, the organizational view is discussed, including some factors that may influence decision making on IS projects to be included in the portfolio, such as adding the company's strategic vision and technical aspects that demonstrate how IS contributes value to a company's business.

  8. The standard for portfolio management

    CERN Document Server

    2017-01-01

    The Standard for Portfolio Management – Fourth Edition has been updated to best reflect the current state of portfolio management. It describe the principles that drive accepted good portfolio management practices in today’s organizations. It also expands the description of portfolio management to reflect its relation to organizational project management and the organization.

  9. e-Portfolio as reflection tool during teaching practice: The interplay ...

    African Journals Online (AJOL)

    This paper focuses on an e-portfolio pilot initiative at the Faculty of Education ... expectations of an e-portfolio aligns with the current practices and attributes ... will impact the potential success of the integration of e-portfolios as reflective tools.

  10. Analysis and modeling of a hail event consequences on a building portfolio

    Science.gov (United States)

    Nicolet, Pierrick; Voumard, Jérémie; Choffet, Marc; Demierre, Jonathan; Imhof, Markus; Jaboyedoff, Michel

    2014-05-01

    North-West Switzerland has been affected by a severe Hail Storm in July 2011, which was especially intense in the Canton of Aargau. The damage cost of this event is around EUR 105 Million only for the Canton of Aargau, which corresponds to half of the mean annual consolidated damage cost of the last 20 years for the 19 Cantons (over 26) with a public insurance. The aim of this project is to benefit from the collected insurance data to better understand and estimate the risk of such event. In a first step, a simple hail event simulator, which has been developed for a previous hail episode, is modified. The geometric properties of the storm is derived from the maximum intensity radar image by means of a set of 2D Gaussians instead of using 1D Gaussians on profiles, as it was the case in the previous version. The tool is then tested on this new event in order to establish its ability to give a fast damage estimation based on the radar image and buildings value and location. The geometrical properties are used in a further step to generate random outcomes with similar characteristics, which are combined with a vulnerability curve and an event frequency to estimate the risk. The vulnerability curve comes from a 2009 event and is improved with data from this event, whereas the frequency for the Canton is estimated from insurance records. In addition to this regional risk analysis, this contribution aims at studying the relation of the buildings orientation with the damage rate. Indeed, it is expected that the orientation of the roof influences the aging of the material by controlling the frequency and amplitude of thaw-freeze cycles, changing then the vulnerability over time. This part is established by calculating the hours of sunshine, which are used to derive the material temperatures. This information is then compared with insurance claims. A last part proposes a model to study the hail impact on a building, by modeling the different equipment on each facade of the

  11. Methodology and applications for the benefit cost analysis of the seismic risk reduction in building portfolios at broadscale

    OpenAIRE

    Valcarcel, Jairo A.; Mora, Miguel G.; Cardona, Omar D.; Pujades, Lluis G.; Barbat, Alex H.; Bernal, Gabriel A.

    2013-01-01

    This article presents a methodology for an estimate of the benefit cost ratio of the seismic risk reduction in buildings portfolio at broadscale, for a world region, allowing comparing the results obtained for the countries belonging to that region. This methodology encompasses (1) the generation of a set of random seismic events and the evaluation of the spectral accelerations at the buildings location; (2) the estimation of the buildings built area, the economic value, as well as the cla...

  12. "Strategic Giving" A Qualitative Analysis Study on Pattern of Philanthropic Portfolio in CSR of Malaysia's Domestic Commercial Banks

    OpenAIRE

    Yong, Ting Lan

    2013-01-01

    Banking industry is the backbone of a country economy. Disruption on the stability of this industry may result in economic crises as evidenced by the 1997-98 Asian economic crises and the 2007 sub-prime crisis. While good corporate governance including good business ethics are crucial in maintaining this stability, the role of social responsibility is equally important. Thus, this study will focus on Philanthropic Portfolio in CSR of 8 domestic commercial banks in Malaysia; a specific focus w...

  13. Constant Proportion Portfolio Insurance

    DEFF Research Database (Denmark)

    Jessen, Cathrine

    2014-01-01

    on the theme, originally proposed by Fischer Black. In CPPI, a financial institution guarantees a floor value for the “insured” portfolio and adjusts the stock/bond mix to produce a leveraged exposure to the risky assets, which depends on how far the portfolio value is above the floor. Plain-vanilla portfolio...... insurance largely died with the crash of 1987, but CPPI is still going strong. In the frictionless markets of finance theory, the issuer’s strategy to hedge its liability under the contract is clear, but in the real world with transactions costs and stochastic jump risk, the optimal strategy is less obvious...

  14. EFFECT OF USING PORTFOLIO ASSESSMENT TO IMPROVE SCIENTIFIC ATTITUDE OF STUDENTS LEARNING PHYSICS IN HIGH SCHOOL

    Directory of Open Access Journals (Sweden)

    Gede Wartawan Putu

    2018-01-01

    Full Text Available This study aims to investigate the effect of portfolio assessment in teaching physics and scientific attitude. The research was conducted on students of high school in Singaraja. Research was an quasi- experimental study by using “The Posttest-Only Control Group Design”. The research involved 152 high school students of class X of science as samples, taken with multistage random sampling technique. Portfolio assessment was integrated with physics learning. The implementation of the portfolio assessment included four key elements such as the students' work folders, clear assessment criteria, and self-assessment, and conference between teacher and students. The data needed in this research was the students' scientific attitude which included the aspect of curiosity, respect for evidence, the willingness to change ideas, and critical reflection. Data needed in this research included scientific attitudes students. A Likert scale instrument was used to measure the scientific attitude students. Data were analyzed using analysis of variance with SPSS 20.0 at significance level α = 0.05. The results showed there are differences in the scientific attitude students who take physics learning with assessment portfolios and students who take physics learning with assessment of conventional. The findings of this study indicate that portfolio assessment in learning physics significantly affect the scientific attitude students.

  15. EFFECT OF USING PORTFOLIO ASSESSMENT TO IMPROVE SCIENTIFIC ATTITUDE OF STUDENTS LEARNING PHYSICS IN HIGH SCHOOL

    Directory of Open Access Journals (Sweden)

    putu wartawan

    2017-12-01

    Full Text Available This study aims to investigate the effect of portfolio assessment in teaching physics and scientific attitude. The research was conducted on students of high school  in Singaraja. Research was an  quasi- experimental study by using  “The Posttest-Only Control Group Design”.  The research involved 152 high school students of class X of science as samples, taken with multistage random sampling technique. Portfolio assessment was integrated with physics learning. The implementation of the portfolio assessment included four key elements such as the students' work folders, clear assessment criteria, and self-assessment, and conference between teacher and students.  The data needed in this research was the students' scientific attitude which included the aspect of curiosity, respect for evidence, the willingness to change ideas, and critical reflection. Data needed in this research included scientific attitudes students.  A Likert scale instrument was used to measure the scientific attitude students.  Data were analyzed using  analysis of variance with SPSS 20.0 at significance level a = 0.05. The results showed there are differences in the scientific attitude students who take physics learning with assessment portfolios and students who take physics learning with assessment of conventional.  The findings of this study indicate that portfolio assessment in learning physics significantly affect the scientific attitude students.

  16. Constructing a reflective portfolio tool: an action research on the student teachers' perceptions of their experiences

    OpenAIRE

    Zeki, Canan Perkan

    2010-01-01

    My interest into reflection and portfolio construction was developed during the 2005 Contexts for Teacher Education Module on the EdD course at the Nottingham University. Experiencing and observing some significant problems with the current portfolio stimulated me to undertake a study on portfolio construction by integrating reflection into it. The aim of this study was to examine student teachers’ perceptions of their experiences of constructing a portfolio in order to develop a more reflect...

  17. 78 FR 48178 - Submission for OMB Review; 30-day Comment Request: Autism Spectrum Disorder Research Portfolio...

    Science.gov (United States)

    2013-08-07

    ...; 30-day Comment Request: Autism Spectrum Disorder Research Portfolio Analysis SUMMARY: Under the... (ASD) Research Portfolio Analysis, 0925--NEW- National Institute of Mental Health (NIMH), National Institutes of Health (NIH). Need and Use of Information Collection: The purpose of the ASD portfolio analysis...

  18. Methods of Choosing an Optimal Portfolio of Projects

    OpenAIRE

    Yakovlev, A.; Chernenko, M.

    2016-01-01

    This paper presents an analysis of existing methods for a portfolio of project optimization. The necessity for their improvement is shown. It is suggested to assess the portfolio of projects on the basis of the amount in the difference between the results and costs during development and implementation of selected projects and the losses caused by non-implementation or delayed implementation of projects that were not included in the portfolio. Consideration of capital and current costs compon...

  19. Integrated piping structural analysis system

    International Nuclear Information System (INIS)

    Motoi, Toshio; Yamadera, Masao; Horino, Satoshi; Idehata, Takamasa

    1979-01-01

    Structural analysis of the piping system for nuclear power plants has become larger in scale and in quantity. In addition, higher quality analysis is regarded as of major importance nowadays from the point of view of nuclear plant safety. In order to fulfill to the above requirements, an integrated piping structural analysis system (ISAP-II) has been developed. Basic philosophy of this system is as follows: 1. To apply the date base system. All information is concentrated. 2. To minimize the manual process in analysis, evaluation and documentation. Especially to apply the graphic system as much as possible. On the basis of the above philosophy four subsystems were made. 1. Data control subsystem. 2. Analysis subsystem. 3. Plotting subsystem. 4. Report subsystem. Function of the data control subsystem is to control all information of the data base. Piping structural analysis can be performed by using the analysis subsystem. Isometric piping drawing and mode shape, etc. can be plotted by using the plotting subsystem. Total analysis report can be made without the manual process through the reporting subsystem. (author)

  20. Automatic Trading Agent. RMT Based Portfolio Theory and Portfolio Selection

    Science.gov (United States)

    Snarska, M.; Krzych, J.

    2006-11-01

    Portfolio theory is a very powerful tool in the modern investment theory. It is helpful in estimating risk of an investor's portfolio, arosen from lack of information, uncertainty and incomplete knowledge of reality, which forbids a perfect prediction of future price changes. Despite of many advantages this tool is not known and not widely used among investors on Warsaw Stock Exchange. The main reason for abandoning this method is a high level of complexity and immense calculations. The aim of this paper is to introduce an automatic decision-making system, which allows a single investor to use complex methods of Modern Portfolio Theory (MPT). The key tool in MPT is an analysis of an empirical covariance matrix. This matrix, obtained from historical data, biased by such a high amount of statistical uncertainty, that it can be seen as random. By bringing into practice the ideas of Random Matrix Theory (RMT), the noise is removed or significantly reduced, so the future risk and return are better estimated and controlled. These concepts are applied to the Warsaw Stock Exchange Simulator {http://gra.onet.pl}. The result of the simulation is 18% level of gains in comparison with respective 10% loss of the Warsaw Stock Exchange main index WIG.

  1. Portfolio Management System

    Data.gov (United States)

    US Agency for International Development — PfMS is an implementation of WorkLenz. WorkLenz is USAID's portfolio management system tool. It is a commercially available, off-the-shelf (COTS) package that...

  2. Flightdeck Automation Problems (FLAP) Model for Safety Technology Portfolio Assessment

    Science.gov (United States)

    Ancel, Ersin; Shih, Ann T.

    2014-01-01

    NASA's Aviation Safety Program (AvSP) develops and advances methodologies and technologies to improve air transportation safety. The Safety Analysis and Integration Team (SAIT) conducts a safety technology portfolio assessment (PA) to analyze the program content, to examine the benefits and risks of products with respect to program goals, and to support programmatic decision making. The PA process includes systematic identification of current and future safety risks as well as tracking several quantitative and qualitative metrics to ensure the program goals are addressing prominent safety risks accurately and effectively. One of the metrics within the PA process involves using quantitative aviation safety models to gauge the impact of the safety products. This paper demonstrates the role of aviation safety modeling by providing model outputs and evaluating a sample of portfolio elements using the Flightdeck Automation Problems (FLAP) model. The model enables not only ranking of the quantitative relative risk reduction impact of all portfolio elements, but also highlighting the areas with high potential impact via sensitivity and gap analyses in support of the program office. Although the model outputs are preliminary and products are notional, the process shown in this paper is essential to a comprehensive PA of NASA's safety products in the current program and future programs/projects.

  3. Portfolios of adaptation investments in water management

    NARCIS (Netherlands)

    Aerts, Jeroen C.J.H.; Botzen, Wouter; Werners, Saskia E.

    2015-01-01

    This study explores how Modern Portfolio Theory (MPT) can guide investment decisions in integrated water resources management (IWRM) and climate change adaptation under uncertainty. The objectives of the paper are to: (i) explain the concept of diversification to reduce risk, as formulated in

  4. Tensions in mentoring medical students toward self-directed and reflective learning in a longitudinal portfolio-based mentoring system - An activity theory analysis.

    Science.gov (United States)

    Heeneman, Sylvia; de Grave, Willem

    2017-04-01

    In medical education, students need to acquire skills to self-direct(ed) learning (SDL), to enable their development into self-directing and reflective professionals. This study addressed the mentor perspective on how processes in the mentor-student interaction influenced development of SDL. n = 22 mentors of a graduate-entry medical school with a problem-based curriculum and longitudinal mentoring system were interviewed (n = 1 recording failed). Using activity theory (AT) as a theoretical framework, thematic analysis was applied to the interview data to identify important themes. Four themes emerged: centered around the role of the portfolio, guiding of students' SDL in the context of assessment procedures, mentor-role boundaries and longitudinal development of skills by both the mentor and mentee. Application of AT showed that in the interactions between themes tensions or supportive factors could emerge for activities in the mentoring process. The mentors' perspective on coaching and development of reflection and SDL of medical students yielded important insights into factors that can hinder or support students' SDL, during a longitudinal mentor-student interaction. Coaching skills of the mentor, the interaction with a portfolio and the context of a mentor community are important factors in a longitudinal mentor-student interaction that can translate to students' SDL skills.

  5. Integrated sequence analysis. Final report

    International Nuclear Information System (INIS)

    Andersson, K.; Pyy, P.

    1998-02-01

    The NKS/RAK subprojet 3 'integrated sequence analysis' (ISA) was formulated with the overall objective to develop and to test integrated methodologies in order to evaluate event sequences with significant human action contribution. The term 'methodology' denotes not only technical tools but also methods for integration of different scientific disciplines. In this report, we first discuss the background of ISA and the surveys made to map methods in different application fields, such as man machine system simulation software, human reliability analysis (HRA) and expert judgement. Specific event sequences were, after the surveys, selected for application and testing of a number of ISA methods. The event sequences discussed in the report were cold overpressure of BWR, shutdown LOCA of BWR, steam generator tube rupture of a PWR and BWR disturbed signal view in the control room after an external event. Different teams analysed these sequences by using different ISA and HRA methods. Two kinds of results were obtained from the ISA project: sequence specific and more general findings. The sequence specific results are discussed together with each sequence description. The general lessons are discussed under a separate chapter by using comparisons of different case studies. These lessons include areas ranging from plant safety management (design, procedures, instrumentation, operations, maintenance and safety practices) to methodological findings (ISA methodology, PSA,HRA, physical analyses, behavioural analyses and uncertainty assessment). Finally follows a discussion about the project and conclusions are presented. An interdisciplinary study of complex phenomena is a natural way to produce valuable and innovative results. This project came up with structured ways to perform ISA and managed to apply the in practice. The project also highlighted some areas where more work is needed. In the HRA work, development is required for the use of simulators and expert judgement as

  6. Making practice transparent through e-portfolio.

    Science.gov (United States)

    Stewart, Sarah M

    2013-12-01

    Midwives are required to maintain a professional portfolio as part of their statutory requirements. Some midwives are using open social networking tools and processes to develop an e-portfolio. However, confidentiality of patient and client data and professional reputation have to be taken into consideration when using online public spaces for reflection. There is little evidence about how midwives use social networking tools for ongoing learning. It is uncertain how reflecting in an e-portfolio with an audience impacts on learning outcomes. This paper investigates ways in which reflective midwifery practice be carried out using e-portfolio in open, social networking platforms using collaborative processes. Using an auto-ethnographic approach I explored my e-portfolio and selected posts that had attracted six or more comments. I used thematic analysis to identify themes within the textual conversations in the posts and responses posted by readers. The analysis identified that my collaborative e-portfolio had four themes: to provide commentary and discuss issues; to reflect and process learning; to seek advice, brainstorm and process ideas for practice, projects and research, and provide evidence of professional development. E-portfolio using open social networking tools and processes is a viable option for midwives because it facilitates collaborative reflection and shared learning. However, my experience shows that concerns about what people think, and client confidentiality does impact on the nature of open reflection and learning outcomes. I conclude this paper with a framework for managing midwifery statutory obligations using online public spaces and social networking tools. Copyright © 2013 Australian College of Midwives. Published by Elsevier Ltd. All rights reserved.

  7. Digital portfolio for learning: A new communication channel for education

    Directory of Open Access Journals (Sweden)

    Judit Coromina

    2011-04-01

    Full Text Available Purpose: The Catalonian Government has the intention of introducing the digital portfolio before 2017, an initiative related to new approaches for learning. Taking in consideration the increasing interest for digital portfolio as a new communication channel for education, the article aims are: on the one hand to describe how the digital portfolio works and on the other hand, to identify a list of criteria that should be useful for educative centers to select the best application to create the digital portfolio according to their needs.Design/methodology/approach: Firstly, a theoretical framework for portfolio functioning is described. After, applications to support the digital portfolio are classified. Next, a requirement analysis on an ideal application to support the portfolio is made, according to those phases for the portfolio creation identified in the theoretical framework. Lastly, a list of criteria is established to select the application for creating the digital portfolio.Findings and Originality/value: The article contributes to structure the portfolio creation process in some stages and phases in a wider way that it is described in the literature. In addition, a list of criteria is defined to help educative centers to select the application for managing the portfolio that fits better with their objectives. These criteria have been obtained with an exhaustive methodology.Research limitations/implications: In order to put in practice the identified criteria it is proposed to complete the multi-criteria decision model in a new study. It should include processes to weigh criteria and define normalizations. Afterwards it would be able to analyze the value of the model studying the satisfaction for using it by a sample of educative centers.Practical implications: The list of criteria identified should facilitate the selection of the more adequate application to create the learning portfolio to the educative centers, according to their

  8. Belief Propagation Algorithm for Portfolio Optimization Problems.

    Science.gov (United States)

    Shinzato, Takashi; Yasuda, Muneki

    2015-01-01

    The typical behavior of optimal solutions to portfolio optimization problems with absolute deviation and expected shortfall models using replica analysis was pioneeringly estimated by S. Ciliberti et al. [Eur. Phys. B. 57, 175 (2007)]; however, they have not yet developed an approximate derivation method for finding the optimal portfolio with respect to a given return set. In this study, an approximation algorithm based on belief propagation for the portfolio optimization problem is presented using the Bethe free energy formalism, and the consistency of the numerical experimental results of the proposed algorithm with those of replica analysis is confirmed. Furthermore, the conjecture of H. Konno and H. Yamazaki, that the optimal solutions with the absolute deviation model and with the mean-variance model have the same typical behavior, is verified using replica analysis and the belief propagation algorithm.

  9. Belief Propagation Algorithm for Portfolio Optimization Problems.

    Directory of Open Access Journals (Sweden)

    Takashi Shinzato

    Full Text Available The typical behavior of optimal solutions to portfolio optimization problems with absolute deviation and expected shortfall models using replica analysis was pioneeringly estimated by S. Ciliberti et al. [Eur. Phys. B. 57, 175 (2007]; however, they have not yet developed an approximate derivation method for finding the optimal portfolio with respect to a given return set. In this study, an approximation algorithm based on belief propagation for the portfolio optimization problem is presented using the Bethe free energy formalism, and the consistency of the numerical experimental results of the proposed algorithm with those of replica analysis is confirmed. Furthermore, the conjecture of H. Konno and H. Yamazaki, that the optimal solutions with the absolute deviation model and with the mean-variance model have the same typical behavior, is verified using replica analysis and the belief propagation algorithm.

  10. Backtesting Portfolio Value-at-Risk with Estimated Portfolio Weights

    OpenAIRE

    Pei Pei

    2010-01-01

    This paper theoretically and empirically analyzes backtesting portfolio VaR with estimation risk in an intrinsically multivariate framework. For the first time in the literature, it takes into account the estimation of portfolio weights in forecasting portfolio VaR and its impact on backtesting. It shows that the estimation risk from estimating the portfolio weights as well as that from estimating the multivariate dynamic model of asset returns make the existing methods in a univariate framew...

  11. Learning to Select Supplier Portfolios for Service Supply Chain.

    Science.gov (United States)

    Zhang, Rui; Li, Jingfei; Wu, Shaoyu; Meng, Dabin

    2016-01-01

    The research on service supply chain has attracted more and more focus from both academia and industrial community. In a service supply chain, the selection of supplier portfolio is an important and difficult problem due to the fact that a supplier portfolio may include multiple suppliers from a variety of fields. To address this problem, we propose a novel supplier portfolio selection method based on a well known machine learning approach, i.e., Ranking Neural Network (RankNet). In the proposed method, we regard the problem of supplier portfolio selection as a ranking problem, which integrates a large scale of decision making features into a ranking neural network. Extensive simulation experiments are conducted, which demonstrate the feasibility and effectiveness of the proposed method. The proposed supplier portfolio selection model can be applied in a real corporation easily in the future.

  12. Student Portfolios as Windows into Intercultural Knowledge and Knowing

    Science.gov (United States)

    Johnson, Esko; Hynynen, Nina

    2018-01-01

    This research paper deals with intercultural knowledge and knowing as displayed in higher education student portfolios. The portfolios were written by student pairs taking a global education course at Centria University of Applied Sciences, Finland, during seven academic years. Conceptual metaphor theory and metaphor analysis were utilised to…

  13. RISK MANAGEMENT OF INVESTMENT PORTFOLIO BY FUTURE

    Directory of Open Access Journals (Sweden)

    K. Kerimov Alexandr

    2017-01-01

    Full Text Available The article considers the problem of the dynamic risk management of the investment portfolio using future con- tracts. The management starts with the concept of effective inhomogeneous portfolios, which contain futures together with underlying asserts. The effective portfolios are defined as the ones of the minimal dispersion with the expected return greater or equal to the specified value. Risk is measured by the probability of losing of a certain part of the portfolio value. The control parameters are the number of futures for each asset of portfolio, which is defined from the condition of effec- tiveness of portfolio and risk acceptability on each step.The effective adaptive strategies of portfolio risk management together with comparative analysis on a concrete example are presented. The proposed approach provides the forecast correction of the expected income and its variance for the assets with the emergence of new data. The financial time series are determined by volatility clustering, i.e. relative or absolute price changes tend to keep high or low magnitude for some time, with the result that clusters are created - periods of high or low volatility. Then adaptive estimate of correlational relationships between asset prices are essential because the degree of correlational relationship also changes in time. So the correlation of future and spot price changes considerably increases while approaching to performance of contracts. For taking into account of data instability of dispersion and correlation simple methods of volatility forecasting and correlation of relative changes of price data based on exponential smoothing are implemented.

  14. Decentralized Portfolio Management

    Directory of Open Access Journals (Sweden)

    Benjamin Miranda Tabak

    2003-12-01

    Full Text Available We use a mean-variance model to analyze the problem of decentralized portfolio management. We find the solution for the optimal portfolio allocation for a head trader operating in n different markets, which is called the optimal centralized portfolio. However, as there are many traders specialized in different markets, the solution to the problem of optimal decentralized allocation should be different from the centralized case. In this paper we derive conditions for the solutions to be equivalent. We use multivariate normal returns and a negative exponential function to solve the problem analytically. We generate the equivalence of solutions by assuming that different traders face different interest rates for borrowing and lending. This interest rate is dependent on the ratio of the degrees of risk aversion of the trader and the head trader, on the excess return, and on the correlation between asset returns.

  15. Integrated sequence analysis. Final report

    Energy Technology Data Exchange (ETDEWEB)

    Andersson, K.; Pyy, P

    1998-02-01

    The NKS/RAK subprojet 3 `integrated sequence analysis` (ISA) was formulated with the overall objective to develop and to test integrated methodologies in order to evaluate event sequences with significant human action contribution. The term `methodology` denotes not only technical tools but also methods for integration of different scientific disciplines. In this report, we first discuss the background of ISA and the surveys made to map methods in different application fields, such as man machine system simulation software, human reliability analysis (HRA) and expert judgement. Specific event sequences were, after the surveys, selected for application and testing of a number of ISA methods. The event sequences discussed in the report were cold overpressure of BWR, shutdown LOCA of BWR, steam generator tube rupture of a PWR and BWR disturbed signal view in the control room after an external event. Different teams analysed these sequences by using different ISA and HRA methods. Two kinds of results were obtained from the ISA project: sequence specific and more general findings. The sequence specific results are discussed together with each sequence description. The general lessons are discussed under a separate chapter by using comparisons of different case studies. These lessons include areas ranging from plant safety management (design, procedures, instrumentation, operations, maintenance and safety practices) to methodological findings (ISA methodology, PSA,HRA, physical analyses, behavioural analyses and uncertainty assessment). Finally follows a discussion about the project and conclusions are presented. An interdisciplinary study of complex phenomena is a natural way to produce valuable and innovative results. This project came up with structured ways to perform ISA and managed to apply the in practice. The project also highlighted some areas where more work is needed. In the HRA work, development is required for the use of simulators and expert judgement as

  16. Linearly Adjustable International Portfolios

    Science.gov (United States)

    Fonseca, R. J.; Kuhn, D.; Rustem, B.

    2010-09-01

    We present an approach to multi-stage international portfolio optimization based on the imposition of a linear structure on the recourse decisions. Multiperiod decision problems are traditionally formulated as stochastic programs. Scenario tree based solutions however can become intractable as the number of stages increases. By restricting the space of decision policies to linear rules, we obtain a conservative tractable approximation to the original problem. Local asset prices and foreign exchange rates are modelled separately, which allows for a direct measure of their impact on the final portfolio value.

  17. Linearly Adjustable International Portfolios

    International Nuclear Information System (INIS)

    Fonseca, R. J.; Kuhn, D.; Rustem, B.

    2010-01-01

    We present an approach to multi-stage international portfolio optimization based on the imposition of a linear structure on the recourse decisions. Multiperiod decision problems are traditionally formulated as stochastic programs. Scenario tree based solutions however can become intractable as the number of stages increases. By restricting the space of decision policies to linear rules, we obtain a conservative tractable approximation to the original problem. Local asset prices and foreign exchange rates are modelled separately, which allows for a direct measure of their impact on the final portfolio value.

  18. Agile Project Portfolio Management

    DEFF Research Database (Denmark)

    Andersen, Jesper Rank; Riis, Jens Ove; Mikkelsen, Hans

    2005-01-01

    This paper will provide a preliminary introduction to the application of Agile Thinking in management of project portfolio and company development. At any point in time, companies have a crowd of development initiatives spread around the organisation and managed at different levels...... in the managerial hierarchy. They compete for resources and managerial attention, and they often take too long time - and some do not survive in the rapid changing context. Top man¬agers ask for speed, flexibility and effectiveness in the portfolio of development activities (projects). But which competencies...

  19. Integrative Workflows for Metagenomic Analysis

    Directory of Open Access Journals (Sweden)

    Efthymios eLadoukakis

    2014-11-01

    Full Text Available The rapid evolution of all sequencing technologies, described by the term Next Generation Sequencing (NGS, have revolutionized metagenomic analysis. They constitute a combination of high-throughput analytical protocols, coupled to delicate measuring techniques, in order to potentially discover, properly assemble and map allelic sequences to the correct genomes, achieving particularly high yields for only a fraction of the cost of traditional processes (i.e. Sanger. From a bioinformatic perspective, this boils down to many gigabytes of data being generated from each single sequencing experiment, rendering the management or even the storage, critical bottlenecks with respect to the overall analytical endeavor. The enormous complexity is even more aggravated by the versatility of the processing steps available, represented by the numerous bioinformatic tools that are essential, for each analytical task, in order to fully unveil the genetic content of a metagenomic dataset. These disparate tasks range from simple, nonetheless non-trivial, quality control of raw data to exceptionally complex protein annotation procedures, requesting a high level of expertise for their proper application or the neat implementation of the whole workflow. Furthermore, a bioinformatic analysis of such scale, requires grand computational resources, imposing as the sole realistic solution, the utilization of cloud computing infrastructures. In this review article we discuss different, integrative, bioinformatic solutions available, which address the aforementioned issues, by performing a critical assessment of the available automated pipelines for data management, quality control and annotation of metagenomic data, embracing various, major sequencing technologies and applications.

  20. Integrated Radiation Analysis and Design Tools

    Data.gov (United States)

    National Aeronautics and Space Administration — The Integrated Radiation Analysis and Design Tools (IRADT) Project develops and maintains an integrated tool set that collects the current best practices, databases,...

  1. A diversified portfolio model of adaptability.

    Science.gov (United States)

    Chandra, Siddharth; Leong, Frederick T L

    2016-12-01

    A new model of adaptability, the diversified portfolio model (DPM) of adaptability, is introduced. In the 1950s, Markowitz developed the financial portfolio model by demonstrating that investors could optimize the ratio of risk and return on their portfolios through risk diversification. The DPM integrates attractive features of a variety of models of adaptability, including Linville's self-complexity model, the risk and resilience model, and Bandura's social cognitive theory. The DPM draws on the concept of portfolio diversification, positing that diversified investment in multiple life experiences, life roles, and relationships promotes positive adaptation to life's challenges. The DPM provides a new integrative model of adaptability across the biopsychosocial levels of functioning. More importantly, the DPM addresses a gap in the literature by illuminating the antecedents of adaptive processes studied in a broad array of psychological models. The DPM is described in relation to the biopsychosocial model and propositions are offered regarding its utility in increasing adaptiveness. Recommendations for future research are also offered. (PsycINFO Database Record (c) 2016 APA, all rights reserved).

  2. DETERMINING THE INVESTMENT PORTFOLIO IN THE ENVIRONMENT FIELD BY USING THE SWOT ANALYSIS OF THE ENVIRONMENT CONDITION. EXEMPLIFYING THE ECOLOGIC REHABILITATION IN THE IER VALLEY

    Directory of Open Access Journals (Sweden)

    Doru Ioan Ardelean

    2013-12-01

    Full Text Available When it comes to the environment investment, there is a great challenge in determining the project portfolio because there is no unanimously accepted solution. The objective to bring an area to its initial shape, existing before the anthropic investment, is only possible theoretically. In practice, my recommendation is to rebuild to a certain extent the whole area in order to make it attractive for economic activities which, once implemented, should justify the investment effort. Economic effectiveness strictly calculated for environment projects is an unproper approach in my opinion. By the SWOT analysis I shall follow to cause a relationship between the area’s business opportunities and its environment investment needs.

  3. International Diversification Versus Domestic Diversification: Mean-Variance Portfolio Optimization and Stochastic Dominance Approaches

    Directory of Open Access Journals (Sweden)

    Fathi Abid

    2014-05-01

    Full Text Available This paper applies the mean-variance portfolio optimization (PO approach and the stochastic dominance (SD test to examine preferences for international diversification versus domestic diversification from American investors’ viewpoints. Our PO results imply that the domestic diversification strategy dominates the international diversification strategy at a lower risk level and the reverse is true at a higher risk level. Our SD analysis shows that there is no arbitrage opportunity between international and domestic stock markets; domestically diversified portfolios with smaller risk dominate internationally diversified portfolios with larger risk and vice versa; and at the same risk level, there is no difference between the domestically and internationally diversified portfolios. Nonetheless, we cannot find any domestically diversified portfolios that stochastically dominate all internationally diversified portfolios, but we find some internationally diversified portfolios with small risk that dominate all the domestically diversified portfolios.

  4. Portfolio optimization by using linear programing models based on genetic algorithm

    Science.gov (United States)

    Sukono; Hidayat, Y.; Lesmana, E.; Putra, A. S.; Napitupulu, H.; Supian, S.

    2018-01-01

    In this paper, we discussed the investment portfolio optimization using linear programming model based on genetic algorithms. It is assumed that the portfolio risk is measured by absolute standard deviation, and each investor has a risk tolerance on the investment portfolio. To complete the investment portfolio optimization problem, the issue is arranged into a linear programming model. Furthermore, determination of the optimum solution for linear programming is done by using a genetic algorithm. As a numerical illustration, we analyze some of the stocks traded on the capital market in Indonesia. Based on the analysis, it is shown that the portfolio optimization performed by genetic algorithm approach produces more optimal efficient portfolio, compared to the portfolio optimization performed by a linear programming algorithm approach. Therefore, genetic algorithms can be considered as an alternative on determining the investment portfolio optimization, particularly using linear programming models.

  5. [Portfolio in nursing school: myth or reality].

    Science.gov (United States)

    Garnier, Chantal; Marchand, Claire

    2012-09-01

    The portfolio is a new tool that has been introduced for the setting up of a new program concerning the nurse training. It aims at the would-be nurse to improve their self-reliance and make them assess themselves through a critical and reflexive approach. Indeed, the portfolio is mostly made up of sheets that the student has to fill in when describing and analysing several professional conditions. This study is about the assessment of the relevance in the portfolio that each nurse student owns in order to make them improve their reflexive practical. The work will, thus, suggest different ways of thinking and improving the use of the tool. 30 portfolios were chosen randomly among the 2nd year students, because 180 analysis were assessed thanks to a grid. 10 viewpoints from volunteer students were gathered after several semi directive interviews. The qualitative and evaluative analysis shows that the students develop the reflexive practical throughout their trainings. It seems, indeed, relevant to choose the portfolio in order to help the students to develop this way of working. According to them, there are several positive points such as the distance towards an event, an awareness-raising of the acquisition, feedbacks about the quality of the text by the trainer and an ability to assess oneself. Yet, even though it was created 18 months ago, there are some limits such as the too short period of mentoring and feedback, the lack of time for the students to write their analysis, the fact that it is not a practical tool, and the unclear description of assessment criteria. In order to fulfil the needs, some solutions are to be found. The portfolio is clearly helpful for the students who wish to increase/improve gradually their reflexive practice. Thus, the trainer's role is crucial, when he is a supervisor.

  6. Evaluation of IP Portfolios

    DEFF Research Database (Denmark)

    Søberg, Peder Veng

    2009-01-01

    As a result of an inquiry concerning how to evaluate IP (intellectual property) portfolios in order to enable the best possible use of IP resources within organizations, an IP evaluation approach primarily applicable for patents and utility models is developed. The developed approach is useful...... of the organization owning the IP....

  7. Acreage portfolio management

    International Nuclear Information System (INIS)

    Schneider, Georges

    1994-01-01

    This chapter demonstrates the need for acreage portfolio management at the stage of maturity which has been reached in the UK sector of the North Sea petroleum industry. It outlines the goals, the main features of the deals and the business process. (UK)

  8. Portfolio, refleksion og feedback

    DEFF Research Database (Denmark)

    Hansen, Jens Jørgen; Qvortrup, Ane; Christensen, Inger-Marie F.

    2017-01-01

    Denne leder definerer indledningsvist begrebet portfolio og gør rede for anvendelsesmuligheder i en uddannelseskontekst. Dernæst behandles portfoliometodens kvalitet og effekt for læring og undervisning og de centrale begreber refleksion, progression og feedback præsenteres og diskuteres. Herefter...

  9. Integrated minicomputer alpha analysis system

    International Nuclear Information System (INIS)

    Vasilik, D.G.; Coy, D.E.; Seamons, M.; Henderson, R.W.; Romero, L.L.; Thomson, D.A.

    1978-01-01

    Approximately 1,000 stack and occupation air samples from plutonium and uranium facilities at LASL are analyzed daily. The concentrations of radio-nuclides in air are determined by measuring absolute alpha activities of particulates collected on air sample filter media. The Integrated Minicomputer Pulse system (IMPULSE) is an interface between many detectors of extremely simple design and a Digital Equipment Corporation (DEC) PDP-11/04 minicomputer. The detectors are photomultiplier tubes faced with zinc sulfide (ZnS). The average detector background is approximately 0.07 cpm. The IMPULSE system includes two mainframes, each of which can hold up to 64 detectors. The current hardware configuration includes 64 detectors in one mainframe and 40 detectors in the other. Each mainframe contains a minicomputer with 28K words of Random Access Memory. One minicomputer controls the detectors in both mainframes. A second computer was added for fail-safe redundancy and to support other laboratory computer requirements. The main minicomputer includes a dual floppy disk system and a dual DEC 'RK05' disk system for mass storage. The RK05 facilitates report generation and trend analysis. The IMPULSE hardware provides for passage of data from the detectors to the computer, and for passage of status and control information from the computer to the detector stations

  10. The Use of ePortfolios to Support Metacognitive Practice in a First-Year Writing Program

    Science.gov (United States)

    Bowman, Jim; Lowe, Barbara J.; Sabourin, Katie; Sweet, Catherine Salomon

    2016-01-01

    Recognizing the importance of meaningful reflective writing as an integral component to the portfolios used in the first-year program (FYP), faculty questioned whether a newly developed electronic portfolio offered any pedagogical benefits over the existing traditional paper portfolio. Of particular interest for this work was whether the use of…

  11. Sparse and stable Markowitz portfolios.

    Science.gov (United States)

    Brodie, Joshua; Daubechies, Ingrid; De Mol, Christine; Giannone, Domenico; Loris, Ignace

    2009-07-28

    We consider the problem of portfolio selection within the classical Markowitz mean-variance framework, reformulated as a constrained least-squares regression problem. We propose to add to the objective function a penalty proportional to the sum of the absolute values of the portfolio weights. This penalty regularizes (stabilizes) the optimization problem, encourages sparse portfolios (i.e., portfolios with only few active positions), and allows accounting for transaction costs. Our approach recovers as special cases the no-short-positions portfolios, but does allow for short positions in limited number. We implement this methodology on two benchmark data sets constructed by Fama and French. Using only a modest amount of training data, we construct portfolios whose out-of-sample performance, as measured by Sharpe ratio, is consistently and significantly better than that of the naïve evenly weighted portfolio.

  12. IMPROVING DEPOSIT POLICY BANK ON THE BASIS OF ANALYSIS OF THE INFLUENCE OF DEPOSIT PORTFOLIO STRUCTURE ON FORMATION OF INVESTMENT RESOURCE

    Directory of Open Access Journals (Sweden)

    Viadrova I.

    2018-01-01

    Full Text Available Introduction. The banking system as a part of the national economy contributes to the development of various branches of economy and trade, enabling the realization of economic interests of economic entities. One of the important tasks of the monetary system is the accumulation of financial resources necessary for the implementation of credit and investment projects and their further distribution. This task is performed by banking institutions by attracting funds from individuals and legal entities. The size of the bank’s resource base and the scale of its operations depend on the operations of attraction of funds. The priority task of the banking institution is the predominance of attracting long-term investments over short-term ones. That is why the problem that exists in the disproportion of the maturity of borrowed funds, the prevalence of short-term deposits over long-term and the minimum amount of long-term resources in the bank’s deposit portfolio is particularly relevant. Purpose. The purpose of the work is to generalize the theoretical aspects of bank deposit activity and to determine the optimal structure of the deposit portfolio for carrying out of credit and investment activity. Results. The article summarizes the essence of the concept of “deposit policy”, identifies the peculiarities of its formation and analyzes the main external and internal factors that have an impact on the deposit policy of domestic banks. The analysis of the dynamics and structure of deposit operations of banks at the state level was carried out and the analysis of deposit policy of a bank of foreign bank groups – PJSC “Ukrsotsbank” for 2010-2017 was provided. In this work, the factors of influence are investigated: external and internal, which determine the ways of formation of deposit policy by banks of Ukraine. The influence of the structure of the deposit portfolio of Ukrainian banks on the formation of the investment resource is analyzed

  13. E-PORTFOLIO: BEYOND ASSESSMENT FOR ENGLISH STUDENT TEACHER (a Preliminary Study of E-portfolio Implementation in Micro Teaching Class)

    OpenAIRE

    Sarlita D. Matra

    2017-01-01

    Teacher preparation programs across the country are showing an increased interest in the use of electronic portfolios as valuable authentic assessment tools that can document students‘ abilities and growth related to specific standards. The concept of developing e-portfolios is based on the fact that the reflective practice of creating portfolios enables students to document and track their learning; develop an integrated, coherent picture of their learning experiences; and enhanc...

  14. Can E-Portfolio Improve Students’ Readiness to Find an IT Career?

    Directory of Open Access Journals (Sweden)

    Abdallah Tubaishat

    2015-06-01

    skills; hence, graduates are more likely to obtain a job in their workplaces. In conclusion, students do like the idea of e-portfolios when it is presented to them as a career showcase rather than a process for documenting learning. A career center can use e-portfolios as a tool to help students find a job. Furthermore, our analysis and evaluation uncovered learning issues involved in moving from the traditional approach of learning toward an integrated learning system that can be used after graduation.

  15. Portfolio careers for medical graduates: implications for postgraduate training and workforce planning.

    Science.gov (United States)

    Eyre, Harris A; Mitchell, Rob D; Milford, Will; Vaswani, Nitin; Moylan, Steven

    2014-06-01

    Portfolio careers in medicine can be defined as significant involvement in one or more portfolios of activity beyond a practitioner's primary clinical role, either concurrently or in sequence. Portfolio occupations may include medical education, research, administration, legal medicine, the arts, engineering, business and consulting, leadership, politics and entrepreneurship. Despite significant interest among junior doctors, portfolios are poorly integrated with prevocational and speciality training programs in Australia. The present paper seeks to explore this issue. More formal systems for portfolio careers in Australia have the potential to increase job satisfaction, flexibility and retention, as well as diversify trainee skill sets. Although there are numerous benefits from involvement in portfolio careers, there are also risks to the trainee, employing health service and workforce modelling. Formalising pathways to portfolio careers relies on assessing stakeholder interest, enhancing flexibility in training programs, developing support programs, mentorship and coaching schemes and improving support structures in health services.

  16. Information Content of Mutual Fund Portfolio Disclosure

    NARCIS (Netherlands)

    Y. Wang (Yu)

    2011-01-01

    textabstractAcademic financial economists have been keenly interested in the value of active portfolio management since the seminal paper of Jensen (1968). This book examines the information advantages that active mutual fund managers attain in financial markets through an analysis of disclosed fund

  17. Natural gas contracts in efficient portfolios

    Energy Technology Data Exchange (ETDEWEB)

    Sutherland, R.J.

    1994-12-01

    This report addresses the {open_quotes}contracts portfolio{close_quotes} issue of natural gas contracts in support of the Domestic Natural Gas and Oil Initiative (DGOI) published by the U.S. Department of Energy in 1994. The analysis is a result of a collaborative effort with the Public Service Commission of the State of Maryland to consider {open_quotes}reforms that enhance the industry`s competitiveness{close_quotes}. The initial focus of our collaborative effort was on gas purchasing and contract portfolios; however, it became apparent that efficient contracting to purchase and use gas requires a broader consideration of regulatory reform. Efficient portfolios are obtained when the holder of the portfolio is affected by and is responsible for the performance of the portfolio. Natural gas distribution companies may prefer a diversity of contracts, but the efficient use of gas requires that the local distribution company be held accountable for its own purchases. Ultimate customers are affected by their own portfolios, which they manage efficiently by making their own choices. The objectives of the DGOI, particularly the efficient use of gas, can be achieved when customers have access to suppliers of gas and energy services under an improved regulatory framework. The evolution of the natural gas market during the last 15 years is described to account for the changing preferences toward gas contracts. Long-term contracts for natural gas were prevalent before the early 1980s, primarily because gas producers had few options other than to sell to a single pipeline company, and this pipeline company, in turn, was the only seller to a gas distribution company.

  18. Students' attitudes towards the introduction of a Personal and Professional Development portfolio: potential barriers and facilitators.

    Science.gov (United States)

    Ross, Sarah; Maclachlan, Alison; Cleland, Jennifer

    2009-12-01

    Portfolios, widely used in undergraduate and postgraduate medicine, have variable purposes, formats and success. A recent systematic review summarised factors necessary for successful portfolio introduction but there are no studies investigating the views of students inexperienced in portfolio use towards portfolio learning. This study's aim was to survey student views about a prospective Professional and Personal Development (PPD) portfolio. This was a qualitative, focus group study. All focus groups were taped and transcribed verbatim, and anonymised. The transcripts were analysed inductively, using framework analysis. Four focus groups were carried out with 32 undergraduate medical students naïve in portfolio use. Three themes relevant to portfolio introduction emerged. The first theme was the need for clear information and support for portfolio introduction, and anxieties about how this could be supported effectively. The second was that students had negative views about reflective learning and whether this could be taught and assessed, believing formal assessment could foster socially acceptable content. The third was that participants revealed little understanding of reflective learning and its potential benefits. Rather portfolios were seen as useful for concrete purposes (e.g., job applications) not intrinsic benefits. Undergraduate medical students without experience of portfolios are anxious about portfolio introduction. They require support in developing reflective learning skills. Care must be taken to ensure students do not see portfolios as merely yet another assessment hurdle.

  19. Portfolio Optimization and Mortgage Choice

    Directory of Open Access Journals (Sweden)

    Maj-Britt Nordfang

    2017-01-01

    Full Text Available This paper studies the optimal mortgage choice of an investor in a simple bond market with a stochastic interest rate and access to term life insurance. The study is based on advances in stochastic control theory, which provides analytical solutions to portfolio problems with a stochastic interest rate. We derive the optimal portfolio of a mortgagor in a simple framework and formulate stylized versions of mortgage products offered in the market today. This allows us to analyze the optimal investment strategy in terms of optimal mortgage choice. We conclude that certain extreme investors optimally choose either a traditional fixed rate mortgage or an adjustable rate mortgage, while investors with moderate risk aversion and income prefer a mix of the two. By matching specific investor characteristics to existing mortgage products, our study provides a better understanding of the complex and yet restricted mortgage choice faced by many household investors. In addition, the simple analytical framework enables a detailed analysis of how changes to market, income and preference parameters affect the optimal mortgage choice.

  20. Strategic innovation portfolio management

    Directory of Open Access Journals (Sweden)

    Stanković Ljiljana

    2015-01-01

    Full Text Available In knowledge-based economy, strategic innovation portfolio management becomes more and more important and critical factor of enterprise's success. Value creation for all the participants in value chain is more successful if it is based on efficient resource allocation and improvement of innovation performances. Numerous researches have shown that companies with best position on the market found their competitiveness on efficient development and exploitation of innovations. In decision making process, enterprise's management is constantly faced with challenge to allocate resources and capabilities as efficiently as possible, in both short and long term. In this paper authors present preliminary results of realized empirical research related to strategic innovation portfolio management in ten chosen enterprises in Serbia. The structure of the paper includes the following parts: theoretical background, explanation of research purpose and methodology, discussion of the results and concluding remarks, including limitations and directions for further research.

  1. Acreage portfolio management

    International Nuclear Information System (INIS)

    Schneider, G.M.

    1992-01-01

    This paper reports that the need for managing the acreage portfolio in the UK North Sea arises from fragmentation of holdings and complex field partnerships. The main concepts are building up the heartlands and balancing cashflow forecasts. This has generated a number of friendly win-win deals, motivated by differences in perception of values. The business process includes identifying, evaluating and negotiating deals. The Petroleum Economist plays a central role throughout this process, seeking value gaps and supporting negotiations. Variations in reserves estimates present a major source of value gaps between buyer and seller. Economists need to work closely with engineers and geologists. Portfolio management is an exciting and challenging task which broadens the traditional role of the Petroleum Economist

  2. On portfolio risk diversification

    Science.gov (United States)

    Takada, Hellinton H.; Stern, Julio M.

    2017-06-01

    The first portfolio risk diversification strategy was put into practice by the All Weather fund in 1996. The idea of risk diversification is related to the risk contribution of each available asset class or investment factor to the total portfolio risk. The maximum diversification or the risk parity allocation is achieved when the set of risk contributions is given by a uniform distribution. Meucci (2009) introduced the maximization of the Rényi entropy as part of a leverage constrained optimization problem to achieve such diversified risk contributions when dealing with uncorrelated investment factors. A generalization of the risk parity is the risk budgeting when there is a prior for the distribution of the risk contributions. Our contribution is the generalization of the existent optimization frameworks to be able to solve the risk budgeting problem. In addition, our framework does not possess any leverage constraint.

  3. Hvorfor anvende portfolio eksamen?

    DEFF Research Database (Denmark)

    Elley, Tina Ninka

    2015-01-01

    from the clinical part. The two topics are weighted according to the distribution of ECTS points between theory and clinic. We implemented the portfolio format in November 2012, and the evaluations from the students have shown that the format is good; the students get less stressed at the exam......In Denmark the Biomedical Laboratory Scientist programme lasts for 3½ years, divided into 14 modules of 10 weeks. Every module concludes with an exam, which can be very stressful for the students. A survey was made among the students, confirming this. How can we change some of the exams in order...... to minimize the students' stress level? Then the pedagogical considerations started – where and how to do this? The conclusion was to work with the portfolio format at module 6 and module 7 and make it the exam form, as it was possible to divide the expected learning outcome for the two modules into topics...

  4. Acreage portfolio management

    International Nuclear Information System (INIS)

    Schneider

    1992-01-01

    This paper reports that the need to manage U.K. North Sea acreage portfolios arises from fragmentation of holdings and complex partnerships. This management has generated friendly rationalization deals motivated by differences in perception of values and aimed at building up heartlands and balancing cash-flow forecasts. The business process includes identifying, evaluating, and negotiating deals. The economist plays a central role within the evaluation team and supports the negotiators

  5. Problems in mathematical analysis III integration

    CERN Document Server

    Kaczor, W J

    2003-01-01

    We learn by doing. We learn mathematics by doing problems. This is the third volume of Problems in Mathematical Analysis. The topic here is integration for real functions of one real variable. The first chapter is devoted to the Riemann and the Riemann-Stieltjes integrals. Chapter 2 deals with Lebesgue measure and integration. The authors include some famous, and some not so famous, integral inequalities related to Riemann integration. Many of the problems for Lebesgue integration concern convergence theorems and the interchange of limits and integrals. The book closes with a section on Fourier series, with a concentration on Fourier coefficients of functions from particular classes and on basic theorems for convergence of Fourier series. The book is primarily geared toward students in analysis, as a study aid, for problem-solving seminars, or for tutorials. It is also an excellent resource for instructors who wish to incorporate problems into their lectures. Solutions for the problems are provided in the boo...

  6. Navigating financial and supply reliability tradeoffs in regional drought management portfolios

    Science.gov (United States)

    Zeff, Harrison B.; Kasprzyk, Joseph R.; Herman, Jonathan D.; Reed, Patrick M.; Characklis, Gregory W.

    2014-06-01

    Rising development costs and growing concerns over environmental impacts have led many communities to explore more diversified water management strategies. These "portfolio"-style approaches integrate existing supply infrastructure with other options such as conservation measures or water transfers. Diversified water supply portfolios have been shown to reduce the capacity and costs required to meet demand, while also providing greater adaptability to changing hydrologic conditions. However, this additional flexibility can also cause unexpected reductions in revenue (from conservation) or increased costs (from transfers). The resulting financial instability can act as a substantial disincentive to utilities seeking to implement more innovative water management techniques. This study seeks to design portfolios that employ financial tools (e.g., contingency funds and index insurance) to reduce fluctuations in revenues and costs, allowing these strategies to achieve improved performance without sacrificing financial stability. This analysis is applied to the development of coordinated regional supply portfolios in the "Research Triangle" region of North Carolina, an area comprising four rapidly growing municipalities. The actions of each independent utility become interconnected when shared infrastructure is utilized to enable interutility transfers, requiring the evaluation of regional tradeoffs in up to five performance and financial objectives. Diversified strategies introduce significant tradeoffs between achieving reliability goals and introducing burdensome variability in annual revenues and/or costs. Financial mitigation tools can mitigate the impacts of this variability, allowing for an alternative suite of improved solutions. This analysis provides a general template for utilities seeking to navigate the tradeoffs associated with more flexible, portfolio-style management approaches.

  7. PORTFOLIO OPTIMIZATION ON CROATIAN CAPITAL MARKET

    Directory of Open Access Journals (Sweden)

    Sinisa Bogdan

    2013-12-01

    Full Text Available Purpose of this paper was to research portfolio optimization problem on Croatian capital market using Markowitz theory. Research systematically investigated the selection of securities, and defined the importance of using fundamental analysis when selecting the best combination of securities. Since fundamental analysis involves a large number of indicators, this paper selected key indicators that enable a complete and quick securities review on the market. This paper clarifies diversification effect and influence of the correlation coefficient on diversification. Two basic types of assets (stocks and cash funds have been chosen to build the optimal portfolio. Cash funds were selected because they represent a form of risk-free investment, while stocks were chosen because of the high level of return which they achieve. At the end of paper, optimal portfolio was calculated with an excellent yield of 1.82% and deviation of 5.77% on a monthly basis which corresponds to the minimum deviation of the selected stocks. Calculated optimal portfolio achieves better expected value than investing in stock index CROBEX, which for the same period achieves the expected result of -0.02%.

  8. Portfolios in Saudi medical colleges

    Science.gov (United States)

    Fida, Nadia M.; Shamim, Muhammad S.

    2016-01-01

    Over recent decades, the use of portfolios in medical education has evolved, and is being applied in undergraduate and postgraduate programs worldwide. Portfolios, as a learning process and method of documenting and assessing learning, is supported as a valuable tool by adult learning theories that stress the need for learners to be self-directed and to engage in experiential learning. Thoughtfully implemented, a portfolio provides learning experiences unequaled by any single learning tool. The credibility (validity) and dependability (reliability) of assessment through portfolios have been questioned owing to its subjective nature; however, methods to safeguard these features have been described in the literature. This paper discusses some of this literature, with particular attention to the role of portfolios in relation to self-reflective learning, provides an overview of current use of portfolios in undergraduate medical education in Saudi Arabia, and proposes research-based guidelines for its implementation and other similar contexts. PMID:26905344

  9. The Vehicle Integrated Performance Analysis Experience: Reconnecting With Technical Integration

    Science.gov (United States)

    McGhee, D. S.

    2006-01-01

    Very early in the Space Launch Initiative program, a small team of engineers at MSFC proposed a process for performing system-level assessments of a launch vehicle. Aimed primarily at providing insight and making NASA a smart buyer, the Vehicle Integrated Performance Analysis (VIPA) team was created. The difference between the VIPA effort and previous integration attempts is that VIPA a process using experienced people from various disciplines, which focuses them on a technically integrated assessment. The foundations of VIPA s process are described. The VIPA team also recognized the need to target early detailed analysis toward identifying significant systems issues. This process is driven by the T-model for technical integration. VIPA s approach to performing system-level technical integration is discussed in detail. The VIPA process significantly enhances the development and monitoring of realizable project requirements. VIPA s assessment validates the concept s stated performance, identifies significant issues either with the concept or the requirements, and then reintegrates these issues to determine impacts. This process is discussed along with a description of how it may be integrated into a program s insight and review process. The VIPA process has gained favor with both engineering and project organizations for being responsive and insightful

  10. EFFICIENCY OF CREDIT PORTFOLIO MANAGEMENT IN CONDITIONS OF ECONOMIC INSTABILITY

    Directory of Open Access Journals (Sweden)

    Koshel H.

    2018-01-01

    Full Text Available Introduction. The active development of integration processes causes the necessity of applying high-level approaches to management of the banking system, which is an essential part of the financial sector. Due to the importance of credit operations in the portfolio of banking assets, development of efficient and flexible credit management system is the basis for financial and market stability of banks. Purpose. Analyze the condition of the credit portfolio of banking institutions under the influence of economic processes and make conclusions and recommendations about the effectiveness of managing the bank’s credit portfolio and generalize ways of improving the structure and quality of the bank’s credit portfolio. Results. Over the last six years, the quality of the credit portfolio has become worse because of the bad debts growing and, as a result, decreasing in revenues. The calculated coefficient of management efficiency of a credit portfolio shows the dependence of this indicator on the value of risk and yield. In order to confirm the dependence and determine the degree of influence of these indicators on the efficiency of management of a loan portfolio, an economic-mathematical model was constructed on the example of both individual banks and the banking system as a whole. Detected dependence of factors is quite logical, therefore, the model can be recommended for practical use. Conclusion. Using this method of determining the management efficiency of a credit portfolio will allow the management of the bank to make reasonable decisions. It will allow the possibility of forming a more justified credit portfolio, taking into account not only the profitability, but also the real level of risk of credit operations.

  11. Project Portfolio Management Applications Testing

    OpenAIRE

    Paul POCATILU

    2006-01-01

    Many IT companies are running project simultaneously. In order to achieve the best results, they have to group to the project in portfolios, and to use specific software that helps to manage them. Project portfolio management applications have a high degree of complexity and they are very important for the companies that are using it. This paper focuses on some characteristics of the testing process for project portfolio management applications

  12. Project Portfolio Management Applications Testing

    Directory of Open Access Journals (Sweden)

    Paul POCATILU

    2006-01-01

    Full Text Available Many IT companies are running project simultaneously. In order to achieve the best results, they have to group to the project in portfolios, and to use specific software that helps to manage them. Project portfolio management applications have a high degree of complexity and they are very important for the companies that are using it. This paper focuses on some characteristics of the testing process for project portfolio management applications

  13. Portfolio insurance using traded options

    OpenAIRE

    Machado-Santos, Carlos

    2001-01-01

    Literature concerning the institutional use of options indicates that the main purpose of option trading is to provide investors with the opportunity to create return distributions previously unavailable, considering that options provide the means to manipulate portfolio returns. In such a context, this study intends to analyse the returns of insured portfolios generated by hedging strategies on underlying stock portfolios. Because dynamic hedging is too expensive, we have hedged the stock po...

  14. Integrated logistic support analysis system

    International Nuclear Information System (INIS)

    Carnicero Iniguez, E.J.; Garcia de la Sen, R.

    1993-01-01

    Integrating logic support into a system results in a large volume of information having to be managed which can only be achieved with the help of computer applications. Both past experience and growing needs in such tasks have led Emperesarios Agrupados to undertake an ambitious development project which is described in this paper. (author)

  15. Analysis of integrated energy systems

    International Nuclear Information System (INIS)

    Matsuhashi, Takaharu; Kaya, Yoichi; Komiyama, Hiroshi; Hayashi, Taketo; Yasukawa, Shigeru.

    1988-01-01

    World attention is now attracted to the concept of Novel Horizontally Integrated Energy System (NHIES). In NHIES, all fossil fuels are fist converted into CO and H 2 . Potential environmental contaminants such as sulfur are removed during this process. CO turbines are mainly used to generate electric power. Combustion is performed in pure oxygen produced through air separation, making it possible to completely prevent the formation of thermal NOx. Thus, NHIES would release very little amount of such substances that would contribute to acid rain. In this system, the intermediate energy sources of CO, H 2 and O 2 are integrated horizontally. They are combined appropriately to produce a specific form of final energy source. The integration of intermediate energy sources can provide a wide variety of final energy sources, allowing any type of fossil fuel to serve as an alternative to other types of fossil fuel. Another feature of NHIES is the positive use of nuclear fuel to reduce the formation of CO 2 . Studies are under way in Japan to develop a new concept of integrated energy system. These studies are especially aimed at decreased overall efficiency and introduction of new liquid fuels that are high in conversion efficiency. Considerations are made on the final form of energy source, robust control, acid fallout, and CO 2 reduction. (Nogami, K.)

  16. The regional electricity generation mix in Scotland: A portfolio selection approach incorporating marine technologies

    International Nuclear Information System (INIS)

    Allan, Grant; Eromenko, Igor; McGregor, Peter; Swales, Kim

    2011-01-01

    Standalone levelised cost assessments of electricity supply options miss an important contribution that renewable and non-fossil fuel technologies can make to the electricity portfolio: that of reducing the variability of electricity costs, and their potentially damaging impact upon economic activity. Portfolio theory applications to the electricity generation mix have shown that renewable technologies, their costs being largely uncorrelated with non-renewable technologies, can offer such benefits. We look at the existing Scottish generation mix and examine drivers of changes out to 2020. We assess recent scenarios for the Scottish generation mix in 2020 against mean-variance efficient portfolios of electricity-generating technologies. Each of the scenarios studied implies a portfolio cost of electricity that is between 22% and 38% higher than the portfolio cost of electricity in 2007. These scenarios prove to be mean-variance 'inefficient' in the sense that, for example, lower variance portfolios can be obtained without increasing portfolio costs, typically by expanding the share of renewables. As part of extensive sensitivity analysis, we find that Wave and Tidal technologies can contribute to lower risk electricity portfolios, while not increasing portfolio cost. - Research Highlights: → Portfolio analysis of scenarios for Scotland's electricity generating mix in 2020. → Reveals potential inefficiencies of selecting mixes based on levelised cost alone. → Portfolio risk-reducing contribution of Wave and Tidal technologies assessed.

  17. The regional electricity generation mix in Scotland: A portfolio selection approach incorporating marine technologies

    Energy Technology Data Exchange (ETDEWEB)

    Allan, Grant, E-mail: grant.j.allan@strath.ac.u [Fraser of Allander Institute, Department of Economics, University of Strathclyde, Sir William Duncan Building, 130 Rottenrow, Glasgow G4 0GE (United Kingdom); Eromenko, Igor; McGregor, Peter [Fraser of Allander Institute, Department of Economics, University of Strathclyde, Sir William Duncan Building, 130 Rottenrow, Glasgow G4 0GE (United Kingdom); Swales, Kim [Department of Economics, University of Strathclyde, Sir William Duncan Building, 130 Rottenrow, Glasgow G4 0GE (United Kingdom)

    2011-01-15

    Standalone levelised cost assessments of electricity supply options miss an important contribution that renewable and non-fossil fuel technologies can make to the electricity portfolio: that of reducing the variability of electricity costs, and their potentially damaging impact upon economic activity. Portfolio theory applications to the electricity generation mix have shown that renewable technologies, their costs being largely uncorrelated with non-renewable technologies, can offer such benefits. We look at the existing Scottish generation mix and examine drivers of changes out to 2020. We assess recent scenarios for the Scottish generation mix in 2020 against mean-variance efficient portfolios of electricity-generating technologies. Each of the scenarios studied implies a portfolio cost of electricity that is between 22% and 38% higher than the portfolio cost of electricity in 2007. These scenarios prove to be mean-variance 'inefficient' in the sense that, for example, lower variance portfolios can be obtained without increasing portfolio costs, typically by expanding the share of renewables. As part of extensive sensitivity analysis, we find that Wave and Tidal technologies can contribute to lower risk electricity portfolios, while not increasing portfolio cost. - Research Highlights: {yields} Portfolio analysis of scenarios for Scotland's electricity generating mix in 2020. {yields} Reveals potential inefficiencies of selecting mixes based on levelised cost alone. {yields} Portfolio risk-reducing contribution of Wave and Tidal technologies assessed.

  18. California-Wyoming Grid Integration Study: Phase 1 -- Economic Analysis

    Energy Technology Data Exchange (ETDEWEB)

    Corbus, D.; Hurlbut, D.; Schwabe, P.; Ibanez, E.; Milligan, M.; Brinkman, G.; Paduru, A.; Diakov, V.; Hand, M.

    2014-03-01

    This study presents a comparative analysis of two different renewable energy options for the California energy market between 2017 and 2020: 12,000 GWh per year from new California in-state renewable energy resources; and 12,000 GWh per year from Wyoming wind delivered to the California marketplace. Either option would add to the California resources already existing or under construction, theoretically providing the last measure of power needed to meet (or to slightly exceed) the state's 33% renewable portfolio standard. Both options have discretely measurable differences in transmission costs, capital costs (due to the enabling of different generation portfolios), capacity values, and production costs. The purpose of this study is to compare and contrast the two different options to provide additional insight for future planning.

  19. Financial Advice and Individual Investor Portfolio Performance

    NARCIS (Netherlands)

    Kramer, M.M.

    2012-01-01

    This paper investigates whether financial advisers add value to individual investors portfolio decisions by comparing portfolios of advised and self-directed (execution-only) Dutch individual investors. The results indicate significant differences in characteristics and portfolios between these

  20. Integrative Analysis of Omics Big Data.

    Science.gov (United States)

    Yu, Xiang-Tian; Zeng, Tao

    2018-01-01

    The diversity and huge omics data take biology and biomedicine research and application into a big data era, just like that popular in human society a decade ago. They are opening a new challenge from horizontal data ensemble (e.g., the similar types of data collected from different labs or companies) to vertical data ensemble (e.g., the different types of data collected for a group of person with match information), which requires the integrative analysis in biology and biomedicine and also asks for emergent development of data integration to address the great changes from previous population-guided to newly individual-guided investigations.Data integration is an effective concept to solve the complex problem or understand the complicate system. Several benchmark studies have revealed the heterogeneity and trade-off that existed in the analysis of omics data. Integrative analysis can combine and investigate many datasets in a cost-effective reproducible way. Current integration approaches on biological data have two modes: one is "bottom-up integration" mode with follow-up manual integration, and the other one is "top-down integration" mode with follow-up in silico integration.This paper will firstly summarize the combinatory analysis approaches to give candidate protocol on biological experiment design for effectively integrative study on genomics and then survey the data fusion approaches to give helpful instruction on computational model development for biological significance detection, which have also provided newly data resources and analysis tools to support the precision medicine dependent on the big biomedical data. Finally, the problems and future directions are highlighted for integrative analysis of omics big data.

  1. On Partial Defaults in Portfolio Credit Risk : A Poisson Mixture Model Approach

    OpenAIRE

    Weißbach, Rafael; von Lieres und Wilkau, Carsten

    2005-01-01

    Most credit portfolio models exclusively calculate the loss distribution for a portfolio of performing counterparts. Conservative default definitions cause considerable insecurity about the loss for a long time after the default. We present three approaches to account for defaulted counterparts in the calculation of the economic capital. Two of the approaches are based on the Poisson mixture model CreditRisk+ and derive a loss distribution for an integrated portfolio. The third method treats ...

  2. Containment integrity analysis under accidents

    International Nuclear Information System (INIS)

    Lin Chengge; Zhao Ruichang; Liu Zhitao

    2010-01-01

    Containment integrity analyses for current nuclear power plants (NPPs) mainly focus on the internal pressure caused by design basis accidents (DBAs). In addition to the analyses of containment pressure response caused by DBAs, the behavior of containment during severe accidents (SAs) are also evaluated for AP1000 NPP. Since the conservatism remains in the assumptions,boundary conditions and codes, margin of the results of containment integrity analyses may be overestimated. Along with the improvements of the knowledge to the phenomena and process of relevant accidents, the margin overrated can be appropriately reduced by using the best estimate codes combined with the uncertainty methods, which could be beneficial to the containment design and construction of large passive plants (LPP) in China. (authors)

  3. Integrative biological analysis for neuropsychopharmacology.

    Science.gov (United States)

    Emmett, Mark R; Kroes, Roger A; Moskal, Joseph R; Conrad, Charles A; Priebe, Waldemar; Laezza, Fernanda; Meyer-Baese, Anke; Nilsson, Carol L

    2014-01-01

    Although advances in psychotherapy have been made in recent years, drug discovery for brain diseases such as schizophrenia and mood disorders has stagnated. The need for new biomarkers and validated therapeutic targets in the field of neuropsychopharmacology is widely unmet. The brain is the most complex part of human anatomy from the standpoint of number and types of cells, their interconnections, and circuitry. To better meet patient needs, improved methods to approach brain studies by understanding functional networks that interact with the genome are being developed. The integrated biological approaches--proteomics, transcriptomics, metabolomics, and glycomics--have a strong record in several areas of biomedicine, including neurochemistry and neuro-oncology. Published applications of an integrated approach to projects of neurological, psychiatric, and pharmacological natures are still few but show promise to provide deep biological knowledge derived from cells, animal models, and clinical materials. Future studies that yield insights based on integrated analyses promise to deliver new therapeutic targets and biomarkers for personalized medicine.

  4. Assessing the Value of Information for Identifying Optimal Floodplain Management Portfolios

    Science.gov (United States)

    Read, L.; Bates, M.; Hui, R.; Lund, J. R.

    2014-12-01

    Floodplain management is a complex portfolio problem that can be analyzed from an integrated perspective incorporating traditionally structural and nonstructural options. One method to identify effective strategies for preparing, responding to, and recovering from floods is to optimize for a portfolio of temporary (emergency) and permanent floodplain management options. A risk-based optimization approach to this problem assigns probabilities to specific flood events and calculates the associated expected damages. This approach is currently limited by: (1) the assumption of perfect flood forecast information, i.e. implementing temporary management activities according to the actual flood event may differ from optimizing based on forecasted information and (2) the inability to assess system resilience across a range of possible future events (risk-centric approach). Resilience is defined here as the ability of a system to absorb and recover from a severe disturbance or extreme event. In our analysis, resilience is a system property that requires integration of physical, social, and information domains. This work employs a 3-stage linear program to identify the optimal mix of floodplain management options using conditional probabilities to represent perfect and imperfect flood stages (forecast vs. actual events). We assess the value of information in terms of minimizing damage costs for two theoretical cases - urban and rural systems. We use portfolio analysis to explore how the set of optimal management options differs depending on whether the goal is for the system to be risk-adverse to a specified event or resilient over a range of events.

  5. Integrating reliability analysis and design

    International Nuclear Information System (INIS)

    Rasmuson, D.M.

    1980-10-01

    This report describes the Interactive Reliability Analysis Project and demonstrates the advantages of using computer-aided design systems (CADS) in reliability analysis. Common cause failure problems require presentations of systems, analysis of fault trees, and evaluation of solutions to these. Results have to be communicated between the reliability analyst and the system designer. Using a computer-aided design system saves time and money in the analysis of design. Computer-aided design systems lend themselves to cable routing, valve and switch lists, pipe routing, and other component studies. At EG and G Idaho, Inc., the Applicon CADS is being applied to the study of water reactor safety systems

  6. Portfolio langagier en francais (Language Portfolios in French).

    Science.gov (United States)

    Laplante, Bernard; Christiansen, Helen

    2001-01-01

    Suggests that first-year college students learning French should create a language portfolio that contains documents that illustrate what they have learned in French, along with a brief statement of what linguistic skill the document demonstrates. The goal of the portfolio is to make students more aware of their own learning, their strengths, and…

  7. Random matrix theory filters and currency portfolio optimisation

    Science.gov (United States)

    Daly, J.; Crane, M.; Ruskin, H. J.

    2010-04-01

    Random matrix theory (RMT) filters have recently been shown to improve the optimisation of financial portfolios. This paper studies the effect of three RMT filters on realised portfolio risk, using bootstrap analysis and out-of-sample testing. We considered the case of a foreign exchange and commodity portfolio, weighted towards foreign exchange, and consisting of 39 assets. This was intended to test the limits of RMT filtering, which is more obviously applicable to portfolios with larger numbers of assets. We considered both equally and exponentially weighted covariance matrices, and observed that, despite the small number of assets involved, RMT filters reduced risk in a way that was consistent with a much larger S&P 500 portfolio. The exponential weightings indicated showed good consistency with the value suggested by Riskmetrics, in contrast to previous results involving stocks. This decay factor, along with the low number of past moves preferred in the filtered, equally weighted case, displayed a trend towards models which were reactive to recent market changes. On testing portfolios with fewer assets, RMT filtering provided less or no overall risk reduction. In particular, no long term out-of-sample risk reduction was observed for a portfolio consisting of 15 major currencies and commodities.

  8. Qualitative study of the impact of an authentic electronic portfolio in undergraduate medical education.

    Science.gov (United States)

    Belcher, Rosie; Jones, Anna; Smith, Laura-Jane; Vincent, Tim; Naidu, Sindhu Bhaarrati; Montgomery, Julia; Haq, Inam; Gill, Deborah

    2014-12-17

    Portfolios are increasingly used in undergraduate and postgraduate medical education. Four medical schools have collaborated with an established NHS electronic portfolio provider to develop and implement an authentic professional electronic portfolio for undergraduate students. We hypothesized that using an authentic portfolio would have significant advantages for students, particularly in familiarizing them with the tool many will continue to use for years after graduation. This paper describes the early evaluation of this undergraduate portfolio at two participating medical schools. To gather data, a questionnaire survey with extensive free text comments was used at School 1, and three focus groups were held at School 2. This paper reports thematic analysis of students' opinions expressed in the free text comments and focus groups. Five main themes, common across both schools were identified. These concerned the purpose, use and acceptability of the portfolio, advantages of and barriers to the use of the portfolio, and the impacts on both learning and professional identity. An authentic portfolio mitigated some of the negative aspects of using a portfolio, and had a positive effect on students' perception of themselves as becoming past of the profession. However, significant barriers to portfolio use remained, including a lack of understanding of the purpose of a portfolio and a perceived damaging effect on feedback.

  9. Applying the partitioned multiobjective risk method (PMRM) to portfolio selection.

    Science.gov (United States)

    Reyes Santos, Joost; Haimes, Yacov Y

    2004-06-01

    The analysis of risk-return tradeoffs and their practical applications to portfolio analysis paved the way for Modern Portfolio Theory (MPT), which won Harry Markowitz a 1992 Nobel Prize in Economics. A typical approach in measuring a portfolio's expected return is based on the historical returns of the assets included in a portfolio. On the other hand, portfolio risk is usually measured using volatility, which is derived from the historical variance-covariance relationships among the portfolio assets. This article focuses on assessing portfolio risk, with emphasis on extreme risks. To date, volatility is a major measure of risk owing to its simplicity and validity for relatively small asset price fluctuations. Volatility is a justified measure for stable market performance, but it is weak in addressing portfolio risk under aberrant market fluctuations. Extreme market crashes such as that on October 19, 1987 ("Black Monday") and catastrophic events such as the terrorist attack of September 11, 2001 that led to a four-day suspension of trading on the New York Stock Exchange (NYSE) are a few examples where measuring risk via volatility can lead to inaccurate predictions. Thus, there is a need for a more robust metric of risk. By invoking the principles of the extreme-risk-analysis method through the partitioned multiobjective risk method (PMRM), this article contributes to the modeling of extreme risks in portfolio performance. A measure of an extreme portfolio risk, denoted by f(4), is defined as the conditional expectation for a lower-tail region of the distribution of the possible portfolio returns. This article presents a multiobjective problem formulation consisting of optimizing expected return and f(4), whose solution is determined using Evolver-a software that implements a genetic algorithm. Under business-as-usual market scenarios, the results of the proposed PMRM portfolio selection model are found to be compatible with those of the volatility-based model

  10. Towards a TENCompetence ePortfolio

    Directory of Open Access Journals (Sweden)

    Adriana J. Berlanga

    2008-07-01

    Full Text Available This article argues that the TENCompetence ePortfolio definition should integrate rhetorical, pedagogical, social, and technical perspectives. The rhetorical perspective is needed to show the learner’s competences, achievements and history; the pedagogical perspective aims at supporting learner’s self-reflection, through the definition of competences mastered, review and creation of (new competence development plans, and assessment of competences; the social perspective aims at fostering interaction and social help support; and the technical perspective aims at supporting the other three perspectives. Guiding principles for the design of the TENCompetence ePortfolio are provided, and the aforementioned perspectives detailed.

  11. IT Portfolio Management

    DEFF Research Database (Denmark)

    Hansen, Lars Kristian; Kræmmergaard, Pernille

    2012-01-01

    As public organizations increasingly rely on IT-enabled development to provide faster cycle times and better services, IT Project Portfolio Management (IT PPM) has become a high priority issue. This research adopts engaged scholarship to investigate IT PPM practices within a large local government...... information about internal recourses, (4) Lack of operational goals to hold IT projects accountable, (5) No account of actual IT project costs. These results may be used to inform further research into IT PPM and to help managers improve IT PPM practices in public organizations in their effort of increase...

  12. Portfolios of quantum algorithms.

    Science.gov (United States)

    Maurer, S M; Hogg, T; Huberman, B A

    2001-12-17

    Quantum computation holds promise for the solution of many intractable problems. However, since many quantum algorithms are stochastic in nature they can find the solution of hard problems only probabilistically. Thus the efficiency of the algorithms has to be characterized by both the expected time to completion and the associated variance. In order to minimize both the running time and its uncertainty, we show that portfolios of quantum algorithms analogous to those of finance can outperform single algorithms when applied to the NP-complete problems such as 3-satisfiability.

  13. Reducing Transaction Costs for Energy Efficiency Investments and Analysis of Economic Risk Associated With Building Performance Uncertainties: Small Buildings and Small Portfolios Program

    Energy Technology Data Exchange (ETDEWEB)

    Langner, R.; Hendron, B.; Bonnema, E.

    2014-08-01

    The small buildings and small portfolios (SBSP) sector face a number of barriers that inhibit SBSP owners from adopting energy efficiency solutions. This pilot project focused on overcoming two of the largest barriers to financing energy efficiency in small buildings: disproportionately high transaction costs and unknown or unacceptable risk. Solutions to these barriers can often be at odds, because inexpensive turnkey solutions are often not sufficiently tailored to the unique circumstances of each building, reducing confidence that the expected energy savings will be achieved. To address these barriers, NREL worked with two innovative, forward-thinking lead partners, Michigan Saves and Energi, to develop technical solutions that provide a quick and easy process to encourage energy efficiency investments while managing risk. The pilot project was broken into two stages: the first stage focused on reducing transaction costs, and the second stage focused on reducing performance risk. In the first stage, NREL worked with the non-profit organization, Michigan Saves, to analyze the effects of 8 energy efficiency measures (EEMs) on 81 different baseline small office building models in Holland, Michigan (climate zone 5A). The results of this analysis (totaling over 30,000 cases) are summarized in a simple spreadsheet tool that enables users to easily sort through the results and find appropriate small office EEM packages that meet a particular energy savings threshold and are likely to be cost-effective.

  14. Æstetik og portfolio

    DEFF Research Database (Denmark)

    Hyldahl, Kirsten Kofod; Sams, Pernille; Egelund, Karen Stine

    2017-01-01

    Nærværende artikel præsenterer resultaterne af udviklingsprojektet ”Portfolio og æstetik” på pædagoguddannelsen i Hjørring. Projektet har til formål, gennem æstetisk formsprog, at stilladsere og fastholde de studerendes læreprocesser samt udvikle og implementere portfolio i studieaktiviteter på...

  15. Making an Impression: Portfolios as Instruments of Impression Management for Teachers in Early Childhood Education and Care Centres

    Science.gov (United States)

    Knauf, Helen

    2017-01-01

    The study presented here examines the contribution of portfolios to the communication between parents and early childhood education and care centres. Using content analysis techniques, 2104 portfolio entries are examined with a view to establishing what impression they are intended to create. While the actual purpose of portfolios emphasizes the…

  16. Integrative cluster analysis in bioinformatics

    CERN Document Server

    Abu-Jamous, Basel; Nandi, Asoke K

    2015-01-01

    Clustering techniques are increasingly being put to use in the analysis of high-throughput biological datasets. Novel computational techniques to analyse high throughput data in the form of sequences, gene and protein expressions, pathways, and images are becoming vital for understanding diseases and future drug discovery. This book details the complete pathway of cluster analysis, from the basics of molecular biology to the generation of biological knowledge. The book also presents the latest clustering methods and clustering validation, thereby offering the reader a comprehensive review o

  17. PSA Duration: Conquering the Prepayment Risk of Mortgage Portfolios

    OpenAIRE

    Boleslav Gulko

    1996-01-01

    Money managers have little control over the values of their individual holdings, but they have considerable control over the risk exposure of their portfolios. This article introduces new tools for the risk management of mortgage portfolios. We extend the traditional duration analysis to two dimensions, interest rates and mortgage prepayments, and develop independent hedging rules for the interest rate risk and the prepayment risk. In particular, we define the PSA duration as a formal measure...

  18. Integral data analysis for resonance parameters determination

    International Nuclear Information System (INIS)

    Larson, N.M.; Leal, L.C.; Derrien, H.

    1997-09-01

    Neutron time-of-flight experiments have long been used to determine resonance parameters. Those resonance parameters have then been used in calculations of integral quantities such as Maxwellian averages or resonance integrals, and results of those calculations in turn have been used as a criterion for acceptability of the resonance analysis. However, the calculations were inadequate because covariances on the parameter values were not included in the calculations. In this report an effort to correct for that deficiency is documented: (1) the R-matrix analysis code SAMMY has been modified to include integral quantities of importance, (2) directly within the resonance parameter analysis, and (3) to determine the best fit to both differential (microscopic) and integral (macroscopic) data simultaneously. This modification was implemented because it is expected to have an impact on the intermediate-energy range that is important for criticality safety applications

  19. An unbalanced portfolio.

    Science.gov (United States)

    Federsel, Hans-Jurgen

    2009-06-01

    An excellent demonstration of how meaningful and valuable conferences devoted to the topic of project and portfolio management in the pharmaceutical industry can be, was given at an event organized in Barcelona, September 2008. Thus, over this 2-day meeting the delegates were updated on the state of the art in this wide-reaching area from speakers representing an array of companies; from small, relatively new players, via mid-sized, to established large and big pharmas. One common theme that emerged was the importance of assessing the value of drug projects as correctly as possible, especially under the current financial climate and the many challenges facing the industry. Furthermore, experiences from constructing portfolios with the aim to minimize risk and maximize return on investment were shared alongside mathematical approaches to obtain the data required for this purpose and accounts of the pleasures and hardships working in a global context and in partnership constellations. Copyright 2009 Prous Science, S.A.U. or its licensors. All rights reserved.

  20. Regularizing portfolio optimization

    International Nuclear Information System (INIS)

    Still, Susanne; Kondor, Imre

    2010-01-01

    The optimization of large portfolios displays an inherent instability due to estimation error. This poses a fundamental problem, because solutions that are not stable under sample fluctuations may look optimal for a given sample, but are, in effect, very far from optimal with respect to the average risk. In this paper, we approach the problem from the point of view of statistical learning theory. The occurrence of the instability is intimately related to over-fitting, which can be avoided using known regularization methods. We show how regularized portfolio optimization with the expected shortfall as a risk measure is related to support vector regression. The budget constraint dictates a modification. We present the resulting optimization problem and discuss the solution. The L2 norm of the weight vector is used as a regularizer, which corresponds to a diversification 'pressure'. This means that diversification, besides counteracting downward fluctuations in some assets by upward fluctuations in others, is also crucial because it improves the stability of the solution. The approach we provide here allows for the simultaneous treatment of optimization and diversification in one framework that enables the investor to trade off between the two, depending on the size of the available dataset.

  1. Regularizing portfolio optimization

    Science.gov (United States)

    Still, Susanne; Kondor, Imre

    2010-07-01

    The optimization of large portfolios displays an inherent instability due to estimation error. This poses a fundamental problem, because solutions that are not stable under sample fluctuations may look optimal for a given sample, but are, in effect, very far from optimal with respect to the average risk. In this paper, we approach the problem from the point of view of statistical learning theory. The occurrence of the instability is intimately related to over-fitting, which can be avoided using known regularization methods. We show how regularized portfolio optimization with the expected shortfall as a risk measure is related to support vector regression. The budget constraint dictates a modification. We present the resulting optimization problem and discuss the solution. The L2 norm of the weight vector is used as a regularizer, which corresponds to a diversification 'pressure'. This means that diversification, besides counteracting downward fluctuations in some assets by upward fluctuations in others, is also crucial because it improves the stability of the solution. The approach we provide here allows for the simultaneous treatment of optimization and diversification in one framework that enables the investor to trade off between the two, depending on the size of the available dataset.

  2. Portfolio management: Finding growth opportunities in a restructured electricity marketplace. Final report

    International Nuclear Information System (INIS)

    Staley, J.; Patterson, A.; Gardner, T.

    1997-12-01

    Energy services companies are rapidly creating a wide array of new products and services for their customers. To penetrate the marketplace most effectively, however, these new offerings should be integrated into cohesive portfolios that meet the needs of key customer segments. This report explores the techniques of portfolio management and describes how this tool can help bring greater balance and focus to an energy provider's product and service portfolios. Portfolio management provides a process for initiating, overseeing, and exiting from diverse investments on the basis of not only the merits of each individual investment, but also the merits of those investments in combination. The principles of portfolio management can be applied to various types of investments, including those involving lines of business, new product initiatives, and project commitments. With the rapid transition to a more competitive environment, these types of market-oriented investments are receiving greater scrutiny in the energy services industry. Accordingly, portfolio management techniques are becoming increasingly important business tools. The project team considers three different categories of portfolio management within the context of the energy services industry. Passive portfolio management focuses on choosing the combination of products/services that will provide the most favorable trade-off of risk and return for a given risk tolerance. Balanced portfolio management provides a more aggressive set of techniques that look broadly at a company's multiple objectives and assist in deploying resources to achieve balance along multiple dimensions. Strategic portfolio management goes even further by helping to define a set of synergistic offerings that reinforce one another and the company's strategic direction. In this report the team also documents case studies of companies that profited from their portfolio management efforts and presents a project design for developing and

  3. Carbon Impact Analytics - How to measure the contribution of a portfolio to the energy and climate transition

    International Nuclear Information System (INIS)

    2015-01-01

    In a world transitioning to a low-carbon economy, it is crucial that investors and asset managers are equipped with strategies and tools to choose the financial assets most likely to thrive. Carbon Impact Analytics is an answer to this pressing yet unfulfilled need. This methodology was developed by Carbone 4 in collaboration with Mirova, Natixis Asset Management subsidiary dedicated to responsible investment. MAIF, a mutual insurance company, is also an early sponsor of the methodology. Carbon Impact Analytics (CIA) intends to measure and compare the contribution of financial assets and portfolios to the low-carbon economy. In this first version, the methodology covers corporate equities and bonds, with an international scope. This guide details the methodological principles of Carbon Impact Analytics. It is aimed at portfolio managers and asset owners interested in implementing Carbon Impact Analytics, and more broadly, to anyone seeking details on the methodology. Analysis of the carbon impact of a portfolio begins with an in-depth assessment of each underlying firm, followed by aggregation at the portfolio level. This allows for differentiation between companies in the same business sector, and enables recognition of companies' efforts in integrating climate and energy-related issues in their strategic decisions and reporting. Challenges regarding the low-carbon transition vary depending on the characteristics of each economic sector. Therefore, Carbon Impact Analytics differentiates 'high stakes' and 'low stakes' sectors, and provides specific insights for 'high stakes' sectors with tailored calculation principles for each sector. 'High stakes' sectors for which a detailed Carbon Impact analysis is performed are detailed. Aggregation at portfolio level eliminates emissions double-counting. Double-counting of GHG emissions arises when the same ton of GHG emissions is counted more than once within a portfolio due to the aggregation of companies' indirect

  4. Model to Estimate Monthly Time Horizons for Application of DEA in Selection of Stock Portfolio and for Maintenance of the Selected Portfolio

    Directory of Open Access Journals (Sweden)

    José Claudio Isaias

    2015-01-01

    Full Text Available In the selecting of stock portfolios, one type of analysis that has shown good results is Data Envelopment Analysis (DEA. It, however, has been shown to have gaps regarding its estimates of monthly time horizons of data collection for the selection of stock portfolios and of monthly time horizons for the maintenance of a selected portfolio. To better estimate these horizons, this study proposes a model of mathematical programming binary of minimization of square errors. This model is the paper’s main contribution. The model’s results are validated by simulating the estimated annual return indexes of a portfolio that uses both horizons estimated and of other portfolios that do not use these horizons. The simulation shows that portfolios with both horizons estimated have higher indexes, on average 6.99% per year. The hypothesis tests confirm the statistically significant superiority of the results of the proposed mathematical model’s indexes. The model’s indexes are also compared with portfolios that use just one of the horizons estimated; here the indexes of the dual-horizon portfolios outperform the single-horizon portfolios, though with a decrease in percentage of statistically significant superiority.

  5. Preliminary Integrated Safety Analysis Status Report

    International Nuclear Information System (INIS)

    Gwyn, D.

    2001-01-01

    This report provides the status of the potential Monitored Geologic Repository (MGR) Integrated Safety Analysis (EA) by identifying the initial work scope scheduled for completion during the ISA development period, the schedules associated with the tasks identified, safety analysis issues encountered, and a summary of accomplishments during the reporting period. This status covers the period from October 1, 2000 through March 30, 2001

  6. Are oil and gas stocks from the Australian market riskier than coal and uranium stocks? Dependence risk analysis and portfolio optimization

    International Nuclear Information System (INIS)

    Arreola Hernandez, Jose

    2014-01-01

    This article models the dependence risk and resource allocation characteristics of two 20-stock coal–uranium and oil–gas sector portfolios from the Australian market in the context of the global financial crisis of 2008–2009. The modeling framework implemented consists of pair vine copulas and, linear and nonlinear portfolio optimization methods with respect to five risk measures. The paper's objectives are to find out if the oil and gas stocks are riskier than the coal and uranium stocks, to identify the optimization method and risk measure that produce the best risk-return trade-off, to recognize the stocks in which the optimal weight allocations converge on average, and to acknowledge the vine copula model that best accounts for the overall dependence of the energy portfolios. The research findings indicate that the oil stocks have higher dependence risk than the coal, uranium and gas stocks in financial crisis periods. The higher risk of the oil stocks is confirmed by the larger concentration of symmetric and asymmetric dependence they have in the negative tail. The canonical vine (c-vine) copula model is observed to better capture the overall dependence of the energy portfolios. The combination of a pair c-vine copula and nonlinear portfolio optimization produces the highest return relative to risk. The optimal weight allocations converge on average in some stocks. - Highlights: • Vine copula dependence modeling of coal, uranium, oil and gas stocks • Oil stocks are riskier than coal, uranium and gas stocks in financial crisis periods. • The c-vine model better captures the overall dependence of the energy portfolios. • Vine copulas and nonlinear optimization combined produce the best results. • The optimal weight allocations converge on average in some stocks

  7. International Space Station Configuration Analysis and Integration

    Science.gov (United States)

    Anchondo, Rebekah

    2016-01-01

    Ambitious engineering projects, such as NASA's International Space Station (ISS), require dependable modeling, analysis, visualization, and robotics to ensure that complex mission strategies are carried out cost effectively, sustainably, and safely. Learn how Booz Allen Hamilton's Modeling, Analysis, Visualization, and Robotics Integration Center (MAVRIC) team performs engineering analysis of the ISS Configuration based primarily on the use of 3D CAD models. To support mission planning and execution, the team tracks the configuration of ISS and maintains configuration requirements to ensure operational goals are met. The MAVRIC team performs multi-disciplinary integration and trade studies to ensure future configurations meet stakeholder needs.

  8. Fuzzy portfolio optimization advances in hybrid multi-criteria methodologies

    CERN Document Server

    Gupta, Pankaj; Inuiguchi, Masahiro; Chandra, Suresh

    2014-01-01

    This monograph presents a comprehensive study of portfolio optimization, an important area of quantitative finance. Considering that the information available in financial markets is incomplete and that the markets are affected by vagueness and ambiguity, the monograph deals with fuzzy portfolio optimization models. At first, the book makes the reader familiar with basic concepts, including the classical mean–variance portfolio analysis. Then, it introduces advanced optimization techniques and applies them for the development of various multi-criteria portfolio optimization models in an uncertain environment. The models are developed considering both the financial and non-financial criteria of investment decision making, and the inputs from the investment experts. The utility of these models in practice is then demonstrated using numerical illustrations based on real-world data, which were collected from one of the premier stock exchanges in India. The book addresses both academics and professionals pursuin...

  9. Nonparametric correlation models for portfolio allocation

    DEFF Research Database (Denmark)

    Aslanidis, Nektarios; Casas, Isabel

    2013-01-01

    This article proposes time-varying nonparametric and semiparametric estimators of the conditional cross-correlation matrix in the context of portfolio allocation. Simulations results show that the nonparametric and semiparametric models are best in DGPs with substantial variability or structural ...... currencies. Results show the nonparametric model generally dominates the others when evaluating in-sample. However, the semiparametric model is best for out-of-sample analysis....

  10. Integrability of dynamical systems algebra and analysis

    CERN Document Server

    Zhang, Xiang

    2017-01-01

    This is the first book to systematically state the fundamental theory of integrability and its development of ordinary differential equations with emphasis on the Darboux theory of integrability and local integrability together with their applications. It summarizes the classical results of Darboux integrability and its modern development together with their related Darboux polynomials and their applications in the reduction of Liouville and elementary integrabilty and in the center—focus problem, the weakened Hilbert 16th problem on algebraic limit cycles and the global dynamical analysis of some realistic models in fields such as physics, mechanics and biology. Although it can be used as a textbook for graduate students in dynamical systems, it is intended as supplementary reading for graduate students from mathematics, physics, mechanics and engineering in courses related to the qualitative theory, bifurcation theory and the theory of integrability of dynamical systems.

  11. 12 CFR 347.108 - Portfolio investments.

    Science.gov (United States)

    2010-01-01

    ... 12 Banks and Banking 4 2010-01-01 2010-01-01 false Portfolio investments. 347.108 Section 347.108... INTERNATIONAL BANKING § 347.108 Portfolio investments. (a) Portfolio investments. If a bank, directly or indirectly, acquires or holds an equity interest in a foreign organization as a portfolio investment and the...

  12. Implementation of portfolio theory to the analysis of electricity generation in Mexico; Implementacion de la teoria del portafolio para el analisis de la generacion de energia electrica en Mexico

    Energy Technology Data Exchange (ETDEWEB)

    Esquivel E, J.; Ramirez S, J. R.; Palacios H, J. C., E-mail: jaime.esquivel@inin.gob.mx [ININ, Carretera Mexico-Toluca s/n, 52750 Ocoyoacac, Estado de Mexico (Mexico)

    2014-10-15

    As part of the activities of economic analysis to the National Energy Strategy 2013-2027 of Mexico has been developed a computational platform to support decision-making based on the risk and performance in obtaining the optimum combination of technologies involved in the electricity generation. To this end, they consider five technologies: combined cycle, thermal coal, nuclear, hydro and wind. Each technology has been analyzed independently based on the total cost of generation level (given in dl s/KWh or dl s/MWh), leaning on documents as the Poise 2012-2026 and COPAR 2013. Subsequently by portfolio theory proposed by Markowitz, that combination of technologies that provide a greater benefit in the electricity generation is determined. In this study we consider two base work areas on which the proposed portfolios are reflected. The conformation of work areas is derived from the National Energy Strategy 2013-2027, considering a scenario with fossil technologies (combined cycle, thermal coal and nuclear) and other, making greater emphasis on the use of renewable technologies (combined cycle, hydro and wind). Finally, four portfolios are presented, each one with different percentages of ownership of technology in electricity generation, verifying the risk and performance of each combination. Of the analyzed portfolios, one corresponds to the mix of technologies which are currently in the country. The remaining derive the percentage share of combined-cycle technology, by subtracting 10% of their contribution and distributing it in three ways: by increasing the 10% share of nuclear technology; increasing 10% contribution of thermal coal technology and finally, extending the 5% of the electricity generation of nuclear technology and 5% increase in the electricity generation by wind technology. (Author)

  13. Strategic Analysis of Technology Integration at Allstream

    OpenAIRE

    Brown, Jeff

    2011-01-01

    Innovation has been defined as the combination of invention and commercialization. Invention without commercialization is rarely, if ever, profitable. For the purposes of this paper the definition of innovation will be further expanded into the concept of technology integration. Successful technology integration not only includes new technology introduction, but also the operationalization of the new technology within each business unit of the enterprise. This paper conducts an analysis of Al...

  14. Wavelet evolutionary network for complex-constrained portfolio rebalancing

    Science.gov (United States)

    Suganya, N. C.; Vijayalakshmi Pai, G. A.

    2012-07-01

    Portfolio rebalancing problem deals with resetting the proportion of different assets in a portfolio with respect to changing market conditions. The constraints included in the portfolio rebalancing problem are basic, cardinality, bounding, class and proportional transaction cost. In this study, a new heuristic algorithm named wavelet evolutionary network (WEN) is proposed for the solution of complex-constrained portfolio rebalancing problem. Initially, the empirical covariance matrix, one of the key inputs to the problem, is estimated using the wavelet shrinkage denoising technique to obtain better optimal portfolios. Secondly, the complex cardinality constraint is eliminated using k-means cluster analysis. Finally, WEN strategy with logical procedures is employed to find the initial proportion of investment in portfolio of assets and also rebalance them after certain period. Experimental studies of WEN are undertaken on Bombay Stock Exchange, India (BSE200 index, period: July 2001-July 2006) and Tokyo Stock Exchange, Japan (Nikkei225 index, period: March 2002-March 2007) data sets. The result obtained using WEN is compared with the only existing counterpart named Hopfield evolutionary network (HEN) strategy and also verifies that WEN performs better than HEN. In addition, different performance metrics and data envelopment analysis are carried out to prove the robustness and efficiency of WEN over HEN strategy.

  15. Parametric Portfolio Selection: Evaluating and Comparing to Markowitz Portfolios

    Directory of Open Access Journals (Sweden)

    Marcelo C. Medeiros

    2014-10-01

    Full Text Available In this paper we exploit the parametric portfolio optimization in the Brazilian market. Our data consists of monthly returns of 306 Brazilian stocks in the period between 2001 and 2013. We tested the model both in and out of sample and compared the results with the value and equal weighted portfolios and with a Markowitz based portfolio. We performed statistical inference in the parametric optimization using bootstrap techniques in order to build the parameters empirical distributions. Our results showed that the parametric optimization is a very efficient technique out of sample. It consistently showed superior results when compared with the VW, EW and Markowitz portfolios even when transaction costs were included. Finally, we consider the parametric approach to be very flexible to the inclusion of constraints in weights, transaction costs and listing and delisting of stocks.

  16. [Reflective portfolio: a proposal for teaching and learning geared on competencies].

    Science.gov (United States)

    Cotta, Rosângela Minardi Mitre; da Costa, Glauce Dias; Mendonça, Erica Toledo

    2013-06-01

    This article seeks to analyze the experience of collective construction of portfolios as a teaching-learning method in the discipline of Health Policy, identifying the competencies developed by students. Qualitative research, whose collection and data processing were conducted by means of documental and thematic analysis of 34 portfolios. The "Learning to be" and "Learning to live and work together" competencies were considered according to the proposals of the UNESCO report for Education. The training of critical-reflexive individuals, provided by the portfolio, was particularly observed when students reported the transformation of the negative views that they had about the health care system - an inefficient and precarious policy - to a positive vision - policy which deals with the principles of equity, integrity and universality. This process of critical transformation is the result of the practice and use of communication skills, information management (search, selection, analysis and evaluation of information), leadership, cooperation and human relationships (teamwork, ethics and recognition of diversity), and personal competencies (time management, responsibility and planning), namely important skills in the training of professionals committed to the national health policy.

  17. Portfolio i Praksis

    DEFF Research Database (Denmark)

    Saltofte, Margit; Krill, Cecilia

    . Præsentationsfolien fokuserer på at præsentere et færdigt produkt eller resultat, mens arbejdsportfolien har fokus på proces, refleksion og læring. Til denne forskel knytter sig desuden helt naturligt en sondring imellem det delte og det private. Hvor præsentationsportfolio per definition er åben og har en modtager i...... sigte, er arbejdsportfolien i udgangspunktet lukket og privat. Det vil sige at man selv udvælger, hvad der skal ses af fx vejleder eller medstuderende – og hvad, der skal forblive privat. Portfolio i Praksis tilbyder desuden en række håndgribelige øvelser, der kan bruges som hjælp til at understøtte det...

  18. IT Portfolio Management

    DEFF Research Database (Denmark)

    Hansen, Lars Kristian; Kræmmergaard, Pernille

    2012-01-01

    information about internal recourses, (4) Lack of operational goals to hold IT projects accountable, (5) No account of actual IT project costs. These results may be used to inform further research into IT PPM and to help managers improve IT PPM practices in public organizations in their effort of increase......As public organizations increasingly rely on IT-enabled development to provide faster cycle times and better services, IT Project Portfolio Management (IT PPM) has become a high priority issue. This research adopts engaged scholarship to investigate IT PPM practices within a large local government...... on the theory’s distinction between different modes of control five problems in control is identified: (1) weak accountability processes between the political and the administrative level, (2) weak accountability processes between director level and the IT executives, (3) IT projects established on incomplete...

  19. Methods and Models of Market Risk Stress-Testing of the Portfolio of Financial Instruments

    Directory of Open Access Journals (Sweden)

    Alexander M. Karminsky

    2015-01-01

    Full Text Available Amid instability of financial markets and macroeconomic situation the necessity of improving bank risk-management instrument arises. New economic reality defines the need for searching for more advanced approaches of estimating banks vulnerability to exceptional, but plausible events. Stress-testing belongs to such instruments. The paper reviews and compares the models of market risk stress-testing of the portfolio of different financial instruments. These days the topic of the paper is highly acute due to the fact that now stress-testing is becoming an integral part of anticrisis risk-management amid macroeconomic instability and appearance of new risks together with close interest to the problem of risk-aggregation. The paper outlines the notion of stress-testing and gives coverage of goals, functions of stress-tests and main criteria for market risk stress-testing classification. The paper also stresses special aspects of scenario analysis. Novelty of the research is explained by elaborating the programme of aggregated complex multifactor stress-testing of the portfolio risk based on scenario analysis. The paper highlights modern Russian and foreign models of stress-testing both on solo-basis and complex. The paper lays emphasis on the results of stress-testing and revaluations of positions for all three complex models: methodology of the Central Bank of stress-testing portfolio risk, model relying on correlations analysis and copula model. The models of stress-testing on solo-basis are different for each financial instrument. Parametric StressVaR model is applicable to shares and options stress-testing;model based on "Grek" indicators is used for options; for euroobligation regional factor model is used. Finally some theoretical recommendations about managing market risk of the portfolio are given.

  20. Analysis Method for Integrating Components of Product

    Energy Technology Data Exchange (ETDEWEB)

    Choi, Jun Ho [Inzest Co. Ltd, Seoul (Korea, Republic of); Lee, Kun Sang [Kookmin Univ., Seoul (Korea, Republic of)

    2017-04-15

    This paper presents some of the methods used to incorporate the parts constituting a product. A new relation function concept and its structure are introduced to analyze the relationships of component parts. This relation function has three types of information, which can be used to establish a relation function structure. The relation function structure of the analysis criteria was established to analyze and present the data. The priority components determined by the analysis criteria can be integrated. The analysis criteria were divided based on their number and orientation, as well as their direct or indirect characteristic feature. This paper presents a design algorithm for component integration. This algorithm was applied to actual products, and the components inside the product were integrated. Therefore, the proposed algorithm was used to conduct research to improve the brake discs for bicycles. As a result, an improved product similar to the related function structure was actually created.

  1. Analysis Method for Integrating Components of Product

    International Nuclear Information System (INIS)

    Choi, Jun Ho; Lee, Kun Sang

    2017-01-01

    This paper presents some of the methods used to incorporate the parts constituting a product. A new relation function concept and its structure are introduced to analyze the relationships of component parts. This relation function has three types of information, which can be used to establish a relation function structure. The relation function structure of the analysis criteria was established to analyze and present the data. The priority components determined by the analysis criteria can be integrated. The analysis criteria were divided based on their number and orientation, as well as their direct or indirect characteristic feature. This paper presents a design algorithm for component integration. This algorithm was applied to actual products, and the components inside the product were integrated. Therefore, the proposed algorithm was used to conduct research to improve the brake discs for bicycles. As a result, an improved product similar to the related function structure was actually created.

  2. AREVA's nuclear reactors portfolio

    International Nuclear Information System (INIS)

    Marincic, A.

    2009-01-01

    A reasonable assumption for the estimated new build market for the next 25 years is over 340 GWe net. The number of prospect countries is growing almost each day. To address this new build market, AREVA is developing a comprehensive portfolio of reactors intended to meet a wide range of power requirements and of technology choices. The EPR reactor is the flagship of the fleet. Intended for large power requirements, the four first EPRs are being built in Finland, France and China. Other countries and customers are in view, citing just two examples: the Usa where the U.S. EPR has been selected as the technology of choice by several U.S utilities; and the United Kingdom where the Generic Design Acceptance process of the EPR design submitted by AREVA and EDF is well under way, and where there is a strong will to have a plant on line in 2017. For medium power ranges, the AREVA portfolio includes a boiling water reactor and a pressurized water reactor which both offer all of the advantages of an advanced plant design, with excellent safety performance and competitive power generation cost: -) KERENA (1250+ MWe), developed in collaboration with several European utilities, and in particular with Eon; -) ATMEA 1 (1100+ MWe), a 3-loop evolutionary PWR which is being developed by AREVA and Mitsubishi. AREVA is also preparing the future and is deeply involved into Gen IV concepts. It has developed the ANTARES modular HTR reactor (pre-conceptual design completed) and is building upon its vast Sodium Fast Reactor experience to take part into the development of the next prototype. (author)

  3. Application of Performance Ratios in Portfolio Optimization

    Directory of Open Access Journals (Sweden)

    Aleš Kresta

    2015-01-01

    Full Text Available The cornerstone of modern portfolio theory was established by pioneer work of Harry Markowitz. Based on his mean-variance framework, Sharpe formulated his well-known Sharpe ratio aiming to measure the performance of mutual funds. The contemporary development in computer’s computational power allowed to apply more complex performance ratios, which take into account also higher moments of return probability distribution. Although these ratios were proposed to help the investors to improve the results of portfolio optimization, we empirically demonstrated in our paper that this may not necessarily be true. On the historical dataset of DJIA components we empirically showed that both Sharpe ratio and MAD ratio outperformed Rachev ratio. However, for Rachev ratio we assumed only one level of parameters value. Different set-ups of parameters may provide different results and thus further analysis is certainly required.

  4. An integrated acquisition, display, and analysis system

    International Nuclear Information System (INIS)

    Ahmad, T.; Huckins, R.J.

    1987-01-01

    The design goal of the ND9900/Genuie was to integrate a high performance data acquisition and display subsystem with a state-of-the-art 32-bit supermicrocomputer. This was achieved by integrating a Digital Equipment Corporation MicroVAX II CPU board with acquisition and display controllers via the Q-bus. The result is a tightly coupled processing and analysis system for Pulse Height Analysis and other applications. The system architecture supports distributed processing, so that acquisition and display functions are semi-autonomous, making the VAX concurrently available for applications programs

  5. A University-Wide ePortfolio Initiative at Federation University Australia: Software Analysis, Test-to-Production, and Evaluation Phases

    Science.gov (United States)

    Hains-Wesson, Rachael; Wakeling, Lara; Aldred, Peter

    2014-01-01

    This paper describes an ePortfolio implementation strategy at Federation University Australia, Victoria (formerly the University of Ballarat). The authors combined a personal and practical viewpoint to elicit pitfalls, challenges, and recommendations for improvement. The paper is divided into three main areas in order to outline the experiments…

  6. Alternate Assessment Use with Students Who Are Deaf or Hard of Hearing: An Exploratory Mixed-Methods Analysis of Portfolio, Checklists, and Out-of-Level Test Formats

    Science.gov (United States)

    Cawthon, Stephanie W.; Wurtz, Keith A.

    2009-01-01

    The purpose of this paper is to present findings on alternate assessments for students who are deaf or hard of hearing (SDHH). Drawn from the results of the "Second National Survey of Assessments and Accommodations for Students Who Are Deaf or Hard of Hearing," this study investigated three alternate assessment formats: portfolio, checklists, and…

  7. The Dirichlet Portfolio Model: Uncovering the Hidden Composition of Hedge Fund Investments

    OpenAIRE

    Korsos, Laszlo F.

    2013-01-01

    Hedge funds have long been viewed as a veritable "black box" of investing since outsiders may never view the exact composition of portfolio holdings. Therefore, the ability to estimate an informative set of asset weights is highly desirable for analysis. We present a compositional state space model for estimation of an investment portfolio's unobserved asset allocation weightings on a set of candidate assets when the only observed information is the time series of portfolio returns and the ca...

  8. Evaluation of the probabilistic safety assessment portfolio for NSD. Plan of work

    International Nuclear Information System (INIS)

    Gould, J.

    1999-01-01

    The aim is to use the research portfolio evaluation protocol developed by HSL to evaluate the Probabilistic Safety Assessment (PSA) portfolio, both to draw conclusions about the PSA portfolio and as a pilot study to show the suitability of the evaluation protocol. The objectives of the work are: (1) To collect sufficient information to carry out a preliminary review of the portfolio; (2) o produce a plan of work detailing the time and costs to carry out a full evaluation of the PSA portfolio; (3) to evaluate the PSA portfolio of research; (4) to produce a report of the evaluation of the PSA portfolio; (5) if necessary, to make changes to the methodology in light of the experience gained in the evaluation of the PSA research portfolio. This report completes objectives 1 and 2. It details the plan of work for the evaluation of the PSA research portfolio. The plan has shown that the evaluation of the PSA research portfolio has many difficulties to overcome. It is suitable as a pilot study to show the suitability of the portfolio evaluation protocol and will provide valuable information that can be used to improve it. The evaluation of the PSA portfolio will require a considerable amount of time and effort to complete. The task analysis has shown it to be of the order of Pound Sterling 25k and to take two months to complete after this preliminary data collection. The plan to evaluate the PSA research portfolio detailed in this report should be carried out and the lessons learned by carrying out this pilot study should be used to improve the evaluation protocol

  9. 78 FR 21045 - Confirmation, Portfolio Reconciliation, Portfolio Compression, and Swap Trading Relationship...

    Science.gov (United States)

    2013-04-09

    ... COMMODITY FUTURES TRADING COMMISSION 17 CFR Part 23 RIN 3038-AC96 Confirmation, Portfolio Reconciliation, Portfolio Compression, and Swap Trading Relationship Documentation Requirements for Swap Dealers... CFTC published final rules setting forth requirements for swap confirmation, portfolio reconciliation...

  10. Optimal Portfolios in Wishart Models and Effects of Discrete Rebalancing on Portfolio Distribution and Strategy Selection

    OpenAIRE

    Li, Zejing

    2012-01-01

    This dissertation is mainly devoted to the research of two problems - the continuous-time portfolio optimization in different Wishart models and the effects of discrete rebalancing on portfolio wealth distribution and optimal portfolio strategy.

  11. Teacher Electronic Portfolio and its Relation to EFL Student Teacher Performance and Attitude

    Directory of Open Access Journals (Sweden)

    Areej T Alshawi

    2017-01-01

    Full Text Available E-portfolio is a promising approach to develop teachers into reflective practitioners who show that they can adapt to new technologies, new criteria, and new environments. The current research explored the quality of EFL student teachers’ e-portfolios and their attitudes towards using them. The research was conducted on 30 EFL female student teachers at Princess Noura bint Abdulrahman University, Saudi Arabia. The participants were engaging in practical training at schools and reflecting their skills and experiences in their e-portfolios. This research posed further questions about the relationships between the quality of EFL student teachers’ e-portfolios, their attitudes towards using them and their teaching performance. In order to explore the possible answers, the participants’ teaching performance were observed, their e-portfolios were evaluated by a rubric, and a 24-item questionnaire was administered to them. The results proved high proficiency level of the EFL student teachers’ e-portfolios and positive attitudes towards using e-portfolios among EFL student teachers. Furthermore, the results denoted a statistically significant positive relationship between the quality of EFL student teachers’ e-portfolio and their teaching performance. The results of this study may encourage policy makers to integrate the idea of e-portfolio and reflection as an effective component in teacher education and development.

  12. Abel integral equations analysis and applications

    CERN Document Server

    Gorenflo, Rudolf

    1991-01-01

    In many fields of application of mathematics, progress is crucially dependent on the good flow of information between (i) theoretical mathematicians looking for applications, (ii) mathematicians working in applications in need of theory, and (iii) scientists and engineers applying mathematical models and methods. The intention of this book is to stimulate this flow of information. In the first three chapters (accessible to third year students of mathematics and physics and to mathematically interested engineers) applications of Abel integral equations are surveyed broadly including determination of potentials, stereology, seismic travel times, spectroscopy, optical fibres. In subsequent chapters (requiring some background in functional analysis) mapping properties of Abel integral operators and their relation to other integral transforms in various function spaces are investi- gated, questions of existence and uniqueness of solutions of linear and nonlinear Abel integral equations are treated, and for equatio...

  13. Robust Portfolio Optimization Using Pseudodistances.

    Science.gov (United States)

    Toma, Aida; Leoni-Aubin, Samuela

    2015-01-01

    The presence of outliers in financial asset returns is a frequently occurring phenomenon which may lead to unreliable mean-variance optimized portfolios. This fact is due to the unbounded influence that outliers can have on the mean returns and covariance estimators that are inputs in the optimization procedure. In this paper we present robust estimators of mean and covariance matrix obtained by minimizing an empirical version of a pseudodistance between the assumed model and the true model underlying the data. We prove and discuss theoretical properties of these estimators, such as affine equivariance, B-robustness, asymptotic normality and asymptotic relative efficiency. These estimators can be easily used in place of the classical estimators, thereby providing robust optimized portfolios. A Monte Carlo simulation study and applications to real data show the advantages of the proposed approach. We study both in-sample and out-of-sample performance of the proposed robust portfolios comparing them with some other portfolios known in literature.

  14. Application of Markowitz Portfolio Theory by Building Optimal Portfolio on the US Stock Market

    OpenAIRE

    Širůček, Martin; Křen, Lukáš

    2015-01-01

    ŠIRŮČEK MARTIN, KŘEN LUKÁŠ. 2015. Application of Markowitz Portfolio Theory by Building Optimal Portfolio on the US Stock Market. Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 63(4): 1375–1386. This paper is focused on building investment portfolios by using the Markowitz Portfolio Theory (MPT). Derivation based on the Capital Asset Pricing Model (CAPM) is used to calculate the weights of individual securities in portfolios. The calculated portfolios include a po...

  15. Information Acquisition and Portfolio Performance

    OpenAIRE

    Guiso, Luigi; Jappelli, Tullio

    2006-01-01

    Rational investors perceive correctly the value of financial information. Investment in information is therefore rewarded with a higher Sharpe ratio. Overconfident investors overstate the quality of their own information, and thus attain a lower Sharpe ratio. We contrast the implications of the two models using a unique survey of customers of an Italian leading bank with portfolio data and measures of financial information. We find that the portfolio Sharpe ratio is negatively associated with...

  16. Economic analysis of biomass power generation schemes under renewable energy initiative with Renewable Portfolio Standards (RPS) in Korea.

    Science.gov (United States)

    Moon, Ji-Hong; Lee, Jeung-Woo; Lee, Uen-Do

    2011-10-01

    An economic analysis of biomass power generation was conducted. Two key technologies--direct combustion with a steam turbine and gasification with a syngas engine--were mainly examined. In view of the present domestic biomass infrastructure of Korea, a small and distributed power generation system ranging from 0.5 to 5 MW(e) was considered. It was found that gasification with a syngas engine becomes more economically feasible as the plant size decreases. Changes in the economic feasibilities with and without RPS or heat sales were also investigated. A sensitivity analysis of each system was conducted for representative parameters. Regarding the cost of electricity generation, electrical efficiency and fuel cost significantly affect both direct combustion and gasification systems. Regarding the internal rate of return (IRR), the heat sales price becomes important for obtaining a higher IRR, followed by power generation capacity and electrical efficiency. Copyright © 2011 Elsevier Ltd. All rights reserved.

  17. Validity and reliability of portfolio assessment of competency in a baccalaureate dental hygiene program

    Science.gov (United States)

    Gadbury-Amyot, Cynthia C.

    This study examined validity and reliability of portfolio assessment using Messick's (1996, 1995) unified framework of construct validity. Theoretical and empirical evidence was sought for six aspects of construct validity. The sample included twenty student portfolios. Each portfolio were evaluated by seven faculty raters using a primary trait analysis scoring rubric. There was a significant relationship (r = .81--.95; p Dental Hygiene Board Examination (r = .60; p Dental Testing Service examination was both weak and nonsignificant (r = .19; p > .05). An open-ended survey was used to elicit student feedback on portfolio development. A majority of the students (76%) perceived value in the development of programmatic portfolios. In conclusion, the pattern of findings from this study suggest that portfolios can serve as a valid and reliable measure for assessing student competency.

  18. The returns and risks of investment portfolio in a financial market

    Science.gov (United States)

    Li, Jiang-Cheng; Mei, Dong-Cheng

    2014-07-01

    The returns and risks of investment portfolio in a financial system was investigated by constructing a theoretical model based on the Heston model. After the theoretical model and analysis of portfolio were calculated and analyzed, we find the following: (i) The statistical properties (i.e., the probability distribution, the variance and loss rate of equity portfolio return) between simulation results of the theoretical model and the real financial data obtained from Dow Jones Industrial Average are in good agreement; (ii) The maximum dispersion of the investment portfolio is associated with the maximum stability of the equity portfolio return and minimal investment risks; (iii) An increase of the investment period and a worst investment period are associated with a decrease of stability of the equity portfolio return and a maximum investment risk, respectively.

  19. Nonlinear structural analysis using integrated force method

    Indian Academy of Sciences (India)

    A new formulation termed the Integrated Force Method (IFM) was proposed by Patnaik ... nated ``Structure (nY m)'' where (nY m) are the force and displacement degrees of ..... Patnaik S N, Yadagiri S 1976 Frequency analysis of structures.

  20. Estimation of the cost-effectiveness of HIV prevention portfolios for people who inject drugs in the United States: A model-based analysis.

    Directory of Open Access Journals (Sweden)

    Cora L Bernard

    2017-05-01

    Full Text Available The risks of HIV transmission associated with the opioid epidemic make cost-effective programs for people who inject drugs (PWID a public health priority. Some of these programs have benefits beyond prevention of HIV-a critical consideration given that injection drug use is increasing across most United States demographic groups. To identify high-value HIV prevention program portfolios for US PWID, we consider combinations of four interventions with demonstrated efficacy: opioid agonist therapy (OAT, needle and syringe programs (NSPs, HIV testing and treatment (Test & Treat, and oral HIV pre-exposure prophylaxis (PrEP.We adapted an empirically calibrated dynamic compartmental model and used it to assess the discounted costs (in 2015 US dollars, health outcomes (HIV infections averted, change in HIV prevalence, and discounted quality-adjusted life years [QALYs], and incremental cost-effectiveness ratios (ICERs of the four prevention programs, considered singly and in combination over a 20-y time horizon. We obtained epidemiologic, economic, and health utility parameter estimates from the literature, previously published models, and expert opinion. We estimate that expansions of OAT, NSPs, and Test & Treat implemented singly up to 50% coverage levels can be cost-effective relative to the next highest coverage level (low, medium, and high at 40%, 45%, and 50%, respectively and that OAT, which we assume to have immediate and direct health benefits for the individual, has the potential to be the highest value investment, even under scenarios where it prevents fewer infections than other programs. Although a model-based analysis can provide only estimates of health outcomes, we project that, over 20 y, 50% coverage with OAT could avert up to 22,000 (95% CI: 5,200, 46,000 infections and cost US$18,000 (95% CI: US$14,000, US$24,000 per QALY gained, 50% NSP coverage could avert up to 35,000 (95% CI: 8,900, 43,000 infections and cost US$25,000 (95% CI: US

  1. Informed public preferences for electricity portfolios with CCS and other low-carbon technologies.

    Science.gov (United States)

    Fleishman, Lauren A; De Bruin, Wändi Bruine; Morgan, M Granger

    2010-09-01

    Public perceptions of carbon capture and sequestration (CCS) and other low-carbon electricity-generating technologies may affect the feasibility of their widespread deployment. We asked a diverse sample of 60 participants recruited from community groups in Pittsburgh, Pennsylvania to rank 10 technologies (e.g., coal with CCS, natural gas, nuclear, various renewables, and energy efficiency), and seven realistic low-carbon portfolios composed of these technologies, after receiving comprehensive and carefully balanced materials that explained the costs and benefits of each technology. Rankings were obtained in small group settings as well as individually before and after the group discussions. The ranking exercise asked participants to assume that the U.S. Congress had mandated a reduction in carbon dioxide emissions from power plants to be built in the future. Overall, rankings suggest that participants favored energy efficiency, followed by nuclear power, integrated gasification combined-cycle coal with CCS and wind. The most preferred portfolio also included these technologies. We find that these informed members of the general public preferred diverse portfolios that contained CCS and nuclear over alternatives once they fully understood the benefits, cost, and limitations of each. The materials and approach developed for this study may also have value in educating members of the general public about the challenges of achieving a low-carbon energy future. © 2010 Society for Risk Analysis.

  2. Portfolio Value at Risk Estimate for Crude Oil Markets: A Multivariate Wavelet Denoising Approach

    Directory of Open Access Journals (Sweden)

    Kin Keung Lai

    2012-04-01

    Full Text Available In the increasingly globalized economy these days, the major crude oil markets worldwide are seeing higher level of integration, which results in higher level of dependency and transmission of risks among different markets. Thus the risk of the typical multi-asset crude oil portfolio is influenced by dynamic correlation among different assets, which has both normal and transient behaviors. This paper proposes a novel multivariate wavelet denoising based approach for estimating Portfolio Value at Risk (PVaR. The multivariate wavelet analysis is introduced to analyze the multi-scale behaviors of the correlation among different markets and the portfolio volatility behavior in the higher dimensional time scale domain. The heterogeneous data and noise behavior are addressed in the proposed multi-scale denoising based PVaR estimation algorithm, which also incorporatesthe mainstream time series to address other well known data features such as autocorrelation and volatility clustering. Empirical studies suggest that the proposed algorithm outperforms the benchmark ExponentialWeighted Moving Average (EWMA and DCC-GARCH model, in terms of conventional performance evaluation criteria for the model reliability.

  3. Exploring International Investment through a Classroom Portfolio Simulation Project

    Science.gov (United States)

    Chen, Xiaoying; Yur-Austin, Jasmine

    2013-01-01

    A rapid integration of financial markets has prevailed during the last three decades. Investors are able to diversify investment beyond national markets to mitigate return volatility of a "pure domestic portfolio." This article discusses a simulation project through which students learn the role of international investment by managing…

  4. Portfolio assessment during medical internships: How to obtain a reliable and feasible assessment procedure?

    Science.gov (United States)

    Michels, Nele R M; Driessen, Erik W; Muijtjens, Arno M M; Van Gaal, Luc F; Bossaert, Leo L; De Winter, Benedicte Y

    2009-12-01

    A portfolio is used to mentor and assess students' clinical performance at the workplace. However, students and raters often perceive the portfolio as a time-consuming instrument. In this study, we investigated whether assessment during medical internship by a portfolio can combine reliability and feasibility. The domain-oriented reliability of 61 double-rated portfolios was measured, using a generalisability analysis with portfolio tasks and raters as sources of variation in measuring the performance of a student. We obtained reliability (Phi coefficient) of 0.87 with this internship portfolio containing 15 double-rated tasks. The generalisability analysis showed that an acceptable level of reliability (Phi = 0.80) was maintained when the amount of portfolio tasks was decreased to 13 or 9 using one and two raters, respectively. Our study shows that a portfolio can be a reliable method for the assessment of workplace learning. The possibility of reducing the amount of tasks or raters while maintaining a sufficient level of reliability suggests an increase in feasibility of portfolio use for both students and raters.

  5. Foreign portfolio capital flows and stock returns: a study of Brazilian listed firms

    Directory of Open Access Journals (Sweden)

    Tiago Rodrigues Loncan

    2015-12-01

    Full Text Available Abstract This study analyzed the effect of foreign portfolio capital flows on stock returns of Brazilian listed firms through a 6-factors APT model, in which an additional risk factor for foreign portfolio capital flows was included. First, an aggregate analysis was conducted. The partial effect of foreign portfolio capital flows on the IBOVESPA index’s returns was statistically significant and positive. Next, a disaggregate analysis was also implemented, in which portfolios of stocks were sorted by sector of economic activity, level of risk and level of corporate governance. Foreign portfolio capitals caused increases in returns especially for sectors related to commodities, industry and cyclical consumption. For the portfolios sorted by risk (in which the stocks’ betas were used as a risk parameter for sorting, foreign capitals increased the returns of mid-high and high beta portfolios, but decreased the returns of low and low-mid beta portfolios. For corporate governance portfolios, the firms listed on the Novo Mercado segment (according to BMF&Bovespa criteria experienced a statistically significant revaluation effect. Overall, the results of the study provide support to the revaluation effect hypothesis.

  6. Improving Project Portfolio Management (PPM) for Improvement Projects

    DEFF Research Database (Denmark)

    Pries-Heje, Jan; Jakobsen, Peter M.; Korsaa, Morten

    2017-01-01

    Project Portfolio Management (PPM) focus on the integration and alignment of projects with the business operation in order to achieve most value and cost-efficiency for the investment in projects. PPM is often a challenge and especially so for improvement projects where PPM is considerably...... of evaluating a portfolio of improvement projects and combine this evaluation with the effect they have on the CMMI maturity level. Further, the paper demonstrates how the combination of a strong senior management requirement for improved maturity and the focus on getting the most value out of PPM made...

  7. Hospital innovation portfolios: Key determinants of size and innovativeness

    DEFF Research Database (Denmark)

    Schultz, Carsten; Zippel-Schultz, Bettina; Salomo, Søren

    2012-01-01

    and reward systems) organizational mechanisms. Methodology: To develop hypotheses, we integrated the innovation management literature into the hospital context. Detailed information about the innovation portfolio of 87 German hospitals was generated and combined with multirespondent survey data using ratings....... Reward systems did not have direct effects on the composition of innovation portfolios. However, they adjusted bottom-up employee and top-down strategic initiatives to match with the existing organization, thereby decreasing the degree of innovativeness and enforcing exploitation. Practice Implications......: Hospitals should intertwine employee encouragement, analytical approaches, and formal reward systems depending on organizational goals....

  8. Universal portfolios generated by the Bregman divergence

    Science.gov (United States)

    Tan, Choon Peng; Kuang, Kee Seng

    2017-04-01

    The Bregman divergence of two probability vectors is a stronger form of the f-divergence introduced by Csiszar. Two versions of the Bregman universal portfolio are presented by exploiting the mean-value theorem. The explicit form of the Bregman universal portfolio generated by a function of a convex polynomial is derived and studied empirically. This portfolio can be regarded as another generalized of the well-known Helmbold portfolio. By running the portfolios on selected stock-price data sets from the local stock exchange, it is shown that it is possible to increase the wealth of the investor by using the portfolios in investment.

  9. e-Portfolio as reflection tool during teaching practice: The interplay ...

    African Journals Online (AJOL)

    Strydom, SC, Dr

    2017-02-01

    Feb 1, 2017 ... students will impact the potential success of the integration of ... continuous professional development, e-portfolios .... placed on lifelong and life-wide learning within the ..... http://electronicportfolios.org/balance/balancingarti.

  10. Integrating neural network technology and noise analysis

    International Nuclear Information System (INIS)

    Uhrig, R.E.; Oak Ridge National Lab., TN

    1995-01-01

    The integrated use of neural network and noise analysis technologies offers advantages not available by the use of either technology alone. The application of neural network technology to noise analysis offers an opportunity to expand the scope of problems where noise analysis is useful and unique ways in which the integration of these technologies can be used productively. The two-sensor technique, in which the responses of two sensors to an unknown driving source are related, is used to demonstration such integration. The relationship between power spectral densities (PSDs) of accelerometer signals is derived theoretically using noise analysis to demonstrate its uniqueness. This relationship is modeled from experimental data using a neural network when the system is working properly, and the actual PSD of one sensor is compared with the PSD of that sensor predicted by the neural network using the PSD of the other sensor as an input. A significant deviation between the actual and predicted PSDs indicate that system is changing (i.e., failing). Experiments carried out on check values and bearings illustrate the usefulness of the methodology developed. (Author)

  11. Supporting the development process for building products by the use of research portfolio analysis: A case study for wood plastics composite materials

    Directory of Open Access Journals (Sweden)

    Daniel Friedrich

    2016-06-01

    Our study evaluated European scientific projects in composites from which we derived a Research Portfolio serving as future matrix for ideation. It was found that research databanks can serve as basis for strategic innovation planning. We were able to identify several appropriate future technologies and material applications in the field of bio-based plastics composites. Our methodology particularly supports manufacturers with less formalized innovation processes.

  12. Supporting the development process for building products by the use of research portfolio analysis: A case study for wood plastics composite materials

    OpenAIRE

    Friedrich, Daniel; Luible, Andreas

    2016-01-01

    Today’s plastics are increasingly compounded using renewable fibres. Such composites raised the interest of the massively bulk-plastics consuming building industry. However, “green” products are still rare and their development constitutes a challenge particularly for small companies. Our study evaluated European scientific projects in composites from which we derived a Research Portfolio serving as future matrix for ideation. It was found that research databanks can serve as basis for str...

  13. Should investors diversify their portfolios with stocks from major trading countries? A comparative multivariate GARCH-DCC and wavelet correlation analysis

    OpenAIRE

    Dwihasri, Dhaifina; Masih, Mansur

    2015-01-01

    The existing literature have evaluated the performance of stock markets without taking into account the time-varying correlations and different investment horizons of the investors. The present paper attempts to investigate to what extent the Indonesian sharia stock returns can earn portfolio diversification benefits if they are trading with sharia stocks from its major trading partners (China, Japan, United States). The recent Multivariate GARCH Dynamic Conditional Correlation, the Continuou...

  14. RISK LOAN PORTFOLIO OPTIMIZATION MODEL BASED ON CVAR RISK MEASURE

    Directory of Open Access Journals (Sweden)

    Ming-Chang LEE

    2015-07-01

    Full Text Available In order to achieve commercial banks liquidity, safety and profitability objective requirements, loan portfolio risk analysis based optimization decisions are rational allocation of assets.  The risk analysis and asset allocation are the key technology of banking and risk management.  The aim of this paper, build a loan portfolio optimization model based on risk analysis.  Loan portfolio rate of return by using Value-at-Risk (VaR and Conditional Value-at-Risk (CVaR constraint optimization decision model reflects the bank's risk tolerance, and the potential loss of direct control of the bank.  In this paper, it analyze a general risk management model applied to portfolio problems with VaR and CVaR risk measures by using Using the Lagrangian Algorithm.  This paper solves the highly difficult problem by matrix operation method.  Therefore, the combination of this paper is easy understanding the portfolio problems with VaR and CVaR risk model is a hyperbola in mean-standard deviation space.  It is easy calculation in proposed method.

  15. [Integrated health care organizations: guideline for analysis].

    Science.gov (United States)

    Vázquez Navarrete, M Luisa; Vargas Lorenzo, Ingrid; Farré Calpe, Joan; Terraza Núñez, Rebeca

    2005-01-01

    There has been a tendency recently to abandon competition and to introduce policies that promote collaboration between health providers as a means of improving the efficiency of the system and the continuity of care. A number of countries, most notably the United States, have experienced the integration of health care providers to cover the continuum of care of a defined population. Catalonia has witnessed the steady emergence of increasing numbers of integrated health organisations (IHO) but, unlike the United States, studies on health providers' integration are scarce. As part of a research project currently underway, a guide was developed to study Catalan IHOs, based on a classical literature review and the development of a theoretical framework. The guide proposes analysing the IHO's performance in relation to their final objectives of improving the efficiency and continuity of health care by an analysis of the integration type (based on key characteristics); external elements (existence of other suppliers, type of services' payment mechanisms); and internal elements (model of government, organization and management) that influence integration. Evaluation of the IHO's performance focuses on global strategies and results on coordination of care and efficiency. Two types of coordination are evaluated: information coordination and coordination of care management. Evaluation of the efficiency of the IHO refers to technical and allocative efficiency. This guide may have to be modified for use in the Catalan context.

  16. Integrated tools for control-system analysis

    Science.gov (United States)

    Ostroff, Aaron J.; Proffitt, Melissa S.; Clark, David R.

    1989-01-01

    The basic functions embedded within a user friendly software package (MATRIXx) are used to provide a high level systems approach to the analysis of linear control systems. Various control system analysis configurations are assembled automatically to minimize the amount of work by the user. Interactive decision making is incorporated via menu options and at selected points, such as in the plotting section, by inputting data. There are five evaluations such as the singular value robustness test, singular value loop transfer frequency response, Bode frequency response, steady-state covariance analysis, and closed-loop eigenvalues. Another section describes time response simulations. A time response for random white noise disturbance is available. The configurations and key equations used for each type of analysis, the restrictions that apply, the type of data required, and an example problem are described. One approach for integrating the design and analysis tools is also presented.

  17. The regional electricity generation mix in Scotland. A portfolio selection approach incorporating marine technologies

    Energy Technology Data Exchange (ETDEWEB)

    Allan, Grant; Eromenko, Igor; McGregor, Peter [Fraser of Allander Institute, Department of Economics, University of Strathclyde, Sir William Duncan Building, 130 Rottenrow, Glasgow G4 0GE (United Kingdom); Swales, Kim [Department of Economics, University of Strathclyde, Sir William Duncan Building, 130 Rottenrow, Glasgow G4 0GE (United Kingdom)

    2011-01-15

    Standalone levelised cost assessments of electricity supply options miss an important contribution that renewable and non-fossil fuel technologies can make to the electricity portfolio: that of reducing the variability of electricity costs, and their potentially damaging impact upon economic activity. Portfolio theory applications to the electricity generation mix have shown that renewable technologies, their costs being largely uncorrelated with non-renewable technologies, can offer such benefits. We look at the existing Scottish generation mix and examine drivers of changes out to 2020. We assess recent scenarios for the Scottish generation mix in 2020 against mean-variance efficient portfolios of electricity-generating technologies. Each of the scenarios studied implies a portfolio cost of electricity that is between 22% and 38% higher than the portfolio cost of electricity in 2007. These scenarios prove to be mean-variance 'inefficient' in the sense that, for example, lower variance portfolios can be obtained without increasing portfolio costs, typically by expanding the share of renewables. As part of extensive sensitivity analysis, we find that Wave and Tidal technologies can contribute to lower risk electricity portfolios, while not increasing portfolio cost. (author)

  18. An integrated system for genetic analysis

    Directory of Open Access Journals (Sweden)

    Duan Xiao

    2006-04-01

    Full Text Available Abstract Background Large-scale genetic mapping projects require data management systems that can handle complex phenotypes and detect and correct high-throughput genotyping errors, yet are easy to use. Description We have developed an Integrated Genotyping System (IGS to meet this need. IGS securely stores, edits and analyses genotype and phenotype data. It stores information about DNA samples, plates, primers, markers and genotypes generated by a genotyping laboratory. Data are structured so that statistical genetic analysis of both case-control and pedigree data is straightforward. Conclusion IGS can model complex phenotypes and contain genotypes from whole genome association studies. The database makes it possible to integrate genetic analysis with data curation. The IGS web site http://bioinformatics.well.ox.ac.uk/project-igs.shtml contains further information.

  19. Integrated Reliability and Risk Analysis System (IRRAS)

    International Nuclear Information System (INIS)

    Russell, K.D.; McKay, M.K.; Sattison, M.B.; Skinner, N.L.; Wood, S.T.; Rasmuson, D.M.

    1992-01-01

    The Integrated Reliability and Risk Analysis System (IRRAS) is a state-of-the-art, microcomputer-based probabilistic risk assessment (PRA) model development and analysis tool to address key nuclear plant safety issues. IRRAS is an integrated software tool that gives the user the ability to create and analyze fault trees and accident sequences using a microcomputer. This program provides functions that range from graphical fault tree construction to cut set generation and quantification. Version 1.0 of the IRRAS program was released in February of 1987. Since that time, many user comments and enhancements have been incorporated into the program providing a much more powerful and user-friendly system. This version has been designated IRRAS 4.0 and is the subject of this Reference Manual. Version 4.0 of IRRAS provides the same capabilities as Version 1.0 and adds a relational data base facility for managing the data, improved functionality, and improved algorithm performance

  20. Ecuadorian Banana Farms Should Consider Organic Banana with Low Price Risks in Their Land-Use Portfolios

    Science.gov (United States)

    Castro, Luz Maria; Calvas, Baltazar; Knoke, Thomas

    2015-01-01

    Organic farming is a more environmentally friendly form of land use than conventional agriculture. However, recent studies point out production tradeoffs that often prevent the adoption of such practices by farmers. Our study shows with the example of organic banana production in Ecuador that economic tradeoffs depend much on the approach of the analysis. We test, if organic banana should be included in economic land-use portfolios, which indicate how much of the land is provided for which type of land-use. We use time series data for productivity and prices over 30 years to compute the economic return (as annualized net present value) and its volatility (with standard deviation as risk measure) for eight crops to derive land-use portfolios for different levels of risk, which maximize economic return. We find that organic banana is included in land-use portfolios for almost every level of accepted risk with proportions from 1% to maximally 32%, even if the same high uncertainty as for conventional banana is simulated for organic banana. A more realistic, lower simulated price risk increased the proportion of organic banana substantially to up to 57% and increased annual economic returns by up to US$ 187 per ha. Under an assumed integration of both markets, for organic and conventional banana, simulated by an increased coefficient of correlation of economic return from organic and conventional banana (ρ up to +0.7), organic banana holds significant portions in the land-use portfolios tested only, if a low price risk of organic banana is considered. We conclude that uncertainty is a key issue for the adoption of organic banana. As historic data support a low price risk for organic banana compared to conventional banana, Ecuadorian farmers should consider organic banana as an advantageous land-use option in their land-use portfolios. PMID:25799506

  1. Credit Risk Evaluation : Modeling - Analysis - Management

    OpenAIRE

    Wehrspohn, Uwe

    2002-01-01

    An analysis and further development of the building blocks of modern credit risk management: -Definitions of default -Estimation of default probabilities -Exposures -Recovery Rates -Pricing -Concepts of portfolio dependence -Time horizons for risk calculations -Quantification of portfolio risk -Estimation of risk measures -Portfolio analysis and portfolio improvement -Evaluation and comparison of credit risk models -Analytic portfolio loss distributions The thesis contributes to the evaluatio...

  2. Integrity Analysis of Damaged Steam Generator Tubes

    International Nuclear Information System (INIS)

    Stanic, D.

    1998-01-01

    Variety of degradation mechanisms affecting steam generator tubes makes steam generators as one of the critical components in the nuclear power plants. Depending of their nature, degradation mechanisms cause different types of damages. It requires performance of extensive integrity analysis in order to access various conditions of crack behavior under operating and accidental conditions. Development and application of advanced eddy current techniques for steam generator examination provide good characterization of found damages. Damage characteristics (shape, orientation and dimensions) may be defined and used for further evaluation of damage influence on tube integrity. In comparison with experimental and analytical methods, numerical methods are also efficient tools for integrity assessment. Application of finite element methods provides relatively simple modeling of different type of damages and simulation of various operating conditions. The stress and strain analysis may be performed for elastic and elasto-plastic state with good ability for visual presentation of results. Furthermore, the fracture mechanics parameters may be calculated. Results obtained by numerical analysis supplemented with experimental results are the base for definition of alternative plugging criteria which may significantly reduce the number of plugged tubes. (author)

  3. Big Data Challenges of High-Dimensional Continuous-Time Mean-Variance Portfolio Selection and a Remedy.

    Science.gov (United States)

    Chiu, Mei Choi; Pun, Chi Seng; Wong, Hoi Ying

    2017-08-01

    Investors interested in the global financial market must analyze financial securities internationally. Making an optimal global investment decision involves processing a huge amount of data for a high-dimensional portfolio. This article investigates the big data challenges of two mean-variance optimal portfolios: continuous-time precommitment and constant-rebalancing strategies. We show that both optimized portfolios implemented with the traditional sample estimates converge to the worst performing portfolio when the portfolio size becomes large. The crux of the problem is the estimation error accumulated from the huge dimension of stock data. We then propose a linear programming optimal (LPO) portfolio framework, which applies a constrained ℓ 1 minimization to the theoretical optimal control to mitigate the risk associated with the dimensionality issue. The resulting portfolio becomes a sparse portfolio that selects stocks with a data-driven procedure and hence offers a stable mean-variance portfolio in practice. When the number of observations becomes large, the LPO portfolio converges to the oracle optimal portfolio, which is free of estimation error, even though the number of stocks grows faster than the number of observations. Our numerical and empirical studies demonstrate the superiority of the proposed approach. © 2017 Society for Risk Analysis.

  4. The integrated microbial genome resource of analysis.

    Science.gov (United States)

    Checcucci, Alice; Mengoni, Alessio

    2015-01-01

    Integrated Microbial Genomes and Metagenomes (IMG) is a biocomputational system that allows to provide information and support for annotation and comparative analysis of microbial genomes and metagenomes. IMG has been developed by the US Department of Energy (DOE)-Joint Genome Institute (JGI). IMG platform contains both draft and complete genomes, sequenced by Joint Genome Institute and other public and available genomes. Genomes of strains belonging to Archaea, Bacteria, and Eukarya domains are present as well as those of viruses and plasmids. Here, we provide some essential features of IMG system and case study for pangenome analysis.

  5. Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC

    NARCIS (Netherlands)

    D.E. Allen (David); M.J. McAleer (Michael); R.J. Powell (Robert); A.K. Singh (Abhay)

    2015-01-01

    textabstractThis paper features an analysis of the effectiveness of a range of portfolio diversification strategies, with a focus on down-side risk metrics, as a portfolio diversification strategy in a European market context. We apply these measures to a set of daily arithmetically compounded

  6. Integrated analysis of genetic data with R

    Directory of Open Access Journals (Sweden)

    Zhao Jing

    2006-01-01

    Full Text Available Abstract Genetic data are now widely available. There is, however, an apparent lack of concerted effort to produce software systems for statistical analysis of genetic data compared with other fields of statistics. It is often a tremendous task for end-users to tailor them for particular data, especially when genetic data are analysed in conjunction with a large number of covariates. Here, R http://www.r-project.org, a free, flexible and platform-independent environment for statistical modelling and graphics is explored as an integrated system for genetic data analysis. An overview of some packages currently available for analysis of genetic data is given. This is followed by examples of package development and practical applications. With clear advantages in data management, graphics, statistical analysis, programming, internet capability and use of available codes, it is a feasible, although challenging, task to develop it into an integrated platform for genetic analysis; this will require the joint efforts of many researchers.

  7. 77 FR 55903 - Confirmation, Portfolio Reconciliation, Portfolio Compression, and Swap Trading Relationship...

    Science.gov (United States)

    2012-09-11

    ... Vol. 77 Tuesday, No. 176 September 11, 2012 Part II Commodity Futures Trading Commission 17 CFR Part 23 Confirmation, Portfolio Reconciliation, Portfolio Compression, and Swap Trading Relationship... FUTURES TRADING COMMISSION 17 CFR Part 23 RIN 3038-AC96 Confirmation, Portfolio Reconciliation, Portfolio...

  8. Advancing Alternative Analysis: Integration of Decision Science

    DEFF Research Database (Denmark)

    Malloy, Timothy F; Zaunbrecher, Virginia M; Batteate, Christina

    2016-01-01

    Decision analysis-a systematic approach to solving complex problems-offers tools and frameworks to support decision making that are increasingly being applied to environmental challenges. Alternatives analysis is a method used in regulation and product design to identify, compare, and evaluate......, and civil society and included experts in toxicology, decision science, alternatives assessment, engineering, and law and policy. Participants were divided into two groups and prompted with targeted questions. Throughout the workshop, the groups periodically came together in plenary sessions to reflect......) engaging the systematic development and evaluation of decision approaches and tools; (2) using case studies to advance the integration of decision analysis into alternatives analysis; (3) supporting transdisciplinary research; and (4) supporting education and outreach efforts....

  9. Portfolio optimization with mean-variance model

    Science.gov (United States)

    Hoe, Lam Weng; Siew, Lam Weng

    2016-06-01

    Investors wish to achieve the target rate of return at the minimum level of risk in their investment. Portfolio optimization is an investment strategy that can be used to minimize the portfolio risk and can achieve the target rate of return. The mean-variance model has been proposed in portfolio optimization. The mean-variance model is an optimization model that aims to minimize the portfolio risk which is the portfolio variance. The objective of this study is to construct the optimal portfolio using the mean-variance model. The data of this study consists of weekly returns of 20 component stocks of FTSE Bursa Malaysia Kuala Lumpur Composite Index (FBMKLCI). The results of this study show that the portfolio composition of the stocks is different. Moreover, investors can get the return at minimum level of risk with the constructed optimal mean-variance portfolio.

  10. Fostering EFL learners’ autonomy in light of portfolio assessment: Exploring the potential impact of gender

    Directory of Open Access Journals (Sweden)

    Mahmood Hashemian

    2013-07-01

    Full Text Available The purpose of this study was to investigate the impact of portfolio assessment as a process-oriented mechanism on the autonomy of Iranian advanced EFL learners. A particular concern was to examine the potential effect of gender on portfolio assessment by taking the learners’ writing ability into account. The participants were 80 male and female advanced EFL learners to whom the Learner Autonomy Questionnaire (Kashefian, 2002 was administered to check their homogeneity prior to the study in terms of autonomy; a truncated form of a TOEFL test was also given to the participants to assess their language proficiency. The participants were then randomly divided into 4 groups: 2 experimental groups (20 females in class A and 20 males in class B and 2 control groups (20 females in class C and 20 males in class D. The portfolio assessment was integrated into the experimental groups to explore whether and to what extent their autonomy might enhance and also to investigate the possible effect of gender on portfolio assessment in writing ability. The portfolio assessment was based on the classroom portfolio model adopted from Hamp-Lyons and Condon (2000, consisting of 3 procedures: collection, selection, and reflection. In contrast, the control groups received the traditional assessment of writing. The data were analyzed using 2 independent samples t tests, mean, and the effect size. The results showed that the portfolio procedures considerably improved the autonomy of the participants. Also, gender had no impact on portfolio assessment.

  11. Deformed exponentials and portfolio selection

    Science.gov (United States)

    Rodrigues, Ana Flávia P.; Guerreiro, Igor M.; Cavalcante, Charles Casimiro

    In this paper, we present a method for portfolio selection based on the consideration on deformed exponentials in order to generalize the methods based on the gaussianity of the returns in portfolio, such as the Markowitz model. The proposed method generalizes the idea of optimizing mean-variance and mean-divergence models and allows a more accurate behavior for situations where heavy-tails distributions are necessary to describe the returns in a given time instant, such as those observed in economic crises. Numerical results show the proposed method outperforms the Markowitz portfolio for the cumulated returns with a good convergence rate of the weights for the assets which are searched by means of a natural gradient algorithm.

  12. Integration and segregation in auditory scene analysis

    Science.gov (United States)

    Sussman, Elyse S.

    2005-03-01

    Assessment of the neural correlates of auditory scene analysis, using an index of sound change detection that does not require the listener to attend to the sounds [a component of event-related brain potentials called the mismatch negativity (MMN)], has previously demonstrated that segregation processes can occur without attention focused on the sounds and that within-stream contextual factors influence how sound elements are integrated and represented in auditory memory. The current study investigated the relationship between the segregation and integration processes when they were called upon to function together. The pattern of MMN results showed that the integration of sound elements within a sound stream occurred after the segregation of sounds into independent streams and, further, that the individual streams were subject to contextual effects. These results are consistent with a view of auditory processing that suggests that the auditory scene is rapidly organized into distinct streams and the integration of sequential elements to perceptual units takes place on the already formed streams. This would allow for the flexibility required to identify changing within-stream sound patterns, needed to appreciate music or comprehend speech..

  13. Sygeplejestuderendes brug af portfolio i klinisk undervisning

    DEFF Research Database (Denmark)

    Hjorth, Anne Charlotte Overgaard; Bruhn, Helle

    2014-01-01

    Brugen af portfolio var mangelfuld, men et udviklingsprojekt i samarbejde med den kommunale sygepleje motiverede både sygeplejestuderende og kliniske vejledere til at anvende læringsdelen af portfolio aktivt.......Brugen af portfolio var mangelfuld, men et udviklingsprojekt i samarbejde med den kommunale sygepleje motiverede både sygeplejestuderende og kliniske vejledere til at anvende læringsdelen af portfolio aktivt....

  14. Dynamic Portfolio Strategy Using Clustering Approach.

    Science.gov (United States)

    Ren, Fei; Lu, Ya-Nan; Li, Sai-Ping; Jiang, Xiong-Fei; Zhong, Li-Xin; Qiu, Tian

    2017-01-01

    The problem of portfolio optimization is one of the most important issues in asset management. We here propose a new dynamic portfolio strategy based on the time-varying structures of MST networks in Chinese stock markets, where the market condition is further considered when using the optimal portfolios for investment. A portfolio strategy comprises two stages: First, select the portfolios by choosing central and peripheral stocks in the selection horizon using five topological parameters, namely degree, betweenness centrality, distance on degree criterion, distance on correlation criterion and distance on distance criterion. Second, use the portfolios for investment in the investment horizon. The optimal portfolio is chosen by comparing central and peripheral portfolios under different combinations of market conditions in the selection and investment horizons. Market conditions in our paper are identified by the ratios of the number of trading days with rising index to the total number of trading days, or the sum of the amplitudes of the trading days with rising index to the sum of the amplitudes of the total trading days. We find that central portfolios outperform peripheral portfolios when the market is under a drawup condition, or when the market is stable or drawup in the selection horizon and is under a stable condition in the investment horizon. We also find that peripheral portfolios gain more than central portfolios when the market is stable in the selection horizon and is drawdown in the investment horizon. Empirical tests are carried out based on the optimal portfolio strategy. Among all possible optimal portfolio strategies based on different parameters to select portfolios and different criteria to identify market conditions, 65% of our optimal portfolio strategies outperform the random strategy for the Shanghai A-Share market while the proportion is 70% for the Shenzhen A-Share market.

  15. Dynamic Portfolio Strategy Using Clustering Approach.

    Directory of Open Access Journals (Sweden)

    Fei Ren

    Full Text Available The problem of portfolio optimization is one of the most important issues in asset management. We here propose a new dynamic portfolio strategy based on the time-varying structures of MST networks in Chinese stock markets, where the market condition is further considered when using the optimal portfolios for investment. A portfolio strategy comprises two stages: First, select the portfolios by choosing central and peripheral stocks in the selection horizon using five topological parameters, namely degree, betweenness centrality, distance on degree criterion, distance on correlation criterion and distance on distance criterion. Second, use the portfolios for investment in the investment horizon. The optimal portfolio is chosen by comparing central and peripheral portfolios under different combinations of market conditions in the selection and investment horizons. Market conditions in our paper are identified by the ratios of the number of trading days with rising index to the total number of trading days, or the sum of the amplitudes of the trading days with rising index to the sum of the amplitudes of the total trading days. We find that central portfolios outperform peripheral portfolios when the market is under a drawup condition, or when the market is stable or drawup in the selection horizon and is under a stable condition in the investment horizon. We also find that peripheral portfolios gain more than central portfolios when the market is stable in the selection horizon and is drawdown in the investment horizon. Empirical tests are carried out based on the optimal portfolio strategy. Among all possible optimal portfolio strategies based on different parameters to select portfolios and different criteria to identify market conditions, 65% of our optimal portfolio strategies outperform the random strategy for the Shanghai A-Share market while the proportion is 70% for the Shenzhen A-Share market.

  16. Application of Markowitz Portfolio Theory by Building Optimal Portfolio on the US Stock Market

    Directory of Open Access Journals (Sweden)

    Martin Širůček

    2015-01-01

    Full Text Available This paper is focused on building investment portfolios by using the Markowitz Portfolio Theory (MPT. Derivation based on the Capital Asset Pricing Model (CAPM is used to calculate the weights of individual securities in portfolios. The calculated portfolios include a portfolio copying the benchmark made using the CAPM model, portfolio with low and high beta coefficients, and a random portfolio. Only stocks were selected for the examined sample from all the asset classes. Stocks in each portfolio are put together according to predefined criteria. All stocks were selected from Dow Jones Industrial Average (DJIA index which serves as a benchmark, too. Portfolios were compared based on their risk and return profiles. The results of this work will provide general recommendations on the optimal approach to choose securities for an investor’s portfolio.

  17. Integrated framework for dynamic safety analysis

    International Nuclear Information System (INIS)

    Kim, Tae Wan; Karanki, Durga R.

    2012-01-01

    In the conventional PSA (Probabilistic Safety Assessment), detailed plant simulations by independent thermal hydraulic (TH) codes are used in the development of accident sequence models. Typical accidents in a NPP involve complex interactions among process, safety systems, and operator actions. As independent TH codes do not have the models of operator actions and full safety systems, they cannot literally simulate the integrated and dynamic interactions of process, safety systems, and operator responses. Offline simulation with pre decided states and time delays may not model the accident sequences properly. Moreover, when stochastic variability in responses of accident models is considered, defining all the combinations for simulations will be cumbersome task. To overcome some of these limitations of conventional safety analysis approach, TH models are coupled with the stochastic models in the dynamic event tree (DET) framework, which provides flexibility to model the integrated response due to better communication as all the accident elements are in the same model. The advantages of this framework also include: Realistic modeling in dynamic scenarios, comprehensive results, integrated approach (both deterministic and probabilistic models), and support for HRA (Human Reliability Analysis)

  18. Feature selection for portfolio optimization

    DEFF Research Database (Denmark)

    Bjerring, Thomas Trier; Ross, Omri; Weissensteiner, Alex

    2016-01-01

    Most portfolio selection rules based on the sample mean and covariance matrix perform poorly out-of-sample. Moreover, there is a growing body of evidence that such optimization rules are not able to beat simple rules of thumb, such as 1/N. Parameter uncertainty has been identified as one major....... While most of the diversification benefits are preserved, the parameter estimation problem is alleviated. We conduct out-of-sample back-tests to show that in most cases different well-established portfolio selection rules applied on the reduced asset universe are able to improve alpha relative...

  19. Managing the New Product Portfolio

    DEFF Research Database (Denmark)

    Larsson, Flemming

    2008-01-01

    Product development companies are increasingly confronted with an unforgiving global marketplace, which urges the top management to pursue every product development opportunity that appears on the road. This situation incurs an important question: Which product development opportunities should a ....... The contributions encourage an improved understanding of the portfolio management concept and support industry professionals in their efforts to compose and continuously maintain a commercially strong product development portfolio.......Product development companies are increasingly confronted with an unforgiving global marketplace, which urges the top management to pursue every product development opportunity that appears on the road. This situation incurs an important question: Which product development opportunities should...

  20. Application of Project Portfolio Management

    Science.gov (United States)

    Pankowska, Malgorzata

    The main goal of the chapter is the presentation of the application project portfolio management approach to support development of e-Municipality and public administration information systems. The models of how people publish and utilize information on the web have been transformed continually. Instead of simply viewing on static web pages, users publish their own content through blogs and photo- and video-sharing slides. Analysed in this chapter, ICT (Information Communication Technology) projects for municipalities cover the mixture of the static web pages, e-Government information systems, and Wikis. So, for the management of the ICT projects' mixtures the portfolio project management approach is proposed.

  1. Purchasing portfolio usage and purchasing sophistication

    NARCIS (Netherlands)

    Gelderman, C.J.; Weele, van A.J.

    2005-01-01

    Purchasing portfolio models have caused considerable controversy in literature. Many advantages and disadvantages have been put forward, revealing a strong disagreement on the merits of portfolio models. This study addresses the question whether or not the use of purchasing portfolio models should

  2. Hierarchical Portfolio Management: Theory and Applications

    NARCIS (Netherlands)

    H. Ning (Haikun)

    2007-01-01

    textabstractUnder his own preference, how should an investor coordinate the asset managers such that his aggregated portfolio is optimized? The efficiency of each managed sub portfolio and the aggregation of all the sub portfolios are the 2 main underlying problems considered in this dissertation.

  3. Modern Portfolio Theory: Some Main Results

    OpenAIRE

    Müller, Heinz H.

    2017-01-01

    This article summarizes some main results in modern portfolio theory. First, the Markowitz approach is presented. Then the capital asset pricing model is derived and its empirical testability is discussed. Afterwards Neumann-Morgenstern utility theory is applied to the portfolio problem. Finally, it is shown how optimal risk allocation in an economy may lead to portfolio insurance

  4. Using Electronic Portfolios for Second Language Assessment

    Science.gov (United States)

    Cummins, Patricia W.; Davesne, Celine

    2009-01-01

    Portfolio assessment as developed in Europe presents a learner-empowering alternative to computer-based testing. The authors present the European Language Portfolio (ELP) and its American adaptations, LinguaFolio and the Global Language Portfolio, as tools to be used with the Common European Framework of Reference for languages and the American…

  5. Household portfolios and implicit risk aversion

    NARCIS (Netherlands)

    Bucciol, A.; Miniaci, R.

    2008-01-01

    We derive from a sample of US households the distribution of the risk aversion implicit in their portfolio choice. Our estimate minimizes the distance between the certainty equivalent return generated with observed portfolios and portfolios that are optimal in a mean-variance framework. Taking into

  6. Quantitative investment strategies and portfolio management

    NARCIS (Netherlands)

    Guo, J.

    2012-01-01

    This book contains three essays on alternative investments and portfolio management. Taking from a portfolio investor’s perspective, the first essay analyzes the portfolio implication of investing in hedge funds when there is a hedge fund lockup period. The second essay studies the investment

  7. Formal Method of Description Supporting Portfolio Assessment

    Science.gov (United States)

    Morimoto, Yasuhiko; Ueno, Maomi; Kikukawa, Isao; Yokoyama, Setsuo; Miyadera, Youzou

    2006-01-01

    Teachers need to assess learner portfolios in the field of education. However, they need support in the process of designing and practicing what kind of portfolios are to be assessed. To solve the problem, a formal method of describing the relations between the lesson forms and portfolios that need to be collected and the relations between…

  8. Integrating health and environmental impact analysis

    DEFF Research Database (Denmark)

    Reis, S; Morris, G.; Fleming, L. E.

    2015-01-01

    which addresses human activity in all its social, economic and cultural complexity. The new approach must be integral to, and interactive, with the natural environment. We see the continuing failure to truly integrate human health and environmental impact analysis as deeply damaging, and we propose...... while equally emphasizing the health of the environment, and the growing calls for 'ecological public health' as a response to global environmental concerns now suffusing the discourse in public health. More revolution than evolution, ecological public health will demand new perspectives regarding...... the interconnections among society, the economy, the environment and our health and well-being. Success must be built on collaborations between the disparate scientific communities of the environmental sciences and public health as well as interactions with social scientists, economists and the legal profession...

  9. Advancing Alternative Analysis: Integration of Decision Science.

    Science.gov (United States)

    Malloy, Timothy F; Zaunbrecher, Virginia M; Batteate, Christina M; Blake, Ann; Carroll, William F; Corbett, Charles J; Hansen, Steffen Foss; Lempert, Robert J; Linkov, Igor; McFadden, Roger; Moran, Kelly D; Olivetti, Elsa; Ostrom, Nancy K; Romero, Michelle; Schoenung, Julie M; Seager, Thomas P; Sinsheimer, Peter; Thayer, Kristina A

    2017-06-13

    Decision analysis-a systematic approach to solving complex problems-offers tools and frameworks to support decision making that are increasingly being applied to environmental challenges. Alternatives analysis is a method used in regulation and product design to identify, compare, and evaluate the safety and viability of potential substitutes for hazardous chemicals. We assessed whether decision science may assist the alternatives analysis decision maker in comparing alternatives across a range of metrics. A workshop was convened that included representatives from government, academia, business, and civil society and included experts in toxicology, decision science, alternatives assessment, engineering, and law and policy. Participants were divided into two groups and were prompted with targeted questions. Throughout the workshop, the groups periodically came together in plenary sessions to reflect on other groups' findings. We concluded that the further incorporation of decision science into alternatives analysis would advance the ability of companies and regulators to select alternatives to harmful ingredients and would also advance the science of decision analysis. We advance four recommendations: a ) engaging the systematic development and evaluation of decision approaches and tools; b ) using case studies to advance the integration of decision analysis into alternatives analysis; c ) supporting transdisciplinary research; and d ) supporting education and outreach efforts. https://doi.org/10.1289/EHP483.

  10. Structural integrity analysis of a steam turbine

    International Nuclear Information System (INIS)

    Villagarcia, Maria P.

    1997-01-01

    One of the most critical components of a power utility is the rotor of the steam turbine. Catastrophic failures of the last decades have promoted the development of life assessment procedures for rotors. The present study requires the knowledge of operating conditions, component geometry, the properties of materials, history of the component, size, location and nature of the existing flaws. The aim of the present work is the obtention of a structural integrity analysis procedure for a steam turbine rotor, taking into account the above-mentioned parameters. In this procedure, a stress thermal analysis by finite elements is performed initially, in order to obtain the temperature and stress distribution for a subsequent analysis by fracture mechanics. The risk of a fast fracture due to flaws in the central zone of the rotor is analyzed. The procedure is applied to an operating turbine: the main steam turbine of the Atucha I nuclear power utility. (author)

  11. A taxonomy of integral reaction path analysis

    Energy Technology Data Exchange (ETDEWEB)

    Grcar, Joseph F.; Day, Marcus S.; Bell, John B.

    2004-12-23

    W. C. Gardiner observed that achieving understanding through combustion modeling is limited by the ability to recognize the implications of what has been computed and to draw conclusions about the elementary steps underlying the reaction mechanism. This difficulty can be overcome in part by making better use of reaction path analysis in the context of multidimensional flame simulations. Following a survey of current practice, an integral reaction flux is formulated in terms of conserved scalars that can be calculated in a fully automated way. Conditional analyses are then introduced, and a taxonomy for bidirectional path analysis is explored. Many examples illustrate the resulting path analysis and uncover some new results about nonpremixed methane-air laminar jets.

  12. The ASDEX integrated data analysis system AIDA

    International Nuclear Information System (INIS)

    Grassie, K.; Gruber, O.; Kardaun, O.; Kaufmann, M.; Lackner, K.; Martin, P.; Mast, K.F.; McCarthy, P.J.; Mertens, V.; Pohl, D.; Rang, U.; Wunderlich, R.

    1989-11-01

    Since about two years, the ASDEX integrated data analysis system (AIDA), which combines the database (DABA) and the statistical analysis system (SAS), is successfully in operation. Besides a considerable, but meaningful, reduction of the 'raw' shot data, it offers the advantage of carefully selected and precisely defined datasets, which are easily accessible for informative tabular data overviews (DABA), and multi-shot analysis (SAS). Even rather complicated, statistical analyses can be performed efficiently within this system. In this report, we want to summarise AIDA's main features, give some details on its set-up and on the physical models which have been used for the derivation of the processed data. We also give short introduction how to use DABA and SAS. (orig.)

  13. Delegated Portfolio Management and Optimal Allocation of Portfolio Managers

    DEFF Research Database (Denmark)

    Christensen, Michael; Vangsgaard Christensen, Michael; Gamskjaer, Ken

    2015-01-01

    In this article, we investigate whether the application of the mean-variance framework on portfolio manager allocation offers any out-of-sample benefits compared to a naïve strategy of equal weighting. Based on an exclusive data-set of high-net-worth (HNW) investors, we utilize a wide variety of ...

  14. Balancing energy strategies in electricity portfolio management

    International Nuclear Information System (INIS)

    Moeller, Christoph; Rachev, Svetlozar T.; Fabozzi, Frank J.

    2011-01-01

    Traditional management of electricity portfolios is focused on the day-ahead market and futures of longer maturity. Within limits, market participants can however also resort to the balancing energy market to close their positions. In this paper, we determine strategic positions in the balancing energy market and identify corresponding economic incentives in an analysis of the German balancing energy demand. We find that those strategies allow an economically optimal starting point for real-time balancing and create a marketplace for flexible capacity that is more open than alternative marketplaces. The strategies we proffer in this paper we believe will contribute to an effective functioning of the electricity market. (author)

  15. Electronic portfolio motivational factors from students’ perspective: A qualitative study

    Directory of Open Access Journals (Sweden)

    Rokhsareh Mobarhan

    2015-06-01

    Full Text Available Electronic portfolio (e-Portfolio is known as an electronic learning record which collects the learning evidences, reflections and accomplishments. In fact, it tells the story of learning achievements. It is an important tool for students, lecturers, administrators and faculties to monitor the learning outcomes. Similarly to other technologies, e-Portfolio is also considered successful, if it is used by students continuously. Previous researches showed the importance of intrinsic and extrinsic motivations in using any technologies. However, lack of motivation has been a major concern for developing any successful online learning environments. The aim of this paper is to explain the e-Portfolio motivational factors from students’ perspective. Interviews are conducted with students from one university in Malaysia in order to get better understanding of the phenomena. The target interviewees are bachelor students chosen from different faculties. Based on the qualitative content analysis of the interviews, the motivational factors affecting the continuous use of e-portfolio are coded in eight themes and then they categorized in four main groups of individual, system, social and environmental characteristics. Finally they are classified into intrinsic or extrinsic motivations.

  16. Accelerator physics analysis with an integrated toolkit

    International Nuclear Information System (INIS)

    Holt, J.A.; Michelotti, L.; Satogata, T.

    1992-08-01

    Work is in progress on an integrated software toolkit for linear and nonlinear accelerator design, analysis, and simulation. As a first application, ''beamline'' and ''MXYZPTLK'' (differential algebra) class libraries, were used with an X Windows graphics library to build an user-friendly, interactive phase space tracker which, additionally, finds periodic orbits. This program was used to analyse a theoretical lattice which contains octupoles and decapoles to find the 20th order, stable and unstable periodic orbits and to explore the local phase space structure

  17. A Relationship Strategy Perspective on Relationship Portfolios

    DEFF Research Database (Denmark)

    Ritter, Thomas; Andersen, Henrik

    2014-01-01

    The paper develops a three-dimensional portfolio model for business relationships which distinguishes among six different categories. Based on assessments of customer profitability, customer commitment, and growth potential, the positioning of a given customer relationship in the portfolio allows...... managers to determine appropriate customer relationship strategies and appropriate performance indicators. Results from applying the portfolio model are reported and managerial implications and future research are discussed.......The paper develops a three-dimensional portfolio model for business relationships which distinguishes among six different categories. Based on assessments of customer profitability, customer commitment, and growth potential, the positioning of a given customer relationship in the portfolio allows...

  18. Performance of the reverse Helmbold universal portfolio

    Science.gov (United States)

    Tan, Choon Peng; Kuang, Kee Seng; Lee, Yap Jia

    2017-04-01

    The universal portfolio is an important investment strategy in a stock market where no stochastic model is assumed for the stock prices. The zero-gradient set of the objective function estimating the next-day portfolio which contains the reverse Kullback-Leibler order-alpha divergence is considered. From the zero-gradient set, the explicit, reverse Helmbold universal portfolio is obtained. The performance of the explicit, reverse Helmbold universal portfolio is studied by running them on some stock-price data sets from the local stock exchange. It is possible to increase the wealth of the investor by using these portfolios in investment.

  19. [INDENA SPA company's patent portfolio of Ginkgo biloba preparation].

    Science.gov (United States)

    Wang, Nan; Guo, Kai; Cheng, Xin-min; Liu, Wei

    2015-10-01

    INDENA SPA Company in Italy is a multi-national company that produces and sells plant extracts. Based on its own re- search advantages in the field of Ginkgo biloba preparation, the company protects its own products market effectively through building patent portfolio around the patents of its opponent. Based on the multi-angle analysis for patent portfolio of G. biloba preparation from the aspects of application time, legal status, technical development route, and patent portfolio layout, this article provides technical reference on research and development of G. biloba preparation, and the author suggest that Chinese applicants learn techniques and layout experiences of other patents fully to enhance the level of research and patent protection level.

  20. The Integral A Crux for Analysis

    CERN Document Server

    Krantz, Steven G

    2011-01-01

    This book treats all of the most commonly used theories of the integral. After motivating the idea of integral, we devote a full chapter to the Riemann integral and the next to the Lebesgue integral. Another chapter compares and contrasts the two theories. The concluding chapter offers brief introductions to the Henstock integral, the Daniell integral, the Stieltjes integral, and other commonly used integrals. The purpose of this book is to provide a quick but accurate (and detailed) introduction to all aspects of modern integration theory. It should be accessible to any student who has had ca

  1. Portfolios: A Vehicle for Inquiry.

    Science.gov (United States)

    McMackin, Mary C.

    By blending elements of inquiry with the components of portfolios, learning and thinking in teacher preparation courses can be extended and possible tensions between "covering content" and allowing "open-ended investigation" can be mitigated. Over the years, the author mused about how she might nudge graduate students in her…

  2. Dynamic Portfolio Choice with Frictions

    DEFF Research Database (Denmark)

    Garleanu, Nicolae; Heje Pedersen, Lasse

    2016-01-01

    We show how portfolio choice can be modeled in continuous time with transitory and persistent transaction costs, multiple assets, multiple signals predicting returns, and general signal dynamics. The objective function is derived from the limit of discrete-time models with endogenous transaction...

  3. Teaching Sociology through Student Portfolios

    Science.gov (United States)

    Trepagnier, Barbara

    2004-01-01

    After several years of teaching Sociological Thought--an upper division course that focuses on classical, modern, and contemporary sociological theories--the author came across the idea of student portfolios. As a consequence, the course has undergone far-reaching changes. The content remains relatively intact; however, today the theory course…

  4. Robust Portfolio Optimization Using Pseudodistances

    Science.gov (United States)

    2015-01-01

    The presence of outliers in financial asset returns is a frequently occurring phenomenon which may lead to unreliable mean-variance optimized portfolios. This fact is due to the unbounded influence that outliers can have on the mean returns and covariance estimators that are inputs in the optimization procedure. In this paper we present robust estimators of mean and covariance matrix obtained by minimizing an empirical version of a pseudodistance between the assumed model and the true model underlying the data. We prove and discuss theoretical properties of these estimators, such as affine equivariance, B-robustness, asymptotic normality and asymptotic relative efficiency. These estimators can be easily used in place of the classical estimators, thereby providing robust optimized portfolios. A Monte Carlo simulation study and applications to real data show the advantages of the proposed approach. We study both in-sample and out-of-sample performance of the proposed robust portfolios comparing them with some other portfolios known in literature. PMID:26468948

  5. Portfolio selection with heavy tails

    NARCIS (Netherlands)

    Hyung, N.; Vries, de C.G.

    2007-01-01

    Consider the portfolio problem of choosing the mix between stocks and bonds under a downside risk constraint. Typically stock returns exhibit fatter tails than bonds corresponding to their greater downside risk. Downside risk criteria like the safety first criterion therefore often select corner

  6. Portfolio Selection with Heavy Tails

    NARCIS (Netherlands)

    N. Hyung (Namwon); C.G. de Vries (Casper)

    2004-01-01

    textabstractConsider the portfolio problem of choosing the mix between stocks and bonds under a downside risk constraint. Typically stock returns exhibit fatter tails than bonds corresponding to their greater downside risk. Downside risk criteria like the safety first criterion therefore of ten

  7. Does health affect portfolio choice?

    Science.gov (United States)

    Love, David A; Smith, Paul A

    2010-12-01

    A number of recent studies find that poor health is empirically associated with a safer portfolio allocation. It is difficult to say, however, whether this relationship is truly causal. Both health status and portfolio choice are influenced by unobserved characteristics such as risk attitudes, impatience, information, and motivation, and these unobserved factors, if not adequately controlled for, can induce significant bias in the estimates of asset demand equations. Using the 1992-2006 waves of the Health and Retirement Study, we investigate how much of the connection between health and portfolio choice is causal and how much is due to the effects of unobserved heterogeneity. Accounting for unobserved heterogeneity with fixed effects and correlated random effects models, we find that health does not appear to significantly affect portfolio choice among single households. For married households, we find a small effect (about 2-3 percentage points) from being in the lowest of five self-reported health categories. Copyright © 2009 John Wiley & Sons, Ltd.

  8. Supply contract and portfolio insurance

    Science.gov (United States)

    Runsheng Yin; Bob Izlar

    2001-01-01

    The long-term growth of institutional timberland investments depends on the ability of timberland investment management organizations (TIMO) to deal effectively with securitization, leveraging, arbitraging, supply contracting, portfolio insurance, tax efficiency enhancement, and other issues. Financial engineering holds great promise for many of these issues. This...

  9. Turnover activity in wealth portfolios

    NARCIS (Netherlands)

    Castaldi, C.; Milakovic, M.

    2007-01-01

    We examine several subsets of the wealthiest individuals in the US and the UK that are compiled by Forbes Magazine and the Sunday Times. Since these are named subsets, we can calculate the returns to wealth portfolios, and calibrate a statistical equilibrium model of wealth distribution that

  10. Turnover activity in wealth portfolios

    NARCIS (Netherlands)

    Castaldi, Carolina; Milakovic, Mishael

    We examine several subsets of the wealthiest individuals in the US and the UK that are compiled by Forbes Magazine and the Sunday Times. Since these are named subsets, we can calculate the returns to wealth portfolios, and calibrate a statistical equilibrium model of wealth distribution that

  11. HEURISTIC APPROACHES FOR PORTFOLIO OPTIMIZATION

    OpenAIRE

    Manfred Gilli, Evis Kellezi

    2000-01-01

    The paper first compares the use of optimization heuristics to the classical optimization techniques for the selection of optimal portfolios. Second, the heuristic approach is applied to problems other than those in the standard mean-variance framework where the classical optimization fails.

  12. Optimal Portfolio Choice with Annuitization

    NARCIS (Netherlands)

    Koijen, R.S.J.; Nijman, T.E.; Werker, B.J.M.

    2006-01-01

    We study the optimal consumption and portfolio choice problem over an individual's life-cycle taking into account annuity risk at retirement. Optimally, the investor allocates wealth at retirement to nominal, inflation-linked, and variable annuities and conditions this choice on the state of the

  13. Household Portfolios in the Netherlands

    NARCIS (Netherlands)

    Alessie, R.J.M.; Hochgürtel, S.; van Soest, A.H.O.

    2000-01-01

    We describe and analyse the portfolio structure of Dutch households using micro panel data from the CentER Savings Survey, 1993-1998.The data allows for a distinction between many types of assets.Moreover, we have information on mortgage debt, consumer debt, etc.We analyse the composition of

  14. Technology and Greenhouse Gas Emissions: An Integrated Scenario Analysis using the LBNL-NEMS model

    International Nuclear Information System (INIS)

    Koomey, J.G.; Latiner, S.; Markel, R.J.; Marnay, C.; Richey, R.C.

    1998-01-01

    This report describes an analysis of possible technology-based scenarios for the U.S. energy system that would result in both carbon savings and net economic benefits. We use a modified version of the Energy Information Administration's National Energy Modeling System (LBNL-NEMS) to assess the potential energy, carbon, and bill savings from a portfolio of carbon saving options. This analysis is based on technology resource potentials estimated in previous bottom-up studies, but it uses the integrated LBNL-NEMS framework to assess interactions and synergies among these options. The analysis in this paper builds on previous estimates of possible ''technology paths'' to investigate four major components of an aggressive greenhouse gas reduction strategy: (1) the large scale implementation of demand-side efficiency, comparable in scale to that presented in two recent policy studies on this topic; (2) a variety of ''alternative'' electricity supply-side options, including biomass cofiring, extension of the renewable production tax credit for wind, increased industrial cogeneration, and hydropower refurbishment. (3) the economic retirement of older and less efficient existing fossil-find power plants; and (4) a permit charge of $23 per metric ton of carbon (1996 $/t),l assuming that carbon trading is implemented in the US, and that the carbon permit charge equilibrates at this level. This level of carbon permit charge, as discussed later in the report, is in the likely range for the Clinton Administration's position on this topic

  15. Integrating atomistic molecular dynamics simulations, experiments and network analysis to study protein dynamics: strength in unity

    Directory of Open Access Journals (Sweden)

    Elena ePapaleo

    2015-05-01

    Full Text Available In the last years, we have been observing remarkable improvements in the field of protein dynamics. Indeed, we can now study protein dynamics in atomistic details over several timescales with a rich portfolio of experimental and computational techniques. On one side, this provides us with the possibility to validate simulation methods and physical models against a broad range of experimental observables. On the other side, it also allows a complementary and comprehensive view on protein structure and dynamics. What is needed now is a better understanding of the link between the dynamic properties that we observe and the functional properties of these important cellular machines. To make progresses in this direction, we need to improve the physical models used to describe proteins and solvent in molecular dynamics, as well as to strengthen the integration of experiments and simulations to overcome their own limitations. Moreover, now that we have the means to study protein dynamics in great details, we need new tools to understand the information embedded in the protein ensembles and in their dynamic signature. With this aim in mind, we should enrich the current tools for analysis of biomolecular simulations with attention to the effects that can be propagated over long distances and are often associated to important biological functions. In this context, approaches inspired by network analysis can make an important contribution to the analysis of molecular dynamics simulations.

  16. Comparison of Portfolio Selection and Performance: Shari’ah-Compliant and Socially Responsible Investment Portfolios

    Directory of Open Access Journals (Sweden)

    Mehmet Asutay

    2015-04-01

    Full Text Available This study examines the effect of Islamic screening criteria on Shari’ah-compliant portfolio selection and performance compared to Socially Responsible Investment (SRI portfolio. Each portfolio constructed from 15 stocks based on FTSE 100 using data from year 1997. Mean-variance portfolio optimization is employed with some financial ratios added as constraints for the Shari’ah portfolio. Annual expected return of each portfolio from 2008 to 2013 is used to calculate Sharpe’s ratio, Treynor ratio and Jensen’s alpha as the performance measurement tools. Macroeconomic variables are assessed using ordinary least square to examine whether they influence the portfolios’ expected returns or not. The result finds that Shari’ah portfolio has a better performance than SRI from year 2008 to 2010 shown by higher value of the measurement tools. However, from 2011 to 2013, SRI portfolio has better performance than Shari’ah portfolio

  17. Evaluating Style Analysis

    NARCIS (Netherlands)

    de Roon, F.A.; Nijman, T.E.; Ter Horst, J.R.

    2000-01-01

    In this paper we evaluate applications of (return based) style analysis.The portfolio and positivity constraints imposed by style analysis are useful in constructing mimicking portfolios without short positions.Such mimicking portfolios can be used, e.g., to construct efficient portfolios of mutual

  18. Fuzzy portfolio model with fuzzy-input return rates and fuzzy-output proportions

    Science.gov (United States)

    Tsaur, Ruey-Chyn

    2015-02-01

    In the finance market, a short-term investment strategy is usually applied in portfolio selection in order to reduce investment risk; however, the economy is uncertain and the investment period is short. Further, an investor has incomplete information for selecting a portfolio with crisp proportions for each chosen security. In this paper we present a new method of constructing fuzzy portfolio model for the parameters of fuzzy-input return rates and fuzzy-output proportions, based on possibilistic mean-standard deviation models. Furthermore, we consider both excess or shortage of investment in different economic periods by using fuzzy constraint for the sum of the fuzzy proportions, and we also refer to risks of securities investment and vagueness of incomplete information during the period of depression economics for the portfolio selection. Finally, we present a numerical example of a portfolio selection problem to illustrate the proposed model and a sensitivity analysis is realised based on the results.

  19. Portfolio optimization problem with nonidentical variances of asset returns using statistical mechanical informatics

    Science.gov (United States)

    Shinzato, Takashi

    2016-12-01

    The portfolio optimization problem in which the variances of the return rates of assets are not identical is analyzed in this paper using the methodology of statistical mechanical informatics, specifically, replica analysis. We defined two characteristic quantities of an optimal portfolio, namely, minimal investment risk and investment concentration, in order to solve the portfolio optimization problem and analytically determined their asymptotical behaviors using replica analysis. Numerical experiments were also performed, and a comparison between the results of our simulation and those obtained via replica analysis validated our proposed method.

  20. The feasibility and acceptability of using a portfolio to assess professional competence.

    Science.gov (United States)

    Miller, Patricia A; Tuekam, Rosine

    2011-01-01

    Little is known about physical therapists' views on the use of portfolios to evaluate professional competence. The purpose of this study was to gather the opinions of physical therapists on the feasibility and acceptability of a portfolio prepared to demonstrate evidence of clinical specialization through reported activities and accomplishments related to professional development, leadership, and research. Twenty-nine Canadian physical therapists practising in the neurosciences area were given 8 weeks to prepare a professional portfolio. Participants submitted the portfolio along with a survey addressing the preparation of the portfolio and its role as an assessment tool. Qualitative content analysis was used to interpret the participants' comments. Participants reported that maintaining organized records facilitated the preparation of their portfolio. They experienced pride when reviewing their completed portfolios, which summarized their professional activities and highlighted their achievements. Concerns were noted about the veracity of self-reported records and the ability of the documentation to provide a comprehensive view of the full scope of the professional competencies required for clinical specialization (e.g., clinical skills). The study's findings support the feasibility and acceptability of a portfolio review to assess professional competence and clinical specialization in physical therapy and have implications for both physical therapists and professional agencies.

  1. Alternative Investments: Valuation of Wine as a Means for Portfolio Diversification

    Directory of Open Access Journals (Sweden)

    Daiva Jurevičienė

    2015-03-01

    Full Text Available This article analyses wine as an alternative investment tool and its relevance for investment portfolio diversification. Advantages and disadvantages of alternatives, benefits and weakness and peculiarities of investing in wine are systemised. In addition, the article looks at statistical data analysis of fine wine market and compares wine with other investment tools. The examination is based on three investment instruments: US equities (using S&P 500 index, bonds (using US 20-Year treasury constant maturity rate/DGS20 and wine (based on Fine Wine Investable index using 1993–2012 (end of year data. The investment portfolios made with two and three above-mentioned investment tools basing on H. Markowitz’s investment portfolio theory and effective curves are presented. It was found that return on investments only from equities and bonds or wine and one of these traditional instruments are signally less than from the investment mix of all three tools. Furthermore, portfolios made only from equities and bonds provide the lowest return compared to others. Choosing from two investments portfolios, results of bond/wine portfolios propose higher return with the same risk level compared to equities/wine portfolio. Consequently, despite some slowdown of wine index during financial crises, wine relevance for portfolio diversification in post crises period was proved.

  2. Parallel processing of structural integrity analysis codes

    International Nuclear Information System (INIS)

    Swami Prasad, P.; Dutta, B.K.; Kushwaha, H.S.

    1996-01-01

    Structural integrity analysis forms an important role in assessing and demonstrating the safety of nuclear reactor components. This analysis is performed using analytical tools such as Finite Element Method (FEM) with the help of digital computers. The complexity of the problems involved in nuclear engineering demands high speed computation facilities to obtain solutions in reasonable amount of time. Parallel processing systems such as ANUPAM provide an efficient platform for realising the high speed computation. The development and implementation of software on parallel processing systems is an interesting and challenging task. The data and algorithm structure of the codes plays an important role in exploiting the parallel processing system capabilities. Structural analysis codes based on FEM can be divided into two categories with respect to their implementation on parallel processing systems. The first category codes such as those used for harmonic analysis, mechanistic fuel performance codes need not require the parallelisation of individual modules of the codes. The second category of codes such as conventional FEM codes require parallelisation of individual modules. In this category, parallelisation of equation solution module poses major difficulties. Different solution schemes such as domain decomposition method (DDM), parallel active column solver and substructuring method are currently used on parallel processing systems. Two codes, FAIR and TABS belonging to each of these categories have been implemented on ANUPAM. The implementation details of these codes and the performance of different equation solvers are highlighted. (author). 5 refs., 12 figs., 1 tab

  3. International portfolio diversification : Currency, industry and country effects revisited

    NARCIS (Netherlands)

    Eiling, E.; Gerard, B.; Hillion, P.; de Roon, F.A.

    2012-01-01

    We examine the relative importance of country, industry, world market and currency risk factors for international stock returns. Our approach focuses on testing the mean-variance efficiency of the various factor portfolios. An unconditional analysis does not show significant differences between

  4. European Market Portfolio Diversification Strategies across the GFC

    NARCIS (Netherlands)

    D.E. Allen (David); M.J. McAleer (Michael); R.J. Powell (Robert); A.K. Singh (Abhay)

    2014-01-01

    markdownabstract__Abstract__ is paper features an analysis of the effectiveness of a range of portfolio diversification strategies as applied to a set of daily arithmetically compounded returns on a set of ten market indices representing the major European markets for a nine year period from the

  5. Adopting service governance governing portfolio value for sound corporate citzenship

    CERN Document Server

    AXELOS, AXELOS

    2015-01-01

    Adopting Service Governance provides a useful umbrella for a number of frameworks including ITIL®, TOGAF®, COBIT®, ITSM, BSM, Business Analysis, Programme Management, Management of Value, Management of Portfolios and Management of Risk by establishing the top-down governance of an organisation through services.

  6. Optimal bank portfolio choice under fixed-rate deposit insurance

    OpenAIRE

    Anlong Li

    1991-01-01

    An analysis of the investment decisions of a bank whose deposits are fully insured under fixed-rate insurance, showing how banks dynamically adjust their investment portfolios in response to market information and how this flexibility affects both investment decisions and the fair cost of deposit insurance.

  7. Equity portfolio optimization: A DEA based methodology applied to the Zagreb Stock Exchange

    Directory of Open Access Journals (Sweden)

    Margareta Gardijan

    2015-10-01

    Full Text Available Most strategies for selection portfolios focus on utilizing solely market data and implicitly assume that stock markets communicate all relevant information to all market stakeholders, and that these markets cannot be influenced by investor activities. However convenient, this is a limited approach, especially when applied to small and illiquid markets such as the Croatian market, where such assumptions are hardly realistic. Thus, there is a demand for including other sources of data, such as financial reports. Research poses the question of whether financial ratios as criteria for stock selection are of any use to Croatian investors. Financial and market data from selected publicly companies listed on the Croatian capital market are used. A two-stage portfolio selection strategy is applied, where the first stage involves selecting stocks based on the respective Data Envelopment Analysis (DEA efficiency scores. DEA models are becoming popular in stock portfolio selection given that the methodology includes numerous models that provide a great flexibility in selecting inputs and outputs, which in turn are considered as criteria for portfolio selection. Accordingly, there is much room for improvement of the current proposed strategies for selecting portfolios. In the second stage, two portfolio-weighting strategies are applied using equal proportions and score-weighting. To show whether these strategies create outstanding out–of–sample portfolios in time, time-dependent DEA Window Analysis is applied using a reference time of one year, and portfolio returns are compared with the market portfolio for each period. It is found that the financial data are a significant indicator of the future performance of a stock and a DEA-based portfolio strategy outperforms market return.

  8. Office of Integrated Assessment and Policy Analysis

    International Nuclear Information System (INIS)

    Parzyck, D.C.

    1980-01-01

    The mission of the Office of Integrated Assessments and Policy Analysis (OIAPA) is to examine current and future policies related to the development and use of energy technologies. The principal ongoing research activity to date has focused on the impacts of several energy sources, including coal, oil shale, solar, and geothermal, from the standpoint of the Resource Conservation and Recovery Act. An additional project has recently been initiated on an evaluation of impacts associated with the implementation of the Toxic Substances Control Act. The impacts of the Resource Conservation and Recovery Act and the Toxic Substances Control Act on energy supply constitute the principal research focus of OIAPA for the near term. From these studies a research approach will be developed to identify certain common elements in the regulatory evaluation cycle as a means of evaluating subsequent environmental, health, and socioeconomic impact. It is planned that an integrated assessment team examine studies completed or underway on the following aspects of major regulations: health, risk assessment, testing protocols, environment control cost/benefits, institutional structures, and facility siting. This examination would assess the methodologies used, determine the general applicability of such studies, and present in a logical form information that appears to have broad general application. A suggested action plan for the State of Tennessee on radioactive and hazardous waste management is outlined

  9. Integrating Data Transformation in Principal Components Analysis

    KAUST Repository

    Maadooliat, Mehdi

    2015-01-02

    Principal component analysis (PCA) is a popular dimension reduction method to reduce the complexity and obtain the informative aspects of high-dimensional datasets. When the data distribution is skewed, data transformation is commonly used prior to applying PCA. Such transformation is usually obtained from previous studies, prior knowledge, or trial-and-error. In this work, we develop a model-based method that integrates data transformation in PCA and finds an appropriate data transformation using the maximum profile likelihood. Extensions of the method to handle functional data and missing values are also developed. Several numerical algorithms are provided for efficient computation. The proposed method is illustrated using simulated and real-world data examples.

  10. Contract portfolio optimization for a gasoline supply chain

    Science.gov (United States)

    Wang, Shanshan

    Major oil companies sell gasoline through three channels of trade: branded (associated with long-term contracts), unbranded (associated with short-term contracts), and spot market. The branded channel provides them with a long-term secured and sustainable demand source, but requires an inflexible long-term commitment with demand and price risks. The unbranded channel provides a medium level of allocation flexibility. The spot market provides them with the greatest allocation flexibility to the changing market conditions, but the spot market's illiquidity mitigates this benefit. In order to sell the product in a profitable and sustainable way, they need an optimal contract portfolio. This dissertation addresses the contract portfolio optimization problem from different perspectives (retrospective view and forward-looking view) at different levels (strategic level, tactical level and operational level). The objective of the retrospective operational model is to develop a financial case to estimate the business value of having a dynamic optimization model and quantify the opportunity values missed in the past. This model proves the financial significance of the problem and provides top management valuable insights into the business. BP has applied the insights and principles gained from this work and implemented the model to the entire Midwest gasoline supply chain to retrospectively review optimization opportunities. The strategic model is the most parsimonious model that captures the essential economic tradeoffs among different contract types, to demonstrate the need for a contract portfolio and what drives the portfolio. We examine the properties of the optimal contract portfolio and provide a comparative statics analysis by changing the model parameters. As the strategic model encapsulates the business problem at the macroscopic level, the tactical model resolves lower level issues. It considers the time dynamics, the information flow and contracting flow. Using

  11. The learning portfolio in the Royal Danish Air Force

    DEFF Research Database (Denmark)

    Shapiro, Allan

    Integrating the resilience approach in the management curriculum is a challenge. The study claims that the epistemological constructivist mindset of sense-making delivered via the learning portfolio, can be an advantageous individual prerequisite in acknowledging resilience engineering, as an imp......Integrating the resilience approach in the management curriculum is a challenge. The study claims that the epistemological constructivist mindset of sense-making delivered via the learning portfolio, can be an advantageous individual prerequisite in acknowledging resilience engineering......, as an important new way of conceptualizing and designing aeronautic safety. By using this particular didactic design, the study shows promising results in terms of making highly specialized personnel (pilots) grasp the complexity of the sense-making approach - the human being as a complex autonomous meaning...

  12. Are Korean Industry-Sorted Portfolios Mean Reverting?

    Directory of Open Access Journals (Sweden)

    Seongman Moon

    2016-06-01

    Full Text Available This paper tests the weak-form efficient market hypothesis for Korean industry-sorted portfolios. Based on a panel variance ratio approach, we find significant mean reversion of stock returns over long horizons in the pre Asian currency crisis period but little evidence in the post-crisis period. Our empirical findings are consistent with the fact that Korea accelerated its integration with international financial market by implementing extensive capital liberalization since the crisis.

  13. Portfolio optimization in electricity markets

    International Nuclear Information System (INIS)

    Liu, Min; Wu, Felix F.

    2007-01-01

    In a competitive electricity market, Generation companies (Gencos) face price risk and delivery risk that affect their profitability. Risk management is an important and essential part in the Genco's decision making. In this paper, risk management through diversification is considered. The problem of energy allocation between spot markets and bilateral contracts is formulated as a general portfolio optimization problem with a risk-free asset and n risky assets. Historical data of the PJM electricity market are used to demonstrate the approach. (author)

  14. Qualitative Analysis of Integration Adapter Modeling

    OpenAIRE

    Ritter, Daniel; Holzleitner, Manuel

    2015-01-01

    Integration Adapters are a fundamental part of an integration system, since they provide (business) applications access to its messaging channel. However, their modeling and configuration remain under-represented. In previous work, the integration control and data flow syntax and semantics have been expressed in the Business Process Model and Notation (BPMN) as a semantic model for message-based integration, while adapter and the related quality of service modeling were left for further studi...

  15. PHIDIAS- Pathogen Host Interaction Data Integration and Analysis

    Indian Academy of Sciences (India)

    PHIDIAS- Pathogen Host Interaction Data Integration and Analysis- allows searching of integrated genome sequences, conserved domains and gene expressions data related to pathogen host interactions in high priority agents for public health and security ...

  16. Sustainability-Oriented Financial Resource Allocation in a Project Portfolio through Multi-Criteria Decision-Making

    Directory of Open Access Journals (Sweden)

    Nomeda Dobrovolskienė

    2016-05-01

    Full Text Available Modern portfolio theory attempts to maximize the expected return of a portfolio for a given level of portfolio risk, or equivalently minimize risk for a given level of expected return. The reality, however, shows that, when selecting projects to a portfolio and allocating resources in the portfolio, an increasing number of organizations take into account other aspects as well. As a result of the sole purpose (risk-return, it offers only a partial solution for a sustainable organization. Existing project portfolio selection and resource allocation methods and models do not consider sustainability. Therefore, the aim of this article is to develop a sustainability-oriented model of financial resource allocation in a project portfolio by integrating a composite sustainability index of a project into Markowitz’s classical risk-return scheme (mean-variance model. The model was developed by applying multi-criteria decision-making methods. The practicability of the model was tested by an empirical study in a selected construction company. The proposed sustainability-oriented financial resource allocation model could be used in allocating financial resources in any type of business. The use of the model would not only help organisations to manage risk and achieve higher return but would also allow carrying out sustainable projects, thereby promoting greater environmental responsibility and giving more consideration to the wellbeing of future generations. Moreover, the model allows quantifying the impact of the integration of sustainability into financial resource allocation on the return of a portfolio.

  17. Making sense with ePortfolios

    DEFF Research Database (Denmark)

    Poulsen, Bo Klindt; Dimsits, Miriam

    2017-01-01

    of the statements from the students concerning their understanding of ePortfolio processes are fundamentally questions of how to make sense of the ePortfolio tool, both in their professional and personal lives. This calls for a didactical stance with the teachers who use ePortfolios, based on empowerment through......This article discusses the question of making sense out of working with ePortfolio in adult education. The article presents the results of a small-scale survey among adults in continuing education who have worked with ePortfolio as the central didactic principle. It is argued that many...... meaning-making, in order for ePortfolios to make sense. It is suggested that two relevant didactic perspectives for making sense of the world can be found in theories of biographicity and metaphor work. Moreover, a strong didactic stance that supports sense-making must be based on a strong teacher role...

  18. IT APPLICATIONS PORTFOLIO MANAGEMENT UNDER BUSINESS AND IMPLEMENTATION UNCERTAINTY

    Institute of Scientific and Technical Information of China (English)

    Masafumi KOTANI; Junichi IIJIMA

    2008-01-01

    Corporations need to improve business processes in order to enhance velocity and service levels while reducing their processing costs and differentiating themselves in the face of competition.The levitation of importance beyond support roles has raised IT investment decisions to high priority in chief executive officers'agendas.Corporate planning groups as well as lines of business are increasingly applying techniques of IT applications portfolio management in a more systematic fashion to improve decision-making and resource-allocation processes. Recent advances in software engineering and IT service delivery methodologies have achieved the logical separation of business functions from implementation.This separation has made a new breed of innovative IT project possible with a new project risk structure;the adjustment of portfolio management techniques is appropriate.We present an integrated portfolio management model so that the corporation can focus on organic growth through sources at both the department and top management levels.The research gives clear advice as to how top management can seek economic growth by selecting an entrepreneurial strategic posture,implying a strong risk-taking propensity.By integrating a risk-return model and risk-tolerance paradigm to cope with today's risk structure,overall capabilities can improve the decision process and the corporation's performance as well.The application of the integrated technique to a Japanese manufacturing firm is described.

  19. More efficient optimization of long-term water supply portfolios

    Science.gov (United States)

    Kirsch, Brian R.; Characklis, Gregory W.; Dillard, Karen E. M.; Kelley, C. T.

    2009-03-01

    The use of temporary transfers, such as options and leases, has grown as utilities attempt to meet increases in demand while reducing dependence on the expansion of costly infrastructure capacity (e.g., reservoirs). Earlier work has been done to construct optimal portfolios comprising firm capacity and transfers, using decision rules that determine the timing and volume of transfers. However, such work has only focused on the short-term (e.g., 1-year scenarios), which limits the utility of these planning efforts. Developing multiyear portfolios can lead to the exploration of a wider range of alternatives but also increases the computational burden. This work utilizes a coupled hydrologic-economic model to simulate the long-term performance of a city's water supply portfolio. This stochastic model is linked with an optimization search algorithm that is designed to handle the high-frequency, low-amplitude noise inherent in many simulations, particularly those involving expected values. This noise is detrimental to the accuracy and precision of the optimized solution and has traditionally been controlled by investing greater computational effort in the simulation. However, the increased computational effort can be substantial. This work describes the integration of a variance reduction technique (control variate method) within the simulation/optimization as a means of more efficiently identifying minimum cost portfolios. Random variation in model output (i.e., noise) is moderated using knowledge of random variations in stochastic input variables (e.g., reservoir inflows, demand), thereby reducing the computing time by 50% or more. Using these efficiency gains, water supply portfolios are evaluated over a 10-year period in order to assess their ability to reduce costs and adapt to demand growth, while still meeting reliability goals. As a part of the evaluation, several multiyear option contract structures are explored and compared.

  20. Post-modern portfolio theory supports diversification in an investment portfolio to measure investment's performance

    OpenAIRE

    Rasiah, Devinaga

    2012-01-01

    This study looks at the Post-Modern Portfolio Theory that maintains greater diversification in an investment portfolio by using the alpha and the beta coefficient to measure investment performance. Post-Modern Portfolio Theory appreciates that investment risk should be tied to each investor's goals and the outcome of this goal did not symbolize economic of the financial risk. Post-Modern Portfolio Theory's downside measure generated a noticeable distinction between downside and upside volatil...

  1. Portfolios with nonlinear constraints and spin glasses

    Science.gov (United States)

    Gábor, Adrienn; Kondor, I.

    1999-12-01

    In a recent paper Galluccio, Bouchaud and Potters demonstrated that a certain portfolio problem with a nonlinear constraint maps exactly onto finding the ground states of a long-range spin glass, with the concomitant nonuniqueness and instability of the optimal portfolios. Here we put forward geometric arguments that lead to qualitatively similar conclusions, without recourse to the methods of spin glass theory, and give two more examples of portfolio problems with convex nonlinear constraints.

  2. Correlation risk and optimal portfolio choice

    OpenAIRE

    Buraschi, Andrea; Porchia, Paolo; Trojani, Fabio

    2010-01-01

    We develop a new framework for multivariate intertemporal portfolio choice that allows us to derive optimal portfolio implications for economies in which the degree of correlation across industries, countries, or asset classes is stochastic. Optimal portfolios include distinct hedging components against both stochastic volatility and correlation risk. We find that the hedging demand is typically larger than in univariate models, and it includes an economically significant covariance hedging...

  3. Preparing for the European Language Portfolio: Internet connections

    Directory of Open Access Journals (Sweden)

    Mualla Bilgin AKSU

    2005-01-01

    Full Text Available Preparing for the European Language Portfolio: Internet connections Lectures Philip GLOVER Asst. Prof. Dr. Ismail Hakký MIRICI Akdeniz University Faculty of Education, ELT Department Antalya-TURKEY Prof. Dr. Mualla Bilgin AKSU Inonu University, Faculty of Education, Educational Sciences Department Malatya, TURKEY ABSTRACT The European Language Portfolio (ELP is a tool for developing learner responsibility and autonomy through reflection and self-awareness. The ELP is based on the Common European Framework (CEF Reference Levels that enable learners to describe what they can do in different languages. The CEF is a Council of Europe initiative aimed at improving the learning of foreign languages. This paper uses the internet to look at how the ELP has been implemented in different settings and to suggest how the ELP may be approached. The paper introduces a small-scale case study of ELP pilot implementation in a university preparatory school. The results from this institution show many similarities with responses in other places, and demonstrate the importance of integrating the ELP with the existing programme, providing teacher training and clarifying the status and purpose of the ELP. Analysis of documents on the internet shows a number of important factors. The most successful examples of ELP use involved integration of the ELP in the institution’s programme, training for teachers and students and a high level of commitment of time and financial resources by teachers and administrators. Responses from teachers were often extremely positive, others showed interest but many also expressed reservations about the ELP. Student responses were generally but not universally positive and a number of criticisms were raised concerning the status and purpose of the ELP. The paper provides full internet links so readers can access the same documents. The paper concludes firstly that future ELP use could exploit the internet for teacher training and

  4. Portfolio Αssessment of Speaking Skills in English as a Foreign Language in Primary Education

    Directory of Open Access Journals (Sweden)

    Georgia Efthymiou

    2012-02-01

    Full Text Available This study focuses on the assessment of speaking skills with reference to young learners. This is achieved by using an alternative method of assessment, namely portfolios. The general aim is to introduce learners’ to portfolio assessment of their speaking skills and to promote further learning and autonomy making, thus, learning and assessment coexist in a non-threatening mode. Three methodological tools are used for this research; a needs analysis questionnaire addressing the pupils��� needs of the fifth grade of a Greek primary school, the European Portfolio of Languages (ELP - used in tandem with the oral portfolio Dossier - and a final evaluation questionnaire given to the pupils after the completion of the oral portfolio project. Based on the statistical analysis of pupils’ evaluation results and the teacher’s observation throughout the school year, it is evident that the oral portfolio denotes a time-consuming and laborious assessment process. Nevertheless, the pupils see it as an interesting experience and are willing to use it again in the future. In conclusion, students’ portfolios are an innovative method of assessment that can actually promote the development of speaking skills and young learners’ metacognitive strategies in the EFL classroom, and raise their interest in learning.

  5. Applying Financial Portfolio Analysis to Government Program Portfolios

    Science.gov (United States)

    2007-06-01

    himself points out, “The Rational Man, like the unicorn , does not exist” (Markowitz, 1959). The various investor assumptions presented above break down...originally envisioned benefits quickly grow (Levine, 2005). As a recent Government Accountability Office report notes, the sheer size of IT spending in the...shows no change in EAC for the first three quarters and a decrease in the fourth quarter- although the SV and CV shrink and grow during the same period

  6. Migration in Deltas: An Integrated Analysis

    Science.gov (United States)

    Nicholls, Robert J.; Hutton, Craig W.; Lazar, Attila; Adger, W. Neil; Allan, Andrew; Arto, Inaki; Vincent, Katharine; Rahman, Munsur; Salehin, Mashfiqus; Sugata, Hazra; Ghosh, Tuhin; Codjoe, Sam; Appeaning-Addo, Kwasi

    2017-04-01

    Deltas and low-lying coastal regions have long been perceived as vulnerable to global sea-level rise, with the potential for mass displacement of exposed populations. The assumption of mass displacement of populations in deltas requires a comprehensive reassessment in the light of present and future migration in deltas, including the potential role of adaptation to influence these decisions. At present, deltas are subject to multiple drivers of environmental change and often have high population densities as they are accessible and productive ecosystems. Climate change, catchment management, subsidence and land cover change drive environmental change across all deltas. Populations in deltas are also highly mobile, with significant urbanization trends and the growth of large cities and mega-cities within or adjacent to deltas across Asia and Africa. Such migration is driven primarily by economic opportunity, yet environmental change in general, and climate change in particular, are likely to play an increasing direct and indirect role in future migration trends. The policy challenges centre on the role of migration within regional adaptation strategies to climate change; the protection of vulnerable populations; and the future of urban settlements within deltas. This paper reviews current knowledge on migration and adaptation to environmental change to discern specific issues pertinent to delta regions. It develops a new integrated methodology to assess present and future migration in deltas using the Volta delta in Ghana, Mahanadi delta in India and Ganges-Brahmaputra-Meghna delta across India and Bangladesh. The integrated method focuses on: biophysical changes and spatial distribution of vulnerability; demographic changes and migration decision-making using multiple methods and data; macro-economic trends and scenarios in the deltas; and the policies and governance structures that constrain and enable adaptation. The analysis is facilitated by a range of

  7. Decarbonization of the U.S. electricity sector: Are state energy policy portfolios the solution?

    International Nuclear Information System (INIS)

    Carley, Sanya

    2011-01-01

    State governments have taken the lead on U.S. energy and climate policy. It is not yet clear, however, whether state energy policy portfolios can generate results in a similar magnitude or manner to their presumed carbon mitigation potential. This article seeks to address this lack of policy evidence and contribute empirical insights on the carbon mitigation effects of state energy portfolios within the U.S. electricity sector. Using a dynamic, long-term electricity dispatch model with U.S. power plant, utility, and transmission and distribution data between 2010 and 2030, this analysis builds a series of state-level policy portfolio scenarios and performs a comparative scenario analysis. Results reveal that state policy portfolios have modest to minimal carbon mitigation effects in the long run if surrounding states do not adopt similar portfolios as well. The difference in decarbonization potential between isolated state policies and larger, more coordinated policy efforts is due in large part to carbon leakage, which is the export of carbon intensive fossil fuel-based electricity across state lines. Results also confirm that a carbon price of $50/metric ton CO 2 e can generate substantial carbon savings. Although both policy options - an energy policy portfolio or a carbon price - are effective at reducing carbon emissions in the present analysis, neither is as effective alone as when the two strategies are combined. - Research highlights: → Scenario modeling exercise to assess effectiveness of state energy policy portfolios. → Regional coordination has greater decarbonization potential than state policies. → Some states benefit more from regional policy coordination than others. → Emissions leakage attenuates the effect of isolated state policy portfolios. → Carbon price with coordinated energy portfolio has greatest decarbonization potential.

  8. Mean-Reverting Portfolio With Budget Constraint

    Science.gov (United States)

    Zhao, Ziping; Palomar, Daniel P.

    2018-05-01

    This paper considers the mean-reverting portfolio design problem arising from statistical arbitrage in the financial markets. We first propose a general problem formulation aimed at finding a portfolio of underlying component assets by optimizing a mean-reversion criterion characterizing the mean-reversion strength, taking into consideration the variance of the portfolio and an investment budget constraint. Then several specific problems are considered based on the general formulation, and efficient algorithms are proposed. Numerical results on both synthetic and market data show that our proposed mean-reverting portfolio design methods can generate consistent profits and outperform the traditional design methods and the benchmark methods in the literature.

  9. Parametric Portfolio Policies with Common Volatility Dynamics

    DEFF Research Database (Denmark)

    Ergemen, Yunus Emre; Taamouti, Abderrahim

    A parametric portfolio policy function is considered that incorporates common stock volatility dynamics to optimally determine portfolio weights. Reducing dimension of the traditional portfolio selection problem significantly, only a number of policy parameters corresponding to first- and second......-order characteristics are estimated based on a standard method-of-moments technique. The method, allowing for the calculation of portfolio weight and return statistics, is illustrated with an empirical application to 30 U.S. industries to study the economic activity before and after the recent financial crisis....

  10. Visuals Matter! Designing and using effective visual representations to support project and portfolio decisions

    DEFF Research Database (Denmark)

    Geraldi, Joana; Arlt, Mario

    . They can help managers to be sharper and quicker, especially if visuals are used in a mindful manner. The intent of this book is to increase the awareness of project, program and portfolio practitioners and scholars about the importance of visuals and to provide practical recommendations on how they can......This book is the result of a two-year research project, funded by Project Management Institute and University College London on data visualization in the project and portfolio management contexts. Visuals are powerful and constitute an integral part of analyzing problems and making decisions...... be used and designed mindfully. The research, which underpins this book, focuses on the impact of visuals on cognition of data in project portfolio decisions. The complexity of portfolio problems often exceed human cognitive limitations as a result of a number of factors, such as the large number...

  11. Integration of risk analysis, land use planning, and cost analysis

    International Nuclear Information System (INIS)

    Rajen, G.; Sanchez, G.

    1994-01-01

    The Department of Energy (DOE) and the Pueblo of San Ildefonso (Pueblo), which is a sovereign Indian tribe, have often been involved in adversarial situations regarding the Los Alamos National Laboratory (LANL). The Pueblo shares a common boundary with the LANL. This paper describes an on-going project that could alter the DOE and the Pueblo's relationship to one of cooperation; and unite the DOE and the Pueblo in a Pollution Prevention/Waste Minimization, and Integrated Risk Analysis and Land Use Planning effort

  12. Low volatility sector-based portfolios: a South African case

    African Journals Online (AJOL)

    Black pointed out that when investors are restricted from using leverage or bor- ..... takes into account the correlation between the sectors in a portfolio. ..... 3The information ratio of a portfolio is the active premium (portfolio annualised return ...

  13. Portfolio Diversification with Commodity Futures: Properties of Levered Futures

    NARCIS (Netherlands)

    Woodard, J.D.; Egelkraut, T.M.; Garcia, P.; Pennings, J.M.E.

    2005-01-01

    Portfolio Diversification with Commodity Futures: Properties of Levered Futures This study extends previous work on the impact of commodity futures on portfolio performance by explicitly incorporating levered futures into the portfolio optimization problem. Using data on nine individual commodity

  14. Methodical approaches to assessment of quality of the bank loan portfolio

    Directory of Open Access Journals (Sweden)

    Tysyachna Yunna S.

    2014-01-01

    Full Text Available The goal of the article lies in the study of basic methodical approaches to assessment of the quality of the bank loan portfolio, identification of specific features of their practical application and justification of selection of the most appropriate for the modern economic conditions. The article considers three main groups of methods of assessment of the quality of the bank loan portfolio: expert evaluation methods and statistical and analytical methods. It goes without saying that in order to obtain an objective assessment of quality of the bank loan portfolio it is necessary to apply a complex approach, however, due to some advantages and shortcomings of the studied methods, the author marks expediency of building an integral indicator, taxonomic in particular, in order to obtain a complex, objective and efficient assessment of the bank loan portfolio. Prospects of further studies in this direction are assessment of the quality of the loan portfolio of the first group banks by the size of their assets through building integral taxonomic indicators and identification, on this basis, of factors that influence the quality of the loan portfolio with the aim of improvement of the mechanism of management of the bank lending activity.

  15. Risk analysis for U.S. offshore wind farms: the need for an integrated approach.

    Science.gov (United States)

    Staid, Andrea; Guikema, Seth D

    2015-04-01

    Wind power is becoming an increasingly important part of the global energy portfolio, and there is growing interest in developing offshore wind farms in the United States to better utilize this resource. Wind farms have certain environmental benefits, notably near-zero emissions of greenhouse gases, particulates, and other contaminants of concern. However, there are significant challenges ahead in achieving large-scale integration of wind power in the United States, particularly offshore wind. Environmental impacts from wind farms are a concern, and these are subject to a number of on-going studies focused on risks to the environment. However, once a wind farm is built, the farm itself will face a number of risks from a variety of hazards, and managing these risks is critical to the ultimate achievement of long-term reductions in pollutant emissions from clean energy sources such as wind. No integrated framework currently exists for assessing risks to offshore wind farms in the United States, which poses a challenge for wind farm risk management. In this "Perspective", we provide an overview of the risks faced by an offshore wind farm, argue that an integrated framework is needed, and give a preliminary starting point for such a framework to illustrate what it might look like. This is not a final framework; substantial work remains. Our intention here is to highlight the research need in this area in the hope of spurring additional research about the risks to wind farms to complement the substantial amount of on-going research on the risks from wind farms. © 2015 Society for Risk Analysis.

  16. Reliability of Portfolio: A Closer Look at Findings from Recent Publications

    Science.gov (United States)

    Oskay, Ozge Ozyalcin; Schallies, Michael; Morgil, Inci

    2008-01-01

    In this review article, conventional portfolio assessment and new developments in portfolio assessment are investigated. The concept of portfolio, portfolio building steps, contents of portfolio, evaluation of portfolio, advantages, disadvantages and concerns in using portfolio as well as validity and reliability of portfolio assessment are…

  17. IMP: Integrated method for power analysis

    Energy Technology Data Exchange (ETDEWEB)

    1989-03-01

    An integrated, easy to use, economical package of microcomputer programs has been developed which can be used by small hydro developers to evaluate potential sites for small scale hydroelectric plants in British Columbia. The programs enable evaluation of sites located far from the nearest stream gauging station, for which streamflow data are not available. For each of the province's 6 hydrologic regions, a streamflow record for one small watershed is provided in the data base. The program can then be used to generate synthetic streamflow records and to compare results obtained by the modelling procedure with the actual data. The program can also be used to explore the significance of modelling parameters and to develop a detailed appreciation for the accuracy which can be obtained under various circumstances. The components of the program are an atmospheric model of precipitation; a watershed model that will generate a continuous series of streamflow data, based on information from the atmospheric model; a flood frequency analysis system that uses site-specific topographic data plus information from the atmospheric model to generate a flood frequency curve; a hydroelectric power simulation program which determines daily energy output for a run-of-river or reservoir storage site based on selected generation facilities and the time series generated in the watershed model; and a graphic analysis package that provides direct visualization of data and modelling results. This report contains a description of the programs, a user guide, the theory behind the model, the modelling methodology, and results from a workshop that reviewed the program package. 32 refs., 16 figs., 18 tabs.

  18. Teaching empirical finance courses: A project on portfolio management

    Directory of Open Access Journals (Sweden)

    Bruce Morley

    2016-12-01

    Full Text Available The aim of this article was to assess the use of a group-based project for an empirical finance type of course. It examines the outline of the project, the methodology the students are encouraged to follow and how the course is assessed. This approach enables the students to apply many of the techniques learnt on this course and other courses such as econometrics, to determine an optimal portfolio of assets given their view on the risks in the economy. The emphasis is on risk management through portfolio diversification and the use of a simple hedge strategy. The overall aim was to introduce the students to the basics of portfolio management, as many work in this industry for their industrial placements and when they graduate. The main contribution to the literature is through the analysis of an empirically based portfolio management project. The feedback from the students suggests they felt that they had learnt useful concepts and information, in an enjoyable exercise.

  19. Continuous-Time Mean-Variance Portfolio Selection with Random Horizon

    International Nuclear Information System (INIS)

    Yu, Zhiyong

    2013-01-01

    This paper examines the continuous-time mean-variance optimal portfolio selection problem with random market parameters and random time horizon. Treating this problem as a linearly constrained stochastic linear-quadratic optimal control problem, I explicitly derive the efficient portfolios and efficient frontier in closed forms based on the solutions of two backward stochastic differential equations. Some related issues such as a minimum variance portfolio and a mutual fund theorem are also addressed. All the results are markedly different from those in the problem with deterministic exit time. A key part of my analysis involves proving the global solvability of a stochastic Riccati equation, which is interesting in its own right

  20. Confident and "wrong"? Towards a mindful use of visuals in project portfolio decisions

    DEFF Research Database (Denmark)

    Geraldi, Joana; Arlt, Mario

    Portfolios exhibit a degree of complexity that easily exceeds the human ability to achieve optimal decisions through mere intuition. Making sense of this complexity involves a wise use of larger quantity of data. Visuals can help the analysis of more data through different perspectives. Yet......, visuals can also aggravate the challenges involved in portfolio decisions. Inspired by Weick and Sufcliffe’s concept of mindfulness, we conducted an experiment with 204 participants to explore how to use visual mindfully in project portfolio context. The results suggest that use of purposeful and familiar...