WorldWideScience

Sample records for international portfolio addressing

  1. 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.

  2. 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.

  3. Currency Hedging for International Stock Portfolios

    NARCIS (Netherlands)

    F.A. de Roon (Frans); T.E. Nijman (Theo); B.J.M. Werker

    2000-01-01

    textabstractThis paper tests whether hedging currency risk improves the performance of international stock portfolios. We use a generalized performance measure which allows for investor-dependencies such as different utility functions and the presence of nontraded risks. In addition we show that an

  4. Portfolio selection using genetic algorithms | Yahaya | International ...

    African Journals Online (AJOL)

    In this paper, one of the nature-inspired evolutionary algorithms – a Genetic Algorithms (GA) was used in solving the portfolio selection problem (PSP). Based on a real dataset from a popular stock market, the performance of the algorithm in relation to those obtained from one of the popular quadratic programming (QP) ...

  5. Financial education, investor protection and international portfolio diversification

    OpenAIRE

    Maela Giofré

    2012-01-01

    This paper investigates the tension between regulation and financial education in explaining one of the major puzzles in international finance, that is the lack of international diversification. We show that both dimensions are relevant: higher investor’s financial education fosters international investment and stronger minority investor protection legislation attracts inward investment. More interestingly, these factors appear to be substitute in enhancing investor’s portfolio diversificatio...

  6. 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…

  7. 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

  8. Currency Hedging for International Stock Portfolios : A General Approach

    NARCIS (Netherlands)

    de Roon, F.A.; Nijman, T.E.; Werker, B.J.M.

    1999-01-01

    This paper tests whether hedging currency risk improves the performance of international stock portfolios. We use a generalized performance measure which allows for investor-dependencies such as different utility functions and the presence of nontraded risks. In addition we show that an auxiliary

  9. 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.

  10. Towards an international address standard

    CSIR Research Space (South Africa)

    Coetzee, S

    2008-02-01

    Full Text Available in a better user experience. Standards compliance allows for the separation of concerns: HTML for content, Cascading Style Sheets (CSS) for presentation and JavaScript for dynamic behaviour. Standards compliant documents are also...) and cascading style sheets through CSS (CSS n.d.), whilst the JavaScript specification has been standardised by Ecma International (another standards organisation for information and communication systems), in the form of EcmaScript (Ecma...

  11. Keynote address: International nuclear cooperation

    International Nuclear Information System (INIS)

    Kennedy, R.T.

    1989-01-01

    These meetings provide an important opportunity for the nuclear community to assess the scope and direction of its wide-ranging activities. Nuclear technology has given us the tools to understand and shape our physical environment in ways which can solve ancient problems of health, food supply, energy, and many others which affect the quality of our lives. International cooperation is necessary to secure the peaceful benefits of nuclear technology. Meeting global energy needs must be high on any priority list of issues for the coming decade and the 21st century. The satisfaction of energy needs is today and will increasingly be a crucial factor in international stability. Hand in hand with the need to assure energy sufficiency is the need to assure the long-term protection of the environment. Three key elements that give a useful framework for approaching the future of nuclear cooperation are technological factors, economic issues, and political acceptability. Technological avenues to greater safety must be vigorously pursued. Economic alternatives must be identified and objectively weighed. Most important of all, the framework of public confidence must be strengthened

  12. Filling the assessment gap: using a learning portfolio in international development courses.

    Science.gov (United States)

    Omar, Mayeh Abu

    2006-01-01

    The purpose of this research is to describe an action research project that proposed, monitored and evaluated the introduction of a learning portfolio used to replace examinations that were formerly used to assess the core courses. An action research project was undertaken to find out whether the introduction of a portfolio was successful and what could be improved in the process of its implementation. The findings indicate that portfolios are effective to support and assess the academic development of international students. The introduction of a portfolio to replace written examinations in the NCIHD was welcomed by all concerned.

  13. International portfolio diversification, skewness and the role of gold

    OpenAIRE

    LUCEY, BRIAN MICHAEL

    2007-01-01

    PUBLISHED The paper examines the optimal allocation of assets in well diversified equity based portfolio where the investor is concerned not only with mean and variance but also with the skewness of the returns.

  14. International Technology-Oriented Agreements to Address Climate Change

    International Nuclear Information System (INIS)

    De Coninck, H.C.; Fischer, C.; Newell, R.G.; Ueno, T.

    2007-01-01

    Much discussion has surrounded possible alternatives for international agreements on climate change, particularly post-2012. Among these alternatives, technology-oriented agreements (TOAs) are perhaps the least well defined. We explore what TOAs may consist of, why they might be sensible, which TOAs already exist in international energy and environmental governance, and whether they have the potential to make a valuable contribution to addressing climate change. We conclude that TOAs aimed at knowledge sharing and coordination, research, development, or demonstration could increase the overall efficiency and effectiveness of international climate cooperation, but have limited environmental effectiveness on their own. Technology transfer agreements are likely to have similar properties unless the level of resources expended on them is large, in which case they could be environmentally significant. Technology mandates, standards, or incentives can be environmentally effective, within the applicable sector. However, they are likely to be less cost-effective than broad-based, flexible approaches that place a price on emissions. These results indicate that TOAs have the potential to improve the effectiveness of the global response to climate change. The success of specific TOAs will depend on their design, implementation, and the role they are expected to play relative to other components of the climate policy portfolio

  15. Selected international efforts to address climate change

    Energy Technology Data Exchange (ETDEWEB)

    Seki, M.; Christ, R. [Atmosphere Unit, United Nations Environment Programme UNEP, Nairobi (Kenya)

    1995-12-31

    Over the past two decades, concern about human-induced climate change has become an increasingly important item on the environmental and political agenda. The signing of the United Nations Framework Convention on Climate Change and the adoption of Agenda 21 at the United Nations Conference on Environment and Development in Rio de Janeiro in 1992 provided international organizations and the nations of the world with a new focus for climate-related activities. Although there remains considerable scientific uncertainty about the extent, magnitude, and rate of climate change and the impacts of such change, actions to address climate change have been initiated both internationally and nationally. Major international activities include the World Climate Programme, the Intergovernmental Panel on Climate Change, the United Nations Framework Convention on Climate Change. and the United Nations Environment Program me. 16 refs.

  16. International portfolio flows and exchange rate volatility for emerging markets

    OpenAIRE

    Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Fabio; Spagnolo, Nicola

    2015-01-01

    This paper investigates the effects of equity and bond portfolio inflows on exchange rate volatility, using monthly bilateral data for the US vis-a-vis eight Asian developing and emerging countries (India, Indonesia, South Korea, Pakistan, Hong Kong, Thailand, the Philippines, and Taiwan) over the period 1993:01-2012:11, and estimating a time-varying transition probability Markov-switching model. We find that net equity (bond) inflows drive the exchange rate to a high (low) volatility state. ...

  17. Effective Stock Selection and Portfolio Construction Within US, International, and Emerging Markets

    Directory of Open Access Journals (Sweden)

    Bijan Beheshti

    2018-05-01

    Full Text Available In this paper, we explore the ex-post attributes of 120 simulated portfolios across the U.S., International, and Emerging Markets. We estimate expected returns using a given global stock selection model employing Global Equity Rating (GLER and Consensus Temporary Earnings Forecasting (CTEF signals. Our portfolios are constructed under the Markowitz optimization framework and constrained at various tracking error levels. Further, an alpha alignment factor is applied to aid in portfolio construction. As a result of our research, we present the reader with three key findings. First, GLER and CTEF signals employed as the primary inputs to security selection result in portfolios with superior risk adjusted returns relative to the Russell 3000, MSCI AC World ex. US, and MSCI Emerging Markets benchmarks which they are measured against. Second, expanding the investment universe outside the U.S. increases the opportunity set yielding higher risk adjusted performance. Third, the incorporation of an alpha alignment factor within the portfolio construction process improves risk forecasts resulting in ex-post tracking error aligning more closely to ex-ante, and ultimately improving information ratios.

  18. Portfolio Practices in Higher Education in Norway in an International Perspective: Macro-, Meso- and Micro-Level Influences

    Science.gov (United States)

    Dysthe, Olga; Engelsen, Knut Steinar

    2011-01-01

    The point of departure for this article is the "chameleon" aspect of portfolios and the diversity of portfolio models and practices in higher education on the international arena today. Our aim is to investigate the contextual character of this diversity by using Norwegian higher education as an example and to show how macro-level…

  19. Should cryptocurrencies be included in the portfolio of international reserves held by central banks?

    Directory of Open Access Journals (Sweden)

    Winston Moore

    2016-12-01

    Full Text Available In most countries, the central bank is required to hold reserve assets as a means of providing credibility for the value of the fiat currency. These assets can be in the form of gold, foreign exchange or some other internationally recognised reserve asset and are held to permit the country to engage in international transactions. Within recent years, cryptocurrencies have been increasingly utilised for international transactions, and it is possible that the use of these cryptocurrencies might expand in the future. This paper therefore examines the potential role of digital currency balances as part of the portfolio of external assets held by a central bank. Using the case of Barbados, the paper also provides a simulation of the effect holding some proportion of their asset-base would have had on the stability of the foreign reserves as well as the return on the portfolio of assets.

  20. South African address standard and initiatives towards an international address standard

    CSIR Research Space (South Africa)

    Cooper, Antony K

    2008-10-01

    Full Text Available ; visiting friends; and providing a reference context for presenting other information. The benefits of an international address standards include: enabling address interoperability across boundaries; reducing service delivery costs; enabling development...

  1. Energy-Intensive Processes Portfolio: Addressing Key Energy Challenges Across U.S. Industry

    Energy Technology Data Exchange (ETDEWEB)

    None

    2011-03-07

    AMO is developing advanced technologies that cut energy use and carbon emissions in some of the most energy-intensive processes within U.S. manufacturing. The brochure describes the AMO R&D projects that address these challenges.

  2. THE PLACE OF FACEBOOK IN INTERNATIONAL SOCIAL NETWORK PORTFOLIO

    Directory of Open Access Journals (Sweden)

    ALIN CRISTIAN ISAC

    2012-12-01

    Full Text Available The paper aims to present a structure for social networks by various criteria, such as: user types, informational technology used as support and developed applications. Based on these elements, we presented Facebook not only in terms of user numbers and their evolution but also regarding the Facebook business, starting from share listing on international markets.

  3. A national competitiveness-based portfolio approach for international strategic management: illustrated with the case of the TATA industries

    NARCIS (Netherlands)

    Schiele, Holger; Harms, Rainer; Banerjee, Shrestho

    2014-01-01

    International firms with multiple business units are dealing with the question of how to balance the international dimension of their business portfolio. Which business units should go international and where should they contract or expand their international activities? Previous research lacks

  4. International portfolio diversification: United States and south Asian equity markets

    Directory of Open Access Journals (Sweden)

    Mushtaq Rizwan

    2014-01-01

    Full Text Available This paper explores the dynamic liaison between US and three developing South Asian equity markets in short and long term. To gauge the long-term relationship, we applied Johansen co-integration procedure as all the representative indices are found to be non-stationary at level. The findings illustrate that the US equity market index exhibits a reasonably different movement over time in contrast to the three developing equity markets under consideration. However, the Granger-causality test divulge that the direction of causality scamper from US equity market to the three South Asian markets. It further indicates that within the three developing equity markets the direction of causality emanates from Bombay stock market to Karachi and Colombo. Overall, the results of the study suggest that the American investors can get higher returns through international diversification into developing equity markets, while the US stock market would also be a gainful upshot for South Asian investors.

  5. Alternatives in international diversification for investment portfolios focused in stocks of Lima Stock Exchange

    Directory of Open Access Journals (Sweden)

    Juan Carlos Ames Santillán

    2012-06-01

    Full Text Available This paper gives an estimation of efficient frontiers for investment portfolios, they include stocks from Lima Stock Exchange General Index, Dow Jones Industrial Average, Gold, Cooper, Fixed Income Instruments of Peruvian government and savings in Peruvian financial institutions. The paper concludes that risk of investment in local portfolio reduces as a consequence of diversification, gold is an important asset and contributes to reduce portfolio risk.

  6. Alternatives in international diversification for investment portfolios focused in stocks of Lima Stock Exchange

    OpenAIRE

    Ames Santillán, Juan Carlos

    2012-01-01

    This paper gives an estimation of efficient frontiers for investment portfolios, they include stocks from Lima Stock Exchange General Index, Dow Jones Industrial Average, Gold, Cooper, Fixed Income Instruments of Peruvian government and savings in Peruvian financial institutions. The paper concludes that risk of investment in local portfolio reduces as a consequence of diversification, gold is an important asset and contributes to reduce portfolio risk. El presente trabajo estima la fronte...

  7. Alternatives in international diversification for investment portfolios focused in stocks of Lima Stock Exchange

    OpenAIRE

    Juan Carlos Ames Santillán

    2012-01-01

    This paper gives an estimation of efficient frontiers for investment portfolios, they include stocks from Lima Stock Exchange General Index, Dow Jones Industrial Average, Gold, Cooper, Fixed Income Instruments of Peruvian government and savings in Peruvian financial institutions. The paper concludes that risk of investment in local portfolio reduces as a consequence of diversification, gold is an important asset and contributes to reduce portfolio risk.

  8. 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.

  9. Addresses

    Data.gov (United States)

    Town of Chapel Hill, North Carolina — Point features representing locations of all street addresses in Orange County, NC including Chapel Hill, NC. Data maintained by Orange County, the Town of Chapel...

  10. Creating Value from Alliance Portfolios : Connecting Internal Structures and External Knowledge Recombination

    NARCIS (Netherlands)

    Bos, Brenda

    2016-01-01

    Nowadays many firms are simultaneously engaged in multiple alliances with different partners. Alliance scholars have therefore started to develop a portfolio perspective, which analyzes the performance implications of the total collection of firms’ alliances. In this dissertation, we point to an

  11. Portfolio Risk of International Diversification of Kosovo Pension Fund: A Historical Perspective

    Directory of Open Access Journals (Sweden)

    Florin Aliu

    2017-01-01

    Full Text Available Finance do not stand on static variables like exact sciences, they are changeable and influenced from human actions. The question where to invest funds, is a crucial task for financial managers. The study aimed at assessing the portfolio risk of different asset managers of the Kosovo Pension and Saving Trust. In general, the assessment has been categorized in two historical perspectives. The first phase is an assessment of the portfolio risk of the fund from 2003 to 2009 and the second phase is from 2003 to 2013. In general, portfolio risk in the second stage has shown a reduction as compared to the first stage. However, the return side shows also a reduction in the second phase than the first one. The overall risk of Kosovo Pension and Saving Trust has been in accepted range. Majority of money have been invested in stocks which automatically exposes huge risk on KPST portfolio, since it is proven that financial markets are not stable and they are prone to asset bubbles.

  12. Cooperation of international Research Infrastructures to address environmental global challenges

    Science.gov (United States)

    Bonet García, Francisco J.; Suárez-Muñoz, María; Conchubhair, Diarmuid O.; Dohna, Tina; Lo Bue, Nadia

    2017-04-01

    Human impact on the planet is causing a set of global environmental problems that threaten the wellbeing of current and future generations. Examples of these environmental problems include climate change, decline of biodiversity, alteration of biogeochemical cycles, ocean acidification, etc. These environmental Global Challenges (GCs) are transnational and complex, combining elements of both natural and social factors. Providing solutions for these challenges can be significantly enhanced through the collaboration of various related institutions, governments and stakeholders. A deeper understanding of the causes and consequences of GCs, as well as the processes which control them is required. Environmental Research Infrastructures (DANUBIUS-RI) are key players in this learning process. Covering many fields of research, it is through RIs collaboration that GCs can be more fully addressed. However, the collaboration among environmental RIs is still limited nationally as well as internationally. Although contact is encouraged and interactions are common practice, there are few cases where RI managers initiate and foster transnational collaborations in order to address specific problems. The COOP+ project aims to explore and strengthen cooperation among global RIs by bringing various RIs together and working on the identification of requirements, strengths, knowledge gaps and other relevant items in regard to the selected GCs. For this purpose, 13 GCs have been selected: coral bleaching, marine debris, noise impact on marine fauna, Arctic sea ice melting, pollinators decline, threatened species, agriculture pollutants, nitrogen cycle, carbon and GHG, geohazards and extreme events, estuaries, global urbanization process, and ozone depletion. These GCs are being analysed and described by multidisciplinary teams of experts composed of scientists, RIs operators and other stakeholders. This assessment will derive a list of tasks and requirements to be fulfilled by the

  13. 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...

  14. 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...

  15. On the International Transmission of Shocks: Micro-Evidence from Mutual Fund Portfolios

    OpenAIRE

    Claudio Raddatz; Sergio L. Schmukler

    2011-01-01

    Using micro-level data on mutual funds from different financial centers investing in equity and bonds, this paper analyzes how investors and managers behave and transmit shocks across countries. The paper shows that the volatility of mutual fund investments is quantitatively driven by investors through injections of capital into, or redemptions out of, each fund, and by managers changing the country weights and cash in their portfolios. Both investors and managers respond to returns and crise...

  16. International portfolio flows and exchange rate volatility in emerging Asian markets

    OpenAIRE

    Caporale, Guglielmo Maria; Menla Ali, Faek; Spagnolo, Fabio; Spagnolo, Nicola

    2017-01-01

    This paper investigates the effects of equity and bond portfolio inflows on exchange rate volatility using monthly bilateral data for the US vis-a-vis seven Asian developing and emerging countries (India, Indonesia, Pakistan, the Philippines, South Korea, Taiwan and Thailand) over the period 1993:01-2015:11. GARCH models and Markov switching specifications with time-varying transition probabilities are estimated in addition to a benchmark linear model. The evidence suggests that high (low) ex...

  17. 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.

  18. "Contagion" between the emerging and developed capital markets: empirical evidence and reflections on the international portfolio diversification

    Directory of Open Access Journals (Sweden)

    Wagner Moura Lamounier

    2008-10-01

    Full Text Available In this research, we analyzed the short and long term interdependence and relationship between the stock indices of the major emerging capital markets and the major developed markets for the period 1995-2005. The aim was to verify the existence and the dynamics of the “contagion” between the markets, or if the occurrence of crises and changes in the behavior of a market would have impacts on the behavior of the others. In the development of the work, we applied the methodology of the Vector Error Correction Model (VEC. We found the presence of cointegrating relationships between the markets analyzed, but was able to see that, despite being cointegrated markets, investors could benefit from international diversification of portfolios. That’s because the speed of adjustment of the long-term ratio of cointegration between the markets was low for the period analyzed. Accordingly, investors would have the opportunity to reduce risk by diversifying their portfolios.

  19. Addressing the needs of international students: a case from a ...

    African Journals Online (AJOL)

    ... and enhances the problem solving process in the context of international students' identification with an imaginary personality. The defense mechanisms unconsciously applied in the frame of an individual's narration assist in interpreting their emotional state and psychological adaptation levels at a certain point in time.

  20. Addressing Energy Demand through Demand Response. International Experiences and Practices

    Energy Technology Data Exchange (ETDEWEB)

    Shen, Bo [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Ghatikar, Girish [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Ni, Chun Chun [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Dudley, Junqiao [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Martin, Phil [Enernoc, Inc., Boston, MA (United States); Wikler, Greg

    2012-06-01

    Demand response (DR) is a load management tool which provides a cost-effective alternative to traditional supply-side solutions to address the growing demand during times of peak electrical load. According to the US Department of Energy (DOE), demand response reflects “changes in electric usage by end-use customers from their normal consumption patterns in response to changes in the price of electricity over time, or to incentive payments designed to induce lower electricity use at times of high wholesale market prices or when system reliability is jeopardized.” 1 The California Energy Commission (CEC) defines DR as “a reduction in customers’ electricity consumption over a given time interval relative to what would otherwise occur in response to a price signal, other financial incentives, or a reliability signal.” 2 This latter definition is perhaps most reflective of how DR is understood and implemented today in countries such as the US, Canada, and Australia where DR is primarily a dispatchable resource responding to signals from utilities, grid operators, and/or load aggregators (or DR providers).

  1. 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…

  2. 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....

  3. 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

  4. 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...

  5. 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.

  6. THE MODEL OF FORMATION A PORTFOLIO OF THE INTERNATIONAL ACTIVITIES PROJECTS OF HEI

    Directory of Open Access Journals (Sweden)

    Сергей Васильевич РУДЕНКО

    2016-02-01

    Full Text Available The paper discusses an approach to assessing the project's value of the university international activities, based on the method of expert assessments and fuzzy-multiple method. Evaluating the effectiveness of the university-based project approach is a key factor in its competitiveness. The necessity substantiated of projects valuation of the university international activities. The concept is based on the matrices evaluation value product, process, international activities and development. For integral evaluation value of the university international activities project, we propose viewed from the standpoint of efficiency of all its results. These results can be roughly characterized by the following benchmarks: educational, scientific, technical, political, economic and social. In turn, key benchmarks characterized by its parameters, which estimate conducted by experts. Rating value of the university international activities project is to define the integral indicator of the value of the project. The proposed approach to determining the value of the international activities university projects, based on expert assessments and methods of fuzzy set theory will evaluate the effectiveness of these projects and implement the optimal choice.

  7. 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

  8. International policies to address the greenhouse effect. Encouraging developing country participation in global greenhouse control strategies

    International Nuclear Information System (INIS)

    Gupta, J.; Hischenmoller, M.; Vellinga, P.; Van der Wurff, R.; Junne, G.

    1995-01-01

    The conditions under which developing country governments are likely to feel motivated to take real action in addressing the greenhouse gas problem and the international mechanisms that are likely to succeed are briefly outlined

  9. 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.

  10. Overview of an address and purpose of the workshop [ISO Workshop on address standards: Considering the issues related to an international address standard

    CSIR Research Space (South Africa)

    Cooper, Antony K

    2008-05-01

    Full Text Available ) (ISO 19112) Precision Redirectable Standards Postal address Street delivery address Y N N Y N Y Fine Y UPU S42 PO Box or Private Bag Y N N Y Fine to Coarse Y UPU S42 Post Restante Y N N Y N Y Coarse Y UPU S42 Delivery address... (for goods, etc) Street address Y N N Y N Y Fine N Intersection address Y N N Y N Y Fine N Landmark address Y N N Y N Y Fine to Moderate N Building address Y N N Y N Y Fine N Site address Y N N Y N Y Fine to Coarse N Farm...

  11. Implementing portfolio in postgraduate general practice training. Benefits and recommendations.

    Science.gov (United States)

    Alotaibi, Fawaz S

    2012-10-01

    This paper presents a review to explore the literature focusing on portfolio in postgraduate general practice (GP) training, and to examine the impact of implementation of portfolio on learning process, as well as proposing recommendations for its implementation in postgraduate GP training. An electronic search was carried out on several databases for studies addressing portfolio in postgraduate GP training. Six articles were included to address specifically the effectiveness of portfolio in postgraduate GP training. Five of them described successful experiences of portfolio-based learning implementation. Only one article addressed portfolio-based assessment in postgraduate GP training. The existing evidence provides various benefits of professional portfolio-based learning. It does appear to have advantages of stimulating reflective learning, promoting proactive learning, and bridging the hospital experiences of the learners to GP. Moreover, the challenges to implementation of portfolio-based learning are often based on orientation and training of stakeholders.

  12. Purchasing portfolio models: a critique and update

    NARCIS (Netherlands)

    Gelderman, C.J.; Weele, van A.J.

    2005-01-01

    Purchasing portfolio models have spawned considerable discussion in the literature. Many advantages and disadvantages have been put forward, revealing considerable divergence in opinion on the merits of portfolio models. This study addresses the question of whether or not the use of purchasing

  13. Portfolio Optimization in a Semi-Markov Modulated Market

    International Nuclear Information System (INIS)

    Ghosh, Mrinal K.; Goswami, Anindya; Kumar, Suresh K.

    2009-01-01

    We address a portfolio optimization problem in a semi-Markov modulated market. We study both the terminal expected utility optimization on finite time horizon and the risk-sensitive portfolio optimization on finite and infinite time horizon. We obtain optimal portfolios in relevant cases. A numerical procedure is also developed to compute the optimal expected terminal utility for finite horizon problem

  14. Speaker Introductions at Internal Medicine Grand Rounds: Forms of Address Reveal Gender Bias.

    Science.gov (United States)

    Files, Julia A; Mayer, Anita P; Ko, Marcia G; Friedrich, Patricia; Jenkins, Marjorie; Bryan, Michael J; Vegunta, Suneela; Wittich, Christopher M; Lyle, Melissa A; Melikian, Ryan; Duston, Trevor; Chang, Yu-Hui H; Hayes, Sharonne N

    2017-05-01

    Gender bias has been identified as one of the drivers of gender disparity in academic medicine. Bias may be reinforced by gender subordinating language or differential use of formality in forms of address. Professional titles may influence the perceived expertise and authority of the referenced individual. The objective of this study is to examine how professional titles were used in the same and mixed-gender speaker introductions at Internal Medicine Grand Rounds (IMGR). A retrospective observational study of video-archived speaker introductions at consecutive IMGR was conducted at two different locations (Arizona, Minnesota) of an academic medical center. Introducers and speakers at IMGR were physician and scientist peers holding MD, PhD, or MD/PhD degrees. The primary outcome was whether or not a speaker's professional title was used during the first form of address during speaker introductions at IMGR. As secondary outcomes, we evaluated whether or not the speakers professional title was used in any form of address during the introduction. Three hundred twenty-one forms of address were analyzed. Female introducers were more likely to use professional titles when introducing any speaker during the first form of address compared with male introducers (96.2% [102/106] vs. 65.6% [141/215]; p form of address 97.8% (45/46) compared with male dyads who utilized a formal title 72.4% (110/152) of the time (p = 0.007). In mixed-gender dyads, where the introducer was female and speaker male, formal titles were used 95.0% (57/60) of the time. Male introducers of female speakers utilized professional titles 49.2% (31/63) of the time (p addressed by professional title than were men introduced by men. Differential formality in speaker introductions may amplify isolation, marginalization, and professional discomfiture expressed by women faculty in academic medicine.

  15. 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...

  16. 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...

  17. Ethics in occupational health: deliberations of an international workgroup addressing challenges in an African context.

    Science.gov (United States)

    London, Leslie; Tangwa, Godfrey; Matchaba-Hove, Reginald; Mkhize, Nhlanhla; Nwabueze, Remi; Nyika, Aceme; Westerholm, Peter

    2014-06-23

    International codes of ethics play an important role in guiding professional practice in developing countries. In the occupational health setting, codes developed by international agencies have substantial import on protecting working populations from harm. This is particularly so under globalisation which has transformed processes of production in fundamental ways across the globe. As part of the process of revising the Ethical Code of the International Commission on Occupational Health, an Africa Working Group addressed key challenges for the relevance and cogency of an ethical code in occupational health for an African context through an iterative consultative process. Firstly, even in the absence of strong legal systems of enforcement, and notwithstanding the value of legal institutionalisation of ethical codes, guidelines alone may offer advantageous routes to enhancing ethical practice in occupational health. Secondly, globalisation has particularly impacted on health and safety at workplaces in Africa, challenging occupational health professionals to be sensitive to, and actively redress imbalance of power. Thirdly, the different ways in which vulnerability is exemplified in the workplace in Africa often places the occupational health professional in invidious positions of Dual Loyalty. Fourth, the particular cultural emphasis in traditional African societies on collective responsibilities within the community impacts directly on how consent should be sought in occupational health practice, and how stigma should be dealt with, balancing individual autonomy with ideas of personhood that are more collective as in the African philosophy of ubuntu. To address stigma, practitioners need to be additionally sensitive to how power imbalances at the workplace intersect with traditional cultural norms related to solidarity. Lastly, particularly in the African context, the inseparability of workplace and community means that efforts to address workplace hazards demand

  18. Ethics in occupational health: deliberations of an international workgroup addressing challenges in an African context

    Science.gov (United States)

    2014-01-01

    Background International codes of ethics play an important role in guiding professional practice in developing countries. In the occupational health setting, codes developed by international agencies have substantial import on protecting working populations from harm. This is particularly so under globalisation which has transformed processes of production in fundamental ways across the globe. As part of the process of revising the Ethical Code of the International Commission on Occupational Health, an Africa Working Group addressed key challenges for the relevance and cogency of an ethical code in occupational health for an African context through an iterative consultative process. Discussion Firstly, even in the absence of strong legal systems of enforcement, and notwithstanding the value of legal institutionalisation of ethical codes, guidelines alone may offer advantageous routes to enhancing ethical practice in occupational health. Secondly, globalisation has particularly impacted on health and safety at workplaces in Africa, challenging occupational health professionals to be sensitive to, and actively redress imbalance of power. Thirdly, the different ways in which vulnerability is exemplified in the workplace in Africa often places the occupational health professional in invidious positions of Dual Loyalty. Fourth, the particular cultural emphasis in traditional African societies on collective responsibilities within the community impacts directly on how consent should be sought in occupational health practice, and how stigma should be dealt with, balancing individual autonomy with ideas of personhood that are more collective as in the African philosophy of ubuntu. To address stigma, practitioners need to be additionally sensitive to how power imbalances at the workplace intersect with traditional cultural norms related to solidarity. Lastly, particularly in the African context, the inseparability of workplace and community means that efforts to address

  19. 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...

  20. Addressing Challenges to the Design & Test of Operational Lighting Environments for the International Space Station

    Science.gov (United States)

    Clark, Toni A.

    2014-01-01

    In our day to day lives, the availability of light, with which to see our environment, is often taken for granted. The designers of land based lighting systems use sunlight and artificial light as their toolset. The availability of power, quantity of light sources, and variety of design options are often unlimited. The accessibility of most land based lighting systems makes it easy for the architect and engineer to verify and validate their design ideas. Failures with an implementation, while sometimes costly, can easily be addressed by renovation. Consider now, an architectural facility orbiting in space, 260 miles above the surface of the earth. This human rated architectural facility, the International Space Station (ISS) must maintain operations every day, including life support and appropriate human comforts without fail. The facility must also handle logistics of regular shipments of cargo, including new passengers. The ISS requires accommodations necessary for human control of machine systems. Additionally, the ISS is a research facility and supports investigations performed inside and outside its livable volume. Finally, the facility must support remote operations and observations by ground controllers. All of these architectural needs require a functional, safe, and even an aesthetic lighting environment. At Johnson Space Center, our Habitability and Human Factors team assists our diverse customers with their lighting environment challenges, via physical test and computer based analysis. Because of the complexity of ISS operational environment, our team has learned and developed processes that help ISS operate safely. Because of the dynamic exterior lighting environment, uses computational modeling to predict the lighting environment. The ISS' orbit exposes it to a sunrise every 90 minutes, causing work surfaces to quickly change from direct sunlight to earthshine to total darkness. Proper planning of vehicle approaches, robotics operations, and crewed

  1. MO-FG-BRB-03: Addressing the Cancer Challenge: International Cancer Experts Corps

    Energy Technology Data Exchange (ETDEWEB)

    Coleman, N. [Center for Cancer Research, National Cancer Institute (United States)

    2015-06-15

    The global burden of cancer is growing rapidly with an estimated 15 million new cases per year worldwide in 2015, growing to 19 million by 2025 and 24 million by 2035. The largest component of this growth will occur in low-to-middle income countries (LMICs). About half of these cases will require radiation treatment. The gap for available cancer treatment, including radiation therapy, between high-income countries (HICs) and LMICs is enormous. Accurate data and quantitative models to project the needs and the benefits of cancer treatment are a critical first step in closing the large cancer divide between LMICs and HICs. In this context, the Union for International Cancer Control (UICC) has developed a Global Task Force on Radiotherapy for Cancer Control (GTFRCC) with a charge to answer the question as to what it will take to close the gap between what exists today and reasonable access to radiation therapy globally by 2035 and what the potential clinical and economic benefits are for doing this. The Task Force has determined the projections of cancer incidence and the infrastructure required to provide access to radiation therapy globally. Furthermore it has shown that appropriate investment not only yields improved clinical outcomes for millions of patients but that it also provides an overall economic gain throughout all the income settings where this investment is made. This symposium will summarize the facets associated with this global cancer challenge by reviewing the cancer burden, looking at the requirements for radiation therapy, reviewing the benefits of providing such therapy both from a clinical and economic perspective and finally by looking at what approaches can be used to aid in the alleviation of this global cancer challenge. The speakers are world renowned experts in global public health issues (R. Atun), medical physics (D. Jaffray) and radiation oncology (N. Coleman). Learning Objectives: To describe the global cancer challenge and the

  2. MO-FG-BRB-03: Addressing the Cancer Challenge: International Cancer Experts Corps

    International Nuclear Information System (INIS)

    Coleman, N.

    2015-01-01

    The global burden of cancer is growing rapidly with an estimated 15 million new cases per year worldwide in 2015, growing to 19 million by 2025 and 24 million by 2035. The largest component of this growth will occur in low-to-middle income countries (LMICs). About half of these cases will require radiation treatment. The gap for available cancer treatment, including radiation therapy, between high-income countries (HICs) and LMICs is enormous. Accurate data and quantitative models to project the needs and the benefits of cancer treatment are a critical first step in closing the large cancer divide between LMICs and HICs. In this context, the Union for International Cancer Control (UICC) has developed a Global Task Force on Radiotherapy for Cancer Control (GTFRCC) with a charge to answer the question as to what it will take to close the gap between what exists today and reasonable access to radiation therapy globally by 2035 and what the potential clinical and economic benefits are for doing this. The Task Force has determined the projections of cancer incidence and the infrastructure required to provide access to radiation therapy globally. Furthermore it has shown that appropriate investment not only yields improved clinical outcomes for millions of patients but that it also provides an overall economic gain throughout all the income settings where this investment is made. This symposium will summarize the facets associated with this global cancer challenge by reviewing the cancer burden, looking at the requirements for radiation therapy, reviewing the benefits of providing such therapy both from a clinical and economic perspective and finally by looking at what approaches can be used to aid in the alleviation of this global cancer challenge. The speakers are world renowned experts in global public health issues (R. Atun), medical physics (D. Jaffray) and radiation oncology (N. Coleman). Learning Objectives: To describe the global cancer challenge and the

  3. Essays on portfolio choice with Bayesian methods

    OpenAIRE

    Kebabci, Deniz

    2007-01-01

    How investors should allocate assets to their portfolios in the presence of predictable components in asset returns is a question of great importance in finance. While early studies took the return generating process as given, recent studies have addressed issues such as parameter estimation and model uncertainty. My dissertation develops Bayesian methods for portfolio choice - and industry allocation in particular - under parameter and model uncertainty. The first chapter of my dissertation,...

  4. Welcome address to the 26th international meeting on Reduced Enrichment for Research and Test Reactors

    International Nuclear Information System (INIS)

    Sokolov, Y.

    2005-01-01

    While the IAEA has been a vigorous supporter of the RERTR programme since its inception. RERTR and the related fresh and spent fuel return efforts have gained new momentum with the launching of the Global Threat Reduction Initiative (GTRI) by U.S. Energy Secretary Abraham here in Vienna on May 25, 2004. All of the activities to be be discussed are included within the framework of the GTRI. The international programmes to qualify high density, LEU, dispersion fuels based on U-Mo alloys have run into unexpected technical difficulties that will delay qualification. A number of the presentations address the problems that have been encountered. At the same time, it is encouraging that the international resolve to reduce and eventually eliminate HEU in international commerce appears to have strengthened. In the past year, fresh HEU at research reactors in different countries have been returned to the country of origin. In all these examples, the return of the fresh fuel was accompanied by plans for conversion of existing reactors or design of new reactors to use LEU, as well as for the repatriation of spent research reactor fuel. The IAEA, particularly the Department of Technical Cooperation and my Department of Nuclear Energy has played an important role in implementing these fresh fuel return activities. In addition, several of the reactor conversion projects will be carried out under the auspices of IAEA technical cooperation projects and with important involvement of the Department of Nuclear Energy. The IAEA has also supported the repatriation of spent fuel to the country of original enrichment. The U.S. spent fuel acceptance programme has been operating for more than eight years, and was originally scheduled to terminate in 2006. Important announcements concerning the extension of the U.S. programme are expected. At the same time, the IAEA has been working hard with the U.S. and Russia to initiate the Russian research reactor spent fuel return programme. We are

  5. 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…

  6. 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.

  7. 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...

  8. 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...

  9. 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)

  10. 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.

  11. Strategies to Address English Language Writing Challenges Faced by International Graduate Students in the US

    Science.gov (United States)

    Ravichandran, Swathi; Kretovics, Mark; Kirby, Kara; Ghosh, Ankita

    2017-01-01

    Since 2000, there has been a 72% increase in the number of international students attending US institutions of higher education. The increase, specifically of international graduate students, has brought to light the writing challenges experienced by this population of students. This study explored specific writing challenges experienced by…

  12. Beating the market with small portfolios: Evidence from Brazil

    Directory of Open Access Journals (Sweden)

    André A.P. Santos

    2015-01-01

    Full Text Available Optimal portfolios with a restriction on the number of assets, also referred to as cardinality-constrained portfolios, have been receiving attention in the literature due to its popularity among market practitioners and retail investors. In most cases, however, the interest is in proposing efficient optimization methods to solve the problem, with little or no attention to the characteristics of the resulting portfolio such as risk-adjusted performance and turnover. We address this question by implementing a tractable reformulation of the cardinality-constrained version of the minimum variance portfolio. We analyze the out-of-sample performance of cardinality-constrained portfolios according to alternative criteria and check the robustness of the results for portfolios with alternative number of assets and under alternative re-balancing frequencies. Our empirical application for the Brazilian equities market shows that cardinality-constrained minimum variance portfolios with very few assets, e.g. 3 stocks, can deliver statistically lower portfolio risk and higher Sharpe ratios in comparison to the market index. Similar results are obtained for constrained portfolios with 5 and 10 assets and under daily, weekly, and monthly re-balancing frequencies. Our evidence indicates that it is possible to obtain better risk-adjusted performance with fewer securities in the portfolio by using an improved allocation scheme.

  13. A dynamic decision model for portfolio investment and assets management

    Institute of Scientific and Technical Information of China (English)

    QIAN Edward Y.; FENG Ying; HIGGISION James

    2005-01-01

    This paper addresses a dynamic portfolio investment problem. It discusses how we can dynamically choose candidate assets, achieve the possible maximum revenue and reduce the risk to the minimum level. The paper generalizes Markowitz's portfolio selection theory and Sharpe's rule for investment decision. An analytical solution is presented to show how an institutional or individual investor can combine Markowitz's portfolio selection theory, generalized Sharpe's rule and Value-at-Risk(VaR) to find candidate assets and optimal level of position sizes for investment (dis-investment). The result shows that the generalized Markowitz's portfolio selection theory and generalized Sharpe's rule improve decision making for investment.

  14. IAEA perspectives on geological repositories. Address at the international conference on geological repositories, Denver, 1 November 1999

    International Nuclear Information System (INIS)

    ElBaradei, M.

    1999-01-01

    In his address at the International Conference on Geological Repositories (Denver, 1 November 1999), the Director General of the IAEA gave a general presentation of the problem of disposal of high-level radioactive waste, and described the current situation in the countries using nuclear energy including present and future Agency's activities

  15. Electricity portfolio management : optimal peak/off-peak allocations

    NARCIS (Netherlands)

    Huisman, R.; Mahieu, R.J.; Schlichter, F.

    2009-01-01

    Electricity purchasers manage a portfolio of contracts in order to purchase the expected future electricity consumption profile of a company or a pool of clients. This paper proposes a mean-variance framework to address the concept of structuring the portfolio and focuses on how to optimally

  16. Electricity Portfolio Management: Optimal Peak / Off-Peak Allocations

    NARCIS (Netherlands)

    R. Huisman (Ronald); R.J. Mahieu (Ronald); F. Schlichter (Felix)

    2007-01-01

    textabstractElectricity purchasers manage a portfolio of contracts in order to purchase the expected future electricity consumption profile of a company or a pool of clients. This paper proposes a mean-variance framework to address the concept of structuring the portfolio and focuses on how to

  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. 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.

  2. 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.

  3. Addressing a silent killer - The International Conference on Betel Quid and Areca Nut

    Science.gov (United States)

    The Center for Global Health, National Cancer Institute, in coordination with the National Institute of Dental and Craniofacial Research , The University of Texas at MD Anderson Cancer Center, Oral Cancer Research Coordinating Center, University of Malaya, Taiwan Health Promotion Administration, Ministry of Health and Welfare, and with the generous support of the Malaysia Ministry of Health, hosted the International Conference on Betel Quid and Areca Nut in Kuala Lumpur Malaysia on April 27-28, 2016.

  4. International conference in Stockholm to address protection of nuclear material and radioactive sources from illicit trafficking

    International Nuclear Information System (INIS)

    2001-01-01

    The Conference will look at approaches for enhancing security of material in general as well as protecting facilities against terrorism and sabotage. More specifically it will address measures for interception and response to illicit trafficking and discuss the practices and measures currently being used to minimize the possibilities of the unauthorized removal and movement of nuclear materials and critical equipment. It will also consider the importance of closer co-operation with law enforcement authorities and intelligence agencies and the necessity of applying new technologies to this effort

  5. Addressing ethical dilemmas in the clinical care of adolescents: an international view.

    Science.gov (United States)

    Michaud, Pierre-André; Berg-Kelly, Kristina; Macfarlane, Aidan; Renteria, Saira-Christine; Wyss, Danielle; Benaroyo, Lazare

    2009-12-01

    This chapter reviews some basic concepts underlying ethical issues in adolescence and provides a step-by-step procedure to address ethical dilemmas involving minor adolescents, based on a deliberative approach. "Deliberation" with the patient, along with involving the opinion of relevant stakeholders if possible, allows for a careful, multidisciplinary examination of all options, the medical and psychosocial consequences, and the moral values stressed by each option. Although the final decision regarding which ethical option should be chosen usually belongs to the health care providers and his or her patient, the deliberative approach provides the ingredients for sound, unbiased decision-making.

  6. Addressing Cultural Competency in Pharmacy Education through International Service Learning and Community Engagement

    Directory of Open Access Journals (Sweden)

    Rosemin Kassam

    2013-08-01

    Full Text Available This paper describes the design, implementation and evaluation of a course in international service learning and community engagement for pharmacy undergraduate students. The course offered students opportunities to cultivate cultural competency in an international setting foreign to their own—Sub-Saharan Africa. The experience consisted of pre-departure preparation seminars followed by subsequent community immersion to experience, explore and confront personal attitudes and perceptions. A key feature of this course was its emphasis on a continuing cycle of learning, community engagement and reflection. Three students participated, a near-maximum cohort. Their daily self-reflections were qualitatively analyzed to document the impact of their cultural learning and experiences and revealed meaningful learning in the domains of self-assessment and awareness of their personal and professional culture, exposure to a participatory health delivery model involving the patient, the community and a multidisciplinary team and opportunities to engage in patient care in a different cultural setting. This proof-of-concept course provided students with experiences that were life-changing on both personal and professional levels and confirmed the viability and relevance of international service learning for the pharmacy field within its university-wide mandate.

  7. 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)

  8. 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...

  9. International experience in addressing combined exposures: Increasing the efficiency of assessment

    International Nuclear Information System (INIS)

    Meek, M.E.

    2013-01-01

    More efficient methodology for assessing the impact of combined exposures to multiple chemicals has been considered in a project of the World Health Organization (WHO) International Programme on Chemical Safety (IPCS). Recommendations regarding terminology and the status of development of the framework, its content, review and application are described. Evolving experience in its application is illustrated by example (polybrominated diphenyls) with special emphasis on the critical content of problem formulation, the role of predictive tools in grouping of chemicals for consideration and the importance of explicit delineation of relative uncertainty and sensitivity for tiered assessment. Priorities in increasing the efficiency of risk assessment not only for combined exposures, but more generally based on experience acquired in developing the framework and its application in case studies are identified and recommendations included

  10. Symposium on international safeguards: Addressing verification challenges. Book of extended synopses

    Energy Technology Data Exchange (ETDEWEB)

    NONE

    2006-07-01

    A safeguards symposium has traditionally been organized by the Safeguards Department approximately every four years. The 2006 symposium addresses challenges to IAEA safeguards that have emerged or grown more serious since 2001. The increase in size and flexibility of uranium enrichment plants, for instance, and the spread of enrichment technology to a wider circle of States, pose challenges to traditional safeguards approaches. The procurement and supply networks discovered in 2004, dealing in sensitive nuclear technology and information, have serious implications for the future effectiveness of IAEA safeguards. The symposium will provide an opportunity for the IAEA and Member States to discuss options for dealing constructively with trade in sensitive nuclear technology. Reflecting developments since 2001, the 2006 symposium will focus on current challenges to the safeguards system, improving collection and analysis of safeguards information (analysis, processing tools, satellite imagery), advances in safeguards techniques and technology (future technology, neutron techniques, spent fuel verification, reprocessing, environmental sampling, containment and surveillance), further strengthening safeguards practices and approaches (safeguards approaches, integrated safeguards, R/SSAC, destructive analysis, non-destructive analysis, enrichment, reprocessing, spent fuel transfer) and future challenges. This publication contains 183 extended synopses, each of them was indexed separately.

  11. Symposium on international safeguards: Addressing verification challenges. Book of extended synopses

    International Nuclear Information System (INIS)

    2006-01-01

    A safeguards symposium has traditionally been organized by the Safeguards Department approximately every four years. The 2006 symposium addresses challenges to IAEA safeguards that have emerged or grown more serious since 2001. The increase in size and flexibility of uranium enrichment plants, for instance, and the spread of enrichment technology to a wider circle of States, pose challenges to traditional safeguards approaches. The procurement and supply networks discovered in 2004, dealing in sensitive nuclear technology and information, have serious implications for the future effectiveness of IAEA safeguards. The symposium will provide an opportunity for the IAEA and Member States to discuss options for dealing constructively with trade in sensitive nuclear technology. Reflecting developments since 2001, the 2006 symposium will focus on current challenges to the safeguards system, improving collection and analysis of safeguards information (analysis, processing tools, satellite imagery), advances in safeguards techniques and technology (future technology, neutron techniques, spent fuel verification, reprocessing, environmental sampling, containment and surveillance), further strengthening safeguards practices and approaches (safeguards approaches, integrated safeguards, R/SSAC, destructive analysis, non-destructive analysis, enrichment, reprocessing, spent fuel transfer) and future challenges. This publication contains 183 extended synopses, each of them was indexed separately

  12. 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.

  13. Addressing Practical Issues Related Tto Nursing Care For International Visitors To Hiroshima

    Directory of Open Access Journals (Sweden)

    Mariko Nishikawa

    2014-04-01

    Full Text Available When nine million foreigners visited Japan in 2013, the federal government set a goal to attract an additional two and a half million visitors including medical tourists by 2020. This research investigates the attitudes and concerns of Japanese nurses when they are in a situation dealing with foreign patients. The data were collected from March through September 2010, from 114 nurses at three hospitals, in close proximity to popular tourist destinations in Hiroshima. A questionnaire was developed for this research, named Mari Meter, which included a section to write answers to an open question for the nurses to express their opinions. These responses were examined statistically and by word analysis using Text Mining Studio. Japanese nurses expressed greatest concern about payment options, foreign language skills, and issues of informed consent, when dealing with foreigners. The results confirm that, in order to provide a high quality of patient care, extra preparation and a greater knowledge of international workers and visitors are required by nursing professionals in Japan.

  14. A mathematical model for maximizing the value of phase 3 drug development portfolios incorporating budget constraints and risk.

    Science.gov (United States)

    Patel, Nitin R; Ankolekar, Suresh; Antonijevic, Zoran; Rajicic, Natasa

    2013-05-10

    We describe a value-driven approach to optimizing pharmaceutical portfolios. Our approach incorporates inputs from research and development and commercial functions by simultaneously addressing internal and external factors. This approach differentiates itself from current practices in that it recognizes the impact of study design parameters, sample size in particular, on the portfolio value. We develop an integer programming (IP) model as the basis for Bayesian decision analysis to optimize phase 3 development portfolios using expected net present value as the criterion. We show how this framework can be used to determine optimal sample sizes and trial schedules to maximize the value of a portfolio under budget constraints. We then illustrate the remarkable flexibility of the IP model to answer a variety of 'what-if' questions that reflect situations that arise in practice. We extend the IP model to a stochastic IP model to incorporate uncertainty in the availability of drugs from earlier development phases for phase 3 development in the future. We show how to use stochastic IP to re-optimize the portfolio development strategy over time as new information accumulates and budget changes occur. Copyright © 2013 John Wiley & Sons, Ltd.

  15. Vast Portfolio Selection with Gross-exposure Constraints().

    Science.gov (United States)

    Fan, Jianqing; Zhang, Jingjin; Yu, Ke

    2012-01-01

    We introduce the large portfolio selection using gross-exposure constraints. We show that with gross-exposure constraint the empirically selected optimal portfolios based on estimated covariance matrices have similar performance to the theoretical optimal ones and there is no error accumulation effect from estimation of vast covariance matrices. This gives theoretical justification to the empirical results in Jagannathan and Ma (2003). We also show that the no-short-sale portfolio can be improved by allowing some short positions. The applications to portfolio selection, tracking, and improvements are also addressed. The utility of our new approach is illustrated by simulation and empirical studies on the 100 Fama-French industrial portfolios and the 600 stocks randomly selected from Russell 3000.

  16. 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.

  17. Vast Portfolio Selection with Gross-exposure Constraints*

    Science.gov (United States)

    Fan, Jianqing; Zhang, Jingjin; Yu, Ke

    2012-01-01

    We introduce the large portfolio selection using gross-exposure constraints. We show that with gross-exposure constraint the empirically selected optimal portfolios based on estimated covariance matrices have similar performance to the theoretical optimal ones and there is no error accumulation effect from estimation of vast covariance matrices. This gives theoretical justification to the empirical results in Jagannathan and Ma (2003). We also show that the no-short-sale portfolio can be improved by allowing some short positions. The applications to portfolio selection, tracking, and improvements are also addressed. The utility of our new approach is illustrated by simulation and empirical studies on the 100 Fama-French industrial portfolios and the 600 stocks randomly selected from Russell 3000. PMID:23293404

  18. 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 ...

  19. 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...

  20. 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

  1. 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.

  2. 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.

  3. 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...

  4. 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…

  5. The Small Helm Project: an academic activity addressing international corruption for undergraduate civil engineering and construction management students.

    Science.gov (United States)

    Benzley, Steven E

    2006-04-01

    This paper presents an academic project that addresses the issue of international corruption in the engineering and construction industry, in a manner that effectively incorporates several learning experiences. The major objectives of the project are to provide the students a learning activity that will 1) make a meaningful contribution within the disciplines being studied; 2) teach by experience a significant principle that can be valuable in numerous situations during an individual's career, and 3) engage the minds, experiences, and enthusiasm of the participants in a real ethical challenge that is prevalent in all of their chosen professional fields. The paper describes the full details of the project, the actual implementation of it during Winter Semester 2005, the experiences gained during the initial trial, and the modifications and improvements incorporated for future implementation.

  6. Research to assess impacts on developing countries of measures to address emissions in the international aviation and shipping sectors

    Energy Technology Data Exchange (ETDEWEB)

    Anger, A. [Cambridge University, Cambridge (United Kingdom); Faber, J.; Koopman, M. [CE Delft, Delft (Netherlands); Van Velzen, A. [Transport Analysis and Knowledge Systems TAKS, s.l. (Netherlands); Long, K.; Pollitt, H.; Barker, T. [Cambridge Econometrics, Cambridge (United Kingdom); Comberti, C.; Fazekas, D.; Blachowicz, A. [Climate Strategies, London (United Kingdom)

    2013-02-15

    The greenhouse gas emissions of international aviation and maritime transport are projected to increase rapidly over the coming decades, despite significant improvements in the fuel efficiency of aircraft and ships. In order to address their growth, Market Based Measures (MBMs) have been proposed to complement technical and operational measures. These measures are being discussed in ICAO (the UN organization for civil aviation) and IMO (the UN organization for maritime transport). One of the main issues in the debate has been the impact of MBMs on developing countries and especially on remote economies. This report quantifies the economic impacts of MBMs on ten case study economies and globally. The case study economies have been selected in the expectation that they would be relatively highly impacted because of their remoteness and/or dependence on international aviation or maritime transport. This report shows that the decrease in GDP is less than 0.01% on average and significantly less than 0.1% for all but a few of the case study countries. Countries with a higher dependency on tourism and trade are likely to experience greater economic impacts as market-based measures raise the costs of aviation and maritime transport; they impact economies due to increased prices for passenger travel and exported and imported goods. Some of these countries are small island states that are also vulnerable to climate change impacts. Undesired economic impacts on developing countries can be addressed effectively by a combination of measures such as exemptions of certain routes, lump sum rebates, and investments in infrastructure efficiency and development of more efficient ships and aircraft.

  7. 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....

  8. 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)

  9. 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...

  10. 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.

  11. 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.

  12. 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).

  13. 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.

  14. 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

  15. 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.

  16. 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...

  17. Efficient Cardinality/Mean-Variance Portfolios

    OpenAIRE

    Brito, R. Pedro; Vicente, Luís Nunes

    2014-01-01

    International audience; We propose a novel approach to handle cardinality in portfolio selection, by means of a biobjective cardinality/mean-variance problem, allowing the investor to analyze the efficient tradeoff between return-risk and number of active positions. Recent progress in multiobjective optimization without derivatives allow us to robustly compute (in-sample) the whole cardinality/mean-variance efficient frontier, for a variety of data sets and mean-variance models. Our results s...

  18. On long-only information-based portfolio diversification framework

    Science.gov (United States)

    Santos, Raphael A.; Takada, Hellinton H.

    2014-12-01

    Using the concepts from information theory, it is possible to improve the traditional frameworks for long-only asset allocation. In modern portfolio theory, the investor has two basic procedures: the choice of a portfolio that maximizes its risk-adjusted excess return or the mixed allocation between the maximum Sharpe portfolio and the risk-free asset. In the literature, the first procedure was already addressed using information theory. One contribution of this paper is the consideration of the second procedure in the information theory context. The performance of these approaches was compared with three traditional asset allocation methodologies: the Markowitz's mean-variance, the resampled mean-variance and the equally weighted portfolio. Using simulated and real data, the information theory-based methodologies were verified to be more robust when dealing with the estimation errors.

  19. Aircraft technology portfolio optimization using ant colony optimization

    Science.gov (United States)

    Villeneuve, Frederic J.; Mavris, Dimitri N.

    2012-11-01

    Technology portfolio selection is a combinatorial optimization problem often faced with a large number of combinations and technology incompatibilities. The main research question addressed in this article is to determine if Ant Colony Optimization (ACO) is better suited than Genetic Algorithms (GAs) and Simulated Annealing (SA) for technology portfolio optimization when incompatibility constraints between technologies are present. Convergence rate, capability to find optima, and efficiency in handling of incompatibilities are the three criteria of comparison. The application problem consists of finding the best technology portfolio from 29 aircraft technologies. The results show that ACO and GAs converge faster and find optima more easily than SA, and that ACO can optimize portfolios with technology incompatibilities without using penalty functions. This latter finding paves the way for more use of ACO when the number of constraints increases, such as in the technology and concept selection for complex engineering systems.

  20. 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...

  1. 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

  2. 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

  3. 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...

  4. 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

  5. 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

  6. 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...

  7. 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".

  8. Convocation address.

    Science.gov (United States)

    Swaminathan, M S

    1998-07-01

    This address delivered to the 40th convocation of the International Institute for Population Sciences in India in 1998 opens by noting that a shortage of jobs for youth is India's most urgent problem but that the problems that attend the increasing numbers of elderly also require serious attention. The address then notes that the Earth's population is growing at an unsustainable rate while economic inequities among countries are increasing, so that, while intellectual property is becoming the most important asset in developed countries, nutritional anemia among pregnant women causes their offspring to be unable to achieve their full intellectual potential from birth. Next, the address uses a discussion of the 18th-century work on population of the Marquis de Condorcet and of Thomas Malthus to lead into a consideration of estimated increased needs of countries like India and China to import food grains in the near future. Next, the progress of demographic transition in Indian states is covered and applied to Mahbub ul Haq's measure of human deprivation developed for and applied to the region of the South Asian Association for Regional Cooperation (India, Pakistan, Bangladesh, Nepal, Sri Lanka, Bhutan, and the Maldives). The address continues by reiterating some of the major recommendations forwarded by a government of India committee charged in 1995 with drafting a national population policy. Finally, the address suggests specific actions that could be important components of the Hunger-Free India Programme and concludes that all success rests on the successful implementation of appropriate population policies.

  9. 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

  10. 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

  11. Risk and utility in portfolio optimization

    Science.gov (United States)

    Cohen, Morrel H.; Natoli, Vincent D.

    2003-06-01

    Modern portfolio theory (MPT) addresses the problem of determining the optimum allocation of investment resources among a set of candidate assets. In the original mean-variance approach of Markowitz, volatility is taken as a proxy for risk, conflating uncertainty with risk. There have been many subsequent attempts to alleviate that weakness which, typically, combine utility and risk. We present here a modification of MPT based on the inclusion of separate risk and utility criteria. We define risk as the probability of failure to meet a pre-established investment goal. We define utility as the expectation of a utility function with positive and decreasing marginal value as a function of yield. The emphasis throughout is on long investment horizons for which risk-free assets do not exist. Analytic results are presented for a Gaussian probability distribution. Risk-utility relations are explored via empirical stock-price data, and an illustrative portfolio is optimized using the empirical data.

  12. 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…

  13. Establishing psychiatric registrars' competence in psychotherapy: a portfolio based model.

    Science.gov (United States)

    Naidu, T; Ramlall, S

    2008-11-01

    During most of the latter part of the last century, South Africa has followed international trends in the training of psychiatrists. Training programmes have become increasingly focused on the neurobiological aspects of psychiatric disorders with less attention being paid to psychotherapy. This is consistent with developments in psychiatric research. In the clinical arena this manifests as a focus on pharmacological and medically based interventions and a resulting relative inattention to non-pharmacological interventions, most especially psychotherapy. In an effort to address this imbalance there has been an international initiative, over the past two decades, to establish an acceptable level of competence in psychotherapy in the training of psychiatrists. A South African programme is needed that can take account of international trends and adapt them for the local context. In order to produce a programme for establishing competence in psychotherapy for psychiatric registrars at the Nelson R. Mandela School of Medicine, the authors examine directives for the development of psychotherapy skills from international regulatory bodies for graduate medical training and their application. Defining and setting preliminary standards for competence is emphasized. A programme based on five core psychotherapy components using a portfolio based model to facilitate learning and assessment of competence in psychotherapy, is proposed.

  14. Conditions for successful reflective use of portfolios in undergraduate medical education

    NARCIS (Netherlands)

    Driessen, Erik W.; Van Tartwijk, Jan; Overeem, Karlijn; Vermunt, Jan D.; Van Der Vleuten, C. P M

    2005-01-01

    AIM: Portfolios are often used as an instrument with which to stimulate students to reflect on their experiences. Research has shown that working with portfolios does not automatically stimulate reflection. In this study we addressed the question: What are the conditions for successful reflective

  15. Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets

    Directory of Open Access Journals (Sweden)

    Gan Guojun

    2017-12-01

    Full Text Available Metamodeling techniques have recently been proposed to address the computational issues related to the valuation of large portfolios of variable annuity contracts. However, it is extremely diffcult, if not impossible, for researchers to obtain real datasets frominsurance companies in order to test their metamodeling techniques on such real datasets and publish the results in academic journals. To facilitate the development and dissemination of research related to the effcient valuation of large variable annuity portfolios, this paper creates a large synthetic portfolio of variable annuity contracts based on the properties of real portfolios of variable annuities and implements a simple Monte Carlo simulation engine for valuing the synthetic portfolio. In addition, this paper presents fair market values and Greeks for the synthetic portfolio of variable annuity contracts that are important quantities for managing the financial risks associated with variable annuities. The resulting datasets can be used by researchers to test and compare the performance of various metamodeling techniques.

  16. MARKOV CHAIN PORTFOLIO LIQUIDITY OPTIMIZATION MODEL

    Directory of Open Access Journals (Sweden)

    Eder Oliveira Abensur

    2014-05-01

    Full Text Available The international financial crisis of September 2008 and May 2010 showed the importance of liquidity as an attribute to be considered in portfolio decisions. This study proposes an optimization model based on available public data, using Markov chain and Genetic Algorithms concepts as it considers the classic duality of risk versus return and incorporating liquidity costs. The work intends to propose a multi-criterion non-linear optimization model using liquidity based on a Markov chain. The non-linear model was tested using Genetic Algorithms with twenty five Brazilian stocks from 2007 to 2009. The results suggest that this is an innovative development methodology and useful for developing an efficient and realistic financial portfolio, as it considers many attributes such as risk, return and liquidity.

  17. A Robust Statistics Approach to Minimum Variance Portfolio Optimization

    Science.gov (United States)

    Yang, Liusha; Couillet, Romain; McKay, Matthew R.

    2015-12-01

    We study the design of portfolios under a minimum risk criterion. The performance of the optimized portfolio relies on the accuracy of the estimated covariance matrix of the portfolio asset returns. For large portfolios, the number of available market returns is often of similar order to the number of assets, so that the sample covariance matrix performs poorly as a covariance estimator. Additionally, financial market data often contain outliers which, if not correctly handled, may further corrupt the covariance estimation. We address these shortcomings by studying the performance of a hybrid covariance matrix estimator based on Tyler's robust M-estimator and on Ledoit-Wolf's shrinkage estimator while assuming samples with heavy-tailed distribution. Employing recent results from random matrix theory, we develop a consistent estimator of (a scaled version of) the realized portfolio risk, which is minimized by optimizing online the shrinkage intensity. Our portfolio optimization method is shown via simulations to outperform existing methods both for synthetic and real market data.

  18. 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 ...

  19. 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.

  20. 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...

  1. A portfolio evaluation framework for air transportation improvement projects

    Science.gov (United States)

    Baik, Hyeoncheol

    This thesis explores the application of portfolio theory to the Air Transportation System (ATS) improvement. The ATS relies on complexly related resources and different stakeholder groups. Moreover, demand for air travel is significantly increasing relative to capacity of air transportation. In this environment, improving the ATS is challenging. Many projects, which are defined as technologies or initiatives, for improvement have been proposed and some have been demonstrated in practice. However, there is no clear understanding of how well these projects work in different conditions nor of how they interact with each other or with existing systems. These limitations make it difficult to develop good project combinations, or portfolios that maximize improvement. To help address this gap, a framework for identifying good portfolios is proposed. The framework can be applied to individual projects or portfolios of projects. Projects or portfolios are evaluated using four different groups of factors (effectiveness, time-to-implement, scope of applicability, and stakeholder impacts). Portfolios are also evaluated in terms of interaction-determining factors (prerequisites, co-requisites, limiting factors, and amplifying factors) because, while a given project might work well in isolation, interdependencies between projects or with existing systems could result in lower overall performance in combination. Ways to communicate a portfolio to decision makers are also introduced. The framework is unique because (1) it allows using a variety of available data, and (2) it covers diverse benefit metrics. For demonstrating the framework, an application to ground delay management projects serves as a case study. The portfolio evaluation approach introduced in this thesis can aid decision makers and researchers at universities and aviation agencies such as Federal Aviation Administration (FAA), National Aeronautics and Space Administration (NASA), and Department of Defense (DoD), in

  2. Macroeconomic factors and foreign portfolio investment volatility: A case of South Asian countries

    Directory of Open Access Journals (Sweden)

    Yahya Waqas

    2015-12-01

    Full Text Available Macroeconomic factors play a pivotal role in attracting foreign investment in the country. This study investigates the relationship between macroeconomic factors and foreign portfolio investment volatility in South Asian countries. The monthly data is collected for the period ranging from 2000 to 2012 for four Asian countries i.e. China, India, Pakistan and Sri Lanka because monthly data is ideal for measuring portfolio investment volatility. For measuring volatility in foreign portfolio investment, GARCH (1,1 is used because shocks are responded quickly by this model. The results reveal that there exists significant relationship between macroeconomic factors and foreign portfolio investment volatility. Thus, less volatility in international portfolio flows is associated with high interest rate, currency depreciation, foreign direct investment, lower inflation, and higher GDP growth rate of the host country. Thus findings of this study suggest that foreign portfolio investors focus on stable macroeconomic environment of country.

  3. 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.

  4. 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.

  5. 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.

  6. 17 CFR 240.3b-15 - Definition of ancillary portfolio management securities activities.

    Science.gov (United States)

    2010-04-01

    ... governing body of the dealer and included in the internal risk management control system for the dealer... of incidental trading activities for portfolio management purposes; and (3) Are limited to risk... portfolio management securities activities. 240.3b-15 Section 240.3b-15 Commodity and Securities Exchanges...

  7. ePortfolio Pedagogy, Technology, and Scholarship: Now and in the Future

    Science.gov (United States)

    Watson, C. Edward; Doolittle, Peter E.

    2011-01-01

    A number of indicators, including new professional organizations, the proliferation of software tools, and the launch of a new international journal, are signaling a critical mass of interest in ePortfolios in educational settings. This article describes the current ePortfolio landscape by examining the key promises offered by such tools in…

  8. Documenting Quality Improvement and Patient Safety Efforts: The Quality Portfolio. A Statement from the Academic Hospitalist Taskforce

    OpenAIRE

    Taylor, Benjamin B.; Parekh, Vikas; Estrada, Carlos A.; Schleyer, Anneliese; Sharpe, Bradley

    2013-01-01

    Physicians increasingly investigate, work, and teach to improve the quality of care and safety of care delivery. The Society of General Internal Medicine Academic Hospitalist Task Force sought to develop a practical tool, the quality portfolio, to systematically document quality and safety achievements. The quality portfolio was vetted with internal and external stakeholders including national leaders in academic medicine. The portfolio was refined for implementation to include an outlined fr...

  9. Convocation address.

    Science.gov (United States)

    Zakaria, R

    1996-07-01

    By means of this graduation address at the International Institute for Population Sciences (IIPS) in Bombay, the Chancellor of Urdu University voiced his concerns about overpopulation in India. During the speaker's tenure as Health Minister of Maharashtra, he implemented a sterilization incentive program that resulted in the state's having the best family planning (FP) statistics in India for almost 10 years. The incentive program, however, was misused by overenthusiastic officials in other states, with the result that the FP program was renamed the Family Welfare Programme. Population is growing in India because of improvements in health care, but the population education necessary to change fertility will require more time than the seriousness of the population problem allows. In the longterm, poverty and illiteracy must be addressed to control population. In the meanwhile, the graduate program at the IIPS should be expanded to include an undergraduate program, marriage age laws should be enforced, and misconceptions about religious objections to FP must be addressed. India can not afford to use the measures forwarded by developed countries to control population growth. India must integrate population control efforts with the provision of health care because if population continues to grow in the face of reduced infant mortality and longer life expectancy, future generations will be forced to live in a state of poverty and economic degradation.

  10. Strategic management of the licence portfolio

    International Nuclear Information System (INIS)

    Killingland, Arild

    1998-01-01

    This presentation discusses the secondary market for purchase, sale and exchange of licences on the Norwegian Continental Shelf. An efficient secondary market is necessary for the operations on the Shelf to work well. Two examples of major transactions made by Statoil are given, Rubicon and Aasgard. Rubicon is the most comprehensive portfolio operation made on the Norwegian Shelf and probably the largest exchange transaction across national frontiers. Rubicon was undertaken because Statoil wanted to create bigger values in the portfolio by increasing the owner parts in core areas. One effect of Rubicon was its contribution to increasing the extent of the activities in the UK such that there is a basis for achieving Statoil's ambitions for the international core areas, which is that they shall be developed to produce 100.000 barrels of oil equivalents per day within a defined period. Statoil is presently positioned to develop core areas in five regions outside the Norwegian Shelf: the Caspian Sea, Venezuela, Angola, Gulf of Mexico and UK. The Aasgard licence exchange transactions were necessary to achieve a co-ordinated of the relevant licences and balanced owner positions in the fields that were established. The Aasgard field is being developed with a production ship for oil- and condensate production. Production will start in 1998. The gas will be produced from the year 2000, from a floating platform. Finally, there is a discussion of trends in the portfolio market

  11. 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

  12. 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....

  13. 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.

  14. 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...

  15. A Polynomial Optimization Approach to Constant Rebalanced Portfolio Selection

    NARCIS (Netherlands)

    Takano, Y.; Sotirov, R.

    2010-01-01

    We address the multi-period portfolio optimization problem with the constant rebalancing strategy. This problem is formulated as a polynomial optimization problem (POP) by using a mean-variance criterion. In order to solve the POPs of high degree, we develop a cutting-plane algorithm based on

  16. A polynomial optimization approach to constant rebalanced portfolio selection

    NARCIS (Netherlands)

    Takano, Y.; Sotirov, R.

    2012-01-01

    We address the multi-period portfolio optimization problem with the constant rebalancing strategy. This problem is formulated as a polynomial optimization problem (POP) by using a mean-variance criterion. In order to solve the POPs of high degree, we develop a cutting-plane algorithm based on

  17. 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.

  18. Keynote Addresses from the Horace Mann Lecture Series and the Paul Masoner International Lecture Series 1972-1978.

    Science.gov (United States)

    Bender, Mary, Ed.

    The document contains eight lectures addressing a variety of educational trends, issues, and concerns. The objective is to heighten the awareness of educational challenges that must be met and to promote continued professional renewal activities. Lecture I discusses fundamental problems concerning world education, concentrating on hunger and…

  19. A ubiquitous reflective e-portfolio architecture.

    Science.gov (United States)

    Forte, Marcos; de Souza, Wanderley L; da Silva, Roseli F; do Prado, Antonio F; Rodrigues, Jose F

    2013-11-01

    In nurse and in medicine courses, the use of reflective portfolios as a pedagogical tool is becoming a common practice; in the last years, this practice has gradually migrated from paper-based to electronic-based portfolios. Current approaches for reflective e-portfolios, however, do not widely operate at outdoor sites, where data networks are limited or nonexistent. Considering that many of the activities related to nurse and medicine courses relate to professional practices conducted in such conditions, these network shortcomings restrict the adoption of e-portfolios. The present study describes the requirements specification, design, implementation, and evaluation of the Ubiquitous Reflective E-Portfolio Architecture, a solution proposed to support the development of systems based on mobile and wired access for both online and offline operation. We have implemented a prototype named Professional Practice Module to evaluate the Ubiquitous Reflective E-Portfolio Architecture; the module was based on requirements observed during the professional practice, the paper-based portfolio in use, and related learning meetings in the Medicine Course of a Brazilian University. The evaluation of the system was carried out with a learning group of 2nd year students of the medicine course, who answered to extensive evaluation questionnaires. The prototype proved to be operational in the activities of the professional practice of the Medicine Course object of the study, including homework tasks, patient care, data sharing, and learning meetings. It also demonstrated to be versatile with respect to the availability of the computer network that, many times, was not accessible. Moreover, the students considered the module useful and easy to use, but pointed out difficulties about the keyboard and the display sizes of the netbook devices, and about their operational system. Lastly, most of the students declared preference for the electronic Professional Practice Module in internal

  20. Investigation of Multi-Criteria Decision Consistency: A Triplex Approach to Optimal Oilfield Portfolio Investment Decisions

    Science.gov (United States)

    Qaradaghi, Mohammed

    techniques that can provide more flexibility and inclusiveness in the decision making process, such as Multi-Criteria Decision Making (MCDM) methods. However, it can be observed that the MCDM literature: 1) is primarily focused on suggesting certain MCDM techniques to specific problems without providing sufficient evidence for their selection, 2) is inadequate in addressing MCDM in E&P portfolio selection and prioritization compared with other fields, and 3) does not address prioritizing brownfields (i.e., developed oilfields). This research study aims at addressing the above drawbacks through combining three MCDM methods (i.e., AHP, PROMETHEE and TOPSIS) into a single decision making tool that can support optimal oilfield portfolio investment decisions by helping determine the share of each oilfield of the total development resources allocated. Selecting these methods is reinforced by a pre-deployment and post-deployment validation framework. In addition, this study proposes a two-dimensional consistency test to verify the output coherence or prioritization stability of the MCDM methods in comparison with an intuitive approach. Nine scenarios representing all possible outcomes of the internal and external consistency tests are further proposed to reach a conclusion. The methodology is applied to a case study of six major oilfields in Iraq to generate percentage shares of each oilfield of a total production target that is in line with Iraq's aspiration to increase oil production. However, the methodology is intended to be applicable to other E&P portfolio investment prioritization scenarios by taking the specific contextual characteristics into consideration.

  1. 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...

  2. 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.

  3. Electricity Portfolio Management: Optimal Peak / Off-Peak Allocations

    OpenAIRE

    Huisman, Ronald; Mahieu, Ronald; Schlichter, Felix

    2007-01-01

    textabstractElectricity purchasers manage a portfolio of contracts in order to purchase the expected future electricity consumption profile of a company or a pool of clients. This paper proposes a mean-variance framework to address the concept of structuring the portfolio and focuses on how to allocate optimal positions in peak and off-peak forward contracts. It is shown that the optimal allocations are based on the difference in risk premiums per unit of day-ahead risk as a measure of relati...

  4. 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...

  5. 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.

  6. Recommendations for strengthening the national systems and the international regime for combating of illicit trafficking. Keynote address/session 10

    International Nuclear Information System (INIS)

    Ek, P.; Wredberg, L.

    2001-01-01

    Full text: Illicit trafficking activities involving nuclear material and equipment are acts of nuclear proliferation. The threat of illicit trafficking is an international concern and the consequences of illicit trafficking, such as war or terrorist attacks using illegally manufactured nuclear weapons, might affect any country. As long as these materials and equipment remain a potential for theft and smuggling due to insufficient security and control conditions, there is a possibility that proliferators or terrorist groups may illegally take possession of such materials and equipment for illicit purposes. A precondition for preventing illicit trafficking is the existence of effective national systems for supervision and control of nuclear material and equipment, including physical protection and export/import control, based on an accurate and complete legislation. In addition thereto, national systems for combating of illicit trafficking, through prevention and detection within a state's territory or across its borders, incorporate such components as: supervision and control of nuclear operations; organisation of operator activities through quality assurance, internal control, security culture, etc.; law enforcement functions (police, intelligence, customs, investigation, prosecution, penalties and sanctions); and procedures for co-ordination and co-operation between supervising and law enforcement authorities. According to a joint Swedish-Norwegian-Latvian study, there are imperfections in many national systems for combating of illicit trafficking, such as: Incomplete legislation on nuclear non-proliferation and safety, physical protection and export/import control; Unclear or overlapping responsibilities between national supervision and law enforcement authorities, leading to poor co-operation and co-ordination of preventing and detecting measures; Incomplete rules and regulations concerning operator functions and responsibilities, including requirements on

  7. 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...

  8. 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.

  9. 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...

  10. Opening address

    International Nuclear Information System (INIS)

    Boening, K.

    2003-01-01

    The program of this 9th Meeting of the International Group on Research Reactors IGORR includes are quite a number of fascinating new research reactor projects in France, Germany, Russia, Canada, China, Thailand, and in Australia. In addition to the session about New Facilities there are interesting sessions on the Upgrades and on the Optimization of Operation and Utilization of existing research reactors, on Secondary Neutron Sources, on Neutron Scattering applications, and on the aspects of Safety, Licensing and Decommissioning. Two particular projects of new research reactors are mentioned specially: the TRR-II project in Taiwan, has unfortunately been terminated last year because of a change to anti-nuclear of the ruling parties in the government - and the new FRM-II in Munich, Germany, which will hopefully survive such a political change and receive its green light for nuclear start up in the very near future. The charter of IGORR and its objectives are part of this address: The International Group on Research Reactors IGORR was formed to facilitate the sharing of knowledge and experience among those institutions and individuals who are actively working to design, build, and promote new research reactors or to make significant upgrades to existing facilities. The main IGORR objectives are to promote contacts between its members, to identify and discuss problems of common interest, to distribute newsletters about once or twice every year and to organize meetings about once every one-and-a-half years

  11. 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.

  12. Addressing Omitted Prior Achievement Bias in International Assessments: An Applied Example Using PIRLS-NPD Matched Data

    Science.gov (United States)

    Caro, Daniel H.; Kyriakides, Leonidas; Televantou, Ioulia

    2018-01-01

    Omitted prior achievement bias is pervasive in international assessment studies and precludes causal inference. For example, reported negative associations between student-oriented teaching strategies and student performance are against expectations and might actually reflect omitted prior achievement bias. Namely, that these teaching strategies…

  13. Effectively Adapting the Sport Management Curricula: Harnessing Internal and External Resources to Address Industry-Specific Needs

    Science.gov (United States)

    Braunstein-Minkove, Jessica R.; DeLuca, Jaime R.

    2015-01-01

    Academic programs must constantly evolve in order to ensure that students are best prepared for success in internships and subsequent post-collegiate endeavors within the dynamic, rapidly changing sport industry. Based upon qualitative research, this work assesses and recommends areas of development in sport management curricula using internal and…

  14. Portfolio Evaluation for Professional Competence: Credentialing in Genetics for Nurses.

    Science.gov (United States)

    Cook, Sarah Sheets; Kase, Ron; Middelton, Lindsay; Monsen, Rita Black

    2003-01-01

    Describes the process used by the Credentialing Committee of the International Society of Nurses in Genetics to validate evaluation criteria for nursing portfolios using neural network programs. Illustrates how standards are translated into measurable competencies and provides a scoring guide. (SK)

  15. MOSEP – More Self-Esteem With My E-Portfolio Development of a Train-the-Trainer Course for E-Portfolio Tutors

    OpenAIRE

    Buchberger , Gerlinde; Hilzensauer , Wolf; Hornung-Prähauser , Veronika

    2007-01-01

    This paper gives an insight into the MOSEP project, funded by the European Commission (Leonardo da Vinci Programme). The project focuses on the high dropout rates amongst young students (14-16) in the transition phase from middle to upper secondary school or into first vocational education. MOSEP addresses this problem by proposing to introduce the method of electronic learning and development portfolios (e-portfolios) specifically designed for effectively teaching and consulting this difficu...

  16. 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,

  17. 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.

  18. International conference 'Addressing the issues of potential terrorism and guarding against weapons of mass destruction in Central Asia' Proceedings

    International Nuclear Information System (INIS)

    2010-04-01

    Over a period of 20 century, starting from First World War, the weapons of mass destruction (W D M) arouse serious concern in world community. Geneva's protocol of 1925 prohibits the use of chemical and biological weapons. Once nuclear weapon was created, the W D M proliferation becomes the subject of high concern. Nowadays, trans national organized criminal groups and international terrorist networks are appeared in the world scene, which show their interest in obtaining an access to sensitive materials, technologies, weapons and their distribution

  19. 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.

  20. Addressing verification challenges, 16 October 2006, Vienna, Austria, Symposium on International Safeguards (16-20 October 2006)

    International Nuclear Information System (INIS)

    ElBaradei, M.

    2006-01-01

    In his talk about Verification Challenges Dr. Mohamed ElBaradei, Director General of the IAEA, welcomed the participants of the Symposium on International Safeguards. He stated that safeguards is probably the most difficult task entrusted to an international organization and that a major increase in nuclear energy around the globe is expected which means that nuclear know-how is spread to more and more countries and can be applied to both peaceful purposes and also non-peaceful purposes. More and more countries want to go in for the nuclear fuel cycle including sensitive fuel cycle activities like enrichment and reprocessing, they become so-called 'virtual nuclear weapons States. There is the need to develop a new international or multinational approach to the fuel cycle so as to avoid ending up with not just nine nuclear weapon States but another 20 or 30 States which have the capacity to develop nuclear weapons in a very short span of time. He stressed the important linkage between disarmament and non-proliferation and remembered the audience that safeguards, although very much a technical activity, operates in a politically charged environment. The IAEA's job is to make sure that countries with comprehensive safeguards are conducting all their activities exclusively for peaceful purposes. The ability to discover possible undeclared activities is a key challenge the IAEA is facing. He mentioned that the IAEA does not get all the information they would need, for example the IAEA does not get systematic information from the Nuclear Suppliers Group on exports and imports. Without the Additional Protocol the IAEA is also hampered in its ability to detect undeclared activities, e.g in the R and D activities that do not directly involve nuclear material. Another key issue are financial resources. Transparency measures in certain situations are under considerations including interviewing people, having access to documents, things that are not strictly required by the

  1. Global citizenship: A privilege and a responsibility. Vienna, 2 June 2003. Address to the American International School, Palais Ferstel

    International Nuclear Information System (INIS)

    ElBaradei, M.

    2003-01-01

    Good evening and thank you - Director Spradling, members of the faculty, alumni, family and friends of this graduating class, and especially the graduates of the American International School Vienna Class of 2003. Let me begin by thanking you for the invitation to share this important occasion with you. In my work, I frequently speak with diplomats and statesmen about how we can make our world a better place for 'future generations' - but I don't often get an opportunity like this one: to speak directly to you - the generation that holds the future in its hands. And I feel particularly fortunate to be speaking to such an international graduating class. As an Egyptian educated in the US, working in Vienna, with my children living in London, and an entire career devoted to international co-operation, I can tell you that I consider myself primarily a global citizen. And for me, thinking globally is now almost a must. This is because the world we live in has become highly interdependent. Many aspects of our modern life - Internet communication, the global marketplace, global warming, even the fights against disease and terrorism - point to the fact that the human race has entered a new era - a global era - and there is no turning back. To members of your generation, this might not seem like news. To your parents, the Internet feels like a new way of life (in fact - speaking for your parents, or perhaps your grandparents, we can still remember when television was a new and awesome thing) - but to you, global interaction and communication is a natural part of life. In fact, you especially are well equipped for this interdependent world - because the development of a global perspective is an essential feature of your educational environment here at the American International School. So you are 'ahead of the curve' in this regard. Yes, you are Brazilian, you are Indian, you are Iranian, you are Austrian, you are Japanese - you are one of the fifty nationalities that make

  2. Opening Address

    Science.gov (United States)

    Yamada, T.

    2014-12-01

    Ladies and Gentlemen, it is my great honor and pleasure to present an opening address of the 3rd International Workshop on "State of the Art in Nuclear Cluster Physics"(SOTANCP3). On the behalf of the organizing committee, I certainly welcome all your visits to KGU Kannai Media Center belonging to Kanto Gakuin University, and stay in Yokohama. In particular, to whom come from abroad more than 17 countries, I would appreciate your participations after long long trips from your homeland to Yokohama. The first international workshop on "State of the Art in Nuclear Cluster Physics", called SOTANCP, was held in Strasbourg, France, in 2008, and the second one was held in Brussels, Belgium, in 2010. Then the third workshop is now held in Yokohama. In this period, we had the traditional 10th cluster conference in Debrecen, Hungary, in 2012. Thus we have the traditional cluster conference and SOTANCP, one after another, every two years. This obviously shows our field of nuclear cluster physics is very active and flourishing. It is for the first time in about 10 years to hold the international workshop on nuclear cluster physics in Japan, because the last cluster conference held in Japan was in Nara in 2003, about 10 years ago. The president in Nara conference was Prof. K. Ikeda, and the chairpersons were Prof. H. Horiuchi and Prof. I. Tanihata. I think, quite a lot of persons in this room had participated at the Nara conference. Since then, about ten years passed. So, this workshop has profound significance for our Japanese colleagues. The subjects of this workshop are to discuss "the state of the art in nuclear cluster physics" and also discuss the prospect of this field. In a couple of years, we saw significant progresses of this field both in theory and in experiment, which have brought better and new understandings on the clustering aspects in stable and unstable nuclei. I think, the concept of clustering has been more important than ever. This is true also in the

  3. 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...

  4. 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.

  5. TOSCA - first international registry to address knowledge gaps in the natural history and management of tuberous sclerosis complex.

    Science.gov (United States)

    Kingswood, John C; Bruzzi, Paolo; Curatolo, Paolo; de Vries, Petrus J; Fladrowski, Carla; Hertzberg, Christoph; Jansen, Anna C; Jozwiak, Sergiusz; Nabbout, Rima; Sauter, Matthias; Touraine, Renaud; O'Callaghan, Finbar; Zonnenberg, Bernard; Crippa, Stefania; Comis, Silvia; d'Augères, Guillaume Beaure; Belousova, Elena; Carter, Tom; Cottin, Vincent; Dahlin, Maria; Ferreira, José Carlos; Macaya, Alfons; Benedik, Mirjana Perkovic; Sander, Valentin; Youroukos, Sotirios; Castellana, Ramon; Ulker, Bulent; Feucht, Martha

    2014-11-26

    Tuberous sclerosis complex (TSC) is a rare, multisystem, genetic disorder with an estimated prevalence between 1/6800 and 1/15000. Although recent years have seen huge progress in understanding the pathophysiology and in the management of TSC, several questions remain unanswered. A disease registry could be an effective tool to gain more insights into TSC and thus help in the development of improved management strategies. TuberOus SClerosis registry to increase disease Awareness (TOSCA) is a multicentre, international disease registry to assess manifestations, interventions, and outcomes in patients with TSC. Patients of any age diagnosed with TSC, having a documented visit for TSC within the preceding 12 months, or newly diagnosed individuals are eligible. Objectives include mapping the course of TSC manifestations and their effects on prognosis, identifying patients with rare symptoms and co-morbidities, recording interventions and their outcomes, contributing to creation of an evidence-base for disease assessment and therapy, informing further research on TSC, and evaluating the quality of life of patients with TSC. The registry includes a 'core' section and subsections or 'petals'. The 'core' section is designed to record general information on patients' background collected at baseline and updated annually. Subsections will be developed over time to record additional data related to specific disease manifestations and will be updated annually. The registry aimed to enrol approximately 2000 patients from about 250 sites in 31 countries. The initial enrolment period was of 24 months. A follow-up observation period of up to 5 years is planned. A pre-planned administrative analysis of 'core' data from the first 100 patients was performed to evaluate the feasibility of the registry. Results showed a high degree of accuracy of the data collection procedure. Annual interim analyses are scheduled. Results of first interim analysis will be presented subsequent to

  6. Addressing the nation's physician workforce needs: The Society of General Internal Medicine (SGIM) recommendations on graduate medical education reform.

    Science.gov (United States)

    Jackson, Angela; Baron, Robert B; Jaeger, Jeffrey; Liebow, Mark; Plews-Ogan, Margaret; Schwartz, Mark D

    2014-11-01

    The Graduate Medical Education (GME) system in the United States (US) has garnered worldwide respect, graduating over 25,000 new physicians from over 8,000 residency and fellowship programs annually. GME is the portal of entry to medical practice and licensure in the US, and the pathway through which resident physicians develop the competence to practice independently and further develop their career plans. The number and specialty distribution of available GME positions shapes the overall composition of our national workforce; however, GME is failing to provide appropriate programs that support the delivery of our society's system of healthcare. This paper, prepared by the Health Policy Education Subcommittee of the Society of General Internal Medicine (SGIM) and unanimously endorsed by SGIM's Council, outlines a set of recommendations on how to reform the GME system to best prepare a physician workforce that can provide high quality, high value, population-based, and patient-centered health care, aligned with the dynamic needs of our nation's healthcare delivery system. These recommendations include: accurate workforce needs assessment, broadened GME funding sources, increased transparency of the use of GME dollars, and implementation of incentives to increase the accountability of GME-funded programs for the preparation and specialty selection of their program graduates.

  7. 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.

  8. 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....

  9. 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.

  10. 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.

  11. 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.

  12. Addressing Global Health, Development, and Social Inequalities through Research and Policy Analyses: the International Journal of MCH and AIDS

    Directory of Open Access Journals (Sweden)

    Romuladus E. Azuine, DrPH, RN

    2012-11-01

    Full Text Available One year after the birth of the International Journal of MCH and AIDS (IJMA, we continue to share the passion to document, and shine the light on the myriads of global health issues that debilitate developing countries.Although the focus of IJMA is on the social determinants of health and disease as well as on the disparities in the burden of communicable and non-communicable diseases affecting infants, children, women, adults, and families in developing countries, we would like to encourage our fellow researchers and policy makers in both the developing and developed countries to consider submitting work that examines cross-national variations in heath and social inequalities.Such a global focus allows us to identify and understand social, structural, developmental, and health policy determinants underlying health inequalities between nations.Global assessment of health and socioeconomic patterns reaffirms the role of broader societal-level factors such as human development, gender inequality, gross national product, income inequality, and healthcare infrastructure as the fundamental determinants of health inequalities between nations.This is also confirmed by our analysis of the WHO data that shows a strong negative association between levels of human development and infant and maternal mortality rates.Focusing on socioeconomic, demographic, and geographical inequalities within a developing country, on the other hand, should give us a sense of how big the problem of health inequity is within its own borders.Such an assessment, then, could lead to development of policy solutions to tackle health inequalities that are unique to that country.

  13. Using the International Classification of Functioning, Disability and Health (ICF) to address facilitators and barriers to participation at work.

    Science.gov (United States)

    Martins, Anabela Correia

    2015-01-01

    The International Classification of Functioning, Disability and Health (ICF) was approved by the World Health Assembly in 2001. Ten years later, strong arguments have arisen regarding the added value of ICF to the policies on employment and the outcomes at the workplace. As a conceptual framework, ICF has universality because of its inclusive and comprehensive view of human functioning. At a practical level ICF can be used to quantify the impact of impairment on an individual's ability to act in his/her environment and to assess interventions to minimize the impact of disability and maximize functioning. To explore key indicators of social participation (life habits) of persons with disabilities, particularly related to work, among environmental and personal factors. Data were collected by self-administered questionnaires from a convenience sample of 149 working-age persons with disabilities. Social participation is a construct composed by multiple components and employment domain is the strongest indicator of participation. Correlations between social participation and personal factors, such as self-efficacy and attitudes towards disability were moderate. Those who are employed scored higher quality of life in terms of satisfaction with life, more positive attitudes toward disabilities and higher self-efficacy than the ones who are retired or unemployed. Persons using adapted wheelchair and those who were involved in wheelchair selection scored higher in social participation in general, performance at work, and quality of life. Age and disability duration were not associated with participants' employment status. These findings suggest that rehabilitation and vocational agents, like physiotherapists and other professionals, should have knowledge and understanding of the multiple factors that influence persons with disabilities' participation at work. Programs should provide appropriate wheelchairs, skills training, empowerment and problem-solving strategies in

  14. 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...

  15. 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...

  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. 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.

  18. 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.

  19. 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

  20. 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…

  1. 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

  2. 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

  3. 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…

  4. 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

  5. Continuous-Time Mean-Variance Portfolio Selection with Random Horizon

    Energy Technology Data Exchange (ETDEWEB)

    Yu, Zhiyong, E-mail: yuzhiyong@sdu.edu.cn [Shandong University, School of Mathematics (China)

    2013-12-15

    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.

  6. Dynamic Portfolio Optimization with Transaction Costs and State-Dependent Drift

    DEFF Research Database (Denmark)

    Palczewski, Jan; Poulsen, Rolf; Schenk-Hoppe, Klaus Reiner

    2015-01-01

    The problem of dynamic portfolio choice with transaction costs is often addressed by constructing a Markov Chain approximation of the continuous time price processes. Using this approximation, we present an efficient numerical method to determine optimal portfolio strategies under time- and state......-dependent drift and proportional transaction costs. This scenario arises when investors have behavioral biases or the actual drift is unknown and needs to be estimated. Our numerical method solves dynamic optimal portfolio problems with an exponential utility function for time-horizons of up to 40 years....... It is applied to measure the value of information and the loss from transaction costs using the indifference principle....

  7. Welcome Address

    Science.gov (United States)

    Kiku, H.

    2014-12-01

    Ladies and Gentlemen, It is an honor for me to present my welcome address in the 3rd International Workshop on "State of the Art in Nuclear Cluster Physics"(SOTANCP3), as the president of Kanto Gakuin University. Particularly to those from abroad more than 17 countries, I am very grateful for your participation after long long trips from your home to Yokohama. On the behalf of the Kanto Gakuin University, we certainly welcome your visit to our university and stay in Yokohama. First I would like to introduce Kanto Gakuin University briefly. Kanto Gakuin University, which is called KGU, traces its roots back to the Yokohama Baptist Seminary founded in 1884 in Yamate, Yokohama. The seminary's founder was Albert Arnold Bennett, alumnus of Brown University, who came to Japan from the United States to establish a theological seminary for cultivating and training Japanese missionaries. Now KGU is a major member of the Kanto Gakuin School Corporation, which is composed of two kindergartens, two primary schools, two junior high schools, two senior high schools as well as KGU. In this university, we have eight faculties with graduate school including Humanities, Economics, Law, Sciences and Engineering, Architecture and Environmental Design, Human and Environmental Studies, Nursing, and Law School. Over eleven thousands students are currently learning in our university. By the way, my major is the geotechnical engineering, and I belong to the faculty of Sciences and Engineering in my university. Prof. T. Yamada, here, is my colleague in the same faculty. I know that the nuclear physics is one of the most active academic fields in the world. In fact, about half of the participants, namely, more than 50 scientists, come from abroad in this conference. Moreover, I know that the nuclear physics is related to not only the other fundamental physics such as the elementary particle physics and astrophysics but also chemistry, medical sciences, medical cares, and radiation metrology

  8. 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...

  9. 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 ...

  10. International diversification and Microfinance

    NARCIS (Netherlands)

    Galema, R.; Lensink, B.W.; Spierdijk, L.

    2011-01-01

    International commercial banks, institutional investors, and private investors have become increasingly interested in financing microfinance institutions (MFIs). This paper investigates whether adding microfinance funds to a portfolio of risky international assets yields diversification gains. By

  11. International diversification and Microfinance

    NARCIS (Netherlands)

    Galema, Rients; Lensink, Robert; Spierdijk, Laura

    International commercial banks, institutional investors, and private investors have become increasingly interested in financing microfinance institutions (MFIs). This paper investigates whether adding microfinance funds to a portfolio of risky international assets yields diversification gains. By

  12. 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

  13. 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...

  14. 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.

  15. 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…

  16. 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...

  17. 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…

  18. 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;

  19. [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.

  20. 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

  1. 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

  2. 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

  3. 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.

  4. 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...

  5. 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

  6. 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

  7. 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.

  8. 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

  9. 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

  10. 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.

  11. IT PROJECT PORTFOLIO MANAGEMENT: MODULARITY PROBLEMS IN A PUBLIC ORGANIZATION

    DEFF Research Database (Denmark)

    Hansen, Lars Kristian; Mengiste, Shegaw Anagaw

    2012-01-01

    As today’s public and private sector organizations heavily rely on Information Technology (IT) 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. The investigation applies Modularity theory to analyze rich data from the local government covering several units with quite diverse functions to address the following two questions (1) which modularity problems does a public organization have in its IT PPM practices...... suggest a model addressing the identified problems by organizing IT PPM in three modules connected by three gateways. These results may be used to inform further research into IT PPM and to help managers improve IT PPM practices in public organizations. Keywords: IT Project Portfolio Management (IT PPM...

  12. Portfolio Implementation Risk Management Using Evolutionary Multiobjective Optimization

    Directory of Open Access Journals (Sweden)

    David Quintana

    2017-10-01

    Full Text Available Portfolio management based on mean-variance portfolio optimization is subject to different sources of uncertainty. In addition to those related to the quality of parameter estimates used in the optimization process, investors face a portfolio implementation risk. The potential temporary discrepancy between target and present portfolios, caused by trading strategies, may expose investors to undesired risks. This study proposes an evolutionary multiobjective optimization algorithm aiming at regions with solutions more tolerant to these deviations and, therefore, more reliable. The proposed approach incorporates a user’s preference and seeks a fine-grained approximation of the most relevant efficient region. The computational experiments performed in this study are based on a cardinality-constrained problem with investment limits for eight broad-category indexes and 15 years of data. The obtained results show the ability of the proposed approach to address the robustness issue and to support decision making by providing a preferred part of the efficient set. The results reveal that the obtained solutions also exhibit a higher tolerance to prediction errors in asset returns and variance–covariance matrix.

  13. 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

  14. Innovative Use of the Law to Address Complex Global Health Problems Comment on "The Legal Strength of International Health Instruments - What It Brings toGlobal Health Governance?"

    Science.gov (United States)

    Walls, Helen L; Ooms, Gorik

    2017-05-20

    Addressing the increasingly globalised determinants of many important problems affecting human health is a complex task requiring collective action. We suggest that part of the solution to addressing intractable global health issues indeed lies with the role of new legal instruments in the form of globally binding treaties, as described in the recent article of Nikogosian and Kickbusch. However, in addition to the use of international law to develop new treaties, another part of the solution may lie in innovative use of existing legal instruments. A 2015 court ruling in The Hague, which ordered the Dutch government to cut greenhouse gas emissions by at least 25% within five years, complements this perspective, suggesting a way forward for addressing global health problems that critically involves civil society and innovative use of existing domestic legal instruments. © 2017 The Author(s); Published by Kerman University of Medical Sciences. This is an open-access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

  15. Selecting Large Portfolios of Social Projects in Public Organizations

    Directory of Open Access Journals (Sweden)

    Igor Litvinchev

    2014-01-01

    Full Text Available We address the portfolio selection of social projects in public organizations considering interdependencies (synergies affecting project funds requirements and tasks. A mixed integer linear programming model is proposed incorporating the most relevant aspects of the problem found in the literature. The model supports both complete (all or nothing and partial (a certain amount from a given interval of funding resource allocation policies. Numerical results for large-scale problem instances are presented.

  16. Taxation, Risk-Taking, and Household Portfolio Behavior

    OpenAIRE

    James M. Poterba

    2001-01-01

    This paper summarizes the current state of research on how taxation affects household decisions with respect to portfolio structure and asset trading. It discusses long-standing issues, such as the impact of differential taxation of income flows from stocks and bonds on the incentives for households to invest in these assets, and the effect of capital gains taxation on asset sales. It also addresses a range of emerging issues, such as the impact of taxation on the behavior of mutual funds and...

  17. Addressing Ozone Layer Depletion

    Science.gov (United States)

    Access information on EPA's efforts to address ozone layer depletion through regulations, collaborations with stakeholders, international treaties, partnerships with the private sector, and enforcement actions under Title VI of the Clean Air Act.

  18. Addressing inadequate compensation | IDRC - International ...

    International Development Research Centre (IDRC) Digital Library (Canada)

    2016-08-12

    Aug 12, 2016 ... The issue LSLAs raise a number of concerns regarding compensation, including ... at a meeting with traders in Lamu, Kenya, where a new port is planned. ... compensation and a fair share of benefits and risks in land deals.

  19. 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.

  20. What Is the Relationship Between a Preclerkship Portfolio Review and Later Performance in Clerkships?

    Science.gov (United States)

    O'Brien, Celia Laird; Thomas, John X; Green, Marianne M

    2018-01-01

    Medical educators struggle to find effective ways to assess essential competencies such as communication, professionalism, and teamwork. Portfolio-based assessment provides one method of addressing this problem by allowing faculty reviewers to judge performance, as based on a longitudinal record of student behavior. At the Feinberg School of Medicine, the portfolio system measures behavioral competence using multiple assessments collected over time. This study examines whether a preclerkship portfolio review is a valid method of identifying problematic student behavior affecting later performance in clerkships. The authors divided students into two groups based on a summative preclerkship portfolio review in 2014: students who had concerning behavior in one or more competencies and students progressing satisfactorily. They compared how students in these groups later performed on two clerkship outcomes as of October 2015: final grades in required clerkships, and performance on a clerkship clinical composite score. They used Mann-Whitney tests and multiple linear regression to examine the relationship between portfolio review results and clerkship outcomes. They used USMLE Step 1 to control for knowledge acquisition. Students with concerning behavior preclerkship received significantly lower clerkship grades than students progressing satisfactorily (P = .002). They also scored significantly lower on the clinical composite score (P analysis indicated concerning behavior was associated with lower clinical composite scores, even after controlling for knowledge acquisition. The results show a preclerkship portfolio review can identify behaviors that impact clerkship performance. A comprehensive portfolio system is a valid way to measure behavioral competencies.

  1. Large and small baseload power plants: Drivers to define the optimal portfolios

    International Nuclear Information System (INIS)

    Locatelli, Giorgio; Mancini, Mauro

    2011-01-01

    Despite the growing interest in Small Medium sized Power Plants (SMPP) international literature provides only studies related to portfolios of large plants in infinite markets/grids with no particular attention given to base load SMPP. This paper aims to fill this gap, investigating the attractiveness of SMPP portfolios respect to large power plant portfolios. The analysis includes nuclear, coal and combined cycle gas turbines (CCGT) of different plant sizes. The Mean Variance Portfolio theory (MVP) is used to define the best portfolio according to Internal Rate of Return (IRR) and Levelised Unit Electricity Cost (LUEC) considering the life cycle costs of each power plant, Carbon Tax, Electricity Price and grid dimension. The results show how large plants are the best option for large grids, while SMPP are as competitive as large plants in small grids. In fact, in order to achieve the highest profitability with the lowest risk it is necessary to build several types of different plants and, in case of small grids, this is possible only with SMPP. A further result is the application of the framework to European OECD countries and the United States assessing their portfolios. - Highlights: ► The literature about power plant portfolios does not consider small grids and IRR. ► We evaluated Base load portfolios respect to IRR and LUEC. ► We assessed the influence of grid and plant size, CO 2 cost and Electricity Price. ► Large plants are optimal for large markets even if small plants have similar IRR. ► Small plants are suitable to diversify portfolios in small grids reducing the risk.

  2. Identity construction: a personal portfolio and e-branding plan for an academic purpose

    OpenAIRE

    Belmonte Jiménez, Ana María

    2014-01-01

    In the past, portfolios were shown in paper folders; however, although the traditional media can live with digital media, we cannot forget the importance of having a digital portfolio and a good visibility and online presence, opening our cv to employers who want to meet possible employees, not only in a national market, but international, with an economic crisis context, where mobility is no longer a problem when it comes to search and find a job, but in many cases, the solution. Whe...

  3. 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.

  4. Enhancing capacities of riparian professionals to address and resolve transboundary issues in international river basins: experiences from the Lower Mekong River Basin

    Science.gov (United States)

    Douven, W.; Mul, M. L.; Fernández-Álvarez, B.; Hung, S. Lam; Bakker, N.; Radosevich, G.; van der Zaag, P.

    2012-09-01

    This paper analyses the design and impact of capacity building programmes aimed at enhancing capacities of riparian professionals to address and resolve transboundary issues in international river basins. The case study is a programme developed by the Mekong River Commission (MRC). A post-training evaluation was applied to assess its impact in terms of individual capacity enhancement and change (use and application of knowledge, factors hampering application, and change in function and opportunities within the organisation). The design of the Capacity Building Programme of the MRC Flood Management and Mitigation Programme required a well balanced range of subjects (such as IWRM (integrated water resources management), model and decision support systems, and international water law). The post-training evaluation, 6 months after the last training workshop, showed an increase in familiarity with the topics for all 37 respondents, with the highest increase for the respondents with few years of working experience and from training and education institutions. The relevance of the subjects taught was highlighted by 95% of the respondents, and 78% of the participants had already used some of the acquired knowledge in their job. The respondents indicated that they did not have sufficient opportunities to apply all knowledge. The phased implementation and training of lecturers during the training workshops had a good impact, directly through increasing involvement in facilitation and delivery of the capacity building programme and through the use of the knowledge gained in short courses and development of curricula at their institute. For these types of capacity building programmes, a few recommendations can be made. The selection of participants is crucial for the application of the learned knowledge in their work. The integrative nature of transboundary water issues calls for a capacity building programme addressing a wide range of subjects, which can be understood by a

  5. Interdependence of NAFTA capital markets: A minimum variance portfolio approach

    Directory of Open Access Journals (Sweden)

    López-Herrera Francisco

    2014-01-01

    Full Text Available We estimate the long-run relationships among NAFTA capital market returns and then calculate the weights of a “time-varying minimum variance portfolio” that includes the Canadian, Mexican, and USA capital markets between March 2007 and March 2009, a period of intense turbulence in international markets. Our results suggest that the behavior of NAFTA market investors is not consistent with that of a theoretical “risk-averse” agent during periods of high uncertainty and may be either considered as irrational or attributed to a possible “home country bias”. This finding represents valuable information for portfolio managers and contributes to a better understanding of the nature of the markets in which they invest. It also has practical implications in the design of international portfolio investment policies.

  6. 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.

  7. 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.

  8. Addressing the burden of dialysis around the world: A summary of the roundtable discussion on dialysis economics at the First International Congress of Chinese Nephrologists 2015.

    Science.gov (United States)

    Li, Philip Kam-Tao; Lui, Sing Leung; Ng, Jack Kit-Chung; Cai, Guan Yan; Chan, Christopher T; Chen, Hung Chun; Cheung, Alfred K; Choi, Koon Shing; Choong, Hui Lin; Fan, Stanley L; Ong, Loke Meng; Yu, Linda Wai Ling; Yu, Xue Qing

    2017-12-01

    To address the issue of heavy dialysis burden due to the rising prevalence of end-stage renal disease around the world, a roundtable discussion on the sustainability of managing dialysis burden around the world was held in Hong Kong during the First International Congress of Chinese Nephrologists in December 2015. The roundtable discussion was attended by experts from Hong Kong, China, Canada, England, Malaysia, Singapore, Taiwan and United States. Potential solutions to cope with the heavy burden on dialysis include the prevention and retardation of the progression of CKD; wider use of home-based dialysis therapy, particularly PD; promotion of kidney transplantation; and the use of renal palliative care service. © 2017 Asian Pacific Society of Nephrology.

  9. 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)

  10. 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...

  11. 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...

  12. Realistic Goals and Processes for Future Space Astronomy Portfolio Planning

    Science.gov (United States)

    Morse, Jon

    2015-08-01

    It is generally recognized that international participation and coordination is highly valuable for maximizing the scientific impact of modern space science facilities, as well as for cost-sharing reasons. Indeed, all large space science missions, and most medium and small missions, are international, even if one country or space agency has a clear leadership role and bears most of the development costs. International coordination is a necessary aspect of future mission planning, but how that coordination is done remains debatable. I propose that the community's scientific vision is generally homogeneous enough to permit international coordination of decadal-scale strategic science goals. However, the timing and budget allocation/funding mechanisms of individual countries and/or space agencies are too disparate for effective long-term strategic portfolio planning via a single international process. Rather, I argue that coordinated space mission portfolio planning is a natural consequence of international collaboration on individual strategic missions. I review the process and outcomes of the U.S. 2010 decadal survey in astronomy & astrophysics from the perspective of a government official who helped craft the survey charter and transmitted guidance to the scientific community on behalf of a sponsoring agency (NASA), while continuing to manage the current portfolio that involved ongoing negotiations with other space agencies. I analyze the difficulties associated with projecting long-term budgets, obtaining realistic mission costs (including the additional cost burdens of international partnerships), and developing new (possibly transformational) technologies. Finally, I remark on the future role that privately funded space science missions can have in accomplishing international science community goals.

  13. inaugral address

    African Journals Online (AJOL)

    While political reorientation and economic redress were of immediate concern, ... South African context, where widespread changes have been proposed for education at all ... education at school and other levels and needs to be addressed so as to ..... the major national curriculum intervention in environmental education.

  14. 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.

  15. 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.

  16. 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...

  17. 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.

  18. 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....

  19. 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.

  20. 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 ...

  1. 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

  2. The benefits of ITER for the portfolio of fusion configurations

    International Nuclear Information System (INIS)

    Goldston, R.J.

    2002-01-01

    Recent plasma science challenges are 1) what limits the pressure in plasmas? (macroscopic stability), 2) how do hot particles and plasma waves interact in the non-linear regime? (wave-particle interactions), 3) what causes plasma transport? (microscopic turbulence and transport) and 4) how can high-temperature plasma and material surface co-exist? (plasma-material interactions). This fusion plasma science is addressed using a 'Portfolio' of configurations, like Stellarator, Tokamak, Spherical Torus, Reversed Field Pinch, Spheromak, and Field Reversed Configuration. Namely, the scientific results from one configuration benefit progress in others. Recent example of this effort can be found in NCSX, NSTX and RFP. ITER will provide very significant benefits to the development of the full fusion portfolio; macroscopic stability, wave-particle interactions, microturbulence and transport, plasma-material interactions, and technical demonstration of an integrated fusion system. (author)

  3. The benefits of ITER for the portfolio of fusion configurations

    Energy Technology Data Exchange (ETDEWEB)

    Goldston, R.J. [Princeton Plasma Physics Lab., NJ (United States)

    2002-10-01

    Recent plasma science challenges are 1) what limits the pressure in plasmas? (macroscopic stability), 2) how do hot particles and plasma waves interact in the non-linear regime? (wave-particle interactions), 3) what causes plasma transport? (microscopic turbulence and transport) and 4) how can high-temperature plasma and material surface co-exist? (plasma-material interactions). This fusion plasma science is addressed using a 'Portfolio' of configurations, like Stellarator, Tokamak, Spherical Torus, Reversed Field Pinch, Spheromak, and Field Reversed Configuration. Namely, the scientific results from one configuration benefit progress in others. Recent example of this effort can be found in NCSX, NSTX and RFP. ITER will provide very significant benefits to the development of the full fusion portfolio; macroscopic stability, wave-particle interactions, microturbulence and transport, plasma-material interactions, and technical demonstration of an integrated fusion system. (author)

  4. 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)

  5. 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…

  6. Opening address

    International Nuclear Information System (INIS)

    Ianko, L.

    1993-01-01

    This short talk was the opening remarks to the attendees at this conference, presented by the Scientific Secretary, IWG-LMNPP, of the IAEA. This meeting is an effort to aid research on problems related to the general area of nuclear plant aging and life management. In particular it addresses fracture properties of reactor materials and components, both as installed, and at end of service condition. A major concern is relating measurements made on laboratory samples to properties displayed by actual reactor components

  7. Decision-making in product portfolios of pharmaceutical research and development – managing streams of innovation in highly regulated markets

    Directory of Open Access Journals (Sweden)

    Jekunen A

    2014-10-01

    Full Text Available Antti Jekunen Vaasa Oncology Clinic, Vaasa, Finland Abstract: Decision-making is a core function of any drug development firm. Developing drugs demands a firm to be highly innovative, while at the same time the activity is strictly regulated. Successful drug development offers the right to apply for a long-term patent that confers exclusive marketing rights. This article addresses the issue of what constitutes an adequate portfolio of drugs for a drug development firm and how it might be managed successfully. The paper investigates decision-making in the industry and specifically in the development of oncology drugs from various perspectives: the need for decisions, their timing, decision-making at the project level, the optimal portfolio, tools for portfolio analysis, the evaluation of patents, and finally the importance of the drug portfolio. Drug development decisions as important organizational elements should get more emphasis, and decisions in drug portfolio using modern decision-making methods should be used more widely than what currently happens. Structured, informed decisions would help avoiding late terminations of drugs in Phase III development. An improved research and development pipeline and drug portfolio management are the major elements in the general strategy targeting success. Keywords: decision-making, drug development, clinical oncology, product management, pipeline, portfolio, portfolio analysis, company organization

  8. Opening Statement - Angel Gurria [International Ministerial Conference on Nuclear Energy in the 21. Century: Addressing Energy Needs and Environmental Challenges, Beijing (China), 20-22 April 2009

    International Nuclear Information System (INIS)

    Gurria, Angel

    2009-01-01

    It is a great honour to open this International Ministerial Conference on Nuclear Energy. It is also a privilege for the OECD Nuclear Energy Agency to co-sponsor this conference. I wish to thank both our hosts, the International Atomic Energy Agency and the Government of China, represented by the Ministry of Industry and Information Technology and the China Atomic Energy Authority, for convening us today to advance on our common goal: to secure clean and peaceful nuclear power for the 21st century. The global crisis has exposed not only the paramount challenges of today?s global economy and the remarkable level of interdependence among our nations. It has also confronted us with our duty to define the kind of global economy we need for tomorrow. It is our responsibility to devise sound policies for a stronger, cleaner and fairer global economy. Clean and affordable energy, including access to safe and secure nuclear power, should be a central element of our efforts. This is essential not only for a sustainable economy, but also for the future of our planet. The crisis has prompted us to act immediately and in concert. Take the example of our hosts, the Government of China. In the face of the economic slowdown, they responded rapidly and in a comprehensive fashion. Importantly, they increased government spending, and stimulated domestic demand, and are looking into effective ways to enhance social policies. The turmoil showed that China and all of us need to be more involved in international economic cooperation. We are profoundly affected by the policies implemented by each of our countries. There is no better example than energy to illustrate our interdependence. Holding this meeting in Beijing shows the importance China places on international cooperation and recognizes the role China could play in designing clean and safe energy solutions for the future. For me, coming to Beijing is also an opportunity to stress the high significance of the OECD partnership with

  9. FORMALIZATION OF THE ACCOUNTING VALUABLE MEMES METHOD FOR THE PORTFOLIO OF ORGANIZATION DEVELOPMENT AND INFORMATION COMPUTER TOOLS FOR ITS IMPLEMENTATION

    Directory of Open Access Journals (Sweden)

    Serhii D. Bushuiev

    2017-12-01

    Full Text Available The current state of project management has been steadily demonstrating a trend toward increasing the role of flexible "soft" management practices. A method for preparing solutions for the formation of a value-oriented portfolio based on a comparison of the level of internal organizational values is proposed. The method formalizes the methodological foundations of value-oriented portfolio management in the development of organizations in the form of approaches, basic terms and technological methods with ICT using, which makes it possible to use them as an integral knowledge system for creating an automated system for managing portfolios of organizations. The result of the study is the deepening of the theoretical provisions for managing the development of organizations through the implementation of a value-oriented portfolio of projects, which allowed formalize the method of recording value memes in the development portfolios of organizations, to disclose its logic, essence, objective basis and rules.

  10. Keynote address

    International Nuclear Information System (INIS)

    Bunch, R.P.A.

    1992-01-01

    Good morning ladies and gentlemen. I am truly honored to be your keynote speaker at the first International Oil Spill R ampersand D Forum. This Forum is cosponsored by the Coast Guard, on behalf of the OPA 90 Interagency Coordinating Committee on Oil Spill Research, and the International Maritime Organization. The fact that IMO is jointly sponsoring the Forum truly reflects the global nature of our concerns for the marine environment. I was asked to speak to you today because of my purview over the entire Coast Guard R ampersand D Program, a significant portion of which is oil spill related. Our environmental awareness was renewed on March 24, 1990 when the tankship Exxon Valdez ran aground on Bligh Reef in Prince William Sound, Alaska, and caused the largest vessel related oil spill in U.S. history. During the next 15 months there were three other large oil spills that threatened the U.S. shorelines. The U.S. flag tank vessel American Trader suffered a three foot diameter hole in a cargo tank near Huntington Beach California; the Mega Borg, a Norwegian flag tank vessel, exploded and caught fire off the coast of Texas in the Gulf of Mexico; and the Greek flag tanker World Prodigy ran aground in Narragensett Bay near Rhode Island. Each spill presented a unique set of challenges to our response operations. Despite intense response and cleanup actions, which included excellent international cooperation for the Exxon Valdez spill, it was apparent that existing world-wide catastrophic spill response capabilities could easily be exceeded and that there was no international mechanism which promoted and facilitated cooperations

  11. Keynote address

    International Nuclear Information System (INIS)

    Herzog, R.

    1985-01-01

    This paper addresses various aspects of the bases underlying the nuclear third party liability regime, and also analyses the distinction between danger and risk and the manner in which damage caused by flood, mass unemployment (economic damage mainly) and certain diseases is dealt with in the absence of liability provisions similar to those applicable to nuclear incidents. It also is suggested that the State because of its duty under the Basic Law to ensure adequate energy supplies, should be co-responsible for liability questions along with the nuclear operator. (NEA) [fr

  12. 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.

  13. ECLIPPx: an innovative model for reflective portfolios in life-long learning.

    Science.gov (United States)

    Cheung, C Ronny

    2011-03-01

    For healthcare professionals, the educational portfolio is the most widely used component of lifelong learning - a vital aspect of modern medical practice. When used effectively, portfolios provide evidence of continuous learning and promote reflective practice. But traditional portfolio models are in danger of becoming outmoded, in the face of changing expectations of healthcare provider competences today. Portfolios in health care have generally focused on competencies in clinical skills. However, many other domains of professional development, such as professionalism and leadership skills, are increasingly important for doctors and health care professionals, and must be addressed in amassing evidence for training and revalidation. There is a need for modern health care learning portfolios to reflect this sea change. A new model for categorising the health care portfolios of professionals is proposed. The ECLIPPx model is based on personal practice, and divides the evidence of ongoing professional learning into four categories: educational development; clinical practice; leadership, innovation and professionalism; and personal experience. The ECLIPPx model offers a new approach for personal reflection and longitudinal learning, one that gives flexibility to the user whilst simultaneously encompassing the many relatively new areas of competence and expertise that are now required of a modern doctor. © Blackwell Publishing Ltd 2011.

  14. A new active portfolio risk management for an electricity retailer based on a drawdown risk preference

    International Nuclear Information System (INIS)

    Charwand, Mansour; Gitizadeh, Mohsen; Siano, Pierluigi

    2017-01-01

    This paper addresses the deciding under uncertainty of an electricity retailer in order to maximise its total expected rate of return. The developed methodology is based on the modelling of the stochastic evolution of zonal prices that seeks to manage a portfolio of different contracts. Retailer's load and the price at each zone are forecasted using the seasonal autoregressive integrated moving average (SARIMA) model and a clustering technique is used for scenario reduction. Supply sources include the pool, self-production facilities, forward and bilateral contracts. The risk of cost fluctuation due to uncertainties is explicitly modelled using the multi-scenario drawdown methodology. This risk function quantifies in aggregated format the frequency and magnitude of the portfolio drawdowns over planning horizon. In-sample and out-of-sample runs are performed for a portfolio allocation problem. Carried out experimental results on the basis of realistic data, show that imposing risk constraints improve the “real” performance of a portfolio management in out-of-sample runs. - Highlights: • A new drawdown-based method is introduced to retailer deciding under uncertainty. • This tool is used to assess the risk levels regarding retailer midterm strategies. • The methodology is based on the modeling of the stochastic evolution of zonal prices. • The risk function quantifies the frequency and magnitude of the portfolio drawdowns. • In-sample and out-of-sample runs are performed for a portfolio allocation problem.

  15. Model Risk in Portfolio Optimization

    Directory of Open Access Journals (Sweden)

    David Stefanovits

    2014-08-01

    Full Text Available We consider a one-period portfolio optimization problem under model uncertainty. For this purpose, we introduce a measure of model risk. We derive analytical results for this measure of model risk in the mean-variance problem assuming we have observations drawn from a normal variance mixture model. This model allows for heavy tails, tail dependence and leptokurtosis of marginals. The results show that mean-variance optimization is seriously compromised by model uncertainty, in particular, for non-Gaussian data and small sample sizes. To mitigate these shortcomings, we propose a method to adjust the sample covariance matrix in order to reduce model risk.

  16. Portfolio Manager Selection – A Case Study

    DEFF Research Database (Denmark)

    Christensen, Michael

    2017-01-01

    Within a delegated portfolio management setting, this paper presents a case study of how the manager selection process can be operationalized in practice. Investors have to pursue a thorough screening of potential portfolio managers in order to discover their quality, and this paper discusses how...

  17. Robust portfolio selection under norm uncertainty

    Directory of Open Access Journals (Sweden)

    Lei Wang

    2016-06-01

    Full Text Available Abstract In this paper, we consider the robust portfolio selection problem which has a data uncertainty described by the ( p , w $(p,w$ -norm in the objective function. We show that the robust formulation of this problem is equivalent to a linear optimization problem. Moreover, we present some numerical results concerning our robust portfolio selection problem.

  18. 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...

  19. Essays on intertemporal consumption and portfolio choice

    NARCIS (Netherlands)

    van Bilsen, Servaas

    2015-01-01

    This dissertation consists of two parts, preceded by an introductory chapter. Part I (Chapters 2, 3 and 4) considers optimal consumption and portfolio choice using preference models. Chapter 2 analyzes optimal consumption and portfolio choice under loss aversion and endogenous updating of the

  20. Portfolios for Majors in Professional Communication.

    Science.gov (United States)

    Killingsworth, M. Jimmie; Sanders, Scott P.

    1987-01-01

    Suggests general principles for developing assignments where students prepare portfolios that reveal their overall communication skills in addition to the usual job search tools. Emphasizes that students should concentrate on including works in the portfolio with the criteria of quality, variety, professionalism, and maturity in mind. (SKC)

  1. 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…

  2. IT Portfolio Selection and IT Synergy

    Science.gov (United States)

    Cho, Woo Je

    2010-01-01

    This dissertation consists of three chapters. The primary objectives of this dissertation are: (1) to provide a methodological framework of IT (Information Technology) portfolio management, and (2) to identify the effect of IT synergy on IT portfolio selection of a firm. The first chapter presents a methodological framework for IT project…

  3. Capstone Portfolios and Geography Student Learning Outcomes

    Science.gov (United States)

    Mossa, Joann

    2014-01-01

    Due to increasing demands regarding student learning outcomes and accreditation, a capstone portfolio was added to assess critical thinking and communication skills of geography majors at a large public university in the USA. The portfolio guidelines were designed to be adaptable to a flexible curriculum where about half of the requirements within…

  4. Predictors and Portfolios Over the Life Cycle

    DEFF Research Database (Denmark)

    Kraft, Holger; Munk, Claus; Weiss, Farina

    In a calibrated consumption-portfolio model with stock, housing, and labor income predictability, we evaluate the welfare effects of predictability on life-cycle consumption-portfolio choice. We compare skilled investors who are able to take advantage of all sources of predictability with unskilled...

  5. Optimal Portfolio Choice with Wash Sale Constraints

    DEFF Research Database (Denmark)

    Astrup Jensen, Bjarne; Marekwica, Marcel

    2011-01-01

    We analytically solve the portfolio choice problem in the presence of wash sale constraints in a two-period model with one risky asset. Our results show that wash sale constraints can heavily affect portfolio choice of investors with unrealized losses. The trading behavior of such investors...

  6. On the Teaching of Portfolio Theory.

    Science.gov (United States)

    Biederman, Daniel K.

    1992-01-01

    Demonstrates how a simple portfolio problem expressed explicitly as an expected utility maximization problem can be used to instruct students in portfolio theory. Discusses risk aversion, decision making under uncertainty, and the limitations of the traditional mean variance approach. Suggests students may develop a greater appreciation of general…

  7. The Use of Portfolios in Leadership Education

    Science.gov (United States)

    Olsen, Paul E.

    2009-01-01

    This paper discusses the benefits of using student portfolios in undergraduate leadership education at Saint Michael's College. There appears to be a natural link between the use of portfolios as a tool to facilitate and document leadership growth and development. The Business Administration and Accounting Department at Saint Michael's College…

  8. Optimal portfolio choice under loss aversion

    NARCIS (Netherlands)

    A.B. Berkelaar (Arjan); R.R.P. Kouwenberg (Roy)

    2000-01-01

    textabstractProspect theory and loss aversion play a dominant role in behavioral finance. In this paper we derive closed-form solutions for optimal portfolio choice under loss aversion. When confronted with gains a loss averse investor behaves similar to a portfolio insurer. When confronted with

  9. Optimization of the bank's operating portfolio

    Science.gov (United States)

    Borodachev, S. M.; Medvedev, M. A.

    2016-06-01

    The theory of efficient portfolios developed by Markowitz is used to optimize the structure of the types of financial operations of a bank (bank portfolio) in order to increase the profit and reduce the risk. The focus of this paper is to check the stability of the model to errors in the original data.

  10. SunShot Initiative Portfolio Book 2014

    Energy Technology Data Exchange (ETDEWEB)

    Solar Energy Technologies Office

    2014-05-01

    The 2014 SunShot Initiative Portfolio Book outlines the progress towards the goals outlined in the SunShot Vision Study. Contents include overviews of each of SunShot’s five subprogram areas, as well as a description of every active project in the SunShot’s project portfolio as of May 2014.

  11. Portfolio Diversification Effects of Downside Risk

    NARCIS (Netherlands)

    N. Hyung (Namwon); C.G. de Vries (Casper)

    2004-01-01

    textabstractRisk managers use portfolios to diversify away the un-priced risk of individual securities. In this paper we compare the benefits of portfolio diversification for downside risk in case returns are normally distributed with the case fat tailed distributed returns. The downside risk of a

  12. The Shapley decomposition for portfolio risk

    OpenAIRE

    Stéphane Mussard; Virginie Terraza

    2006-01-01

    The aim of this paper is to provide an application of the Shapley Value to decompose financial portfolio risk. Decomposing the sample covariance risk measure yields relative measures, which enable securities of a portfolio to be classified according to risk scales.

  13. 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.

  14. Application of Resource Portfolio Concept in Nuclear Regulatory Infrastructure Support

    International Nuclear Information System (INIS)

    Lee, Y. E.; Ha, J. T.; Chang, H. S.; Kam, S. C.; Ryu, Y. H.

    2010-01-01

    As the new entrants in the global nuclear construction market are increasing and the establishment of an effective and sustainable regulatory infrastructure becomes more important, they have requested international assistance from the international nuclear communities with mature nuclear regulatory programmes. It needs to optimize the use of limited resources from regulatory organization providing support to regulatory infrastructure of new comers. This paper suggests the resource portfolio concept like a GE/Mckinsey Matrix used in business management and tries to apply it to the current needs considered in the regulatory support program in Korea as the case study

  15. Innovative approaches to the Management of Irradiated Nuclear Graphite Wastes: Addressing the Challenges through International Collaboration with Project 'GRAPA'

    International Nuclear Information System (INIS)

    Wickham, A.J.; Ojovan, M.; O'Sullivan, P.; )

    2017-01-01

    There exists more than 250.000 tonnes of irradiated (and therefore radioactive) nuclear graphite (i-graphite) in the world, primarily as a result of the development of graphite-moderated power-reactor systems, initially for defence and subsequently for commercial purposes. Only a very small number of such plants have been dismantled and, for most cases, the final destiny of the irradiated graphite remains unresolved. Future high-temperature reactor programmes, such as the Chinese HTR-PM development, will produce more graphite and carbonaceous wastes from both structural components and the fuel pebbles (which are approximately 96% carbonaceous), the latter producing a continuous stream of so-called 'operational waste'. The problem of dismantling irradiated graphite reactor stacks, possibly distorted through neutron damage and in some cases degraded further by radiation-chemical attack by gaseous coolants, and then finding the appropriate treatments and final destiny of the material, has exercised both the European Union and the International Atomic Energy Agency for more than 25 years, seeking to address the different issues and available disposal solutions in different IAEA Member States. An IAEA collaborative research programme on treatment options has recently been completed, and an active group of international specialists in this area has now been established as part of the IAEA International Decommissioning Network under the envelope of Project 'GRAPA' (Irradiated Graphite Processing Approaches), which includes representatives from Belgium, China, France, Germany, India, Italy, Lithuania, Rep. of Korea, Romania, Spain, Switzerland, Ukraine and the Russian Federation with direct responsibilities for various parts of the decommissioning and graphite-disposal process in a variety of reactor designs. Interest has also been expressed by colleagues from Sweden and Japan. Work is in progress on a number of topic areas where weaknesses in the

  16. Welcome address

    International Nuclear Information System (INIS)

    Donowaki, Mitsuro

    1992-01-01

    Recent dramatic changes in the international environment had great influence on the process of arms control and disarmament. The need for improving and strengthening the Non-proliferation Treaty proposed examination of the possibility to activate special inspection mechanism of IAEA. With regard to the nuclear tests ban, the US and Russia have already brought into effect the threshold test-ban Treaty and the peaceful nuclear explosions Treaty. Within these circumstances it is inevitable to stress the importance of solving regional disputes and conflicts in South-East Asia which is strongly supported by Japan which hosted this meeting

  17. Opening address

    International Nuclear Information System (INIS)

    Donnelly, James.

    1981-06-01

    The supply of energy is the most important problem facing mankind today. Energy is necessary for economic development, and it is in the interests of the industrialized nations to ensure that the developing countries reach their economic potential. The need for the increased use of nuclear power is evident, and the CANDU reactor provides a simple, proven energy source; the 950 MW CANDU has potential applications in both industrialized and third world nations. The Canadian nuclear industry has an important role to play in the world, but must be rationalized in order to compete successfully in the international marketplace

  18. Portfolio Assessment: Production and Reduction of Complexity

    DEFF Research Database (Denmark)

    Keiding, Tina Bering; Qvortrup, Ane

    2015-01-01

    Over the last two decades, the education system has witnessed a shift from summative, product-oriented assessment towards formative, process-oriented assessment. Among the different learning and assessment initiatives introduced in the slipstream of this paradigmatic turn, the portfolio seems...... to have become one of the most popular. By re-describing the portfolio from a systems theoretical point of view, this article discusses established expectations of the portfolio in relation to transparency in learning, reflexivity and self-assessment. It shows that the majority of the literature deals...... with what-questions and that the portfolio is expected to handle a number of challenges with regard to the documentation of learning processes and achievements as well as the conditioning of learning activities. Furthermore, is becomes clear that descriptions of how the portfolio works are sparse. Based...

  19. Student evaluations of the portfolio process.

    Science.gov (United States)

    Murphy, John E; Airey, Tatum C; Bisso, Andrea M; Slack, Marion K

    2011-09-10

    To evaluate pharmacy students' perceived benefits of the portfolio process and to gather suggestions for improving the process. A questionnaire was designed and administered to 250 first-, second-, and third-year pharmacy students at the University of Arizona College of Pharmacy. Although the objectives of the portfolio process were for students to understand the expected outcomes, understand the impact of extracurricular activities on attaining competencies, identify what should be learned, identify their strengths and weaknesses, and modify their approach to learning, overall students perceived the portfolio process as having less than moderate benefit. First-year students wanted more examples of portfolios while second- and third-year students suggested that more time with their advisor would be beneficial. The portfolio process will continue to be refined and efforts made to improve students' perceptions of the process as it is intended to develop the self-assessments skills they will need to improve their knowledge and professional skills throughout their pharmacy careers.

  20. 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.

  1. Model of Formation of the Enterprise Business Portfolio in the Context of Ensuring Strategic Flexibility

    Directory of Open Access Journals (Sweden)

    Shatilova Olena V.

    2014-01-01

    Full Text Available The article considers urgent problems of enterprise management under conditions of external environment instability, studies problems of the enterprise strategic flexibility management. It shows that one of the efficient mechanisms of ensuring strategic flexibility is restructuring of the enterprise business portfolio in accordance with the change of the situation in the target market of enterprise functioning. The goal of the article is development of a model of formation of enterprise business portfolio in the context of ensuring strategic flexibility. The main method of optimisation of the enterprise business portfolio in the context of ensuring strategic flexibility is the use of modification of the Markowitz model of investment portfolio formation. The offered model of the enterprise business portfolio formation allows taking into account changes of external and internal environments and conducting portfolio restructuring in the event of the change of the enterprise target market situation. Prospects of further studies in this direction are detailed elaboration and formalisation of the organisational and economic mechanism of realisation of strategic flexibility at an enterprise.

  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. Luncheon address

    International Nuclear Information System (INIS)

    Dowdeswell, E.

    1991-01-01

    Public policy responses to climate change are discussed from a global viewpoint. The public policy issue is one of unprecedented scope and complexity, and concerns the interaction of two vast and complex systems: the physical planetary system, and the human economic system. Decision making is required in the face of uncertainty, and scientific knowledge is lagging behind policy issues. Continuing world development is going to drastically change the balance of global population, trade, and economic power. Environmental quality performance requirements should be set with a great deal of attention paid to how they will affect the process of innovation, and must encourage demand for emerging technologies, products and services. Effective solutions can come only from effective international agreement. Governments, citizens and industry must become partners in action, and improved education and communication is required. Science, public policy and social consensus must converge, as climate change is not merely a scientific or technical problem, but is also a social and political problem

  4. President's address

    International Nuclear Information System (INIS)

    Aspin, Norman.

    1981-06-01

    During 1980/81 the Canadian uranium industry continued to invest in new facilities. Redevelopment is taking place in Elliot Lake, and new mines are being started in Saskatchewan. Although a moratorium on uranium exploration and mining in the province of British Columbia was issued, the royal commission appointed to look into the subject stated that it saw no reason to prohibit exploration. A mood of optimism is growing in the manufacturing sector of the Canadian nuclear industry; the scarcity of orders is being offset by the excellent performance of the Ontario Hydro reactors and prospect for further construction in Ontario, Quebec and New Brunswick. The possibility of international sales of CANDU reactors is also strong. Public opinion in favour of nuclear power is growing

  5. Keynote address

    International Nuclear Information System (INIS)

    Farlinger, W.

    1997-01-01

    In this second keynote address of the conference Mr. Farlinger, Chairman of Ontario Hydro, attempted to respond to some of the criticisms levelled at the Corporation in the course of the Macdonald Committee process. He appeared to be particularly vexed by the criticism of IPPSO, saying that in effect, they are' beating up on their only customer', at a time when Hydro is being pulled in several different directions, and was facing pressure from jurisdictional dispute with municipal utilities, (MEUs). Nevertheless, he agreed with the need for restructuring. He defended Hydro by saying that the Macdonald Report in fact represented a vindication of the position Ontario Hydro had taken, particularly on such issues as open competition, customer choice, rationalization of the distribution system, and termination of Hydro's monopoly position. At the same time, he objected to the Report's assertion that dismantling the generation system into smaller units would be in the best interest of the people of Ontario. He suggested that there would be several large US utility companies willing and able to fill the vacuum if there was no large company with its head office in Ontario to stake its claim to the provincial market

  6. 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

  7. Keynote address

    International Nuclear Information System (INIS)

    Davis, J.M.

    1991-01-01

    DOE biomass R ampersand D programs have the potential to provide America with both plentiful, clean-burning domestic transportation fuels and cost-competitive industrial and utility fuels, benefiting energy security in the United States. Biofuels developed under our programs will also help improve air quality, reduce greenhouse gases, reduce the large daily quantities of waste we produce, and revitalize rural America. These research motivations have been documented in the National Energy Strategy. DOE looks forward to expanding its biofuels research program and to forging a partnership with private sector for cost-shared commercialization of new fuels and vehicle technologies. Many alternative fuels (e.g., ethanol, methanol, compressed natural gas, propane, or electricity) are candidates for gaining market share. Indeed, there may be significant regional variation in the future fuel mix. Alcohol fuels from biomass, particularly ethanol, have the potential to make a major contribution. Currently, ethanol in the United States is almost entirely made from corn; and the limitations of that process are well known (e.g., costly feedstock, end product requiring subsidy to be competitive, use of fossil fuels in renewable feedstock production and processing, and potential adverse impact of corn ethanol production on the price of food). To address these concerns, the DOE biofuels program is pursuing an ambitious research program to develop the technologies needed to convert these crops into alternative transportation fuels, primarily cellulose-based ethanol and methanol. Program R ampersand D has reduced the estimated cost per gallon of cellulose-based ethanol from $3.60 in 1980 to the current $1.35, with a program goal of $0.60 by the year 2000. DOE is also investigating the thermochemical conversion of biomass to methanol. The program goal is to achieve commercial production of methanol (like ethanol) at the gasoline equivalent of $0.90 per gallon by the year 2000. 4 figs

  8. Convocation address.

    Science.gov (United States)

    Gore, M S

    1997-07-01

    In India, data from the decennial censuses have been the catalyst that has led researchers to identify social policy needs and craft programs to lower overall mortality rates, infant mortality rates, and fertility rates. A new demographic phenomenon that is being exposed by the data is the increase in life expectancy that will see large numbers of individuals surviving 15-20 years beyond age 60. This increased life expectancy will lead to an increased old age dependency ratio and will require reexamination of the issue of resources to meet the needs of the elderly. These needs are social and psychological as well as physical. Research is needed to predict the initial consequences of population aging within different states. International comparisons within the Asian region will also foster identification of effective policies. Research is also needed to identify whether longevity is tied to higher educational and socioeconomic status in order to improve life expectancy among low-income groups. Another aspect that requires consideration is that most elderly women will likely survive their husbands. This means that they will be available to care for their husbands but will have to depend upon their children to care for them. The possible demographic diversity in the experience of aging among various states and classes and between the genders may be of special interest to researchers.

  9. The Scientific Context of Product Portfolio Management at Manufacturing Firms

    Directory of Open Access Journals (Sweden)

    Alvaro Luiz Neuenfeldt Júnior

    2014-12-01

    Full Text Available Correct product portfolio management is one of the feasible ways of ensuring competitive sustainability before continued market evolution whereby decisions to maintain or exclude an item from the sales offering drives consequences that impact both internal and external contexts. In alignment with this standpoint, the purpose of this study is to identify and pinpoint the conceptual framework on product portfolio management, particularly in as much as existing applications centred on manufacturing sector firms is concerned, so as to allow for the envisioning of possible opportunities of fostering future investigations on the subject matter. To this effect, theoretical-conceptual research was conducted, starting with the primary definition of how this field of study is explored right through to the bibliometric review of existing publications. The end result was the identification a gap in research that focuses on portfolio management at manufacturing companies, particularly in Brazil where only two studies centred on this theme were found, although the country hosts more than 30 types of organizations of this kind.

  10. Patent portfolio management: literature review and a proposed model.

    Science.gov (United States)

    Conegundes De Jesus, Camila Kiyomi; Salerno, Mario Sergio

    2018-05-09

    Patents and patent portfolios are gaining attention in the last decades, from the called 'pro-patent era' to the recent billionaire transactions involving patent portfolios. The field is growing in importance, both theoretically and practically and despite having substantial literature on new product development portfolio management, we have not found an article relating this theory to patent portfolios. Areas covered: The paper develops a systematic literature review on patent portfolio management to organize the evolution and tendencies of patent portfolio management, highlighting distinctive features of patent portfolio management. Interview with IP manager of three life sciences companies, including a leading multinational group provided relevant information about patent portfolio management. Expert opinion: Based on the systematic literature review on portfolio management, more specifically, on new product development portfolio theory, and interview the paper proposes the paper proposes a reference model to manage patent portfolios. The model comprises four stages aligned with the three goals of the NPD portfolio management: 1 - Linking strategy of the Company's NPD Portfolio to Patent Portfolio; 2 - Balancing the portfolio in buckets; 3 - Patent Valuation (maximizing valuation); 4 - Regularly reviewing the patent portfolio.

  11. 12 CFR 1252.1 - Enterprise portfolio holding criteria.

    Science.gov (United States)

    2010-01-01

    ... 12 Banks and Banking 7 2010-01-01 2010-01-01 false Enterprise portfolio holding criteria. 1252.1 Section 1252.1 Banks and Banking FEDERAL HOUSING FINANCE AGENCY ENTERPRISES PORTFOLIO HOLDINGS § 1252.1 Enterprise portfolio holding criteria. The Enterprises are required to comply with the portfolio holdings...

  12. 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…

  13. The Finite and Moving Order Multinomial Universal Portfolio

    International Nuclear Information System (INIS)

    Tan, Choon Peng; Pang, Sook Theng

    2013-01-01

    An upper bound for the ratio of wealths of the best constant -rebalanced portfolio to that of the multinomial universal portfolio is derived. The finite- order multinomial universal portfolios can reduce the implementation time and computer-memory requirements for computation. The improved performance of the finite-order portfolios on some selected local stock-price data sets is observed.

  14. Sustainable Energy Portfolios for Small Island States

    Directory of Open Access Journals (Sweden)

    Sándor Szabó

    2015-09-01

    Full Text Available The study presents a cost effective electricity generation portfolio for six island states for a 20-year period (2015–2035. The underlying concept investigates whether adding sizeable power capacities of renewable energy sources (RES options could decrease the overall costs and contribute to a more sustainable, indigenous electricity generation at the same time. Often, island states rely on fossil fuels which, apart from dependence on foreign resources, also includes an additional, significant transport cost. This is an extra motive to study the extent in which island states represent primary locations for RES technologies. For the aims of the present study an optimization model has been developed and following numerous runs the obtained results show that installing PV and battery capacities can delay-reduce the huge investments in fossil options in early periods. Thus, investment on RES can have a positive, long-term effect on the overall energy mix. This prompt development can happen without adding new subsidies but there is a need to address the existing socio-economic barriers with intelligent design of financing and economic instruments and capacity building as discussed in the conclusions.

  15. Diversification and strategic management of LLNL's R ampersand D portfolio

    International Nuclear Information System (INIS)

    Glinsky, M.E.

    1994-12-01

    Strategic management of LLNL's research effort is addressed. A general framework is established by presenting the McKinsey/BCG Matrix Analysis as it applies to the research portfolio. The framework is used to establish the need for the diversification into new attractive areas of research and for the improvement of the market position of existing research in those attractive areas. With the need for such diversification established, attention is turned to optimizing it. There are limited resources available. It is concluded that LLNL should diversify into only a few areas and try to obtain full market share as soon as possible

  16. METHODICAL BASES OF MANAGEMENT OF INSURANCE PORTFOLIO

    Directory of Open Access Journals (Sweden)

    Serdechna Yulia

    2018-01-01

    Full Text Available Introduction. Despite the considerable arsenal of developments in the issues of assessing the management of the insurance portfolio remains unresolved. In order to detail, specify and further systematize the indicators for the indicated evaluation, the publications of scientists are analyzed. The purpose of the study is to analyze existing methods by which it is possible to formulate and manage the insurance portfolio in order to achieve its balance, which will contribute to ensuring the financial reliability of the insurance company. Results. The description of the essence of the concept of “management of insurance portfolio”, as the application of actuarial methods and techniques to the combination of various insurance risks offered for insurance or are already part of the insurance portfolio, allowing to adjust the size and structure of the portfolio in order to ensure its financial stability, achievement the maximum level of income of an insurance organization, preservation of the value of its equity and financial security of insurance liabilities. It is determined that the main methods by which the insurer’s insurance portfolio can be formed and managed is the selection of risks; reinsurance operations that ensure diversification of risks; formation and placement of insurance reserves, which form the financial basis of insurance activities. The method of managing an insurance portfolio, which can be both active and passive, is considered. Conclusions. It is determined that the insurance portfolio is the basis on which all the activities of the insurer are based and which determines its financial stability. The combination of methods and technologies applied to the insurance portfolio is a management method that can be both active and passive and has a number of specific methods through which the insurer’s insurance portfolio can be formed and managed. It is substantiated that each insurance company aims to form an efficient and

  17. 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.

  18. Does asymmetric correlation affect portfolio optimization?

    Science.gov (United States)

    Fryd, Lukas

    2017-07-01

    The classical portfolio optimization problem does not assume asymmetric behavior of relationship among asset returns. The existence of asymmetric response in correlation on the bad news could be important information in portfolio optimization. The paper applies Dynamic conditional correlation model (DCC) and his asymmetric version (ADCC) to propose asymmetric behavior of conditional correlation. We analyse asymmetric correlation among S&P index, bonds index and spot gold price before mortgage crisis in 2008. We evaluate forecast ability of the models during and after mortgage crisis and demonstrate the impact of asymmetric correlation on the reduction of portfolio variance.

  19. Real Time Investments with Adequate Portfolio Theory

    Directory of Open Access Journals (Sweden)

    Alina Kvietkauskienė

    2015-02-01

    Full Text Available The objective of this paper is to identify investment decision makingschemes using the adequate portfolio model. This approach can be employed to project investment in stocks, using the opportunities offered by the markets and investor intelligence. It was decided to use adequate portfolio theory for investment decision making, simulation of financial markets, and optimisation of utility function. The main conclusion of article suggests investigating return on individual portfolio level. Real investment is a way to make sure of the soundness of applicable strategies.

  20. 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.

  1. 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)

  2. Teaching Auditing Using Cases in an Online Learning Environment: The Role of ePortfolio Assessment

    Science.gov (United States)

    Mihret, Dessalegn Getie; Abayadeera, Nadana; Watty, Kim; McKay, Jade

    2017-01-01

    While teaching auditing using cases is regarded as an effective approach, spatial separation of students and teachers in online contexts can restrict the application of case teaching. This study examines an undergraduate auditing course implemented to address this challenge by integrating case teaching with ePortfolio assessment. Students' written…

  3. Preventing absenteeism at the workplace : a European portfolio of case studies

    NARCIS (Netherlands)

    Gründemann, R.W.M.; Vuuren, C.V. van

    1998-01-01

    Ill-health is the main cause of workplace absenteeism yet relatively few enterprises have addressed this issue systematically. This portfolio of initiatives to prevent or reduce ill-health associated with absenteeism shows in some detail how leading business have developed innovative approaches to

  4. Measuring Treasury Bond Portfolio Risk and Portfolio Optimization with a Non-Gaussian Multivariate Model

    Science.gov (United States)

    Dong, Yijun

    The research about measuring the risk of a bond portfolio and the portfolio optimization was relatively rare previously, because the risk factors of bond portfolios are not very volatile. However, this condition has changed recently. The 2008 financial crisis brought high volatility to the risk factors and the related bond securities, even if the highly rated U.S. treasury bonds. Moreover, the risk factors of bond portfolios show properties of fat-tailness and asymmetry like risk factors of equity portfolios. Therefore, we need to use advanced techniques to measure and manage risk of bond portfolios. In our paper, we first apply autoregressive moving average generalized autoregressive conditional heteroscedasticity (ARMA-GARCH) model with multivariate normal tempered stable (MNTS) distribution innovations to predict risk factors of U.S. treasury bonds and statistically demonstrate that MNTS distribution has the ability to capture the properties of risk factors based on the goodness-of-fit tests. Then based on empirical evidence, we find that the VaR and AVaR estimated by assuming normal tempered stable distribution are more realistic and reliable than those estimated by assuming normal distribution, especially for the financial crisis period. Finally, we use the mean-risk portfolio optimization to minimize portfolios' potential risks. The empirical study indicates that the optimized bond portfolios have better risk-adjusted performances than the benchmark portfolios for some periods. Moreover, the optimized bond portfolios obtained by assuming normal tempered stable distribution have improved performances in comparison to the optimized bond portfolios obtained by assuming normal distribution.

  5. The Role of Agribusiness Assets in Investment Portfolios

    OpenAIRE

    Johnson, Michael; Malcolm, Bill; O'Connor, Ian

    2006-01-01

    Investment in agribusiness assets has grown significantly in recent years. The question of interest is whether including agribusiness assets in investment portfolios provide benefits. The effects of diversification by including agribusiness assets in two investment portfolios, a mixed asset portfolio and a diversified share portfolio was investigated using Markowitz’s (1952) Modern Portfolio Theory (MPT) of mean-variance optimization. To measure the performance of agribusiness assets, an in...

  6. An Extensive Evaluation of Portfolio Approaches for Constraint Satisfaction Problems

    Directory of Open Access Journals (Sweden)

    Roberto Amadini

    2016-06-01

    Full Text Available In the context of Constraint Programming, a portfolio approach exploits the complementary strengths of a portfolio of different constraint solvers. The goal is to predict and run the best solver(s of the portfolio for solving a new, unseen problem. In this work we reproduce, simulate, and evaluate the performance of different portfolio approaches on extensive benchmarks of Constraint Satisfaction Problems. Empirical results clearly show the benefits of portfolio solvers in terms of both solved instances and solving time.

  7. Optimal Portfolio Rebalancing Strategy : Evidence from Finnish Stocks

    OpenAIRE

    Savage, Akinwunmi

    2010-01-01

    Portfolio rebalancing is an established concept in portfolio management and investing generally. Assets within a portfolio have different return and risk prospects, and this inevitably leads them to drift away from their initial allocation weights overtime. Portfolio rebalancing is arguably the only method by which such assets can be reset to their initial weights, thus ensuring the portfolio reflects the risk appetite of the investor. Like many other concepts and practices in finance, portfo...

  8. 13 CFR 107.760 - How a change in size or activity of a Portfolio Concern affects the Licensee and the Portfolio...

    Science.gov (United States)

    2010-01-01

    ... of a Portfolio Concern affects the Licensee and the Portfolio Concern. 107.760 Section 107.760... § 107.760 How a change in size or activity of a Portfolio Concern affects the Licensee and the Portfolio Concern. (a) Effect on Licensee of a change in size of a Portfolio Concern. If a Portfolio Concern no...

  9. Trendy solutions: Why do states adopt Sustainable Energy Portfolio Standards?

    Energy Technology Data Exchange (ETDEWEB)

    Chandler, Jess [Georgia Institute of Technology, 685 Cherry Street, Atlanta, GA 30332-0345 (United States)], E-mail: jess.chandler@gatech.edu

    2009-08-15

    Thirty-four states had adopted Sustainable Energy Portfolio Standards (SEPS) or similar goals by the end of 2008, with 14 adoptions since 2006. There appears to be something trendy about SEPS and states may adopt SEPS when internal variables would indicate otherwise. This analysis extends the current discussion of SEPS adoption beyond internal variables, relying on innovation and diffusion theory. Logistic regression with SEPS adoption as the dependent variable is used to test internal determinants and diffusion measures for the years 1997-2008. Of the internal determinants variables, affluence and government ideology were found to be positive and significant. The results show that regional and neighbor diffusion variables are significant in SEPS adoption decisions-even when accounting for ideological distance from previous adopters.

  10. Trendy solutions. Why do states adopt Sustainable Energy Portfolio Standards?

    Energy Technology Data Exchange (ETDEWEB)

    Chandler, Jess [Georgia Institute of Technology, 685 Cherry Street, Atlanta, GA 30332-0345 (United States)

    2009-08-15

    Thirty-four states had adopted Sustainable Energy Portfolio Standards (SEPS) or similar goals by the end of 2008, with 14 adoptions since 2006. There appears to be something trendy about SEPS and states may adopt SEPS when internal variables would indicate otherwise. This analysis extends the current discussion of SEPS adoption beyond internal variables, relying on innovation and diffusion theory. Logistic regression with SEPS adoption as the dependent variable is used to test internal determinants and diffusion measures for the years 1997-2008. Of the internal determinants variables, affluence and government ideology were found to be positive and significant. The results show that regional and neighbor diffusion variables are significant in SEPS adoption decisions - even when accounting for ideological distance from previous adopters. (author)

  11. Trendy solutions: Why do states adopt Sustainable Energy Portfolio Standards?

    International Nuclear Information System (INIS)

    Chandler, Jess

    2009-01-01

    Thirty-four states had adopted Sustainable Energy Portfolio Standards (SEPS) or similar goals by the end of 2008, with 14 adoptions since 2006. There appears to be something trendy about SEPS and states may adopt SEPS when internal variables would indicate otherwise. This analysis extends the current discussion of SEPS adoption beyond internal variables, relying on innovation and diffusion theory. Logistic regression with SEPS adoption as the dependent variable is used to test internal determinants and diffusion measures for the years 1997-2008. Of the internal determinants variables, affluence and government ideology were found to be positive and significant. The results show that regional and neighbor diffusion variables are significant in SEPS adoption decisions-even when accounting for ideological distance from previous adopters.

  12. Teaching portfolios and a competence framework aimed to build faculty teaching competencies

    DEFF Research Database (Denmark)

    Dolin, Jens; Kobayashi, Sofie

    as a need for a common language and reference. Main barriers are scepticism towards the teaching portfolio for assessment of competencies, fear of extra work load, possible use as control measures, and fear that standards will narrow teaching development. In a research intensive university it is very......The University of Copenhagen has decided to introduce teaching portfolios and a competence framework as initiatives aimed to address the relatively low status of teaching compared to research. The two measures have been designed in a bottom-up process and are also backed by university leadership...

  13. Robust portfolio selection based on asymmetric measures of variability of stock returns

    Science.gov (United States)

    Chen, Wei; Tan, Shaohua

    2009-10-01

    This paper addresses a new uncertainty set--interval random uncertainty set for robust optimization. The form of interval random uncertainty set makes it suitable for capturing the downside and upside deviations of real-world data. These deviation measures capture distributional asymmetry and lead to better optimization results. We also apply our interval random chance-constrained programming to robust mean-variance portfolio selection under interval random uncertainty sets in the elements of mean vector and covariance matrix. Numerical experiments with real market data indicate that our approach results in better portfolio performance.

  14. E-portfolios in lifelong learning

    NARCIS (Netherlands)

    Brouns, Francis; Vogten, Hubert; Janssen, José; Finders, Anton

    2013-01-01

    Brouns, F., Vogten, H., Janssen, J., & Finders, A. (2013, 14-15 November). E-portfolios in lifelong learning. Presentation given at the 2013 Conference on Technological Ecosystems for Enhancing Multiculturality, TEEM2013, Salamanca, Spain.

  15. 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

  16. Active Multifamily Portfolio-Property Level data

    Data.gov (United States)

    Department of Housing and Urban Development — Multifamily Portfolio datasets (section 8 contracts) - The information has been compiled from multiple data sources within FHA or its contractors. HUD oversees more...

  17. ROMANIAN INVESTORS PORTFOLIO. ONLINE VERSUS ASSISTED TRADING

    Directory of Open Access Journals (Sweden)

    Ioana Ancuţa IANCU

    2017-05-01

    Full Text Available One of the most important aspects in deciding to trade online, alone, without the help of a broker, is the portfolio profitability. In this study, using the personal experience, survey data and secondary sources, we identify some factors that may influence the gain and the loss of investors which trade online. Our study contradicts other results from literature that claim that the transition from assisted to online trading is a big drawback in terms of portfolio profitability. By analyzing the performance of the portfolio when passing from assisted to online trading, we observe that half of the investors achieved identical profitability. We also observed that the efficiency of the portfolios belonging to the online investors that were assisted in the past by a broker for a short period, is lower compared to the ones assisted (in the past for a longer period.

  18. 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

  19. Exploring Students’ Attitudes and Beliefs Towards E-Portfolios and Technology in Education

    Directory of Open Access Journals (Sweden)

    Gemma TUR

    2015-05-01

    Full Text Available This article reports on student teachers’ attitude towards technology in education and e-portfolio processes. Attitude is closely related to teachers’ beliefs and the later have been defined as second-order barriers. While an important effort has been made to overcome first-order barrier such as resources, training and support, it cannot be observed that technology has been successfully introduced in education. Therefore, second-order barriers such as attitudes and beliefs are being considered nowadays in order to address the lack of innovative use of technology by teachers. It has been argued that the introduction of technology has to be directed towards the empowerment of cognitive and high-level thinking skills and has to be used based on student-centred approaches. Building e-portfolios and helping students which grow and curate their own Personal Learning Environments (PLE are two approaches to go beyond technology-centered models. E-Portfolios are viewed as part of students’ PLE so social media are used to enhance both e-portfolio processes and students’ PLEs. The research is based on a survey in four groups of students at the local branch in Ibiza of the University of the Balearic Islands. The participants have previously built their e-portfolios with Web 2.0 tools during one semester. Students are asked to document their learning weekly and reflect on the change experienced in the way they think about educational issues. Students are also asked to use new tools and social media services to give evidence of their own learning. The survey is based on a Likert scale so as to be able to analyse the students’ attitude and beliefs towards their e-portfolio and technology in education. The results show that a generally positive attitude is developed by students. Conclusions highlight the slight difference in student teachers’ attitude between technology and specific e-portfolio processes.

  20. Managing sovereign credit risk in bond portfolios

    OpenAIRE

    Bruder, Benjamin; Hereil, Pierre; Roncalli, Thierry

    2011-01-01

    With the recent development of the European debt crisis, traditional index bond management has been severely called into question. We focus here on the risk issues raised by the classical market-capitalization weighting scheme. We propose an approach to properly measure sovereign credit risk in a fixed-income portfolio. For that, we assume that CDS spreads follow a SABR process and we derive a sovereign credit risk measure based on CDS spreads and duration of portfolio bonds. We then consider...

  1. Online Learning of Commission Avoidant Portfolio Ensembles

    OpenAIRE

    Uziel, Guy; El-Yaniv, Ran

    2016-01-01

    We present a novel online ensemble learning strategy for portfolio selection. The new strategy controls and exploits any set of commission-oblivious portfolio selection algorithms. The strategy handles transaction costs using a novel commission avoidance mechanism. We prove a logarithmic regret bound for our strategy with respect to optimal mixtures of the base algorithms. Numerical examples validate the viability of our method and show significant improvement over the state-of-the-art.

  2. Subjective Life Horizon and Portfolio Choice

    OpenAIRE

    Spaenjers , Christophe; Spira, Sven Michael

    2013-01-01

    Using data from a U.S. household survey, we examine the empirical relation between subjective life horizon (i.e., the self-reported expectation of remaining life span) and portfolio choice. We find that equity portfolio shares are higher for investors with longer horizons, ceteris paribus, in line with theoretical predictions. This result is robust to controlling for optimism and health status, accounting for the endogeneity of equity market participation, or instrumenting subjective life hor...

  3. Portfolio Selection with Jumps under Regime Switching

    Directory of Open Access Journals (Sweden)

    Lin Zhao

    2010-01-01

    Full Text Available We investigate a continuous-time version of the mean-variance portfolio selection model with jumps under regime switching. The portfolio selection is proposed and analyzed for a market consisting of one bank account and multiple stocks. The random regime switching is assumed to be independent of the underlying Brownian motion and jump processes. A Markov chain modulated diffusion formulation is employed to model the problem.

  4. Equity Portfolio Management Using Option Price Information

    DEFF Research Database (Denmark)

    Christoffersen, Peter; Pan, Xuhui (Nick)

    We survey the recent academic literature that uses option-implied information to construct equity portfolios. Studies show that equity managers can earn a positive alpha by using information in individual equity options, by using stocks' exposure to information in market index options, and by using...... stocks' exposure to crude oil option information. Option-implied information can also help construct better mean-variance portfolios and better estimates of market beta....

  5. Systemic risk contributions: a credit portfolio approach

    OpenAIRE

    Düllmann, Klaus; Puzanova, Natalia

    2011-01-01

    We put forward a Merton-type multi-factor portfolio model for assessing banks' contributions to systemic risk. This model accounts for the major drivers of banks' systemic relevance: size, default risk and correlation of banks' assets as a proxy for interconnectedness. We measure systemic risk in terms of the portfolio expected shortfall (ES). Banks' (marginal) risk contributions are calculated based on partial derivatives of the ES in order to ensure a full risk allocation among institutions...

  6. Optimal annuity portfolio under inflation risk

    DEFF Research Database (Denmark)

    Konicz, Agnieszka Karolina; Pisinger, David; Weissensteiner, Alex

    2015-01-01

    The paper investigates the importance of in ation-linked annuities to individuals facing in ation risk. Given the investment opportunities in nominal, real, and variable annuities, as well as cash and stocks, we investigate the consumption and investment decisions under two different objective fu...... and risk aversion, real annuities are a crucial asset in every portfolio. In addition, without investing in real annuities, the retiree has to rebalance the portfolio more frequently, and still obtains the lower and more volatile real consumption....

  7. Reinforcement Learning in Repeated Portfolio Decisions

    OpenAIRE

    Diao, Linan; Rieskamp, Jörg

    2011-01-01

    How do people make investment decisions when they receive outcome feedback? We examined how well the standard mean-variance model and two reinforcement models predict people's portfolio decisions. The basic reinforcement model predicts a learning process that relies solely on the portfolio's overall return, whereas the proposed extended reinforcement model also takes the risk and covariance of the investments into account. The experimental results illustrate that people reacted sensitively to...

  8. 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...

  9. Strategic management of government-sponsored R&D portfolios

    OpenAIRE

    Barry Bozeman; Juan Rogers

    2001-01-01

    Although strategic management of R&D portfolios is common practice in private sector R&D, government R&D management tends to be more discrete and ad hoc, focusing on generating maximum output from individual projects. Often, there is no clear notion of the desired public sector output. Whereas private sector R&D evaluation is generally straightforward, with the function of R&D being measured in terms of a company's internal return on investment, the benefits of public-sponsored R&D tend to be...

  10. Risk-aware multi-armed bandit problem with application to portfolio selection.

    Science.gov (United States)

    Huo, Xiaoguang; Fu, Feng

    2017-11-01

    Sequential portfolio selection has attracted increasing interest in the machine learning and quantitative finance communities in recent years. As a mathematical framework for reinforcement learning policies, the stochastic multi-armed bandit problem addresses the primary difficulty in sequential decision-making under uncertainty, namely the exploration versus exploitation dilemma, and therefore provides a natural connection to portfolio selection. In this paper, we incorporate risk awareness into the classic multi-armed bandit setting and introduce an algorithm to construct portfolio. Through filtering assets based on the topological structure of the financial market and combining the optimal multi-armed bandit policy with the minimization of a coherent risk measure, we achieve a balance between risk and return.

  11. Alliance Concentration in Multinational Companies : Examining Alliance Portfolios, Firm Structure, and Firm Performance

    NARCIS (Netherlands)

    Bos, Brenda; Faems, Dries; Noseleit, Florian

    Research summary: This article explores the distribution of alliances across firms' internal structure. Focusing on multinational companies, we examine the impact of alliance portfolio concentrationi.e., the extent to which alliances are concentrated within a limited number of geographic unitson

  12. Alliance Concentration in Multinational Companies : Examining Alliance Portfolios, Firm Structure, and Firm Performance

    NARCIS (Netherlands)

    Bos, Brenda; Faems, Dries; Noseleit, Florian

    2017-01-01

    Research summary: This article explores the distribution of alliances across firms' internal structure. Focusing on multinational companies, we examine the impact of alliance portfolio concentrationi.e., the extent to which alliances are concentrated within a limited number of geographic unitson

  13. e-Portfolios for Learning and Development: without constant internet or electrical grid access

    NARCIS (Netherlands)

    Casey, John; Calverley, Gayle; Greller, Wolfgang; Uhomoibhi, James

    2011-01-01

    Casey, J., Calverley, G., Greller, W., & Uhomoibhi, J. (2010, 26-28 May). e-Portfolios for Learning and Development: without constant internet or electrical grid access. Presentation at the 5th International Conference on ICT for Development, Education, and Training - eLearning Africa, Lusaka,

  14. THE OPTIONAL PROTOCOL TO THE INTERNATIONAL COVENANT ON ECONOMIC, SOCIAL AND CULTURAL RIGHTS: A NEW INSTRUMENT TO ADDRESS HUMAN RIGHTS VIOLATIONS

    Directory of Open Access Journals (Sweden)

    Christian Courtis

    2015-08-01

    Full Text Available The article discusses the adoption of the new Optional Protocol to the International Covenant on Economic, Social and Cultural Rights as a means to obtain redress for violations against economic, social and cultural rights in the international sphere – including its potential use for the consideration of the violation of extraterritorial obligations. Keywords: Human rights. Social rights. Violations. Optinal protocol.

  15. Markov model of the loan portfolio dynamics considering influence of management and external economic factors

    Science.gov (United States)

    Bozhalkina, Yana; Timofeeva, Galina

    2016-12-01

    Mathematical model of loan portfolio in the form of a controlled Markov chain with discrete time is considered. It is assumed that coefficients of migration matrix depend on corrective actions and external factors. Corrective actions include process of receiving applications, interaction with existing solvent and insolvent clients. External factors are macroeconomic indicators, such as inflation and unemployment rates, exchange rates, consumer price indices, etc. Changes in corrective actions adjust the intensity of transitions in the migration matrix. The mathematical model for forecasting the credit portfolio structure taking into account a cumulative impact of internal and external changes is obtained.

  16. International policies to address the greenhouse effect. An evaluation of international mechanisms to encourage developing country participation in global greenhouse gas control strategies, especially through the formulation of national programmes

    International Nuclear Information System (INIS)

    Gupta, J.; Van der Wurff, R.; Junne, G.

    1995-01-01

    The political feasibility of strategies for North-South cooperation on climate change within individual countries is analyzed. The conditions under which developing countries would be willing to take action to address climate change and industrialised countries would be willing to support these actions are discussed. Unfortunately, the study indicates that at present there is very limited common ground between developing and industrialised countries. Perceptions of actors and interest groups within seven countries (USA, Germany, UK, India, Indonesia, Brazil and Kenya) on climate change and international climate change policies (instruments and mechanisms) are compared, applying regime theory, and building upon a qualitative content analysis of interviews and documents, and on interviews with experts. The study concludes that developing countries distrust the position of industrialised countries, that is bases upon clearly distinguishing global from local problems and causes of climate change, climate, environmental, economic, and social problems in developing countries. In emphasising distinctions, that in the view of developing countries are incorrect, misleading and detrimental, industrialised countries increase the political costs of North-South cooperation. A more practical approach is recommended, based upon a 'four wheel drive strategy' in which capacity building, Joint Implementation, 'traditional' development cooperation, and strategies to actualize 'dormant' interest groups can all play a role. The additional costs of such a strategy should be balanced against the additional benefits in terms of a relative decline in costs of global change policies. 352 refs

  17. Optimization of China's generating portfolio and policy implications based on portfolio theory

    International Nuclear Information System (INIS)

    Zhu, Lei; Fan, Ying

    2010-01-01

    This paper applies portfolio theory to evaluate China's 2020-medium-term plans for generating technologies and its generating portfolio. With reference to the risk of relevant generating-cost streams, the paper discusses China's future development of efficient (Pareto optimal) generating portfolios that enhance energy security in different scenarios, including CO 2 -emission-constrained scenarios. This research has found that the future adjustment of China's planned 2020 generating portfolio can reduce the portfolio's cost risk through appropriate diversification of generating technologies, but a price will be paid in the form of increased generating cost. In the CO 2 -emission-constrained scenarios, the generating-cost risk of China's planned 2020 portfolio is even greater than that of the 2005 portfolio, but increasing the proportion of nuclear power in the generating portfolio can reduce the cost risk effectively. For renewable-power generation, because of relatively high generating costs, it will be necessary to obtain stronger policy support to promote renewable-power development.

  18. 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…

  19. Ant colony algorithm for clustering in portfolio optimization

    Science.gov (United States)

    Subekti, R.; Sari, E. R.; Kusumawati, R.

    2018-03-01

    This research aims to describe portfolio optimization using clustering methods with ant colony approach. Two stock portfolios of LQ45 Indonesia is proposed based on the cluster results obtained from ant colony optimization (ACO). The first portfolio consists of assets with ant colony displacement opportunities beyond the defined probability limits of the researcher, where the weight of each asset is determined by mean-variance method. The second portfolio consists of two assets with the assumption that each asset is a cluster formed from ACO. The first portfolio has a better performance compared to the second portfolio seen from the Sharpe index.

  20. Optimisation of the securities portfolio as a part of the risk management process

    Directory of Open Access Journals (Sweden)

    Srečko Devjak

    2004-01-01

    Full Text Available Securities of Slovene companies are listed at the Ljubljana Stock Exchange. Market capitalisation at the Ljubljana Stock Exchange has been growing since 1996 due to new listings of equities. On the basis of financial data time series for listed equities, the financial investor can calculate a risk for each individual security with a selected risk measure and can determine an optimal portfolio, subject to selected constraints. In this paper, we shall consequently determine an optimal portfolio of equities for the financial investor, investing his assets only in selected equities listed at the Ljubljana Stock Exchange. Selecting an appropriate risk measure is especially important for a commercial bank in a risk management process. Commercial banks can use internal models in the risk management process and for the purpose of capital charges as well. An optimal portfolio will be calculated, using a non-linear mathematical model.

  1. Reflection of the Cointegration Relation among the Stock Markets on the Portfolio Choices: An Empirical Application for Fragile Five Countries

    Directory of Open Access Journals (Sweden)

    Gulfen Tuna

    2016-12-01

    Full Text Available The aim of this study is to examine the long-term relationship between each pair of the countries separate from those in the Stock Markets of Fragile Five Countries and determine the optimal portfolio options for each of the BIITS countries according to the pieces of evidence obtained. Thus, the reflection of the concertedness among financial markets to the optimal portfolio options has been studied. Accordingly, long term relationships between each pair of BIITS countries have been investigated with monthly price value between June 2006 and July 2015 by means of Maki Cointegration Test. Optimal portfolio options have been established according to the Markowitz Model considering the long-term relationships between the markets. The pieces of evidence obtained show that lower-risk portfolios than the ones in their own national markets can be established in BIITS countries by applying international diversification

  2. 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.

  3. 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.

  4. Exploring the role of assessment criteria during teachers' collaborative judgement processes of students' portfolios

    NARCIS (Netherlands)

    Schaaf, van der M.F.; Baartman, L.K.J.; Prins, F.J.

    2012-01-01

    Student portfolios are increasingly used for assessing student competences in higher education, but results about the construct validity of portfolio assessment are mixed. A prerequisite for construct validity is that the portfolio assessment is based on relevant portfolio content. Assessment

  5. EDITORIAL: Dialog on Science and Policy to Address the Climate Crisis to conclude the International Association of Research Universities Climate Congress, Copenhagen, Denmark Dialog on Science and Policy to Address the Climate Crisis to conclude the International Association of Research Universities Climate Congress, Copenhagen, Denmark

    Science.gov (United States)

    Baer, Paul; Kammen, Daniel M.

    2009-06-01

    This is not the usual Editor-in-Chief letter, namely one that focuses on the accomplishments of the journal—and for ERL they have been numerous this year—but a recognition of the critical time that we are now in when it comes to addressing not only global climate change, but also the dialog between science and politics. In recognition of the many 'tipping points' that we now confront—ideally some of them positive social moments—as well as the clear scientific conclusion that environmental tipping points are points of long-lasting disruption, this paper takes a different form than I might have otherwise written. While the scientific body of knowledge around global environmental change mounts, so too, do the hopeful signs that change can happen. The election of Barack Obama is unquestionably one such sign, witnessed by the exceptional interest that his story has brought not only to US politics, but also to global views of the potential of the United States, as well as to the potential role of science and investigation in addressing pressing issues. In light of these inter-related issues, reproduced here—largely due to the efforts of Paul Baer to transcribe a remarkable conversation—is a dialog not only on the science of global warming and the potential set of means to address this issue, but also on the interaction between research, science and the political process. The dialog itself is sufficiently important that I will dispense with the usual discussion of the exciting recognition that ERL has received with an ISI rating (a factor rapidly increasing), the high levels of downloads of our papers (for some articles over 5000 and counting), and the many news and scientific publications picking up ERL articles (in recent days alone Science, Environmental Science and Technology, and The Economist). This conversation was the concluding plenary session of the 10-12 March International Association of Research Universities (IARU) Conference on Climate Change

  6. Market risk stress testing for internationally active financial institutions

    Directory of Open Access Journals (Sweden)

    Marković Petar

    2011-01-01

    Full Text Available The paper develops a comprehensive framework for market risk stress testing in internationally active financial institutions. We begin by defining the scope and type of the stress test and explaining how to select risk factors and the stress time horizon. We then address challenges related to data gathering, followed by in-depth discussion of techniques for developing realistic shock scenarios. Next the process of shock application to a particular portfolio is described, followed by determination of portfolio profit and loss. We conclude by briefly discussing the issue of assigning probability to stress scenarios. We illustrate the framework by considering the development of a ‘worst case’ scenario using global financial market data from Thomson Reuters Datastream.

  7. The contribution of the International Atomic Energy Agency to peace and development. Address at the Diplomatic Academy conference, Lima, Peru, 20 October 1999

    International Nuclear Information System (INIS)

    ElBaradei, M.

    1999-01-01

    In his address at the Diplomatic Academy Conference (Lima, Peru, 20 October 1999), the Director General of the IAEA described the role of the IAEA and its contribution to peace and development, focussing in four areas: technology transfer, nuclear power and sustainable energy development, nuclear safety, and the Agency's verification system

  8. Performance of salmon fishery portfolios across western North America.

    Science.gov (United States)

    Griffiths, Jennifer R; Schindler, Daniel E; Armstrong, Jonathan B; Scheuerell, Mark D; Whited, Diane C; Clark, Robert A; Hilborn, Ray; Holt, Carrie A; Lindley, Steven T; Stanford, Jack A; Volk, Eric C

    2014-12-01

    Quantifying the variability in the delivery of ecosystem services across the landscape can be used to set appropriate management targets, evaluate resilience and target conservation efforts. Ecosystem functions and services may exhibit portfolio-type dynamics, whereby diversity within lower levels promotes stability at more aggregated levels. Portfolio theory provides a framework to characterize the relative performance among ecosystems and the processes that drive differences in performance. We assessed Pacific salmon Oncorhynchus spp. portfolio performance across their native latitudinal range focusing on the reliability of salmon returns as a metric with which to assess the function of salmon ecosystems and their services to humans. We used the Sharpe ratio (e.g. the size of the total salmon return to the portfolio relative to its variability (risk)) to evaluate the performance of Chinook and sockeye salmon portfolios across the west coast of North America. We evaluated the effects on portfolio performance from the variance of and covariance among salmon returns within each portfolio, and the association between portfolio performance and watershed attributes. We found a positive latitudinal trend in the risk-adjusted performance of Chinook and sockeye salmon portfolios that also correlated negatively with anthropogenic impact on watersheds (e.g. dams and land-use change). High-latitude Chinook salmon portfolios were on average 2·5 times more reliable, and their portfolio risk was mainly due to low variance in the individual assets. Sockeye salmon portfolios were also more reliable at higher latitudes, but sources of risk varied among the highest performing portfolios. Synthesis and applications . Portfolio theory provides a straightforward method for characterizing the resilience of salmon ecosystems and their services. Natural variability in portfolio performance among undeveloped watersheds provides a benchmark for restoration efforts. Locally and regionally

  9. Performance of salmon fishery portfolios across western North America

    Science.gov (United States)

    Griffiths, Jennifer R; Schindler, Daniel E; Armstrong, Jonathan B; Scheuerell, Mark D; Whited, Diane C; Clark, Robert A; Hilborn, Ray; Holt, Carrie A; Lindley, Steven T; Stanford, Jack A; Volk, Eric C

    2014-01-01

    Quantifying the variability in the delivery of ecosystem services across the landscape can be used to set appropriate management targets, evaluate resilience and target conservation efforts. Ecosystem functions and services may exhibit portfolio-type dynamics, whereby diversity within lower levels promotes stability at more aggregated levels. Portfolio theory provides a framework to characterize the relative performance among ecosystems and the processes that drive differences in performance. We assessed Pacific salmon Oncorhynchus spp. portfolio performance across their native latitudinal range focusing on the reliability of salmon returns as a metric with which to assess the function of salmon ecosystems and their services to humans. We used the Sharpe ratio (e.g. the size of the total salmon return to the portfolio relative to its variability (risk)) to evaluate the performance of Chinook and sockeye salmon portfolios across the west coast of North America. We evaluated the effects on portfolio performance from the variance of and covariance among salmon returns within each portfolio, and the association between portfolio performance and watershed attributes. We found a positive latitudinal trend in the risk-adjusted performance of Chinook and sockeye salmon portfolios that also correlated negatively with anthropogenic impact on watersheds (e.g. dams and land-use change). High-latitude Chinook salmon portfolios were on average 2·5 times more reliable, and their portfolio risk was mainly due to low variance in the individual assets. Sockeye salmon portfolios were also more reliable at higher latitudes, but sources of risk varied among the highest performing portfolios. Synthesis and applications. Portfolio theory provides a straightforward method for characterizing the resilience of salmon ecosystems and their services. Natural variability in portfolio performance among undeveloped watersheds provides a benchmark for restoration efforts. Locally and regionally

  10. Portfolio optimization with skewness and kurtosis

    Science.gov (United States)

    Lam, Weng Hoe; Jaaman, Saiful Hafizah Hj.; Isa, Zaidi

    2013-04-01

    Mean and variance of return distributions are two important parameters of the mean-variance model in portfolio optimization. However, the mean-variance model will become inadequate if the returns of assets are not normally distributed. Therefore, higher moments such as skewness and kurtosis cannot be ignored. Risk averse investors prefer portfolios with high skewness and low kurtosis so that the probability of getting negative rates of return will be reduced. The objective of this study is to compare the portfolio compositions as well as performances between the mean-variance model and mean-variance-skewness-kurtosis model by using the polynomial goal programming approach. The results show that the incorporation of skewness and kurtosis will change the optimal portfolio compositions. The mean-variance-skewness-kurtosis model outperforms the mean-variance model because the mean-variance-skewness-kurtosis model takes skewness and kurtosis into consideration. Therefore, the mean-variance-skewness-kurtosis model is more appropriate for the investors of Malaysia in portfolio optimization.

  11. Declarative Modeling for Production Order Portfolio Scheduling

    Directory of Open Access Journals (Sweden)

    Banaszak Zbigniew

    2014-12-01

    Full Text Available A declarative framework enabling to determine conditions as well as to develop decision-making software supporting small- and medium-sized enterprises aimed at unique, multi-project-like and mass customized oriented production is discussed. A set of unique production orders grouped into portfolio orders is considered. Operations executed along different production orders share available resources following a mutual exclusion protocol. A unique product or production batch is completed while following a given activity’s network order. The problem concerns scheduling a newly inserted project portfolio subject to constraints imposed by a multi-project environment The answers sought are: Can a given project portfolio specified by its cost and completion time be completed within the assumed time period in a manufacturing system in hand? Which manufacturing system capability guarantees the completion of a given project portfolio ordered under assumed cost and time constraints? The considered problems regard finding a computationally effective approach aimed at simultaneous routing and allocation as well as batching and scheduling of a newly ordered project portfolio subject to constraints imposed by a multi-project environment. The main objective is to provide a declarative model enabling to state a constraint satisfaction problem aimed at multi-project-like and mass customized oriented production scheduling. Multiple illustrative examples are discussed.

  12. DOMESTIC VS INTERNATIONAL RISK DIVERSIFICATION POSSIBILITIES IN SOUTHEASTERN EUROPEAN STOCK MARKETS

    Directory of Open Access Journals (Sweden)

    Sinisa Bogdan

    2016-12-01

    Full Text Available Modern portfolio theory is one of the most important investment decision tools in finances. In 1952 Harry Markowitz set the foundations of the Modern portfolio theory, since than this theory was a backbone of many studies that dealt with investment decisions. This research applies mean-variance portfolio optimization on the international Southeastern Europe and domestic Croatian stock market exchange. Aim of this research is to compare risk diversification possibilities on the Southeastern European capital markets and on the Croatian Capital market. By analyzing nine stock market indices in the Southeastern Europe and twenty stocks from Zagreb Stock Exchange in the period of 36 months, results clearly show that internationally diversified portfolios offer better portfolio risk reduction than domestically diversified portfolios. Lowest achieved risk in international portfolio outperformed lowest achieved risk in domestic portfolio. Since risk is lower, returns are also much lower compared to domestic stock portfolios. Results of this research also report that domestic stock portfolios outperformed international portfolios at the risk level equal or higher than 0,97%, for the same risk, domestic portfolios offer greater returns.

  13. Minimum Variance Portfolios in the Brazilian Equity Market

    Directory of Open Access Journals (Sweden)

    Alexandre Rubesam

    2013-03-01

    Full Text Available We investigate minimum variance portfolios in the Brazilian equity market using different methods to estimate the covariance matrix, from the simple model of using the sample covariance to multivariate GARCH models. We compare the performance of the minimum variance portfolios to those of the following benchmarks: (i the IBOVESPA equity index, (ii an equally-weighted portfolio, (iii the maximum Sharpe ratio portfolio and (iv the maximum growth portfolio. Our results show that the minimum variance portfolio has higher returns with lower risk compared to the benchmarks. We also consider long-short 130/30 minimum variance portfolios and obtain similar results. The minimum variance portfolio invests in relatively few stocks with low βs measured with respect to the IBOVESPA index, being easily replicable by individual and institutional investors alike.

  14. Application of Portfolio Theory in Recovery Planning for Pacific Salmon.

    Science.gov (United States)

    Ecological applications of portfolio theory demonstrate the utility of this analytical framework for understanding the stability of commercial and indigenous Pacific Salmon fisheries. Portfolio theory also has the potential to aid in recovery planning for threatened and endangere...

  15. Decision-making in product portfolios of pharmaceutical research and development--managing streams of innovation in highly regulated markets.

    Science.gov (United States)

    Jekunen, Antti

    2014-01-01

    Decision-making is a core function of any drug development firm. Developing drugs demands a firm to be highly innovative, while at the same time the activity is strictly regulated. Successful drug development offers the right to apply for a long-term patent that confers exclusive marketing rights. This article addresses the issue of what constitutes an adequate portfolio of drugs for a drug development firm and how it might be managed successfully. The paper investigates decision-making in the industry and specifically in the development of oncology drugs from various perspectives: the need for decisions, their timing, decision-making at the project level, the optimal portfolio, tools for portfolio analysis, the evaluation of patents, and finally the importance of the drug portfolio. Drug development decisions as important organizational elements should get more emphasis, and decisions in drug portfolio using modern decision-making methods should be used more widely than what currently happens. Structured, informed decisions would help avoiding late terminations of drugs in Phase III development. An improved research and development pipeline and drug portfolio management are the major elements in the general strategy targeting success.

  16. Decision-making in product portfolios of pharmaceutical research and development – managing streams of innovation in highly regulated markets

    Science.gov (United States)

    Jekunen, Antti

    2014-01-01

    Decision-making is a core function of any drug development firm. Developing drugs demands a firm to be highly innovative, while at the same time the activity is strictly regulated. Successful drug development offers the right to apply for a long-term patent that confers exclusive marketing rights. This article addresses the issue of what constitutes an adequate portfolio of drugs for a drug development firm and how it might be managed successfully. The paper investigates decision-making in the industry and specifically in the development of oncology drugs from various perspectives: the need for decisions, their timing, decision-making at the project level, the optimal portfolio, tools for portfolio analysis, the evaluation of patents, and finally the importance of the drug portfolio. Drug development decisions as important organizational elements should get more emphasis, and decisions in drug portfolio using modern decision-making methods should be used more widely than what currently happens. Structured, informed decisions would help avoiding late terminations of drugs in Phase III development. An improved research and development pipeline and drug portfolio management are the major elements in the general strategy targeting success. PMID:25364229

  17. Use of ePortfolios in K-12 teacher hiring in North Carolina: Perspectives of School Principals

    Directory of Open Access Journals (Sweden)

    Abdou Ndoye

    2012-09-01

    Full Text Available This study explored the perceptions of principals involved in the hiring process of K–12 teachers in 11 counties in southeastern North Carolina. Forty-nine principals responded to a survey on ePortfolio use in the hiring process: the pros and cons, desirable artifacts, stage of use, preferred delivery method, and improvements that can increase their usage. We examined each of these questions and whether certain factors (prior use, technology skills, and years as a hiring agent predict principals’ ePortfolio use. Our findings suggest that ePortfolios provide improved and current information about teacher candidates that is easily accessible and organized. Collectively, this allows principals to assess teacher candidates’ suitability for employment. Although there are problems associated with ePortfolio use during hiring, which are detailed below, the results suggest that principals most frequently use ePortfolios during the interview process, prefer delivery via a website address, and that prior use is the best predictor of future ePortfolio use.

  18. Addressing Sustainable International Branch Campus Development through an Organizational Structure Lens: A Comparative Analysis of China, Qatar, and the United Arab Emirates

    Science.gov (United States)

    Borgos, Jill

    2016-01-01

    The growth of international branch campuses (IBCs) in China, Qatar, and the United Arab Emirates (UAE) accounts for a significant portion of the overall growth of IBCs globally. Conversely the largest exporter of IBCs globally is the United States, with several U.S. IBCs located in each of these importing countries. With the intention of focusing…

  19. Markowitz portfolio optimization model employing fuzzy measure

    Science.gov (United States)

    Ramli, Suhailywati; Jaaman, Saiful Hafizah

    2017-04-01

    Markowitz in 1952 introduced the mean-variance methodology for the portfolio selection problems. His pioneering research has shaped the portfolio risk-return model and become one of the most important research fields in modern finance. This paper extends the classical Markowitz's mean-variance portfolio selection model applying the fuzzy measure to determine the risk and return. In this paper, we apply the original mean-variance model as a benchmark, fuzzy mean-variance model with fuzzy return and the model with return are modeled by specific types of fuzzy number for comparison. The model with fuzzy approach gives better performance as compared to the mean-variance approach. The numerical examples are included to illustrate these models by employing Malaysian share market data.

  20. Teaching ePortfolios in Teacher Education

    Directory of Open Access Journals (Sweden)

    Peter Groißböck

    2012-11-01

    Full Text Available Especially when starting their career in the induction phase, young teachers need personal, profession-related and social support. Young teachers can get personal support with a mentoring system, profession-related support in seminars and social support with peer-learning. E-portfolios offer ways to accompany those learning processes and are a central tool for the documentation of individual student progress in the induction phase of teachers. In this article a concept of teaching e-portfolios for the induction phase is presented, showing a basic structure, essential conditions and possible risks. Additionally this article also includes practical thoughts to the use of e-portfolios in basic teacher education and further teacher training.

  1. Enhanced index tracking modelling in portfolio optimization

    Science.gov (United States)

    Lam, W. S.; Hj. Jaaman, Saiful Hafizah; Ismail, Hamizun bin

    2013-09-01

    Enhanced index tracking is a popular form of passive fund management in stock market. It is a dual-objective optimization problem, a trade-off between maximizing the mean return and minimizing the risk. Enhanced index tracking aims to generate excess return over the return achieved by the index without purchasing all of the stocks that make up the index by establishing an optimal portfolio. The objective of this study is to determine the optimal portfolio composition and performance by using weighted model in enhanced index tracking. Weighted model focuses on the trade-off between the excess return and the risk. The results of this study show that the optimal portfolio for the weighted model is able to outperform the Malaysia market index which is Kuala Lumpur Composite Index because of higher mean return and lower risk without purchasing all the stocks in the market index.

  2. 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.

  3. A Bicriteria Approach Identifying Nondominated Portfolios

    Directory of Open Access Journals (Sweden)

    Javier Pereira

    2014-01-01

    Full Text Available We explore a portfolio constructive model, formulated in terms of satisfaction of a given set of technical requirements, with the minimum number of projects and minimum redundancy. An algorithm issued from robust portfolio modeling is adapted to a vector model, modifying the dominance condition as convenient, in order to find the set of nondominated portfolios, as solutions of a bicriteria integer linear programming problem. In order to improve the former algorithm, a process finding an optimal solution of a monocriteria version of this problem is proposed, which is further used as a first feasible solution aiding to find nondominated solutions more rapidly. Next, a sorting process is applied on the input data or information matrix, which is intended to prune nonfeasible solutions early in the constructive algorithm. Numerical examples show that the optimization and sorting processes both improve computational efficiency of the original algorithm. Their limits are also shown on certain complex instances.

  4. Robust Portfolio Optimization using CAPM Approach

    Directory of Open Access Journals (Sweden)

    mohsen gharakhani

    2013-08-01

    Full Text Available In this paper, a new robust model of multi-period portfolio problem has been developed. One of the key concerns in any asset allocation problem is how to cope with uncertainty about future returns. There are some approaches in the literature for this purpose including stochastic programming and robust optimization. Applying these techniques to multi-period portfolio problem may increase the problem size in a way that the resulting model is intractable. In this paper, a novel approach has been proposed to formulate multi-period portfolio problem as an uncertain linear program assuming that asset return follows the single-index factor model. Robust optimization technique has been also used to solve the problem. In order to evaluate the performance of the proposed model, a numerical example has been applied using simulated data.

  5. 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).

  6. 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.

  7. The Determinants of Home Bias in Stock Portfolio: An Emerging and Developed Markets Study

    OpenAIRE

    Chniguir , Mounira; Kefi , Mohamed; Henchiri , Jamel ,

    2017-01-01

    International audience; The objective of this paper is to measure the degree of home bias (HB) within holdings portfolio and to identify their determining factors. By following literature and an international capital asset pricing model, we have chosen quite a number of susceptible factors that impact HB. This model is, hence, estimated for 20 countries, with cross-section econometrics, between 2008 and 2013. Our results show that all countries have recorded a high level of HB in their holdin...

  8. Construction of uncertainty sets for portfolio selection problems

    OpenAIRE

    Wiechers, Christof

    2011-01-01

    While modern portfolio theory grounds on the trade-off between portfolio return and portfolio variance to determine the optimal investment decision, postmodern portfolio theory uses downside risk measures instead of the variance. Prominent examples are given by the risk measures Value-at-Risk and its coherent extension, Conditional Value-at-Risk. When avoiding distributional assumptions on the process that generates the risky assets' returns, historical return data or expert knowledge remain ...

  9. An Arbitrary Benchmark CAPM: One Additional Frontier Portfolio is Sufficient

    OpenAIRE

    Ekern, Steinar

    2008-01-01

    First draft: July 16, 2008 This version: October 7, 2008 The benchmark CAPM linearly relates the expected returns on an arbitrary asset, an arbitrary benchmark portfolio, and an arbitrary MV frontier portfolio. The benchmark is not required to be on the frontier and may be non-perfectly correlated with the frontier portfolio. The benchmark CAPM extends and generalizes previous CAPM formulations, including the zero beta, two correlated frontier portfolios, riskless augmented frontier, an...

  10. Log-Optimal Portfolio Selection Using the Blackwell Approachability Theorem

    OpenAIRE

    V'yugin, Vladimir

    2014-01-01

    We present a method for constructing the log-optimal portfolio using the well-calibrated forecasts of market values. Dawid's notion of calibration and the Blackwell approachability theorem are used for computing well-calibrated forecasts. We select a portfolio using this "artificial" probability distribution of market values. Our portfolio performs asymptotically at least as well as any stationary portfolio that redistributes the investment at each round using a continuous function of side in...

  11. Asset Allocation and Optimal Contract for Delegated Portfolio Management

    Science.gov (United States)

    Liu, Jingjun; Liang, Jianfeng

    This article studies the portfolio selection and the contracting problems between an individual investor and a professional portfolio manager in a discrete-time principal-agent framework. Portfolio selection and optimal contracts are obtained in closed form. The optimal contract was composed with the fixed fee, the cost, and the fraction of excess expected return. The optimal portfolio is similar to the classical two-fund separation theorem.

  12. ALPHA-BETA SEPARATION PORTFOLIO STRATEGIES FOR ISLAMIC FINANCE

    OpenAIRE

    Valentyn Khokhlov

    2016-01-01

    The purpose of this paper is to develop a mathematical alpha-beta separation model that can be used to create a core-satellite portfolio management strategy that complies with the principles of Islamic finance. Methodology. Core-satellite portfolio construction methodology is used to implement the alpha-beta separation approach, where the core part of the portfolio is managed using the tracking error minimization strategy, and the satellite part of the portfolio is managed using the mean-vari...

  13. Factors Influencing Acceptability and Perceived Impacts of a Mandatory ePortfolio Implemented by an Occupational Therapy Regulatory Organization.

    Science.gov (United States)

    Vachon, Brigitte; Foucault, Marie-Lyse; Giguère, Charles-Édouard; Rochette, Annie; Thomas, Aliki; Morel, Martine

    2018-01-01

    The use of ePortfolios has been implemented in several regulatory organizations to encourage clinicians' engagement in continuing professional development (CPD). However, their use has achieved mixed success, and multiple personal and contextual factors can influence their impacts on practice change. The aim of this study was to identify which factors influence the acceptability and perceived impacts of an ePortfolio implemented by an occupational therapy regulatory organization in one Canadian province. A cross-sectional online survey design was used. The survey was sent to registered occupational therapists in Quebec. Multiple regression analyses were conducted to identify factors influencing acceptability and outcomes: ease of use, satisfaction, impact on implementation of the CPD plan, and competence improvement. The survey was fully completed by 546 participants. Factors significantly influencing the ePortfolio acceptability and perceived impacts were attitude toward and familiarity with the portfolio, confidence in reflective skills, engagement in the CPD plan, and desire for feedback. Time spent completing the ePortfolio and the fact of completing it in teams were negatively associated with the outcomes. Shaping more favorable user attitudes, helping users recognize and experience the tool's benefits for their practice, and fostering confidence in their reflective skills are important factors that can be addressed to improve ePortfolio acceptability and outcomes. Contextual factors, such as time spent completing the ePortfolio and completing it in teams, seem to reflect greater difficulty with using the tool. Study findings can contribute to improving ePortfolio implementation in the CPD context.

  14. [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.

  15. Portfolios Dominating Indices: Optimization with Second-Order Stochastic Dominance Constraints vs. Minimum and Mean Variance Portfolios

    Directory of Open Access Journals (Sweden)

    Neslihan Fidan Keçeci

    2016-10-01

    Full Text Available The paper compares portfolio optimization with the Second-Order Stochastic Dominance (SSD constraints with mean-variance and minimum variance portfolio optimization. As a distribution-free decision rule, stochastic dominance takes into account the entire distribution of return rather than some specific characteristic, such as variance. The paper is focused on practical applications of the portfolio optimization and uses the Portfolio Safeguard (PSG package, which has precoded modules for optimization with SSD constraints, mean-variance and minimum variance portfolio optimization. We have done in-sample and out-of-sample simulations for portfolios of stocks from the Dow Jones, S&P 100 and DAX indices. The considered portfolios’ SSD dominate the Dow Jones, S&P 100 and DAX indices. Simulation demonstrated a superior performance of portfolios with SD constraints, versus mean-variance and minimum variance portfolios.

  16. Product Portfolio Management: An Important Business Strategy

    Directory of Open Access Journals (Sweden)

    Doorasamy Mishelle

    2015-06-01

    Full Text Available The aim of this article is to provide reader with a comprehensive insight on the theories, empirical findings and models of Product Portfolio Management (PPM during new product development. This article will allow for an in-depth theoretical approach on PPM and demonstrate to managers the importance of adopting PPM as business strategy during decision making. The objective of this paper is to present a literature review of models, theories, approaches and findings on the relationship between Product Portfolio Management and new product development. Relevant statistical trends, historical developments, published opinion of major writers in this field will be presented to provide concrete evidence of the problem being discussed.

  17. Alternatives: the right medicine for your portfolio?

    Science.gov (United States)

    Doody, Dennis

    2006-01-01

    Because they often play an active role in developing their portfolio companies' strategies, private capital investment managers can add significant value to companies in their portfolio. The relative inefficiency of private capital markets can give savvy investors an edge that they can not so easily gain in the more efficient public markets. Originally created as a means to reduce volatility, hedge funds should not be seen as the high-risk bets that they are widely perceived to be. Most hedge funds actually are concerned with protecting downside risk.

  18. Portfolio optimization using fuzzy linear programming

    Science.gov (United States)

    Pandit, Purnima K.

    2013-09-01

    Portfolio Optimization (PO) is a problem in Finance, in which investor tries to maximize return and minimize risk by carefully choosing different assets. Expected return and risk are the most important parameters with regard to optimal portfolios. In the simple form PO can be modeled as quadratic programming problem which can be put into equivalent linear form. PO problems with the fuzzy parameters can be solved as multi-objective fuzzy linear programming problem. In this paper we give the solution to such problems with an illustrative example.

  19. Household portfolios and risk taking over age and time

    NARCIS (Netherlands)

    Bucciol, A.; Miniaci, R.

    2011-01-01

    We exploit the US Survey of Consumer Finances (SCF) from 1998 to 2007 to provide new insights on the evolution of US households’ willingness to undertake portfolio risk. Specifically, we consider four alternative measures of portfolio risk, based on two definitions of portfolio - a narrow one,

  20. Guidelines for Good Evaluation Practice with the ACUMEN portfolio

    DEFF Research Database (Denmark)

    Wildgaard, Lorna Elizabeth

    2014-01-01

    This document gives guidelines for using the ACUMEN Portfolio to evaluate academic researchers. The ACUMEN Portfolio is a way for Portfolio owners to highlight their achievements and to present themselves in the most positive way. It supplements the traditional CV because it highlights key achiev...

  1. Validity of portfolio assessment: which qualities determine ratings?

    NARCIS (Netherlands)

    Driessen, E.W.; Overeem, K.; Tartwijk, J. van; Vleuten, C.P.M. van der; Muijtjens, A.M.M.

    2006-01-01

    The portfolio is becoming increasingly accepted as a valuable tool for learning and assessment. The validity of portfolio assessment, however, may suffer from bias due to irrelevant qualities, such as lay-out and writing style. We examined the possible effects of such qualities in a portfolio

  2. 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…

  3. Mentoring portfolio use in undergraduate and postgraduate medical education

    NARCIS (Netherlands)

    Dekker, Hanke; Driessen, Erik; Ter Braak, Edith; Scheele, Fedde; Slaets, Joris; Van Der Molen, Thys; Cohen-Schotanus, Janke

    2009-01-01

    Aim: Mentoring is widely acknowledged as being crucial for portfolio learning. The aim of this study is to examine how mentoring portfolio use has been implemented in undergraduate and postgraduate settings. Method: The results of interviews with six key persons involved in setting up portfolio use

  4. Asset Attribution Stability and Portfolio Construction: An Educational Example

    Science.gov (United States)

    Chong, James T.; Jennings, William P.; Phillips, G. Michael

    2014-01-01

    This paper illustrates how a third statistic from asset pricing models, the R-squared statistic, may have information that can help in portfolio construction. Using a traditional CAPM model in comparison to an 18-factor Arbitrage Pricing Style Model, a portfolio separation test is conducted. Portfolio returns and risk metrics are compared using…

  5. Professionalism, Portfolios and the Development of School Leaders.

    Science.gov (United States)

    Wildy, Helen; Wallace, John

    1998-01-01

    Describes how two reforms--portfolio culture and teacher professionalism--converge in a systemwide program for school leaders' professional development. Investigates use of portfolios to help (Australian) principals, deputy principals, and department heads improve their performance and accountability. Participants used portfolios as evidence of…

  6. Selection of a portfolio of R & D projects

    NARCIS (Netherlands)

    Casault, Sébastien; Groen, Arend J.; Linton, J.D.; Linton, Jonathan; Link, A.N.; Vonortas, N.S.

    2013-01-01

    While portfolios of research are increasingly discussed, a portfolio perspective is infrequently taken when selecting two or more projects. Consequently, this chapter considers the current state of knowledge in project and portfolio selection, identifies why we can and cannot apply knowledge from

  7. On the economic risk capital of portfolio insurance

    Directory of Open Access Journals (Sweden)

    Werner Hürlimann

    2004-09-01

    Full Text Available A formula for the conditional value-at-risk of classical portfolio insurance is derived and shown to be constant for sufficiently small loss probabilities. As illustrations, we discuss portfolio insurance for an equity market index using empirical data, and analyze the more general multivariate situation of a portfolio of risky assets.

  8. The current account as a dynamic portfolio choice problem

    OpenAIRE

    Didier, Tatiana; Lowenkron, Alexandre

    2009-01-01

    The current account can be understood as the outcome of investment decisions made by domestic and foreign investors. These decisions can be decomposed into a portfolio rebalancing and a portfolio growth component. This paper provides empirical evidence of the importance of portfolio rebalancing for the dynamics of the current account. The authors evaluate the predictions of a partial-equil...

  9. Frailty and Risk Classification for Life Annuity Portfolios

    Directory of Open Access Journals (Sweden)

    Annamaria Olivieri

    2016-10-01

    Full Text Available Life annuities are attractive mainly for healthy people. In order to expand their business, in recent years, some insurers have started offering higher annuity rates to those whose health conditions are critical. Life annuity portfolios are then supposed to become larger and more heterogeneous. With respect to the insurer’s risk profile, there is a trade-off between portfolio size and heterogeneity that we intend to investigate. In performing this, there is a second and possibly more important issue that we address. In actuarial practice, the different mortality levels of the several risk classes are obtained by applying adjustment coefficients to population mortality rates. Such a choice is not supported by a rigorous model. On the other hand, the heterogeneity of a population with respect to mortality can formally be described with a frailty model. We suggest adopting a frailty model for risk classification. We identify risk groups (or classes within the population by assigning specific ranges of values to the frailty within each group. The different levels of mortality of the various groups are based on the conditional probability distributions of the frailty. Annuity rates for each class then can be easily justified, and a comprehensive investigation of insurer’s liabilities can be performed.

  10. Developing a sustainable electronic portfolio (ePortfolio) program that fosters reflective practice and incorporates CanMEDS competencies into the undergraduate medical curriculum.

    Science.gov (United States)

    Hall, Pippa; Byszewski, Anna; Sutherland, Stephanie; Stodel, Emma J

    2012-06-01

    The University of Ottawa (uOttawa) Faculty of Medicine in 2008 launched a revised undergraduate medical education (UGME) curriculum that was based on the seven CanMEDS roles (medical expert, communicator, collaborator, health advocate, manager, scholar, and professional) and added an eighth role of person to incorporate the dimension of mindfulness and personal well-being. In this article, the authors describe the development of an electronic Portfolio (ePortfolio) program that enables uOttawa medical students to document their activities and to demonstrate their development of competence in each of the eight roles. The ePortfolio program supports reflective practice, an important component of professional competence, and provides a means for addressing the "hidden curriculum." It is bilingual, mandatory, and spans the four years of UGME. It includes both an online component for students to document their personal development and for student-coach dialogue, as well as twice-yearly, small-group meetings in which students engage in reflective discussions and learn to give and receive feedback.The authors reflect on the challenges they faced in the development and implementation of the ePortfolio program and share the lessons they have learned along the way to a successful and sustainable program. These lessons include switching from a complex information technology system to a user-friendly, Web-based blog platform; rethinking orientation sessions to ensure that faculty and students understand the value of the ePortfolio program; soliciting student input to improve the program and increase student buy-in; and providing faculty development opportunities and recognition.

  11. Ensuring good governance to address emerging and re-emerging animal disease threats: supporting the veterinary services of developing countries to meet OIE international standards on quality.

    Science.gov (United States)

    Vallat, B; Mallet, E

    2006-04-01

    As an effect of increased globalisation, animal diseases, in particular those transmissible to man, have an immediate global economic and social impact. This fact, dramatically illustrated by the current avian influenza epizootic in South-East Asia and Eastern Europe, clearly demonstrates the crucial importance of the national Veterinary Services (VS) for the prevention, early detection and response for the efficient control of animal diseases. Complying with this mission for the VS presupposes the existence of appropriate governance and legislation and of an official system to control their quality and reliability- an obvious weakness in many developing and in transition countries. The World Organisation for Animal Health (OIE) has therefore developed a project aiming at strengthening the VS in those countries facing the greatest animal health threats and to bring them into line with OIE international standards already adopted by the same countries. Based on the evaluation of the VS and subsequent actions at the global, regional and national levels, the project will have a significant beneficial impact on the targeted countries as well as the international community as a whole, not only in the fields of agriculture, food security and production, and food safety, but also for the local and global prevention of emerging and re-emerging diseases of veterinary and public health importance. The project will be implemented in strong collaboration with the Food and Agriculture Organization. The actions proposed must be considered eligible for the concept of International Public Good.

  12. Portfolios dominating indices: Optimization with second-order stochastic dominance constraints vs. minimum and mean variance portfolios

    OpenAIRE

    Keçeci, Neslihan Fidan; Kuzmenko, Viktor; Uryasev, Stan

    2016-01-01

    The paper compares portfolio optimization with the Second-Order Stochastic Dominance (SSD) constraints with mean-variance and minimum variance portfolio optimization. As a distribution-free decision rule, stochastic dominance takes into account the entire distribution of return rather than some specific characteristic, such as variance. The paper is focused on practical applications of the portfolio optimization and uses the Portfolio Safeguard (PSG) package, which has precoded modules for op...

  13. Portfolios Dominating Indices: Optimization with Second-Order Stochastic Dominance Constraints vs. Minimum and Mean Variance Portfolios

    OpenAIRE

    Neslihan Fidan Keçeci; Viktor Kuzmenko; Stan Uryasev

    2016-01-01

    The paper compares portfolio optimization with the Second-Order Stochastic Dominance (SSD) constraints with mean-variance and minimum variance portfolio optimization. As a distribution-free decision rule, stochastic dominance takes into account the entire distribution of return rather than some specific characteristic, such as variance. The paper is focused on practical applications of the portfolio optimization and uses the Portfolio Safeguard (PSG) package, which has precoded modules for op...

  14. In the context of both International law and the application of Islamic Sharia Law, how effective have Kuwait and the Kuwaiti legal system been in addressing, preventing and combating human trafficking?

    OpenAIRE

    MEZHI MEJBEL MEZHI BATHAL ALRASHEDI, ALI

    2017-01-01

    This thesis answers the question of how effective Kuwait and the Kuwaiti legal system have been in addressing, preventing, and combating human trafficking in the context of both international law and the application of Islamic Sharia Law (ISL). The thesis is concerned with trafficking in persons with a particular focus on trafficking to exploit labour in Kuwait as compared to the five other Arab countries in the Gulf Cooperation Council (GCC). The GCC countries are parties to the main interna...

  15. The Development of E-Portfolio Evaluation Criteria and Application to the Blackboard LMS E-Portfolio

    Science.gov (United States)

    McKenna, Gary F.; Stansfield, Mark H.

    2012-01-01

    The purpose of this paper is to develop e-portfolio evaluation criteria which will be used to review the Blackboard LMS e-portfolio being used at one Higher Education (HE) institution in the UK as evaluation criteria for reviewing e-portfolio provision does not exist in the literature. The approach taken was to initiate a wide literature search…

  16. 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.

  17. FINANCIAL RISKS ASSOCIATED WITH THE GOVERNMENTAL PUBLIC DEBT’S PORTFOLIO

    Directory of Open Access Journals (Sweden)

    MARIANA MAN

    2010-01-01

    Full Text Available The management of public debt is a process strictly connected with and dependent on fiscal and budget policy as well as on monetary policy. Under such circumstances the analysis of governmental public debt’s portfolio is carried out by taking into consideration both the internal macroeconomic evolutions and estimations (economic growth, inflation, budget incomes and the level of budget deficit, monetary conditions and structural reforms –pensions’ reform, the efficiency of capital internal market, and the evolution of world-wide economy influencing Romania’s loan terms on international financial markets. An important component of the management of governmental public debt is the management of the risks connected to debt’s portfolio that involves activities of identification, evaluation, and insurance against various categories of risk.

  18. Performance of finite order distribution-generated universal portfolios

    Science.gov (United States)

    Pang, Sook Theng; Liew, How Hui; Chang, Yun Fah

    2017-04-01

    A Constant Rebalanced Portfolio (CRP) is an investment strategy which reinvests by redistributing wealth equally among a set of stocks. The empirical performance of the distribution-generated universal portfolio strategies are analysed experimentally concerning 10 higher volume stocks from different categories in Kuala Lumpur Stock Exchange. The time interval of study is from January 2000 to December 2015, which includes the credit crisis from September 2008 to March 2009. The performance of the finite-order universal portfolio strategies has been shown to be better than Constant Rebalanced Portfolio with some selected parameters of proposed universal portfolios.

  19. Establishing a portfolio of quality-improvement projects in pediatric surgery through advanced improvement leadership systems.

    Science.gov (United States)

    Gerrein, Betsy T; Williams, Christina E; Von Allmen, Daniel

    2013-01-01

    Formal quality-improvement (QI) projects require that participants are educated in QI methods to provide them with the capability to carry out successful, meaningful work. However, orchestrating a portfolio of projects that addresses the strategic mission of the institution requires an extension of basic QI training to provide the division or business unit with the capacity to successfully develop and manage the portfolio. Advanced Improvement Leadership Systems is a program to help units create a meaningful portfolio. This program, used by the Division of Pediatric General and Thoracic Surgery at Cincinnati Children's Hospital Medical Center, helped establish a portfolio of targeted QI projects designed to achieve outstanding outcomes at competitive costs in multiple clinical areas aligned with the institution's strategic goals (improve disease-based outcomes, patient safety, flow, and patient and family experience). These objectives are addressed in an institutional strategic plan built around 5 core areas: Safety, Productivity, Care Coordination and Outcomes, Patient and Family Experience, and Value. By combining the portfolio of QI projects with improvements in the divisional infrastructure, effective improvement efforts were realized throughout the division. In the 9 months following the program, divisional capability resulted in a 16.5% increase (5.7% to 22.2%) of formally trained staff working on 10 QI teams. Concurrently, a leadership team, designed to coordinate projects, remove barriers, and provide technical support, provided the capacity to pursue this ongoing effort. The Advanced Improvement Leadership Systems program increased the Division's efficiency and effectiveness in pursing the QI mission that is integral at our hospital.

  20. Establishing a Portfolio of Quality-Improvement Projects in Pediatric Surgery through Advanced Improvement Leadership Systems

    Science.gov (United States)

    Gerrein, Betsy T; Williams, Christina E; von Allmen, Daniel

    2013-01-01

    Formal quality-improvement (QI) projects require that participants are educated in QI methods to provide them with the capability to carry out successful, meaningful work. However, orchestrating a portfolio of projects that addresses the strategic mission of the institution requires an extension of basic QI training to provide the division or business unit with the capacity to successfully develop and manage the portfolio. Advanced Improvement Leadership Systems is a program to help units create a meaningful portfolio. This program, used by the Division of Pediatric General and Thoracic Surgery at Cincinnati Children’s Hospital Medical Center, helped establish a portfolio of targeted QI projects designed to achieve outstanding outcomes at competitive costs in multiple clinical areas aligned with the institution’s strategic goals (improve disease-based outcomes, patient safety, flow, and patient and family experience). These objectives are addressed in an institutional strategic plan built around 5 core areas: Safety, Productivity, Care Coordination and Outcomes, Patient and Family Experience, and Value. By combining the portfolio of QI projects with improvements in the divisional infrastructure, effective improvement efforts were realized throughout the division. In the 9 months following the program, divisional capability resulted in a 16.5% increase (5.7% to 22.2%) of formally trained staff working on 10 QI teams. Concurrently, a leadership team, designed to coordinate projects, remove barriers, and provide technical support, provided the capacity to pursue this ongoing effort. The Advanced Improvement Leadership Systems program increased the Division’s efficiency and effectiveness in pursing the QI mission that is integral at our hospital. PMID:24361020

  1. 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

  2. Robust Utility Maximization Under Convex Portfolio Constraints

    International Nuclear Information System (INIS)

    Matoussi, Anis; Mezghani, Hanen; Mnif, Mohamed

    2015-01-01

    We study a robust maximization problem from terminal wealth and consumption under a convex constraints on the portfolio. We state the existence and the uniqueness of the consumption–investment strategy by studying the associated quadratic backward stochastic differential equation. We characterize the optimal control by using the duality method and deriving a dynamic maximum principle

  3. A Dynamic Programming Approach to Constrained Portfolios

    DEFF Research Database (Denmark)

    Kraft, Holger; Steffensen, Mogens

    2013-01-01

    This paper studies constrained portfolio problems that may involve constraints on the probability or the expected size of a shortfall of wealth or consumption. Our first contribution is that we solve the problems by dynamic programming, which is in contrast to the existing literature that applies...

  4. Machine-based mapping of innovation portfolios

    NARCIS (Netherlands)

    de Visser, Matthias; Miao, Shengfa; Englebienne, Gwenn; Sools, Anna Maria; Visscher, Klaasjan

    2017-01-01

    Machine learning techniques show a great promise for improving innovation portfolio management. In this paper we experiment with different methods to classify innovation projects of a high-tech firm as either explorative or exploitative, and compare the results with a manual, theory-based mapping of

  5. 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…

  6. 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%.

  7. Portfolio selection theory and wildlife management

    African Journals Online (AJOL)

    Theron and Van den Honert (2003) dealt with issues of risk and return in an agricultural context. ... By repeatedly solving (1) with different specified values of R an efficient frontier of portfolio .... the built–in solver of Microsoft® Excel [2].

  8. Equity Portfolio Management Using Option Price Information

    DEFF Research Database (Denmark)

    Christoffersen, Peter; Pan, Xuhui (Nick)

    We survey the recent academic literature that uses option-implied information to construct equity portfolios. Studies show that equity managers can earn a positive alpha by using information in individual equity options, by using stocks' exposure to information in market index options, and by usi...

  9. Digital portfolio og peer to peer feedback

    DEFF Research Database (Denmark)

    Jacobsen, Ditte; Bahrenscheer, Jesper Glarborg

    2017-01-01

    studerende og øget transfer mellem teori og praksis. Artiklen tager afsæt i erfaringerne fra udvikling, anvendelse og evaluering af den digitale portfolio og peer to peer feedback. Portfolien er digital og tilknyttet Metropols Learning Management System. De studerende uploader individuelt ugentligt deres...

  10. Portfolio optimization using median-variance approach

    Science.gov (United States)

    Wan Mohd, Wan Rosanisah; Mohamad, Daud; Mohamed, Zulkifli

    2013-04-01

    Optimization models have been applied in many decision-making problems particularly in portfolio selection. Since the introduction of Markowitz's theory of portfolio selection, various approaches based on mathematical programming have been introduced such as mean-variance, mean-absolute deviation, mean-variance-skewness and conditional value-at-risk (CVaR) mainly to maximize return and minimize risk. However most of the approaches assume that the distribution of data is normal and this is not generally true. As an alternative, in this paper, we employ the median-variance approach to improve the portfolio optimization. This approach has successfully catered both types of normal and non-normal distribution of data. With this actual representation, we analyze and compare the rate of return and risk between the mean-variance and the median-variance based portfolio which consist of 30 stocks from Bursa Malaysia. The results in this study show that the median-variance approach is capable to produce a lower risk for each return earning as compared to the mean-variance approach.

  11. 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

  12. Reflective portfolios support learning, personal growth and ...

    African Journals Online (AJOL)

    Conclusion. Portfolios are an under-utilised assessment and self-development tool in postgraduate training. They allow students to self-assess their attainment of personal learning needs, professional growth and competency achievement and provide faculty with useful feedback on curriculum content, educational activities ...

  13. Right and access to healthcare for undocumented children: addressing the gap between international conventions and disparate implementations in North America and Europe.

    Science.gov (United States)

    Ruiz-Casares, Mónica; Rousseau, Cécile; Derluyn, Ilse; Watters, Charles; Crépeau, François

    2010-01-01

    Limited access to healthcare for vulnerable immigrant children in Europe and North America is increasingly worrisome as immigration policies harden. This paper analyzes the gap between States' obligations under international human rights law and the disparate local implementations in diverse countries. Studies that are both multidisciplinary and incorporate micro and macro level indicators are needed to reveal discrepancies between entitlements and access. It is argued that the lack of available data on the magnitude of the problem and on its individual and public health consequences stems from the conflicting situation faced by health institutions required to simultaneously protect the best interest of each child and allocate limited resources. Collaboration in research is urgently needed to assist policy-makers and institutions make informed decisions. Copyright 2009 Elsevier Ltd. All rights reserved.

  14. Opening Address [International Conference on Effective Nuclear Regulatory Systems: Further Enhancing the Global Nuclear Safety and Security Regime, Cape Town (South Africa), 14-18 December 2009

    International Nuclear Information System (INIS)

    Peters, Elizabeth Dipuo

    2010-01-01

    Nuclear energy is seen by many countries as providing a sustainable solution to energy security challenges. In this context, many developing countries are considering the establishment of nuclear power build programmes, while countries with mature nuclear programmes are considering the possibility of further expansion. The challenges facing countries that are embarking on this new venture include, inter alia, the development of policies, legislation as well as the establishment of appropriate institutions such as regulatory bodies with effective independence to take regulatory decisions. Regional and international cooperation and coordination are therefore of critical importance. Accordingly, the establishment of the Forum of Regulatory Bodies in Africa is a welcome initiative. We are pleased that the national nuclear programme in post-apartheid South Africa places us in a position to become active global participants in the safe use of nuclear energy for peaceful purposes. However, we all have an obligation to ensure that the presence of a plethora of cooperation mechanisms such as this body are as inclusive and as supportive as possible. This will help the global community of nations in reaping maximum benefits that surely should arise from these initiatives to ensure security of energy supply. We do not have the luxury to duplicate such bodies. The role of the International Atomic Energy Agency in nuclear safety and security cannot be over-emphasized. That alone is the reason that drove the liberation movement of the people of our country, and now the ruling party, fully to conform to all the treaties and conventions that have been drafted by this reputable institution of the peoples of the world. The same goes for the facilitation of cooperation and the sharing of knowledge and experience. The IAEA is invariably trusted to provide independent views and advice in order to strengthen safety and security while preserving the sovereignty, authority and

  15. Digital Portfolio: a Strategy for Teachers Professional Development

    Directory of Open Access Journals (Sweden)

    R. Jans

    2008-03-01

    Full Text Available Teachers have to work with e-portfolio with theirstudents. This is a very demanding task because they neverwere educated with e-portfolio themselves. Therefore aEuropean Comenius project was submitted in 2005. In thisapproved project a whole week formation (april 2007 wasoffered to nineteen teachers from all over Europe. A yearlater they will meet again to see in what way the course hashad effects on their work with e-portfolio and students.Most interesting to notice was that the basic ICT-skills ofteachers are nowadays realized. However teachers are stillbusy with text and text-files. Rarely they uploadedmultimedia, like e.g. photo’s, video’s, youtube-movies, … intheir e-portfolio. The essential element of an e-portfolio, thepersonal and professional development plan, that forms thebackbone of the e-portfolio and offers the possibility tomake the e-portfolio an effective learning instrument wasunknown.

  16. Quantitative Portfolio Optimization Techniques Applied to the Brazilian Stock Market

    Directory of Open Access Journals (Sweden)

    André Alves Portela Santos

    2012-09-01

    Full Text Available In this paper we assess the out-of-sample performance of two alternative quantitative portfolio optimization techniques - mean-variance and minimum variance optimization – and compare their performance with respect to a naive 1/N (or equally-weighted portfolio and also to the market portfolio given by the Ibovespa. We focus on short selling-constrained portfolios and consider alternative estimators for the covariance matrices: sample covariance matrix, RiskMetrics, and three covariance estimators proposed by Ledoit and Wolf (2003, Ledoit and Wolf (2004a and Ledoit and Wolf (2004b. Taking into account alternative portfolio re-balancing frequencies, we compute out-of-sample performance statistics which indicate that the quantitative approaches delivered improved results in terms of lower portfolio volatility and better risk-adjusted returns. Moreover, the use of more sophisticated estimators for the covariance matrix generated optimal portfolios with lower turnover over time.

  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. The viability of alternative assessment methods in the Greek upper secondary school: the oral portfolio

    Directory of Open Access Journals (Sweden)

    Angeliki Daphni

    2012-02-01

    Full Text Available Τhe final examination of the English language subject, in the context of the Greek state upper secondary education, is a traditional paper-and-pencil test which does not include any assessment of oracy skills. This article explores the viability of the oral portfolio as an alternative assessment and pedagogic method that can facilitate the assessment of speaking and listening skills and create a more motivating learning environment. To this effect, three methodological tools were designed, namely, a questionnaire addressing upper secondary English teachers in Greek state schools, a case study involving an oral portfolio implementation and finally, a questionnaire for students to record their experience. The study demonstrates that implementation of the portfolio contributed to a successful assessment of oracy skills and that it was a stimulating experience for students. The results of the study also showed that the pedagogical value of the portfolio counterbalanced its practical constraints. The paper concludes by putting forward recommendations for the future application of this assessment technique in state school education.

  19. 1st International Congress on Actuarial Science and Quantitative Finance

    CERN Document Server

    Garrido, José; Hernández-Hernández, Daniel; ICASQF

    2015-01-01

    Featuring contributions from industry and academia, this volume includes chapters covering a diverse range of theoretical and empirical aspects of actuarial science and quantitative finance, including portfolio management, derivative valuation, risk theory and the economics of insurance. Developed from the First International Congress on Actuarial Science and Quantitative Finance, held at the Universidad Nacional de Colombia in Bogotá in June 2014, this volume highlights different approaches to issues arising from industries in the Andean and Carribean regions. Contributions address topics such as Reverse mortgage schemes and urban dynamics, modeling spot price dynamics in the electricity market, and optimizing calibration and pricing with SABR models.

  20. 2nd International Congress on Actuarial Science and Quantitative Finance

    CERN Document Server

    Garrido, José; Jeanblanc, Monique

    2017-01-01

    Developed from the Second International Congress on Actuarial Science and Quantitative Finance, this volume showcases the latest progress in all theoretical and empirical aspects of actuarial science and quantitative finance. Held at the Universidad de Cartagena in Cartegena, Colombia in June 2016, the conference emphasized relations between industry and academia and provided a platform for practitioners to discuss problems arising from the financial and insurance industries in the Andean and Caribbean regions. Based on invited lectures as well as carefully selected papers, these proceedings address topics such as statistical techniques in finance and actuarial science, portfolio management, risk theory, derivative valuation and economics of insurance.

  1. 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…

  2. The Use of Culture Portfolio Project in a Korean Culture Classroom: Evaluating Stereotypes and Enhancing Cross-Cultural Awareness

    Science.gov (United States)

    Byon, Andrew Sangpil

    2007-01-01

    This paper investigates a case of designing, implementing, and evaluating a semester-long culture portfolio project in a Korean culture class in an American university setting. The paper addresses the following four issues: (1) How does the project help the students gain insights into a particular aspect of Korean culture and encourage them to…

  3. Portfolio Careers and Work-Life Balance among Musicians: An Initial Study into Implications for Higher Music Education

    Science.gov (United States)

    Teague, Adele; Smith, Gareth Dylan

    2015-01-01

    Musicians are acknowledged to lead complex working lives, often characterised as portfolio careers. The higher music education research literature has tended to focus on preparing students for rich working lives and multiple identity realisations across potential roles. Extant literature does not address the area of work-life balance, which this…

  4. Portfolio District Reform Meets School Turnaround: Early Implementation Findings from the Los Angeles Public School Choice Initiative

    Science.gov (United States)

    Marsh, Julie A.; Strunk, Katharine O.; Bush, Susan

    2013-01-01

    Purpose: Despite the popularity of school "turnaround" and "portfolio district" management as solutions to low performance, there has been limited research on these strategies. The purpose of this paper is to address this gap by exploring the strategic case of Los Angeles Unified School District's Public School Choice…

  5. Optimising investment performance through international diversification

    Directory of Open Access Journals (Sweden)

    J. Swart

    2014-01-01

    Full Text Available International portfolio diversification is often advocated as a way of enhancing portfolio performance particularly through the reduction of portfolio risk. Portfolio managers in Europe have for decades routinely invested a substantial portion of their portfolios in securities that were issued in other countries. During the last decade US investors have held a significant amount of foreign securities with over a trillion dollars invested in foreign assets by 1994. South African institutions have been allowed some freedom to diversify internationally since mid 1995 and individual investors since July 1997. In this paper the potential diversification benefits for South African investors are considered. The stability over time of the correlation structure is investigated and simple ex-ante investment strategies are formulated and evaluated.

  6. Unruptured Intracranial Aneurysms. A Critical Review of the International Study of Unruptured Intracranial Aneurysms (ISUIA) and of Appropriate Methods to Address the Clinical Problem.

    Science.gov (United States)

    Raymond, J; Guillemin, F; Proust, F; Molyneux, A J; Fox, A J; Claiborne, J S; Meder, J F; Rouleau, I

    2008-03-30

    The preventive treatment of unruptured aneurysms has been performed for decades despite the lack of evidence of a clinical benefit. Reports of observational studies such as the International Study of Unruptured Intracranial Aneurysms (ISUIA) suggest that preventive treatments are rarely justified. Are these reports compelling enough to guide clinical practice? The ISUIA methods and data are reviewed and analysed in a more conventional manner. The design of the appropriate clinical research program is approached by steps, reviewing potential problems, from the formulation of the precise research question to the interpretation of subgroup analyses, including sample size, representativity, duration of observation period, blinding, definition of outcome events, analysis of cross-overs, losses to follow-up, and data reporting. Unruptured intracranial aneurysms observed in ISUIA ruptured at a minimal annual rate of 0.8% (0.5-1%), despite multiple methodological difficulties biased in favour of a benign natural history. Available registries do not have the power or the design capable of providing normative guidelines for clinical decisions. The appropriate method to solve the clinical dilemma is a multicentric trial comparing the incidence of a hard clinical outcome events in approximately 2000 patients randomly allocated to a treatment group and a deferred treatment group, all followed for ten years or more. Observational studies have failed to provide reliable evidence in favour or against the preventive treatment of unruptured aneurysms. A randomized trial is in order to clarify what is the role of prevention in this common clinical problem.

  7. Welcome Address by H. Liu [4. International Conference on Effective Nuclear Regulatory Systems: Sustaining Improvements Globally, Vienna (Austria), 11-15 April 2016

    International Nuclear Information System (INIS)

    Liu, H.

    2017-01-01

    In his opening remarks, Mr. Liu Hua, the President of the conference, noted that the presence of so many attendees at the conference indicated a high level of interest in effective nuclear regulation. He added that effective regulatory systems are very important in maintaining and improving global nuclear safety, and that the first conference on this topic, held ten years ago, created a valuable platform for achieving that goal. In the intervening decade, through the conferences held in Moscow, Cape Town, Ottawa and Vienna, the importance of effective regulation has become more widely recognized and key elements, including independence, transparency, openness, competence and wider international cooperation, have been identified. Mr. Liu Hua pointed to specific actions proposed for governments, regulatory bodies and stakeholders, and highlighted that many of the actions had already achieved fruitful outcomes. He also noted that many lessons had been learned and many improvements had been made in the light of the Fukushima Daiichi accident: 1. To further improve government infrastructure; 2. To further improve nuclear safety standards; 3. To further develop regulation capacity building and human resource; 4. To further enhance knowledge and experience management and transition, 5. To further foster and strengthen nuclear safety culture; 6. To further improve and rebuild public confidence

  8. Knowledge, attitudes, and practices regarding travel health among Muscat International Airport travelers in Oman: Identifying the gaps and addressing the challenges.

    Science.gov (United States)

    Al-Abri, Seif S; Abdel-Hady, Doaa M; Al-Abaidani, Idris S

    2016-06-01

    Although the majority of travel-associated communicable diseases can be prevented, the public health burden of these diseases remains significant. Relatively little is known about how travelers know and perceive the health risks associated with travel and how they utilize preventive measures before and while traveling abroad. This study was conducted to determine the level of the knowledge, attitudes, and practices (KAP) of Muscat International Airport travelers about travel health in order to assess the knowledge gap and the need for travel health services in Oman. A cross-sectional study was conducted over a period of 1week using a self-administered questionnaire. The overall level of knowledge about vaccine-preventable diseases, food safety, and preventive measures against insect bites of the participants was inadequate. The practice concerning preventive travel health measures, such as the use of specific immunizations and antimalarial prophylaxis, was very limited, and influenced by some personal and travel-related factors. The inadequate level of travelers' knowledge and poor utilization of travel medicine services highlights the need for the provisions of specialized travel medicine services at the national level and to develop educational materials promoting the importance of pre-travel health advice. Copyright © 2016 Ministry of Health, Saudi Arabia. Published by Elsevier Ltd. All rights reserved.

  9. Report of the international workshop on safety measures to address the year 2000 issue at radioactive waste management and nuclear fuel cycle facilities. (Supplement to IAEA-TECDOC-1073 and IAEA-TECDOC-1087)

    International Nuclear Information System (INIS)

    1999-08-01

    In resolution GC(42)/RES/11 on 'Measures to address the Year 2000 (Y2K) issue', adopted on 25 September 1998, the General Conference of the International Atomic Energy Agency (IAEA) - inter alia - urged Member States 'to share information with the Secretariat regarding diagnostic and corrective actions being planned or implemented by operating and regulatory organizations at ... fuel cycle facilities ... to make those facilities Year 2000 ready', encouraged the Secretariat, 'within existing resources, to act as a clearinghouse and central point of contact for Member States to exchange information regarding diagnostic and remediation actions being taken at ... fuel cycle facilities ... to make these facilities Year 2000 ready', urged the Secretariat 'to handle the information provided by Member States carefully' and requested the Director General to report to it at its next (1999) regular session on the implementation of that resolution. In response to resolution GC(42)/RES/11, the Secretariat convened: a group of consultants who met in Vienna from 20 to 22 January 1999 and produced a technical document (IAEA-TECDOC-1073) entitled Safety Measures to Address the Year 2000 Issue at Radioactive Waste Management Facilities; and a specialists meeting in Vienna from 24 to 26 March 1999, which produced a technical document (IAEA-TECDOC-1087) entitled Potential Vulnerabilities of Nuclear Fuel Cycle Facilities to the Year 2000 (Y2K) Issue and Measures to Address Them. To foster information exchange and share existing experience the IAEA held an International Workshop on Safety Measures to Address the Year 2000 Issue at Radioactive Waste Management and Nuclear Fuel Cycle Facilities in Vienna on 1-2 July 1999. Whereas the focus of TECDOC-1073 and TECDOC-1087 had been on identifying relevant safety issues in relation to Y2K computer problems and on proposing methods to address them, the focus of the International Workshop was on sharing experience, setting priorities

  10. Addressing Obstetrical Challenges at 12 Rural Ugandan Health Facilities: Findings from an International Ultrasound and Skills Development Training for Midwives in Uganda.

    Science.gov (United States)

    Kinnevey, Christina; Kawooya, Michael; Tumwesigye, Tonny; Douglas, David; Sams, Sarah

    2016-01-01

    Like much of Sub-Saharan Africa, Uganda is facing significant maternal and fetal health challenges. Despite the fact that the majority of the Uganda population is rural and the major obstetrical care provider is the midwife, there is a lack of data in the literature regarding rural health facilities' and midwives' knowledge of ultrasound technology and perspectives on important maternal health issues such as deficiencies in prenatal services. A survey of the current antenatal diagnostic and management capabilities of midwives at 12 rural Ugandan health facilities was performed as part of an international program initiated to provide ultrasound machines and formal training in their use to midwives at antenatal care clinics. The survey revealed that the majority of pregnant women attend less than the recommended minimum of four antenatal care visits. There were significant knowledge deficits in many prenatal conditions that require ultrasound for early diagnosis, such as placenta previa and macrosomia. The cost of providing ultrasound machines and formal training to 12 midwives was $6,888 per powered rural health facility and $8,288 for non-powered rural health facilities in which solar power was required to maintain ultrasound. In order to more successfully meet Millennium Development Goal 4 (reduce child mortality), 5 (improve maternal health) and 6 (combat HIV) through decreasing maternal to child transmission of HIV, the primary healthcare provider, which is the midwife in Uganda, must be competent at the diagnosis and management of a wide spectrum of obstetrical challenges. A trained ultrasound-based approach to obstetrical care is a cost effective method to take on these goals.

  11. Opening Address [International Conference on Human Resource Development for Introducing and Expanding Nuclear Power Programmes, Abu Dhabi (United Arab Emirates), 14-18 March 2010

    Energy Technology Data Exchange (ETDEWEB)

    Amano, Y [International Atomic Energy Agency, Vienna (Austria)

    2012-10-15

    Full text: It is a pleasure for me to open this IAEA conference on Human Resource Development for Introducing and Expanding Nuclear Power Programmes. I am very grateful to the Government of the United Arab Emirates for hosting this important event. As you know, the world is witnessing a resurgence of interest in nuclear power. The IAEA has projects on introducing nuclear power with no fewer than 58 of our Member States. We expect between 10 and 25 new countries to bring their first nuclear power plants on line by 2030. These are momentous changes. However, some countries are concerned about a possible shortage of skilled professionals in the nuclear field in the coming decades. The generation of professionals who built and led the nuclear power industry for much of the past 50 years is approaching retirement and in some countries not enough students are coming up through the educational system to take their place. Naturally, we, at the IAEA, want to do all we can to help Member States address this issue. That is why we have organized this conference. The situation is different in each country. For countries with expanding nuclear power programmes, the challenge is to scale up their existing education and training in order to have the required qualified workforce on time. Countries planning to supply nuclear technology to others must not only meet their national human resource needs, but also be able to transfer education and training capacity together with the technology they provide. Finally, countries embarking on nuclear power cannot become too dependent on their technology supplier and need to develop their own home grown expertise and skills base. The IAEA would be happy to help interested States to formulate country specific policies on human resource development, education, training and knowledge management in support of nuclear power programmes. We could also help countries make better use of training facilities, research reactors and other educational

  12. PORTFOLIO DEVELOPMENT OF NEW PRODUCTS: A REVIEW OF PUBLICATIONS IN NATIONAL JOURNALS

    Directory of Open Access Journals (Sweden)

    Paulo Henrique Antunes

    2012-04-01

    Full Text Available The current context of changes leading organizations to improve the products launched in the market to meet the increasingly demanding consumers. In order to offer products successfully, organizations need to select development projects from a portfolio. The research portfolio management can be considered quite extensively abroad, because much of the theoretical framework used by researchers in Brazil comes from international publications. Thus, it is important to diagnose the publications on the subject in the country. Accordingly, this paper aims to carry out a literature review on portfolio management in a restricted scope to develop new products, main focus of this research project. This work is characterized as theoretical and conceptual, with a systematic review of literature, by searching for articles in databases of national periodicals, followed by registration, organization and verification of these publications. The results allowed a stratification on the subject according to the journals identified in the Scielo database, as well as in specific journals. Also analyzed were the industrial sectors linked to publications, being the predominant financial sector, which is not part of the scope of this research. The study identified a paucity of studies related to portfolio management for new products, principally in relation to the application and implementation in organizations in general.

  13. VaR Methodology Application for Banking Currency Portfolios

    Directory of Open Access Journals (Sweden)

    Daniel Armeanu

    2007-02-01

    Full Text Available VaR has become the standard measure that financial analysts use to quantify market risk. VaR measures can have many applications, such as in risk management, to evaluate the performance of risk takers and for regulatory requirements, and hence it is very important to develop methodologies that provide accurate estimates. In particular, the Basel Committee on Banking Supervision at the Bank for International Settlements imposes to financial institutions such as banks and investment firms to meet capital requirements based on VaR estimates. In this paper we determine VaR for a banking currency portfolio and respect rules of National Bank of Romania regarding VaR report.

  14. Welcome address to 30th international meeting on Reduced Enrichment for Research and Test Reactors, 6 October 2008, Washington, D.C., USA

    International Nuclear Information System (INIS)

    Sokolov, Y.

    2008-01-01

    The RERTR meetings, of course, have a special role among our activities. They are important not only for what is presented in the formal technical sessions, but also for what takes place in the informal gatherings, side meetings, and personal encounters. The IAEA also has participated as an observer in the International Fuel Development Working Group, a highly important effort that is overseeing the multinational cooperative research and development effort for very high density LEU fuel. Remarkable achievements of GTRI are the conversion to LEU or final shutdown prior to conversion of 62 research reactors, the return to the United States of more than 1100 kg of spent HEU fuel and more than 1800 kg of spent LEU fuel and the return to Russia of more than 600 kg of spent and fresh HEU fuel. But while much has been achieved so far, vulnerabilities remain. HEU continues to be used for military purposes in a number of States; about 150 civilian and military research reactors are still using HEU and important quantities of fresh; and spent HEU fuel continues to be stored in different countries. All this calls for continued efforts, with a sense of urgency and more coherent global action. Some of the measures that might be taken are as follows: The countries involved should join forces to step up their efforts towards minimizing and eventually eliminating the civilian and in due course the military use of HEU. Financing and other incentives should be made available where needed to assist countries with conversion operations. All countries should agree to stop producing fissile material for use in nuclear weapons. The elements are already in place for such an agreement, in the form of the proposed Fissile Material Cut-off Treaty. It is high time to negotiate and conclude such a treaty. To build confidence, countries with civilian and military HEU stockpiles should declare the size of those stockpiles and publish a schedule under which the remaining HEU will be verifiably

  15. Radiographer managers and service development: A Delphi study to determine an MRI service portfolio for year 2020

    International Nuclear Information System (INIS)

    Castillo, J.; Caruana, C.J.; Morgan, P.S.; Westbrook, C.

    2015-01-01

    Purpose: As high quality CPD courses become increasingly expensive and time off for radiographers progressively limited, it is important that CPD content be aligned to forecasted service portfolio development. When such a portfolio has not been developed locally the CPD planner should carry out an own forecasting exercise. The purpose of the study was to develop a 2020 MRI service portfolio using a Delphi study. Methods and materials: MRI stakeholder experts participated in a first Delphi round based on semi-structured interviews. The interviews were analysed thematically leading to a series of statements for a second Delphi round. Level of agreement was assessed as the median value on a 6 point Likert scale ranging from 1 (complete disagreement) to 6 (complete agreement), the level of consensus was assessed using the interquartile range (IQR). Consensus was defined as IQR ≤ 1. Results: Very strong agreement and consensus (median 6, IQR ≤ 1) was obtained for maintaining current service catalogue and introduction of breast biopsies, cardiac studies, ISO standards, referral guidelines, and departmental policies aligned to EU regulations. Strong agreement and consensus (median 5, IQR ≤ 1) was obtained for introduction of tumour assessment, tractography, elastography, enterography. The level of consensus was low (IQR ≥ 1) regarding research, 3T MRI, outsourcing, prostate screening and certification for MRI referral privileges. Conclusion: The multi stakeholder approach adopted ensured that the proposed service portfolio would be suitable for local healthcare needs. Although the methodology has been applied to MRI it could easily be adapted to any imaging modality. - Highlights: • A Delphi study was successfully used to forecast MRI service portfolio for year 2020. • The service portfolio determines the competences required by radiographers. • The service portfolio has helped in decision making to introduce waiting list initiatives. • Protocols

  16. Report of the international workshop on safety measures to address the year 2000 issue at medical facilities which use radiation generators and radioactive materials. (Supplement to IAEA-TECDOC-1074)

    International Nuclear Information System (INIS)

    1999-08-01

    In resolution GC(42)/RES/11 on 'Measures to Address the Year 2000 (Y2K) Issue', adopted on 25 September 1998, the General Conference of the International Atomic Energy Agency (IAEA) - inter alia - urged Member States 'to share information with the Secretariat regarding diagnostic and corrective actions being planned or implemented by operating and regulatory organizations at their ... medical facilities which use radioactive materials to make those facilities Year 2000 ready', encouraged the Secretariat 'within existing resources to act as a clearing-house and central point of contact for Member States to exchange information regarding diagnostic and remediation actions being taken at ... medical facilities which use radioactive materials to make these facilities Year 2000 ready', urged the Secretariat 'to handle the information provided by Member States carefully' and requested the Director General to report to it at its next (1999) regular session on the implementation of that resolution. To foster exchange of information and experience and to develop more specific advice based on this experience, the IAEA, in co-operation with the World Health Organization, conducted an International Workshop on Safety Measures to Address the Year 2000 Issue at Medical Facilities Which Use Radiation Generators and Radioactive Materials, held in Vienna, 28-30 June 1999. Whereas the focus in IAEA-TECDOC-1074 had been on identifying what might go wrong as a result of Y2K problems and on proposing methods to address them, the focus of the International Workshop was on sharing the experience gained in implementing the proposed methods - an approach consistent with the role of the Secretariat as 'a clearing-house and central point of contact for Member States to exchange information regarding diagnostic and remediation actions'

  17. Current and proposed revisions, changes, and modifications to American codes and standards to address packaging, handling, and transportation of radioactive materials and how they relate to comparable international regulations

    International Nuclear Information System (INIS)

    Borter, W.H.; Froehlich, C.H.

    2004-01-01

    This paper addresses current and proposed revisions, additions, and modifications to American Society of Mechanical Engineers (ASME) Boiler and Pressure Vessel Code (BPVC) (i.e., ''ASMEthe Code'') Section III, Division 3 and American National Standards Institute (ANSI)/ASME N14.6. It provides insight into the ongoing processes of the associated committees and highlights important revisions, changes, and modifications to this Code and Standard. The ASME Code has developed and issued Division 3 to address items associated with the transportation and storage of radioactive materials. It currently only addresses ''General Requirements'' in Subsections WA and ''Class TP (Type B) Containments'' (Transportation Packages) in Subsection WB, but is in the process of adding a new Subsection WC to address ''Class SC'' (Storage Containments). ANSI/ASME Standard N14.6 which interacts with components constructed to Division 3 by addressinges special lifting devices for radioactive material shipping containers. This Standard is in the process of a complete re-write. This Code and Standard can be classified as ''dynamic'' in that their committees meet at least four times a year to evaluate proposed modifications and additions that reflect current safety practices in the nuclear industry. These evaluations include the possible addition of new materials, fabrication processes, examination methods, and testing requirements. An overview of this ongoing process is presented in this paper along with highlights of the more important proposed revisions, changes, and modifications and how they relate to United States (US) and international regulations and guidance like International Atomic Energy Agency (IAEA) Requirement No. TS-R-1

  18. Using reanalysis and drought indices to study portfolio-level climate risk in the industry sector

    Science.gov (United States)

    Bonnafous, L.

    2017-12-01

    Water-related hazards including flooding due to extreme rainfall, persistent drought and pollution, either due to industrial operations themselves, or to the failure of infrastructure have emerged as a potential risk for industrial operations. Most companies have risk management plans at each operational location to address these risks to a certain design level. The residual risk may or may not be managed, and is typically not quantified at a portfolio scale, i.e. across many sites. Given that climate is the driver of many of these extreme events, and there is evidence of quasi-periodic climate regimes at inter-annual and decadal timescales, it is possible that a portfolio is subject to persistent, multi-year exceedances of the design level. It is thus likely that there is correlation in the climate-induced portfolio water risk across its operational sites as multiple sites may experience a hazard beyond the design level in a given year. Therefore, a need exists for water risk indexes that allow for an exploration of the possible space and/or time clustering in exposure across many sites contained in a portfolio. Focusing on extreme daily rainfall amounts and monthly to yearly drought, and using examples from major mining companies, we illustrate how such indexes can be developed using reanalysis products as well as gridded datasets of drought indices based on climate data records. For the examples of mining companies provided, we note that the actual exposure is substantially higher than would be expected in the absence of space and time correlation of risk as is often tacitly assumed within the industry. We also find evidence for the increasing exposure to climate-induced risk, and for decadal variability in exposure. The relative vulnerability of different portfolios to multiple extreme events in a given year is also demonstrated.

  19. Managing the vitamin A program portfolio: a case study of Zambia, 2013-2042.

    Science.gov (United States)

    Fiedler, John L; Lividini, Keith

    2014-03-01

    Micronutrient deficiencies continue to constitute a major burden of disease, particularly in Africa and South Asia. Programs to address micronutrient deficiencies have been increasing in number, type, and scale in recent years, creating an ever-growing need to understand their combined coverage levels, costs, and impacts so as to more effectively combat deficiencies, avoid putting individuals at risk for excess intakes, and ensure the efficient use of public health resources. To analyze combinations of the two current programs--sugar fortification and Child Health Week (CHW)--together with four prospective programs--vegetable oil fortification, wheat flour fortification, maize meal fortification, and biofortified vitamin A maize--to identify Zambia's optimal vitamin A portfolio. Combining program cost estimates and 30-year Zambian food demand projections, together with the Zambian 2005 Living Conditions Monitoring Survey, the annual costs, coverage, impact, and cost-effectiveness of 62 Zambian portfolios were modeled for the period from 2013 to 2042. Optimal portfolios are identified for each of five alternative criteria: average cost-effectiveness, incremental cost-effectiveness, coverage maximization, health impact maximization, and affordability. The most likely scenario is identified to be one that starts with the current portfolio and takes into account all five criteria. Starting with CHW and sugar fortification, it phases in vitamin A maize, oil, wheat flour, and maize meal (in that order) to eventually include all six individual interventions. Combining cost and Household Consumption and Expenditure Survey (HCES) data provides a powerful evidence-generating tool with which to understand how individual micronutrient programs interact and to quantify the tradeoffs involved in selecting alternative program portfolios.

  20. Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas

    Directory of Open Access Journals (Sweden)

    Jin Xisong

    2018-02-01

    Full Text Available Previous research has focused on the importance of modeling the multivariate distribution for optimal portfolio allocation and active risk management. However, existing dynamic models are not easily applied to high-dimensional problems due to the curse of dimensionality. In this paper, we extend the framework of the Dynamic Conditional Correlation/Equicorrelation and an extreme value approach into a series of Dynamic Conditional Elliptical Copulas. We investigate risk measures such as Value at Risk (VaR and Expected Shortfall (ES for passive portfolios and dynamic optimal portfolios using Mean-Variance and ES criteria for a sample of US stocks over a period of 10 years. Our results suggest that (1 Modeling the marginal distribution is important for dynamic high-dimensional multivariate models. (2 Neglecting the dynamic dependence in the copula causes over-aggressive risk management. (3 The DCC/DECO Gaussian copula and t-copula work very well for both VaR and ES. (4 Grouped t-copulas and t-copulas with dynamic degrees of freedom further match the fat tail. (5 Correctly modeling the dependence structure makes an improvement in portfolio optimization with respect to tail risk. (6 Models driven by multivariate t innovations with exogenously given degrees of freedom provide a flexible and applicable alternative for optimal portfolio risk management.

  1. USEFULNESS OF BOOTSTRAPPING IN PORTFOLIO MANAGEMENT

    Directory of Open Access Journals (Sweden)

    Boris Radovanov

    2012-12-01

    Full Text Available This paper contains a comparison of in-sample and out-of-sample performances between the resampled efficiency technique, patented by Richard Michaud and Robert Michaud (1999, and traditional Mean-Variance portfolio selection, presented by Harry Markowitz (1952. Based on the Monte Carlo simulation, data (samples generation process determines the algorithms by using both, parametric and nonparametric bootstrap techniques. Resampled efficiency provides the solution to use uncertain information without the need for constrains in portfolio optimization. Parametric bootstrap process starts with a parametric model specification, where we apply Capital Asset Pricing Model. After the estimation of specified model, the series of residuals are used for resampling process. On the other hand, nonparametric bootstrap divides series of price returns into the new series of blocks containing previous determined number of consecutive price returns. This procedure enables smooth resampling process and preserves the original structure of data series.

  2. 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.

  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. Medicare Part D and Portfolio Choice.

    Science.gov (United States)

    Ayyagari, Padmaja; He, Daifeng

    2016-05-01

    This study evaluates the impact of medical expenditure risk on portfolio choice among the elderly. The risk of large medical expenditures can be substantial for elderly individuals and is only partially mitigated by access to health insurance. The presence of deductibles, copayments, and other cost-sharing mechanisms implies that medical spending risk can be viewed as an undiversifiable background risk. Economic theory suggests that increases in background risk reduce the optimal financial risk that an individual or household is willing to bear (Pratt and Zeckhauser 1987; Elmendorf and Kimball 2000). In this study, we evaluate this hypothesis by estimating the impact of the introduction of the Medicare Part D program, which significantly reduced prescription drug spending risk for seniors, on portfolio choice.

  5. Cosmic Visions Dark Energy: Small Projects Portfolio

    Energy Technology Data Exchange (ETDEWEB)

    Dawson, Kyle; Frieman, Josh; Heitmann, Katrin; Jain, Bhuvnesh; Kahn, Steve; Mandelbaum, Rachel; Perlmutter, Saul; Slosar, Anže

    2018-02-20

    Understanding cosmic acceleration is one of the key science drivers for astrophysics and high-energy physics in the coming decade (2014 P5 Report). With the Large Synoptic Survey Telescope (LSST) and the Dark Energy Spectroscopic Instrument (DESI) and other new facilities beginning operations soon, we are entering an exciting phase during which we expect an order of magnitude improvement in constraints on dark energy and the physics of the accelerating Universe. This is a key moment for a matching Small Projects portfolio that can (1) greatly enhance the science reach of these flagship projects, (2) have immediate scientific impact, and (3) lay the groundwork for the next stages of the Cosmic Frontier Dark Energy program. In this White Paper, we outline a balanced portfolio that can accomplish these goals through a combination of observational, experimental, and theory and simulation efforts.

  6. Parametric Immunization in Bond Portfolio Management

    OpenAIRE

    Bravo, Jorge; Fonseca, José

    2012-01-01

    In this paper, we evaluate the relative immunization performance of the multifactor parametric interest rate risk model based on the Nelson-Siegel-Svensson specification of the yield curve with that of standard benchmark investment strategies, using European Central Bank yield curve data in the period between January 3, 2005 and December 31, 2011. In addition, we examine the role of portfolio design in the success of immunization strategies, particularly the role of the maturit...

  7. Personalised Diversification Using Intent-Aware Portfolio

    OpenAIRE

    Wasilewski, Jacek; Hurley, Neil J.

    2017-01-01

    The intent-aware diversification framework considers a set of aspects associated with items to be recommended. A baseline recommendation is greedily re-ranked using an objective that promotes diversity across the aspects. In this paper the framework is analysed and a new intent-aware objective is derived that considers the minimum variance criterion, connecting the framework directly to portfolio diversification from finance. We derive an aspect model that supports the goal of minimum varianc...

  8. Geometrical framework for robust portfolio optimization

    OpenAIRE

    Bazovkin, Pavel

    2014-01-01

    We consider a vector-valued multivariate risk measure that depends on the user's profile given by the user's utility. It is constructed on the basis of weighted-mean trimmed regions and represents the solution of an optimization problem. The key feature of this measure is convexity. We apply the measure to the portfolio selection problem, employing different measures of performance as objective functions in a common geometrical framework.

  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. Product portfolio optimization based on substitution

    DEFF Research Database (Denmark)

    Myrodia, Anna; Moseley, A.; Hvam, Lars

    2017-01-01

    The development of production capabilities has led to proliferation of the product variety offered to the customer. Yet this fact does not directly imply increase of manufacturers' profitability, nor customers' satisfaction. Consequently, recent research focuses on portfolio optimization through...... substitution and standardization techniques. However when re-defining the strategic market decisions are characterized by uncertainty due to several parameters. In this study, by using a GAMS optimization model we present a method for supporting strategic decisions on substitution, by quantifying the impact...

  11. Patent portfolio structure for single technology companies

    OpenAIRE

    Hartwell, Ian P.

    2004-01-01

    Single technology companies (STCs) are defined in this thesis as companies that (a) have the fundamental rights to a new technology, (b) have development of that technology as their core competence, (c) seek to exploit that technology primarily by licensing the patent rights, and (d) are driven primarily by 'technology push'. These factors often result in much of the value of the STC residing in its patent portfolio. This in turn may place significant - and often conflicting - ...

  12. Labor Supply Flexibility and Portfolio Choice

    OpenAIRE

    Zvi Bodie; William Samuelson

    1989-01-01

    This paper develops a model showing that people who have flexibility in choosing how much to work will prefer to invest substantially more of their money in risky assets than if they had no such flexibility. Viewed in this way, labor supply flexibility offers insurance against adverse investment outcomes. The model provides support for the conventional wisdom that the young can tolerate more risk in their investment portfolios than the old. The model has other implications for the study of ho...

  13. Venture capital and efficiency of portfolio companies

    Directory of Open Access Journals (Sweden)

    A. Thillai Rajan

    2010-12-01

    Full Text Available Venture Capital (VC has emerged as the dominant source of finance for entrepreneurial and early stage businesses, and the Indian VC industry in particular has clocked the fastest growth rate globally. Academic literature reveals that VC funded companies show superior performance to non VC funded companies. However, given that venture capitalists (VCs select and fund only the best companies, how much credit can they take for the performance of the companies they fund? Do the inherent characteristics of the firm result in superior performance or do VCs contribute to the performance of the portfolio company after they have entered the firm? A panel that comprised VCs, an entrepreneur and an academic debated these and other research questions on the inter-relationships between VC funding and portfolio firm performance. Most empirical literature indicates that the value addition effect dominates the selection effect in accounting for the superior performance of VC funded companies. The panel discussion indicates that the context as well as the experience of the General Partners in the VC firms can influence the way VCs contribute to the efficiency of their portfolio companies.

  14. portfolio optimization based on nonparametric estimation methods

    Directory of Open Access Journals (Sweden)

    mahsa ghandehari

    2017-03-01

    Full Text Available One of the major issues investors are facing with in capital markets is decision making about select an appropriate stock exchange for investing and selecting an optimal portfolio. This process is done through the risk and expected return assessment. On the other hand in portfolio selection problem if the assets expected returns are normally distributed, variance and standard deviation are used as a risk measure. But, the expected returns on assets are not necessarily normal and sometimes have dramatic differences from normal distribution. This paper with the introduction of conditional value at risk ( CVaR, as a measure of risk in a nonparametric framework, for a given expected return, offers the optimal portfolio and this method is compared with the linear programming method. The data used in this study consists of monthly returns of 15 companies selected from the top 50 companies in Tehran Stock Exchange during the winter of 1392 which is considered from April of 1388 to June of 1393. The results of this study show the superiority of nonparametric method over the linear programming method and the nonparametric method is much faster than the linear programming method.

  15. Portfolio selection theory and wildlife management

    Directory of Open Access Journals (Sweden)

    JW Hearne

    2008-12-01

    Full Text Available With a strong commercial incentive driving the increase in game ranching in Southern Africa the need has come for more advanced management tools. In this paper the potential of Portfolio Selection Theory to determine the optimal mix of species on game ranches is explored. Land, or the food it produces, is a resource available to invest. We consider species as investment choices. Each species has its own return and risk profile. The question arises as to what proportion of the resource available should be invested in each species. We show that if the objective is to minimise risk for a given return, then the problem is analogous to the Portfolio Selection Problem. The method is then implemented for a typical game ranch. We show that besides risk and return objectives, it is necessary to include an additional objective so as to ensure sufficient species to maintain the character of a game ranch. Some other points of difference from the classical Portfolio Selection problem are also highlighted and discussed.

  16. 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)

  17. Portfolio at Tertiary Level – Lifelong Learning Tool

    Directory of Open Access Journals (Sweden)

    Galina Kavaliauskienė

    2011-04-01

    Full Text Available The use of electronic language portfolios has been preferable to the use of common paper portfolios for ease of application – there is no need for accumulating a number of files of written papers, which solves the problem of storing space and, to some extent, helps reduce students’ and teachers’ workload.The study investigated learners’ perceptions of employing electronic language portfolios for conducting various assignments in English for Specific Purposes. The research involved university students of different specializations. Learners’ experience of employing portfolios and opinions on their benefits for improving language skills have been analyzed and statistically treated using SPSS software. The results show that students are positive about application of electronic portfolios in ESP classes. The use of online portfolios for various assignments helps teachers foster students’ learning, encourages critical thinking, develops creativity, motivates learners to use digital technology, encourages collaboration of learners, and in the long run, leads to lifelong learning.

  18. Portfolios in Saudi medical colleges. Why and how?

    Directory of Open Access Journals (Sweden)

    Nadia M. Fida

    2016-03-01

    Full Text Available 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.

  19. Power from Perspective: Potential future United States energy portfolios

    International Nuclear Information System (INIS)

    Tonn, Bruce; Healy, K.C.; Gibson, Amy; Ashish, Ashutosh; Cody, Preston; Beres, Drew; Lulla, Sam; Mazur, Jim; Ritter, A.J.

    2009-01-01

    This paper presents United States energy portfolios for the year 2030, developed from seven different Perspectives. The Perspectives are characterized by different weights placed on fourteen defining values (e.g., cost, social acceptance). The portfolios were constructed to achieve three primary goals, energy independence, energy security, and greenhouse gas reductions. The portfolios are also evaluated over a comprehensive set of secondary criteria (e.g., economic growth, technical feasibility). It is found that very different portfolios based on very different defining values can achieve the three primary goals. Commonalities among the portfolios include reliance upon cellulosic ethanol, nuclear power, and energy efficiency to meet year 2030 energy demands. It is concluded that the US energy portfolio must be diverse and to achieve national energy goals will require an explicit statement of goals, a strong role for government, and coordinated action across society

  20. 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.

  1. MODERN THEORETICAL APPROACHES CREDIT PORTFOLIO QUALITY MANAGEMENT OF COMMERCIAL BANK

    Directory of Open Access Journals (Sweden)

    Victoria Lisnic

    2016-12-01

    Full Text Available Credit portfolio management means the totality of financial and economic decisions realization aimed at achieving optimal ratio of performance indicators of loan portfolio. If low-quality loans increase, the reduction of productive assets volume and, respectively, profitability from banking lending. In extreme cases a such situation could lead to bank bankruptcy. At present bank loan portfolio quality assessment is an important component of bank management.

  2. An Artificial Bee Colony Algorithm for Uncertain Portfolio Selection

    OpenAIRE

    Chen, Wei

    2014-01-01

    Portfolio selection is an important issue for researchers and practitioners. In this paper, under the assumption that security returns are given by experts’ evaluations rather than historical data, we discuss the portfolio adjusting problem which takes transaction costs and diversification degree of portfolio into consideration. Uncertain variables are employed to describe the security returns. In the proposed mean-variance-entropy model, the uncertain mean value of the return is ...

  3. Household Portfolios and Risk Bearing over Age and Time

    OpenAIRE

    Alessandro Bucciol; Raffaele Miniaci

    2011-01-01

    We exploit the US Survey of Consumer Finances from 1998 to 2007 to study households’ portfolio risk bearing. We compare four alternative measures of risk, two based on a financial portfolio and two based on a broader portfolio also including – as illiquid assets – human capital, real estate, business wealth and related debt. The measures provide a different ranking of household risk bearing, but they consistently show that risk bearing fell after 2001, and it positively correlates with wealth...

  4. Choosing an Optimal e-Portfolio System for the Institution

    OpenAIRE

    YAMAMOTO, Toshiyuki

    2010-01-01

    Implementing an e-Portfolio system to enhance educational processes and outcomes has been becoming a hot issue among the Japanese universities that are ambitious in resetting their mission statements. In such universities, defining purposes, clearly stating what to be focused, learning processes, and expected outcomes are the critical issues in the development of their original e-Portfolio system. However, not all institutions are aware that e-Portfolio has advantages and disadvantages. One o...

  5. 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...

  6. 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

  7. A method for minimum risk portfolio optimization under hybrid uncertainty

    Science.gov (United States)

    Egorova, Yu E.; Yazenin, A. V.

    2018-03-01

    In this paper, we investigate a minimum risk portfolio model under hybrid uncertainty when the profitability of financial assets is described by fuzzy random variables. According to Feng, the variance of a portfolio is defined as a crisp value. To aggregate fuzzy information the weakest (drastic) t-norm is used. We construct an equivalent stochastic problem of the minimum risk portfolio model and specify the stochastic penalty method for solving it.

  8. Three Essays on Robust Optimization of Efficient Portfolios

    OpenAIRE

    Liu, Hao

    2013-01-01

    The mean-variance approach was first proposed by Markowitz (1952), and laid the foundation of the modern portfolio theory. Despite its theoretical appeal, the practical implementation of optimized portfolios is strongly restricted by the fact that the two inputs, the means and the covariance matrix of asset returns, are unknown and have to be estimated by available historical information. Due to the estimation risk inherited from inputs, desired properties of estimated optimal portfolios are ...

  9. 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 ...

  10. 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...

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

    OpenAIRE

    Zaimovic Azra; Arnaut-Berilo Almira; Mustafic Arnela

    2017-01-01

    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 limit...

  12. R functions development for stockPortfolio package

    OpenAIRE

    Luo, Rui

    2013-01-01

    Modern portfolio theory is a statistical framework to allocate investment assets properly, with the aim of reducing risk by diversification. In the past decades, a variety of index and group models (with different covariance assumption) have been proposed to optimize the portfolio, including Single Index Model, Constant Correlation Model, Multi-Group Model, and Multi-Index Model. An R package "stockPortfolio" is developed by Drs. Christou and Diez, and fully implemented Single Index Model, Co...

  13. Allegheny County Addressing Landmarks

    Data.gov (United States)

    Allegheny County / City of Pittsburgh / Western PA Regional Data Center — This dataset contains address points which represent physical address locations assigned by the Allegheny County addressing authority. Data is updated by County...

  14. Allegheny County Address Points

    Data.gov (United States)

    Allegheny County / City of Pittsburgh / Western PA Regional Data Center — This dataset contains address points which represent physical address locations assigned by the Allegheny County addressing authority. Data is updated by County...

  15. Noisy covariance matrices and portfolio optimization II

    Science.gov (United States)

    Pafka, Szilárd; Kondor, Imre

    2003-03-01

    Recent studies inspired by results from random matrix theory (Galluccio et al.: Physica A 259 (1998) 449; Laloux et al.: Phys. Rev. Lett. 83 (1999) 1467; Risk 12 (3) (1999) 69; Plerou et al.: Phys. Rev. Lett. 83 (1999) 1471) found that covariance matrices determined from empirical financial time series appear to contain such a high amount of noise that their structure can essentially be regarded as random. This seems, however, to be in contradiction with the fundamental role played by covariance matrices in finance, which constitute the pillars of modern investment theory and have also gained industry-wide applications in risk management. Our paper is an attempt to resolve this embarrassing paradox. The key observation is that the effect of noise strongly depends on the ratio r= n/ T, where n is the size of the portfolio and T the length of the available time series. On the basis of numerical experiments and analytic results for some toy portfolio models we show that for relatively large values of r (e.g. 0.6) noise does, indeed, have the pronounced effect suggested by Galluccio et al. (1998), Laloux et al. (1999) and Plerou et al. (1999) and illustrated later by Laloux et al. (Int. J. Theor. Appl. Finance 3 (2000) 391), Plerou et al. (Phys. Rev. E, e-print cond-mat/0108023) and Rosenow et al. (Europhys. Lett., e-print cond-mat/0111537) in a portfolio optimization context, while for smaller r (around 0.2 or below), the error due to noise drops to acceptable levels. Since the length of available time series is for obvious reasons limited in any practical application, any bound imposed on the noise-induced error translates into a bound on the size of the portfolio. In a related set of experiments we find that the effect of noise depends also on whether the problem arises in asset allocation or in a risk measurement context: if covariance matrices are used simply for measuring the risk of portfolios with a fixed composition rather than as inputs to optimization, the

  16. 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.

  17. On the microeconomic problems studied by portfolio theory

    Science.gov (United States)

    Nikonov, Oleg; Medvedeva, Marina

    2012-09-01

    In the paper we consider economically motivated problems, which are treated with the help of methods of portfolio theory that goes back to the papers by H. Markowitz [1] and J. Tobin [2]. We show that the portfolio theory initially developed for risky securities (stocks) could be applied to other objects. In the present paper we consider several situations where such an application is reasonable and seems to be fruitful. Namely, we consider the problems of constructing the efficient portfolio of banking services and the portfolio of counteragents of a firm.

  18. Use of Portfolios by Medical Students: Significance of Critical Thinking

    Directory of Open Access Journals (Sweden)

    Samy A. Azer

    2008-07-01

    Full Text Available Portfolios have been used in the medical curriculum to evaluate difficult-to-assess areas such as students' attitudes, professionalism and teamwork. However, their use early in a problem-based learning (PBL course to foster deep learning and enhance students' self-directed learning has not been adequately studied. The aims of this paper are to: (1 understand the uses of portfolios and the rationale for using reflection in the early years of a PBL curriculum; (2 discuss how to introduce portfolios and encourage students' critical thinking skills, not just reflection; and (3 provide students with tips that could enhance their skills in constructing good portfolios.

  19. The true invariant of an arbitrage free portfolio

    Science.gov (United States)

    Schmidt, Anatoly B.

    2003-03-01

    It is shown that the arbitrage free portfolio paradigm being applied to a portfolio with an arbitrary number of shares N allows for the extended solution in which the option price F depends on N. However the resulting stock hedging expense Q= MF (where M is the number of options in the portfolio) does not depend on whether N is treated as an independent variable or as a parameter. Therefore the stock hedging expense is the true invariant of the arbitrage free portfolio paradigm.

  20. 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....