WorldWideScience

Sample records for portfolio management models

  1. 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.

  2. 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....

  3. Portfolio Management

    Science.gov (United States)

    Duncan, Sharon L.

    2011-01-01

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

  4. 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...

  5. 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.

  6. 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.

  7. System Architecture Modeling for Technology Portfolio Management using ATLAS

    Science.gov (United States)

    Thompson, Robert W.; O'Neil, Daniel A.

    2006-01-01

    Strategic planners and technology portfolio managers have traditionally relied on consensus-based tools, such as Analytical Hierarchy Process (AHP) and Quality Function Deployment (QFD) in planning the funding of technology development. While useful to a certain extent, these tools are limited in the ability to fully quantify the impact of a technology choice on system mass, system reliability, project schedule, and lifecycle cost. The Advanced Technology Lifecycle Analysis System (ATLAS) aims to provide strategic planners a decision support tool for analyzing technology selections within a Space Exploration Architecture (SEA). Using ATLAS, strategic planners can select physics-based system models from a library, configure the systems with technologies and performance parameters, and plan the deployment of a SEA. Key parameters for current and future technologies have been collected from subject-matter experts and other documented sources in the Technology Tool Box (TTB). ATLAS can be used to compare the technical feasibility and economic viability of a set of technology choices for one SEA, and compare it against another set of technology choices or another SEA. System architecture modeling in ATLAS is a multi-step process. First, the modeler defines the system level requirements. Second, the modeler identifies technologies of interest whose impact on an SEA. Third, the system modeling team creates models of architecture elements (e.g. launch vehicles, in-space transfer vehicles, crew vehicles) if they are not already in the model library. Finally, the architecture modeler develops a script for the ATLAS tool to run, and the results for comparison are generated.

  8. A risk-return based model to measure the performance of portfolio management

    Directory of Open Access Journals (Sweden)

    Hamid Reza Vakili Fard

    2014-10-01

    Full Text Available The primary concern in all portfolio management systems is to find a good tradeoff between risk and expected return and a good balance between accepted risk and actual return indicates the performance of a particular portfolio. This paper develops “A-Y Model” to measure the performance of a portfolio and analyze it during the bull and the bear market. This paper considers the daily information of one year before and one year after Iran's 2013 precedential election. The proposed model of this paper provides lost profit and unrealized loss to measure the portfolio performance. The proposed study first ranks the resulted data and then uses some non-parametric methods to see whether there is any change because of the changes in markets on the performance of the portfolio. The results indicate that despite increasing profitable opportunities in bull market, the performance of the portfolio did not match the target risk. As a result, using A-Y Model as a risk and return base model to measure portfolio management's performance appears to reduce risks and increases return of portfolio.

  9. 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.

  10. 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...

  11. 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.

  12. Local Politics and Portfolio Management Models: National Reform Ideas and Local Control

    Science.gov (United States)

    Bulkley, Katrina E.; Henig, Jeffrey R.

    2015-01-01

    Amid the growth of charter schools, autonomous schools, and private management organizations, an increasing number of urban districts are moving toward a portfolio management model (PMM). In a PMM, the district central office oversees schools that operate under a variety of governance models. The expansion of PMMs raises questions about local…

  13. 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.

  14. 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...

  15. 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)

  16. 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

  17. 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.

  18. Product Portfolio Management Best Practices For New Product Development: A Review Of Models

    Directory of Open Access Journals (Sweden)

    Doorasamy Mishelle

    2017-02-01

    Full Text Available The survival of any industrial organization depends on whether producing goods or services hinge on how innovative they have become in managing their product portfolio to craft new products that changes with the ever-changing tastes and needs of their customers. This study delves in to the models and theories that drive product portfolio management practices in a way that they support the successes of new product development. Our review is based on selected studies at the frontier of product management, summarized, and compared based on authors experiences, subsisting models, and theories with the results purely based on qualitative rather than quantitative approaches. The essence is to explore possible new theory or model in this field of research.

  19. 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

  20. 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...

  1. 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

  2. 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

  3. 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...

  4. An optimised portfolio management model, incorporating best practices

    OpenAIRE

    2015-01-01

    M.Ing. (Engineering Management) Driving sustainability, optimising return on investments and cultivating a competitive market advantage, are imperative for organisational success and growth. In order to achieve the business objectives and value proposition, effective management strategies must be efficiently implemented, monitored and controlled. Failure to do so ultimately result in; financial loss due to increased capital and operational expenditure, schedule slippages, substandard deliv...

  5. 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...

  6. 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...

  7. 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.

  8. 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...

  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. 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.

  11. 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;

  12. 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.

  13. 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.

  14. Governance arrangements for IT project portfolio management qualitative insights and a quantitative modeling approach

    CERN Document Server

    Frey, Thorsten

    2014-01-01

    Due to the growing importance of IT-based innovations, contemporary firms face an excessive number of proposals for IT projects. As typically only a fraction of these projects can be implemented with the given capacity, IT project portfolio management as a relatively new discipline has received growing attention in research and practice in recent years.?Thorsten Frey demonstrates how companies are struggling to find the right balance between local autonomy and central overview about all projects in the organization. In this context, impacts of different contextual factors on the design of governance arrangements for IT project portfolio management are demonstrated. Moreover, consequences of the use of different organizational designs are analyzed. The author presents insights from a qualitative empirical study as well as a simulative approach.

  15. 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

  16. Quantifying the role of personal management style in the success of investment portfolios

    Directory of Open Access Journals (Sweden)

    E.A. Wagenaar

    2014-01-01

    Full Text Available It is extremely difficult to quantify the effect of different management styles of portfolio managers upon the success of their portfolios. Various mathematical models in the literature attempt to predict the risk and returns of portfolios according to changes in the economic arena, but these models usually do not take into account the personal styles of portfolio managers. The aim of this paper is a modest attempt at quantifying the effect of different managerial styles upon decisions regarding portfolios. This is accomplished by the formulation of a mathematical performance index that portrays the influence of a portfolio manager's personal and managerial characteristics on the success of his portfolio.

  17. 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...

  18. Investment risk management by applying contemporary modern portfolio theory

    Directory of Open Access Journals (Sweden)

    Jakšić Milena

    2015-01-01

    Full Text Available Investment risk is the principal threat to the assets side of the balance sheets of financial institutions. It is evident that investors who concentrate their wealth on one type of securities can rarely be found. Instead, they tend to invest diversified portfolio of securities. This reduces the degree of risk of the expected return, which depends both on the absolute risk of each investment in the portfolio, and the relationship that exists between individual investments within the portfolio. The paper analyzes the investment risk management by using modern portfolio theory in both national and global financial f lows. At the same time, the paper considers the risk management models that ensures efficient portfolio diversification, aiming at investment risk reduction. It is pointed out that the investment risk management in modern financial f lows is a complex process, and that the development of financial theory goes towards improving, soft risk management method.

  19. METHODS OF PORTFOLIO MANAGEMENT - A REVIEW OF LITERATURE -

    OpenAIRE

    CRISTINA CURUTIU

    2008-01-01

    In recent years, a growing body of literature in portfolio management has devoted a great deal of attention for this subject. The theoretical foundation to portfolio management was offered by Harry Markowitz at the beginning of the 1950s. The limitations of the original Markowitz model have stimulated the occurrence of extended or modified models – two of the best known (and criticized) being the equilibrium models: CAPM (capital asset pricing model) and APT (arbitrage pricing theory). Altern...

  20. Energy technology R&D portfolio management: Modeling uncertain returns and market diffusion

    International Nuclear Information System (INIS)

    Bistline, John E.

    2016-01-01

    Highlights: • Analyzes energy R&D decisions with uncertainty in research outcomes and markets. • R&D is shown to be more valuable in second-best planning and policy environments. • Deterministic R&D approaches likely undervalue the optionality of technologies. - Abstract: The allocation of research and development (R&D) funds across a portfolio of programs must simultaneously consider uncertainty from research outcomes and from market acceptance of the resulting technologies. We introduce a stochastic R&D portfolio management framework for addressing both sources of uncertainty and present numerical results for energy technology R&D strategy under uncertainties in climate policy and natural gas prices. Numerical experiments indicate that R&D may be more valuable in second-best planning environments where decision-makers use expected-value approaches, and recourse investments occur after R&D has reduced costs. We also find that deterministic R&D valuation approaches likely overestimate the expected value of R&D success but undervalue the optionality and hedging potential of technologies relative to sequential decision-making approaches under uncertainty. The results also highlight the role of R&D in second-best policy environments.

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

    Directory of Open Access Journals (Sweden)

    Goran Klepac

    2008-12-01

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

  2. 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.

  3. Successful healthcare programs and projects: organization portfolio management essentials.

    Science.gov (United States)

    Pickens, Scott; Solak, Jamie

    2005-01-01

    Many healthcare organization projects take more time and resources than planned and fail to deliver desired business outcomes. Healthcare IT is a major component of many projects and often undeservedly receives the blame for failure. Poor results are often not a result of faulty healthcare IT or poor project management or poor project execution alone. Many projects fail because of poor portfolio management--poor planning and management of the portfolio of initiatives designed to meet an organization's strategic goals. Because resources are limited, portfolio management enables organizations to more strategically allocate and manage their resources so care delivery, service delivery, and initiatives that advance organizations toward their strategic goals, including healthcare IT initiatives, can be accomplished at the levels of quality and service desired by an organization. Proper portfolio management is the essential foundation for program and project success and supports overall organization success. Without portfolio management, even programs and projects that execute flawlessly may not meet desired objectives. This article discusses the essential requirements for porfolio management. These include opportunity identification, return on investment (ROI) forecast, project prioritization, capacity planning (inclusive of human, financial, capital, and facilities resources), work scheduling, program and project management and execution, and project performance and value assessment. Portfolio management is essential to successful healthcare project execution. Theories are drawn from the Organizational Project Management Maturity Model (OPM3) work of the Project Management Institute and other leading strategy, planning, and organization change management research institutes.

  4. Portfolio management of hydropower producer via stochastic programming

    International Nuclear Information System (INIS)

    Liu, Hongling; Jiang, Chuanwen; Zhang, Yan

    2009-01-01

    This paper presents a stochastic linear programming framework for the hydropower portfolio management problem with uncertainty in market prices and inflows on medium term. The uncertainty is modeled as a scenario tree using the Monte Carlo simulation method, and the objective is to maximize the expected revenue over the entire scenario tree. The portfolio decisions of the stochastic model are formulated as a tradeoff involving different scenarios. Numerical results illustrate the impact of uncertainty on the portfolio management decisions, and indicate the significant value of stochastic solution. (author)

  5. Quantifying the role of personal management style in the success of investment portfolios

    OpenAIRE

    E.A. Wagenaar; J.H. Van Vuuren

    2014-01-01

    It is extremely difficult to quantify the effect of different management styles of portfolio managers upon the success of their portfolios. Various mathematical models in the literature attempt to predict the risk and returns of portfolios according to changes in the economic arena, but these models usually do not take into account the personal styles of portfolio managers. The aim of this paper is a modest attempt at quantifying the effect of different managerial styles upon decisions regard...

  6. 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.

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

    Directory of Open Access Journals (Sweden)

    Koshel H.

    2018-01-01

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

  8. 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.

  9. 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.

  10. 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

  11. The Point of No Return? Interest Groups, School Board Elections and the Sustainment of the Portfolio Management Model in Post-Katrina New Orleans

    Science.gov (United States)

    Welsh, Richard; Hall, Michelle

    2018-01-01

    Context: Given the growing popularity of the portfolio management model (PMM) as a method of improving education, it is important to examine how these market-based reforms are sustained over time and how the politics of sustaining this model have substantial policy implications. Purpose of Study: The purpose of this article is to examine important…

  12. 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.

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

    Directory of Open Access Journals (Sweden)

    Karoline Doro Alves Carneiro

    2012-04-01

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

  14. 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.

  15. 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...

  16. 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....

  17. Aspects of manager, portfolio allocation, and fund performance in Brazil

    Directory of Open Access Journals (Sweden)

    Cláudia Olímpia Neves Mamede Maestri

    Full Text Available ABSTRACT This paper intends to contribute to the literature on investment funds in emerging markets by looking at the performance of multimarket funds in Brazil from a manager perspective. The aim of the paper was to analyze whether some characteristics of investment fund managers, as well as their portfolio holdings, can affect fund performance. In emerging countries both portfolio asset allocation and manager characteristics can help explain differences in the fund performance, which increases the relevance of this study. Therefore, the impact of this research lies in its revealing a significant relationship between risk-adjusted return and the portion of portfolios allocated to fixed or variable income, which seems that have not been explored in the context of emerging economies yet. A total of 6,002 multimarket funds were analyzed, covering the period between September 2009 and December 2015, using panel data with robust standard errors clustered by funds. We also employed robust statistics in order to assess some potential biases due to outliers, by analyzing the breakdown point in the estimated models. It should be noted that portfolio composition (allocation of portfolios into variable income and fixed income was the most important factor in explaining a potential change in the performance of Brazilian multimarket funds. Also important were the effectiveness of the management of these funds, that is, the best risk-adjusted returns were delivered by less experienced managers, funds investing more in fixed income, managers with more funds under management, and larger funds.

  18. Management of Portfolio Investment Held by Pension Funds

    Directory of Open Access Journals (Sweden)

    Dan Armeanu

    2008-09-01

    Full Text Available As a result of the fact that pension funds are financial intermediaries, the value of their assets and liabilities is influenced by changing conditions in financial markets. The market image of a pension fund (and hence its perceived value are closely tied to the “financial health” of the fund. Setting up and managing complex investment portfolios requires that pension administrators use scientific models of portfolio selection and optimization based on the risk-expected return relationship. Most investment portfolios are modified in time as result of changing stock prices and investment policy objectives. Having established investment policy guidelines, the administrators of pension funds have to determine the structure of their portfolios so that the latter meet legal requirements.

  19. 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.

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

    Science.gov (United States)

    Characklis, G. W.; Ramsey, J.

    2004-12-01

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

  1. Portfolio optimization for index tracking modelling in Malaysia stock market

    Science.gov (United States)

    Siew, Lam Weng; Jaaman, Saiful Hafizah; Ismail, Hamizun

    2016-06-01

    Index tracking is an investment strategy in portfolio management which aims to construct an optimal portfolio to generate similar mean return with the stock market index mean return without purchasing all of the stocks that make up the index. The objective of this paper is to construct an optimal portfolio using the optimization model which adopts regression approach in tracking the benchmark stock market index return. In this study, the data consists of weekly price of stocks in Malaysia market index which is FTSE Bursa Malaysia Kuala Lumpur Composite Index from January 2010 until December 2013. The results of this study show that the optimal portfolio is able to track FBMKLCI Index at minimum tracking error of 1.0027% with 0.0290% excess mean return over the mean return of FBMKLCI Index. The significance of this study is to construct the optimal portfolio using optimization model which adopts regression approach in tracking the stock market index without purchasing all index components.

  2. Application of Complex Adaptive Systems in Portfolio Management

    Science.gov (United States)

    Su, Zheyuan

    2017-01-01

    Simulation-based methods are becoming a promising research tool in financial markets. A general Complex Adaptive System can be tailored to different application scenarios. Based on the current research, we built two models that would benefit portfolio management by utilizing Complex Adaptive Systems (CAS) in Agent-based Modeling (ABM) approach.…

  3. 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

  4. 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.

  5. 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

  6. 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...

  7. Large Portfolio Risk Management and Optimal Portfolio Allocation with Dynamic Copulas

    OpenAIRE

    Thorsten Lehnert; Xisong Jin

    2011-01-01

    Previous research focuses on the importance of modeling the multivariate distribution for optimal portfolio allocation and active risk management. However, available dynamic models are not easily applied for 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 like Value at Ris...

  8. Management of Service and R&D Portfolios

    DEFF Research Database (Denmark)

    Basner, Kai; Frandsen, Thomas; Raja, Jawwad

    Managing technological innovation is critical to the continued success of industrial companies, which in recent years have been observed to expand their business models by complementing their products with services. For manufacturers with a strong focus on product technology, we explore...... the challenges of introducing service innovation in R&D portfolios....

  9. Electric portfolio modeling with stochastic water - climate interactions: Implications for co-management of water and electric utilities

    Science.gov (United States)

    Woldeyesus, Tibebe Argaw

    Water supply constraints can significantly restrict electric power generation, and such constraints are expected to worsen with future climate change. The overarching goal of this thesis is to incorporate stochastic water-climate interactions into electricity portfolio models and evaluate various pathways for water savings in co-managed water-electric utilities. Colorado Springs Utilities (CSU) is used as a case study to explore the above issues. The thesis consists of three objectives: Characterize seasonality of water withdrawal intensity factors (WWIF) for electric power generation and develop a risk assessment framework due to water shortages; Incorporate water constraints into electricity portfolio models and evaluate the impact of varying capital investments (both power generation and cooling technologies) on water use and greenhouse gas emissions; Compare the unit cost and overall water savings from both water and electric sectors in co-managed utilities to facilitate overall water management. This thesis provided the first discovery and characterization of seasonality of WWIF with distinct summertime and wintertime variations of +/-17% compared to the power plant average (0.64gal/kwh) which itself is found to be significantly higher than the literature average (0.53gal/kwh). Both the streamflow and WWIF are found to be highly correlated with monthly average temperature (r-sq = 89%) and monthly precipitation (r-sq of 38%) enabling stochastic simulation of future WWIF under moderate climate change scenario. Future risk to electric power generation also showed the risk to be underestimated significantly when using either the literature average or the power plant average WWIF. Seasonal variation in WWIF along with seasonality in streamflow, electricity demand and other municipal water demands along with storage are shown to be important factors for more realistic risk estimation. The unlimited investment in power generation and/or cooling technologies is also

  10. 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.

  11. Financial Modelling: Where to go? with an illustration for portfolio management

    NARCIS (Netherlands)

    W.G.P.M. Hallerbach (Winfried); J. Spronk (Jaap)

    1997-01-01

    textabstractThe definition of Financial Modelling chosen by the EURO working group on financial modelling is ‘the development and implementation of tools supporting firms, investors, intermediaries, governments and others in their financial-economic decision making, including the validation of the

  12. 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.

  13. Towards rethinking Project portfolio management

    DEFF Research Database (Denmark)

    Hansen, Lars Kristian; Svejvig, Per

    the last five years. Utilizing the theoretical lens proposed by Svejvig and Andersen (2015), we apply two complementary analytical perspectives to classify and analyze the stocks. One perspective, denoted as classical project management (CPM), highlights key characteristics of conventional research....... A second perspective, denoted as rethinking project management (RPM), highlights characteristics of progressive research. Not surprisingly, characteristics from CPM are very dominant in the stock of most cited publications of all years — instrumentality and controllability in particular. In the newest...

  14. Time-varying coefficient estimation in SURE models. Application to portfolio management

    DEFF Research Database (Denmark)

    Casas, Isabel; Ferreira, Eva; Orbe, Susan

    This paper provides a detailed analysis of the asymptotic properties of a kernel estimator for a Seemingly Unrelated Regression Equations model with time-varying coefficients (tv-SURE) under very general conditions. Theoretical results together with a simulation study differentiates the cases...

  15. EV Portfolio Management and Grid Impact Study

    DEFF Research Database (Denmark)

    Wu, Qiuwei; Jensen, Jakob Munch; Hansen, Lars Henrik

    2009-01-01

    is to determine the day‐ahead charging schedules of a fleet of EVs in order to minimize the EV charging cost with EV energy constraints taken into account. In order to investigate the benefits of the spot price based EV charging scenario, two more charging scenarios have been studied as well, i.e. plug......The EV portfolio management is to develop an EV charging management algorithm in order to determine EV charging schedules with the goal of utilizing renewalbe energy production for EV charging as much as possible and ensuring that EV energy requirements for driving needs are met. According...

  16. 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...

  17. 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.

  18. 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.

  19. Overconfidence and Delegated Portfolio Management

    NARCIS (Netherlands)

    Palomino, F.A.; Sadrieh, A.

    2003-01-01

    Following extensive empirical evidence about market anomalies and overconfidence, the analysis of financial markets with agents overconfident about the precision of their private information has received a lot of attention.However, all these models consider agents trading for their own account.In

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

    Directory of Open Access Journals (Sweden)

    Ming-Chang LEE

    2015-07-01

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

  1. IT APPLICATIONS PORTFOLIO MANAGEMENT UNDER BUSINESS AND IMPLEMENTATION UNCERTAINTY

    Institute of Scientific and Technical Information of China (English)

    Masafumi KOTANI; Junichi IIJIMA

    2008-01-01

    Corporations need to improve business processes in order to enhance velocity and service levels while reducing their processing costs and differentiating themselves in the face of competition.The levitation of importance beyond support roles has raised IT investment decisions to high priority in chief executive officers'agendas.Corporate planning groups as well as lines of business are increasingly applying techniques of IT applications portfolio management in a more systematic fashion to improve decision-making and resource-allocation processes. Recent advances in software engineering and IT service delivery methodologies have achieved the logical separation of business functions from implementation.This separation has made a new breed of innovative IT project possible with a new project risk structure;the adjustment of portfolio management techniques is appropriate.We present an integrated portfolio management model so that the corporation can focus on organic growth through sources at both the department and top management levels.The research gives clear advice as to how top management can seek economic growth by selecting an entrepreneurial strategic posture,implying a strong risk-taking propensity.By integrating a risk-return model and risk-tolerance paradigm to cope with today's risk structure,overall capabilities can improve the decision process and the corporation's performance as well.The application of the integrated technique to a Japanese manufacturing firm is described.

  2. 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...

  3. Semantic modeling of portfolio assessment in e-learning environment

    Directory of Open Access Journals (Sweden)

    Lucila Romero

    2017-01-01

    Full Text Available In learning environment, portfolio is used as a tool to keep track of learner’s progress. Particularly, when it comes to e-learning, continuous assessment allows greater customization and efficiency in learning process and prevents students lost interest in their study. Also, each student has his own characteristics and learning skills that must be taken into account in order to keep learner`s interest. So, personalized monitoring is the key to guarantee the success of technology-based education. In this context, portfolio assessment emerge as the solution because is an easy way to allow teacher organize and personalize assessment according to students characteristic and need. A portfolio assessment can contain various types of assessment like formative assessment, summative assessment, hetero or self-assessment and use different instruments like multiple choice questions, conceptual maps, and essay among others. So, a portfolio assessment represents a compilation of all assessments must be solved by a student in a course, it documents progress and set targets. In previous work, it has been proposed a conceptual framework that consist of an ontology network named AOnet which is a semantic tool conceptualizing different types of assessments. Continuing that work, this paper presents a proposal to implement portfolios assessment in e-learning environments. The proposal consists of a semantic model that describes key components and relations of this domain to set the bases to develop a tool to generate, manage and perform portfolios assessment.

  4. Portfolio selection theory and wildlife management | Hearne | ORiON

    African Journals Online (AJOL)

    Portfolio selection theory and wildlife management. ... Abstract. With a strong commercial incentive driving the increase in game ranching in Southern Africa the need has come for more advanced management tools. ... Keywords: Portfolio selection, multi-objective optimisation, game ranching, wildlife management.

  5. Portfolio allocation under the vendor managed inventory: A Markov ...

    African Journals Online (AJOL)

    Portfolio allocation under the vendor managed inventory: A Markov decision process. ... Journal of Applied Sciences and Environmental Management ... This study provides a review of Markov decision processes and investigates its suitability for solutions to portfolio allocation problems under vendor managed inventory in ...

  6. Using Project Portfolio Management in a Junior Enterprise Technology

    Directory of Open Access Journals (Sweden)

    RIBEIRO, D. M.

    2011-06-01

    Full Text Available Junior Enterprises have their own particularities in managing of their projects. Scarcity of resources and lack of experience of its members are critics and typical factors in the daily life of these companies. However, these and other variables such as the time for return on investment, project complexity and runtime of the project, must be taken into consideration in the prioritization of the outstanding portfolio projects to maximize desired outcomes. The Portfolio Management aims to provide the company a better allocation of resources in an environment with multiple projects going simultaneously. The model proposed here seeks a link between projects and organizational strategy. In this Paper also are presented the results of applying the model on Upe consultoria JR.

  7. Balancing energy strategies in electricity portfolio management

    International Nuclear Information System (INIS)

    Moeller, Christoph; Rachev, Svetlozar T.; Fabozzi, Frank J.

    2011-01-01

    Traditional management of electricity portfolios is focused on the day-ahead market and futures of longer maturity. Within limits, market participants can however also resort to the balancing energy market to close their positions. In this paper, we determine strategic positions in the balancing energy market and identify corresponding economic incentives in an analysis of the German balancing energy demand. We find that those strategies allow an economically optimal starting point for real-time balancing and create a marketplace for flexible capacity that is more open than alternative marketplaces. The strategies we proffer in this paper we believe will contribute to an effective functioning of the electricity market. (author)

  8. 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.

  9. Bond portfolio's duration and investment term-structure management problem

    OpenAIRE

    Liu, Daobai

    2006-01-01

    In the considered bond market, there are N zero-coupon bonds transacted continuously, which will mature at equally spaced dates. A duration of bond portfolios under stochastic interest rate model is introduced, which provides a measurement for the interest rate risk. Then we consider an optimal bond investment term-structure management problem using this duration as a performance index, and with the short-term interest rate process satisfying some stochastic differential ...

  10. MANAGING THE USE OF DERIVATIVE INSTRUMENTS FOR PORTFOLIO RISK PURPOSES

    Directory of Open Access Journals (Sweden)

    Mădălina Antoaneta RĂDOI

    2017-05-01

    Full Text Available The priority in portfolio management is a good risk assessment and management. Of great importance is the margin that an asset portfolio guarantor must use with specific expertise in certain areas of market temporal inefficiency in order to improve its management performance. The relevant validity of the financial market and the emphasis laid on risk management carried along the development of financial instruments tailored to risk management. New derivative financial instruments have revolutionized the methods of portfolio management, of corporate treasury management, of banking management and, more generally, all financial strategies.

  11. Alliance portfolio diversity, radical and incremental innovation : The moderating role of technology management

    NARCIS (Netherlands)

    Oerlemans, L.A.G.; Knoben, J.; Pretorius, T.

    2013-01-01

    In this paper we test whether the use of a set of technology management tools (TM-tools), a specification of alliance portfolio capability, influences the relationship between alliance portfolio diversity and a firm's innovation outcomes. With this model, we add to the theoretical literature on the

  12. Use of Modern Methods of Credit Portfolio Risk Management in Commercial Banks of Russian Federation

    Directory of Open Access Journals (Sweden)

    Dmitrii S. Melnyk

    2013-01-01

    Full Text Available The article deals with the structure and factors of credit portfolio risk, analyses existing models of portfolio risk assessment and develops recommendations on the implementation of risk management adapted methods, presents recommendations on the optimization of the approach to credit risk minimization in Russian banking system.

  13. Strategic Context of Project Portfolio Management

    Directory of Open Access Journals (Sweden)

    Nedka Nikolova

    2016-06-01

    Full Text Available In 2014 Bulgaria entered its second programming period (2014-2020 which opened a new stage in the development of project management in our country. Project-oriented companies are entering a new stage in which based on experience and increased design capacity they will develop their potential and will accelerate growth. This poses new challenges for science and business to identify strategic opportunities and formulation of project objectives, programs and portfolios of projects that will increase the competitive potential of companies and the economy as a whole. This article is an expression of the shared responsibility of science to develop the scientific front to solve methodologically difficult and practically new tasks that are derived from the needs to increase the competitive potential of the business-based project approach. The main objective of this study is based on the systematization of the results of theoretical research and development of methodology of Project Portfolio Management to explore the opportunities for its application in Bulgarian industrial companies.

  14. Discourses and Theoretical Assumptions in IT Project Portfolio Management

    DEFF Research Database (Denmark)

    Hansen, Lars Kristian; Kræmmergaard, Pernille

    2014-01-01

    DISCOURSES AND THEORETICAL ASSUMPTIONS IN IT PROJECT PORTFOLIO MANAGEMENT: A REVIEW OF THE LITERATURE These years increasing interest is put on IT project portfolio management (IT PPM). Considering IT PPM an interdisciplinary practice, we conduct a concept-based literature review of relevant...

  15. 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).

  16. 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.

  17. Strategic leadership of portfolio and project management

    CERN Document Server

    Kloppenborg, Timothy J

    2014-01-01

    As an executive in today's economy, your organization may have limited resources and bench strength. How can you and other leaders make the most of your company's assets? This book will instruct you and your leadership teams on implementing strategy through identifying, selecting, prioritizing, resourcing, and governing an optimal combination of projects and other work. Inside, you'll learn how to sponsor every project stage, as well as instruct your project managers and direct reports to follow your lead. Detailed advice is given for project management competency on utilizing input from customers, employees, and processes. Much of your organization's work is probably dependent on information technology and understanding and using information technology as a strategic weapon, and with this book, you'll learn how your organization can become competitive and how to effectively implement smart business strategies. This book outlines how these portfolio and project decisions have to be made based on both qualitat...

  18. Platform development: implications for portfolio management

    DEFF Research Database (Denmark)

    Hsuan, Juliana; Hansen, Poul H. Kyvsgård

    2007-01-01

    " The challenge of implementing industrial platforms in practice can be described as a configuration problem caused by a considerable number of variables, which often have contradictory influences on the total performance of the firm. Consequently, the specific platform decisions become extremely...... complex, possibly increasing the strategic risks for the firm. This paper reports preliminary findings on platform management process at LEGO, a Danish toy company. Specifically, we report the process of applying games combined with simulations and workshops in the platform development. We also propose...... a framework, based on the portfolio management thinking to evaluate the degree of modularity embedded in a given platform and to which extent it is aligned with other platforms."...

  19. Credit Risk Evaluation : Modeling - Analysis - Management

    OpenAIRE

    Wehrspohn, Uwe

    2002-01-01

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

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

    Science.gov (United States)

    Convertino, Matteo; Valverde, L James

    2013-01-01

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

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

    Directory of Open Access Journals (Sweden)

    Matteo Convertino

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

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

    Science.gov (United States)

    Convertino, Matteo; Valverde, L. James

    2013-01-01

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

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

    OpenAIRE

    Dan ARMEANU; Andreea NEGRU

    2011-01-01

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

  4. Managing Uncertainty and Conflict in IT Project Portfolio Management

    DEFF Research Database (Denmark)

    Pedersen, Keld; Agger Nielsen, Jeppe

    2011-01-01

    Maximizing the outcome of IT project investments has been a major concern for years. Several approaches have been suggested one of them being Project Portfolio Management (PPM). Even though PPM offers valuable techniques for aligning IT project portfolios with organizational needs and maximizing...... rational decision-making ideals and incorporating other decision-making styles more aligned with decision-making practices in organizations might ease PPM implementation and improve the outcome of systematic PPM efforts. The research is based upon a multisite case study from public sector organizations...

  5. Exploring the Project Portfolio Manager's Role : Between a Data Manager and a Strategic Advisor

    NARCIS (Netherlands)

    Filippov, S.; Van der Weg, R.; Van Ogtrop, F.; Beelen, P.; Mooi, H.

    2014-01-01

    Many companies adopt project portfolio management processes to manage multi-project environments effectively and efficiently. One of the key roles in this process is assigned to the project portfolio manager. This role is formally defined in various guidelines and standards of portfolio management.

  6. 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

  7. 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

  8. Portfolio management for investment projects in the construction industry

    Directory of Open Access Journals (Sweden)

    Kozlov Alexander

    2017-01-01

    Full Text Available The Russian business community has realized the need for project/targeted programme management procedures; therefore, the demand for customized project-oriented management methods goes up. In the meantime, this demand is not supplied in full, and the supply is far from being efficient. Project management methodologies need further improvement, including development of portfolio management processes applicable to investment projects developed and implemented in the construction industry. The article considers General approaches to the formalization of the management of portfolios of investment–construction projects. For the main groups of processes portfolio management (“Formation and alignment”, “Monitoring and control” and “Support and development” deals with their constituent sub-processes. The proposed decomposition can be used for both portfolio construction and investment projects and also has an invariant character, which allows extending the proposed approaches to other system target–oriented and project–oriented management.

  9. A Numerical Study for Robust Active Portfolio Management with Worst-Case Downside Risk Measure

    Directory of Open Access Journals (Sweden)

    Aifan Ling

    2014-01-01

    Full Text Available Recently, active portfolio management problems are paid close attention by many researchers due to the explosion of fund industries. We consider a numerical study of a robust active portfolio selection model with downside risk and multiple weights constraints in this paper. We compare the numerical performance of solutions with the classical mean-variance tracking error model and the naive 1/N portfolio strategy by real market data from China market and other markets. We find from the numerical results that the tested active models are more attractive and robust than the compared models.

  10. 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....

  11. Portfolio Management with Stochastic Interest Rates and Inflation Ambiguity

    DEFF Research Database (Denmark)

    Munk, Claus; Rubtsov, Alexey Vladimirovich

    2014-01-01

    prices. The investor is ambiguous about the inflation model and prefers a portfolio strategy which is robust to model misspecification. Ambiguity about the inflation dynamics is shown to affect the optimal portfolio fundamentally different than ambiguity about the price dynamics of traded assets...

  12. Designing a portfolio management programme to optimize cash-flow

    International Nuclear Information System (INIS)

    Fassom, D.

    1996-01-01

    The design and implementation of any portfolio management programme must, by definition, be tailored to the drivers and particular objectives of the company owning the assets. This paper will concentrate on one of the most important driving forces, namely managing cash-flow. Five key steps are required to achieve an effective portfolio management programme: 1. establish targets/goals; 2. describe and value the assets in your company's portfolio; 3. identify and catalogue potential 'customers'; 4. construct appropriate deal structures and other strategies to achieve your targets; 5. work hard and do deals. (author)

  13. 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...

  14. 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.

  15. A new enhanced index tracking model in portfolio optimization with sum weighted approach

    Science.gov (United States)

    Siew, Lam Weng; Jaaman, Saiful Hafizah; Hoe, Lam Weng

    2017-04-01

    Index tracking is a portfolio management which aims to construct the optimal portfolio to achieve similar return with the benchmark index return at minimum tracking error without purchasing all the stocks that make up the index. Enhanced index tracking is an improved portfolio management which aims to generate higher portfolio return than the benchmark index return besides minimizing the tracking error. The objective of this paper is to propose a new enhanced index tracking model with sum weighted approach to improve the existing index tracking model for tracking the benchmark Technology Index in Malaysia. The optimal portfolio composition and performance of both models are determined and compared in terms of portfolio mean return, tracking error and information ratio. The results of this study show that the optimal portfolio of the proposed model is able to generate higher mean return than the benchmark index at minimum tracking error. Besides that, the proposed model is able to outperform the existing model in tracking the benchmark index. The significance of this study is to propose a new enhanced index tracking model with sum weighted apporach which contributes 67% improvement on the portfolio mean return as compared to the existing model.

  16. A proposed selection process in Over-The-Top project portfolio management

    Directory of Open Access Journals (Sweden)

    Jemy Vestius Confido

    2018-05-01

    Full Text Available Purpose: The purpose of this paper is to propose an Over-The-Top (OTT initiative selection process for communication service providers (CSPs entering an OTT business. Design/methodology/approach: To achieve this objective, a literature review was conducted to comprehend the past and current practices of the project (or initiative selection process as mainly suggested in project portfolio management (PPM. This literature was compared with specific situations and the needs of CSPs when constructing an OTT portfolio. Based on the contrast between the conventional project selection process and specific OTT characteristics, a different selection process is developed and tested using group model-building (GMB, which involved an in-depth interview, a questionnaire and a focus group discussion (FGD. Findings: The paper recommends five distinct steps for CSPs to construct an OTT initiative portfolio: candidate list of OTT initiatives, interdependency diagram, evaluation of all interdependent OTT initiatives, evaluation of all non-interdependent OTT initiatives and optimal portfolio of OTT initiatives. Research limitations/implications: The research is empirical, and various OTT services are implemented; the conclusion is derived only from one CSP, which operates as a group. Generalization of this approach will require further empirical tests on different CSPs, OTT players or any firms performing portfolio selection with a degree of interdependency among the projects. Practical implications: Having considered interdependency, the proposed OTT initiative selection steps can be further implemented by portfolio managers for more effective OTT initiative portfolio construction. Originality/value: While the previous literature and common practices suggest ensuring the benefits (mainly financial of individual projects, this research accords higher priority to the success of the overall OTT initiative portfolio and recommends that an evaluation of the overall

  17. IT Portfolio Management: A Holistic Approach to Outsourcing Decisions

    OpenAIRE

    Ho, Luke; ATKINS, Anthony

    2009-01-01

    This chapter provides an introduction to the advent of Information Technology Outsourcing (ITO) and its impact on portfolio management in modern day decision-making. Specifically, it outlines the use of the Application Portfolio Matrix (APM) by companies in formulating their strategic IT direction and why such techniques may be unsuitable for outsourcing decisions, which are inherently complex and multi-faceted in nature. Consequently, there is a need for alternative decision support tools to...

  18. 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.

  19. Delegated Portfolio Management and Risk Taking Behavior

    OpenAIRE

    José Luiz Barros Fernandes; Juan Ignacio Peña; Benjamin Miranda Tabak

    2009-01-01

    Standard models of moral hazard predict a negative relationship between risk and incentives; however empirical studies on mutual funds present mixed results. In this paper, we propose a behavioral principal-agent model in the context of professional managers, focusing on active and passive investment strategies. Using this general framework, we evaluate how incentives affect the risk taking behavior of managers, using the standard moral hazard model as a special case; and solve the previous c...

  20. 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].

  1. Enhanced index tracking modeling in portfolio optimization with mixed-integer programming z approach

    Science.gov (United States)

    Siew, Lam Weng; Jaaman, Saiful Hafizah Hj.; Ismail, Hamizun bin

    2014-09-01

    Enhanced index tracking is a popular form of portfolio management in stock market investment. Enhanced index tracking aims to construct an optimal portfolio to generate excess return over the return achieved by the stock market index without purchasing all of the stocks that make up the index. The objective of this paper is to construct an optimal portfolio using mixed-integer programming model which adopts regression approach in order to generate higher portfolio mean return than stock market index return. In this study, the data consists of 24 component stocks in Malaysia market index which is FTSE Bursa Malaysia Kuala Lumpur Composite Index from January 2010 until December 2012. The results of this study show that the optimal portfolio of mixed-integer programming model is able to generate higher mean return than FTSE Bursa Malaysia Kuala Lumpur Composite Index return with only selecting 30% out of the total stock market index components.

  2. Comparison of Optimal Portfolios Selected by Multicriterial Model Using Absolute and Relative Criteria Values

    Directory of Open Access Journals (Sweden)

    Branka Marasović

    2009-03-01

    Full Text Available In this paper we select an optimal portfolio on the Croatian capital market by using the multicriterial programming. In accordance with the modern portfolio theory maximisation of returns at minimal risk should be the investment goal of any successful investor. However, contrary to the expectations of the modern portfolio theory, the tests carried out on a number of financial markets reveal the existence of other indicators important in portfolio selection. Considering the importance of variables other than return and risk, selection of the optimal portfolio becomes a multicriterial problem which should be solved by using the appropriate techniques.In order to select an optimal portfolio, absolute values of criteria, like return, risk, price to earning value ratio (P/E, price to book value ratio (P/B and price to sale value ratio (P/S are included in our multicriterial model. However the problem might occur as the mean values of some criteria are significantly different for different sectors and because financial managers emphasize that comparison of the same criteria for different sectors could lead us to wrong conclusions. In the second part of the paper, relative values of previously stated criteria (in relation to mean value of sector are included in model for selecting optimal portfolio. Furthermore, the paper shows that if relative values of criteria are included in multicriterial model for selecting optimal portfolio, return in subsequent period is considerably higher than if absolute values of the same criteria were used.

  3. PORTFOLIO INSURANCE INVESTMENT STRATEGIES: A RISK-MANAGEMENT TOOL

    Directory of Open Access Journals (Sweden)

    Elma Agic-Sabeta

    2017-06-01

    Full Text Available Unsystemic risks in financial markets may be reduced through diversification. Systemic risks relate to the overall economy, cannot be influenced by a single company, and require special attention. Empirical research on return distributions in the long-term shows that investing under the assumption of normal distribution of returns may be dangerous. The main objectives of this article are to describe portfolio insurance strategies and investigate their advantages and disadvantages. Furthermore, their use in financial markets in both developed and emerging markets is explored, with special consideration placed on southeast European markets. Theoretical models are reviewed, including recent research articles in the field. The results are analyzed, summarized, and presented in the form of tables and graphs. The main finding of the article is identification of strategies that could be used in southeast Europe. It concludes that implementation of portfolio insurance strategies by asset managers may reduce financial risks in southeast European markets if implementation is done professionally and, simultaneously, it is monitored during the entire investment horizon.

  4. 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

  5. On Two Mixture-Based Clustering Approaches Used in Modeling an Insurance Portfolio

    Directory of Open Access Journals (Sweden)

    Tatjana Miljkovic

    2018-05-01

    Full Text Available We review two complementary mixture-based clustering approaches for modeling unobserved heterogeneity in an insurance portfolio: the generalized linear mixed cluster-weighted model (CWM and mixture-based clustering for an ordered stereotype model (OSM. The latter is for modeling of ordinal variables, and the former is for modeling losses as a function of mixed-type of covariates. The article extends the idea of mixture modeling to a multivariate classification for the purpose of testing unobserved heterogeneity in an insurance portfolio. The application of both methods is illustrated on a well-known French automobile portfolio, in which the model fitting is performed using the expectation-maximization (EM algorithm. Our findings show that these mixture-based clustering methods can be used to further test unobserved heterogeneity in an insurance portfolio and as such may be considered in insurance pricing, underwriting, and risk management.

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

    DEFF Research Database (Denmark)

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

    2017-01-01

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

  7. Project Portfolio Management: An Investigation of One Air Force Product Center

    National Research Council Canada - National Science Library

    Edmunds, Bryan D

    2005-01-01

    .... This research focuses on the portfolio management (project selection and resource allocation) part of the CTRRP. The purpose of this research effort was to investigate the use of portfolio management within the Air Force...

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

    International Nuclear Information System (INIS)

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

    2002-01-01

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

  9. Decentralised Portfolio Management: Analysis of Australian Accumulation Funds

    OpenAIRE

    Hazel Bateman; Susan Thorp

    2005-01-01

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

  10. Behavioral optimization models for multicriteria portfolio selection

    Directory of Open Access Journals (Sweden)

    Mehlawat Mukesh Kumar

    2013-01-01

    Full Text Available In this paper, behavioral construct of suitability is used to develop a multicriteria decision making framework for portfolio selection. To achieve this purpose, we rely on multiple methodologies. Analytical hierarchy process technique is used to model the suitability considerations with a view to obtaining the suitability performance score in respect of each asset. A fuzzy multiple criteria decision making method is used to obtain the financial quality score of each asset based upon investor's rating on the financial criteria. Two optimization models are developed for optimal asset allocation considering simultaneously financial and suitability criteria. An empirical study is conducted on randomly selected assets from National Stock Exchange, Mumbai, India to demonstrate the effectiveness of the proposed methodology.

  11. The effect of management team characteristics on performance and style extremity of mutual fund portfolios

    Directory of Open Access Journals (Sweden)

    Liu Qiong

    2014-01-01

    Full Text Available Purpose: Along with mutual funds’ scale and quantity expanding for our country, it is common for fund management companies hiring new managers or the original fund managers mobilizing from one to another. The high liquidity of fund managers makes different managers regroup to manage the funds that belong to the same fund management company in each fund year. The characteristics of these different management team will influence the fund performance, and also affect the earnings of the fund management company and portfolio investors. The purpose of this paper is as follows. First, evaluating the effect of management team characteristics on portfolio characteristics: risk, performance, and extremity. Second, testing the hypothesis that the ranking of mid-year performance have effect on investment style extremity and research what relationship exists between this phenomenon and management team characteristics in depth.Design/methodology/approach: On the analysis of the relationships between the management team characteristics and portfolio characteristics, a series of OLS regressions is run where the time series regression model (the factor model and cross-sectional regression are included based on using the STATA, EVIEWS and MATLAB. The validity and practicability of the model will be verified in the paper. All of the above are aimed at achieving portfolio optimization and realizing the maximization of the interests of fund management companies and investors.Findings: The main findings are as follows. Teams with more doctors or MBA (CPA and CFA hold more risky portfolios, while teams with long team tenure hold less. More members and large gender diversity have negative effect on performance, and the opposite is age diversity. Teams with more members and long tenure tend to hold less extreme style decisions, but age diversity is related to more. Besides, tournament hypothesis does exist in China investment funds industry especially when the

  12. STRATEGIC PROJECT MANAGEMENT PRINCIPLES, PROGRAMS AND PORTFOLIOS OF THE MEDICAL INSTITUTION

    Directory of Open Access Journals (Sweden)

    Елена Борисовна ДАНЧЕНКО

    2017-03-01

    Full Text Available The article gives a brief overview of the latest research in the direction of the use of the project-based approach to the management of medical institutions. It is shown that medicine today is a project-oriented area, and modern scientific studies suggest the use of not only the project management approach and portfolio management. The various scientific sources proposed the classification of projects of medical institutions, mechanisms of formation of projects portfolios of such institutions. The concept of integrated management of medical institutions, which includes strategic, project, portfolio, program management approach (S3P-concept, is offered. According to this concept, the process of S3P-management of the medical institution will include four stages, which are closely interrelated. For the first time, the pair principles of S3P-management are formulated. The proposed concept and principles of S3P-management of medical institution require further development and creating of models, methods and integrated management tools, as well as the development of a system of indicators verify compliance with the organization's strategy of its projects, projects portfolios and programs. This concept and the proposed integrated management principles are universal and can be applied to any project-oriented area.

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

    Directory of Open Access Journals (Sweden)

    Haifeng Guo

    2012-01-01

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

  14. 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...

  15. Portfolio Analysis and Management for Naval Research and Development

    National Research Council Canada - National Science Library

    Silberglitt, Richard

    2004-01-01

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

  16. A Framework for Managing a Portfolio of Socially Responsible Investments

    NARCIS (Netherlands)

    W.G.P.M. Hallerbach (Winfried); H. Ning (Haikun); A.B.M. Soppe (Aloy); J. Spronk (Jaap)

    2002-01-01

    textabstractIn this paper we present and illustrate using real-life data a framework for managing an investment portfolio in which the investment opportunities are described in terms of a set of attributes and part of this set is intended to capture the effects on society. Here we link with the

  17. Penalty Algorithm Based on Conjugate Gradient Method for Solving Portfolio Management Problem

    Directory of Open Access Journals (Sweden)

    Wang YaLin

    2009-01-01

    Full Text Available A new approach was proposed to reformulate the biobjectives optimization model of portfolio management into an unconstrained minimization problem, where the objective function is a piecewise quadratic polynomial. We presented some properties of such an objective function. Then, a class of penalty algorithms based on the well-known conjugate gradient methods was developed to find the solution of portfolio management problem. By implementing the proposed algorithm to solve the real problems from the stock market in China, it was shown that this algorithm is promising.

  18. 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.

  19. Shedding New Light on Project Portfolio Risk Management

    Directory of Open Access Journals (Sweden)

    Mariusz Hofman

    2017-10-01

    Full Text Available This paper constitutes an innovative attempt to analyse the risks and negative phenomena dependencies within a project portfolio. Based on the available literature, the risks and negative phenomena (that is, the problems with the availability of resources, interpersonal conflicts, irregularities in the portfolio balance, etc. specific to a project portfolio were identified. Theoretical constructs were then used to connect the identified risks with the negative phenomena. Structural equations were used to confirm the existence and quality of these constructs, as well as models describing connections between phenomena. The determination of the structural equations also provided a setting in which statistical methods (χ2, RMSEA and CFI could be used to investigate the level of fit of the constructs and models to the empirical data.

  20. Teaching empirical finance courses: A project on portfolio management

    Directory of Open Access Journals (Sweden)

    Bruce Morley

    2016-12-01

    Full Text Available The aim of this article was to assess the use of a group-based project for an empirical finance type of course. It examines the outline of the project, the methodology the students are encouraged to follow and how the course is assessed. This approach enables the students to apply many of the techniques learnt on this course and other courses such as econometrics, to determine an optimal portfolio of assets given their view on the risks in the economy. The emphasis is on risk management through portfolio diversification and the use of a simple hedge strategy. The overall aim was to introduce the students to the basics of portfolio management, as many work in this industry for their industrial placements and when they graduate. The main contribution to the literature is through the analysis of an empirically based portfolio management project. The feedback from the students suggests they felt that they had learnt useful concepts and information, in an enjoyable exercise.

  1. Current industrial practice of managing risks in product development project portfolios

    DEFF Research Database (Denmark)

    Weng, R.; Oehmen, Josef; Ben-Daya, M.

    2013-01-01

    Managing portfolios of development and engineering projects currently presents significant challenges to companies. This is even more the case in the management of portfolio risks, where both industry and academia currently lack a clear conceptual understanding of what portfolio risks are and what...

  2. Recognizing the needs for improving the portfolio management for new products in the industry

    DEFF Research Database (Denmark)

    Larsson, Flemming; Mortensen, Niels Henrik; Andreasen, Mogens Myrup

    2004-01-01

    The lack of sound portfolio management for new products increases the probability that the company’s product portfolio will have a potential low business value. This research reveals that portfolio management for new products seems to be a problem in the Danish industry. Existing methods described...

  3. Portfolio management fees: assets or profits based compensation?

    OpenAIRE

    Gil-Bazo, Javier

    2001-01-01

    This paper compares assets-based portfolio management fees to profits-based fees. Whilst both forms of compensation can provide appropriate risk incentives, fund managers' limited liability induces more excess risk-taking under a profits-based fee contract. On the other hand, an assets-based fee is more costly to investors. In Spain, where the law explicitly permits both forms of retribution, assets-based fees are observed far more frequently. Under this type of compensation, the paper provid...

  4. 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.

  5. Risk Management of Interest Rate Derivative Portfolios: A Stochastic Control Approach

    Directory of Open Access Journals (Sweden)

    Konstantinos Kiriakopoulos

    2014-10-01

    Full Text Available In this paper we formulate the Risk Management Control problem in the interest rate area as a constrained stochastic portfolio optimization problem. The utility that we use can be any continuous function and based on the viscosity theory, the unique solution of the problem is guaranteed. The numerical approximation scheme is presented and applied using a single factor interest rate model. It is shown how the whole methodology works in practice, with the implementation of the algorithm for a specific interest rate portfolio. The recent financial crisis showed that risk management of derivatives portfolios especially in the interest rate market is crucial for the stability of the financial system. Modern Value at Risk (VAR and Conditional Value at Risk (CVAR techniques, although very useful and easy to understand, fail to grasp the need for on-line controlling and monitoring of derivatives portfolio. The portfolios should be designed in a way that risk and return be quantified and controlled in every possible state of the world. We hope that this methodology contributes towards this direction.

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

    National Research Council Canada - National Science Library

    Goodson, Christopher J; Knutson, Richard D

    2007-01-01

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

  7. Portfolio 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.

  8. The Variation in Student Achievement and Behavior within a Portfolio Management Model: Early Results from New Orleans

    Science.gov (United States)

    McEachin, Andrew J.; Welsh, Richard Osbourne; Brewer, Dominic James

    2016-01-01

    A growing number of states experimented with alternative governance structures in response to pressure to raise student achievement. Post-Katrina experimentation in New Orleans was widely regarded as a model example of new governance reforms and provided a unique opportunity to learn about the variation in student achievement and behavior within…

  9. LINKING PROJECTS TO BUSINESS STRATEGY THROUGH PROJECT PORTFOLIO MANAGEMENT

    Directory of Open Access Journals (Sweden)

    A.J. Buys

    2012-01-01

    Full Text Available

    ENGLISH ABSTRACT: In many organisations, a chasm exists between the development of strategy and its successful implementation. Failure to cross this chasm may ultimately result in strategy failure and the loss of competitive advantage, profits, and employment. Project Portfolio Management (PPM is theorised as a management methodology that links a portfolio of projects to the business strategy. However, current literature lacks empirical evidence of the levels of employment, functionality, and success of the Project Portfolio Management approach in South Africa. A survey of respondents in 32 technology organisations was used to analyze the reasons for the following: strategy implementation and project delivery failure in South African technology organisations; the South African situation regarding the chasm that exists in many organisations between strategy development and successful strategy implementation; and the extent to which – and with what success – Project Portfolio Management is employed in South African technology organisations.

    AFRIKAANSE OPSOMMING: In baie organisasies bestaan daar ’n gaping tussen strategie-ontwikkeling en suksesvolle strategie-implementering. Die onvermoë om die gaping te oorbrug sal uiteindelik lei tot strategiefaling en die verlies van mededingende voordeel, winste, en werksgeleenthede. Projekportefeuljebestuur (PPB word voorgehou as ’n bestuursmetodologie wat ’n portefeulje van projekte koppel aan die besigheidstrategie. Bestaande literatuur gaan egter mank aan empiriese bewyse ten opsigte van die vlakke van indiensneming, funksionaliteit, en sukses van die Projekportefeuljebestuursbenadering in Suid-Afrika. ’n Opname van respondente in 32 tegnologie-organisasies is gebruik om die volgende aspekte te ondersoek: die redes vir falings in strategie-implementering en projekaflewering in Suid-Afrikaanse tegnologie-organisasies; die Suid-Afrikaanse situasie rakende die gaping wat bestaan tussen

  10. Commands for financial data management and portfolio optimization

    OpenAIRE

    C. Alberto Dorantes

    2013-01-01

    Several econometric software offer portfolio management tools for practitioners and researchers. For example, MatLab and R offer a great variety of tools for the simulation, optimization, and analysis of financial time series. Stata, together with Mata, offers powerful programming tools for the simulation, optimization, and analysis of financial data. However, related user commands are scarce. In this presentation, commands for online market data collection, data manipulation, and financial a...

  11. How Course Portfolios Can Advance the Scholarship and Practice of Management Teaching

    Science.gov (United States)

    New, J. Randolph; Clawson, James G.; Coughlan, Richard S.; Hoyle, Joe Ben

    2008-01-01

    The authors believe the development, peer review, and sharing of course portfolios can significantly improve the scholarship and teaching of management. To make this case, they provide background information about course portfolios, including origins, defining features, purposes, and potential benefits. They then identify actual portfolio projects…

  12. ePortfolios in the Workplace for Human Capital Management: A Multiple Case Study

    Science.gov (United States)

    Lievens, Ronald

    2015-01-01

    This study researches whether the ePortfolio is a suitable instrument for human capital management in the business environment. The implementation of ePortfolio systems in five different organizations is analyzed. It considers whether ePortfolio implementations were successful, and relevant critical success factors were identified. For the latter…

  13. Development of an Electronic Portfolio System Success Model: An Information Systems Approach

    Science.gov (United States)

    Balaban, Igor; Mu, Enrique; Divjak, Blazenka

    2013-01-01

    This research has two main goals: to develop an instrument for assessing Electronic Portfolio (ePortfolio) success and to build a corresponding ePortfolio success model using DeLone and McLean's information systems success model as the theoretical framework. For this purpose, we developed an ePortfolio success measurement instrument and structural…

  14. 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.

  15. The electricity portfolio simulation model (EPSim) technical description.

    Energy Technology Data Exchange (ETDEWEB)

    Drennen, Thomas E.; Klotz, Richard (Hobart and William Smith Colleges, Geneva, NY)

    2005-09-01

    Stakeholders often have competing interests when selecting or planning new power plants. The purpose of developing this preliminary Electricity Portfolio Simulation Model (EPSim) is to provide a first cut, dynamic methodology and approach to this problem, that can subsequently be refined and validated, that may help energy planners, policy makers, and energy students better understand the tradeoffs associated with competing electricity portfolios. EPSim allows the user to explore competing electricity portfolios annually from 2002 to 2025 in terms of five different criteria: cost, environmental impacts, energy dependence, health and safety, and sustainability. Four additional criteria (infrastructure vulnerability, service limitations, policy needs and science and technology needs) may be added in future versions of the model. Using an analytic hierarchy process (AHP) approach, users or groups of users apply weights to each of the criteria. The default energy assumptions of the model mimic Department of Energy's (DOE) electricity portfolio to 2025 (EIA, 2005). At any time, the user can compare alternative portfolios to this reference case portfolio.

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

    International Nuclear Information System (INIS)

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

    1997-12-01

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

  17. The lessons of the crisis on pension funds portfolio management

    Directory of Open Access Journals (Sweden)

    Dan CONSTANTINESCU

    2012-12-01

    Full Text Available Portfolio management in crisis conditions showed that major turbulence come from within the financial system. In such a context, a first answer to the investors (and pension funds make no exception manifests itself through the growth of liquidity preferences. Recent studies have shown that monetary political shocks have a considerable effect over the dynamic and composition of the capital flows, with influences that reach the structure on categories of assets of the pension funds’ portfolio. For example, due to an interesting profile of the risk-profit ratio, listed private equity (LPE funds are more and more attractive for the institutional investors, among which are the pension funds administrators. Last but not least, the existence of an insuring system of the participants’ contributions and/or benefits to the pension funds is extremely useful, considering that it is able to harmonize a large variety of interests.

  18. CHARACTERISTICS OF INVESTMENT PORTFOLIOS PASSIVE MANAGEMENT STRATEGY ON THE CAPITAL MARKET

    Directory of Open Access Journals (Sweden)

    MIHAELA SUDACEVSCHI

    2013-05-01

    Full Text Available The strategies of investment portfolios management on the capital market involves a range of transactions with different financial securities, aimed at optimizing the results. On a developed and efficient capital market, with a high liquidity level, portfolio management primarly depends on investor’s targeted level of return and the risk profile of the investor. Passive strategy of investment portfolios management is applied especially by risk aversion investors, who are taking into account all existing risks in the capital market and seeking to preserve the value of investments, rather than increasing its value. This strategy presume that the investor has no information about the prices and the return of securities that would make him to give to his investment portfolio a different structure from the structure of capital market portfolio. Therefore, he will seek a return level equal to the return on the market portfolio, minimizing the portfolio risk up to eliminating the specific risk.

  19. Portfolio Management with Stochastic Interest Rates and Inflation Ambiguity

    DEFF Research Database (Denmark)

    Munk, Claus; Rubtsov, Alexey Vladimirovich

    We solve a stock-bond-cash portfolio choice problem for a risk- and ambiguity-averse investor in a setting where the inflation rate and interest rates are stochastic. The expected inflation rate is unobservable, but the investor may learn about it from realized inflation and observed stock and bond...... prices. The investor is aware that his model for the observed inflation is potentially misspecified, and he seeks an investment strategy that maximizes his expected utility from real terminal wealth and is also robust to inflation model misspecification. We solve the corresponding robust Hamilton......-Jacobi-Bellman equation in closed form and derive and illustrate a number of interesting properties of the solution. For example, ambiguity aversion affects the optimal portfolio through the correlation of price level with the stock index, a bond, and the expected inflation rate. Furthermore, unlike other settings...

  20. 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...

  1. Automated Advice: A Portfolio Management Perspective on Robo-Advisors

    OpenAIRE

    Vukovic, Ana; Bjerknes, Line

    2017-01-01

    In this paper we investigate the predominant robo-advisor model, uncovering that however novel this solution might be, it also relies religiously on imperative contributions to modern portfolio theory that have been made in the past half a century. Despite conforming by and large to passive investment, we find that the slight variations in the methodologies used by robo-advisors introduce significant variability in risk-adjusted returns across the robo-advisor spectrum. Nonetheless, our perfo...

  2. Linear versus quadratic portfolio optimization model with transaction cost

    Science.gov (United States)

    Razak, Norhidayah Bt Ab; Kamil, Karmila Hanim; Elias, Siti Masitah

    2014-06-01

    Optimization model is introduced to become one of the decision making tools in investment. Hence, it is always a big challenge for investors to select the best model that could fulfill their goal in investment with respect to risk and return. In this paper we aims to discuss and compare the portfolio allocation and performance generated by quadratic and linear portfolio optimization models namely of Markowitz and Maximin model respectively. The application of these models has been proven to be significant and popular among others. However transaction cost has been debated as one of the important aspects that should be considered for portfolio reallocation as portfolio return could be significantly reduced when transaction cost is taken into consideration. Therefore, recognizing the importance to consider transaction cost value when calculating portfolio' return, we formulate this paper by using data from Shariah compliant securities listed in Bursa Malaysia. It is expected that, results from this paper will effectively justify the advantage of one model to another and shed some lights in quest to find the best decision making tools in investment for individual investors.

  3. Mathematical model of the loan portfolio dynamics in the form of Markov chain considering the process of new customers attraction

    Science.gov (United States)

    Bozhalkina, Yana

    2017-12-01

    Mathematical model of the loan portfolio structure change in the form of Markov chain is explored. This model considers in one scheme both the process of customers attraction, their selection based on the credit score, and loans repayment. The model describes the structure and volume of the loan portfolio dynamics, which allows to make medium-term forecasts of profitability and risk. Within the model corrective actions of bank management in order to increase lending volumes or to reduce the risk are formalized.

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

    OpenAIRE

    Ribeiro, Alexandra João Santana

    2011-01-01

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

  5. Comparative evaluation of fuzzy logic and genetic algorithms models for portfolio optimization

    Directory of Open Access Journals (Sweden)

    Heidar Masoumi Soureh

    2017-03-01

    Full Text Available Selection of optimum methods which have appropriate speed and precision for planning and de-cision-making has always been a challenge for investors and managers. One the most important concerns for them is investment planning and optimization for acquisition of desirable wealth under controlled risk with the best return. This paper proposes a model based on Markowitz the-orem by considering the aforementioned limitations in order to help effective decisions-making for portfolio selection. Then, the model is investigated by fuzzy logic and genetic algorithms, for the optimization of the portfolio in selected active companies listed in Tehran Stock Exchange over the period 2012-2016 and the results of the above models are discussed. The results show that the two studied models had functional differences in portfolio optimization, its tools and the possibility of supplementing each other and their selection.

  6. Land-Use Portfolio Modeler, Version 1.0

    Science.gov (United States)

    Taketa, Richard; Hong, Makiko

    2010-01-01

    Natural hazards pose significant threats to the public safety and economic health of many communities throughout the world. Community leaders and decision-makers continually face the challenges of planning and allocating limited resources to invest in protecting their communities against catastrophic losses from natural-hazard events. Public efforts to assess community vulnerability and encourage loss-reduction measures through mitigation often focused on either aggregating site-specific estimates or adopting standards based upon broad assumptions about regional risks. The site-specific method usually provided the most accurate estimates, but was prohibitively expensive, whereas regional risk assessments were often too general to be of practical use. Policy makers lacked a systematic and quantitative method for conducting a regional-scale risk assessment of natural hazards. In response, Bernknopf and others developed the portfolio model, an intermediate-scale approach to assessing natural-hazard risks and mitigation policy alternatives. The basis for the portfolio-model approach was inspired by financial portfolio theory, which prescribes a method of optimizing return on investment while reducing risk by diversifying investments in different security types. In this context, a security type represents a unique combination of features and hazard-risk level, while financial return is defined as the reduction in losses resulting from an investment in mitigation of chosen securities. Features are selected for mitigation and are modeled like investment portfolios. Earth-science and economic data for the features are combined and processed in order to analyze each of the portfolios, which are then used to evaluate the benefits of mitigating the risk in selected locations. Ultimately, the decision maker seeks to choose a portfolio representing a mitigation policy that maximizes the expected return-on-investment, while minimizing the uncertainty associated with that return

  7. Diversified models for portfolio selection based on uncertain semivariance

    Science.gov (United States)

    Chen, Lin; Peng, Jin; Zhang, Bo; Rosyida, Isnaini

    2017-02-01

    Since the financial markets are complex, sometimes the future security returns are represented mainly based on experts' estimations due to lack of historical data. This paper proposes a semivariance method for diversified portfolio selection, in which the security returns are given subjective to experts' estimations and depicted as uncertain variables. In the paper, three properties of the semivariance of uncertain variables are verified. Based on the concept of semivariance of uncertain variables, two types of mean-semivariance diversified models for uncertain portfolio selection are proposed. Since the models are complex, a hybrid intelligent algorithm which is based on 99-method and genetic algorithm is designed to solve the models. In this hybrid intelligent algorithm, 99-method is applied to compute the expected value and semivariance of uncertain variables, and genetic algorithm is employed to seek the best allocation plan for portfolio selection. At last, several numerical examples are presented to illustrate the modelling idea and the effectiveness of the algorithm.

  8. 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...

  9. Teaching empirical finance courses: A project on portfolio management

    OpenAIRE

    Morley, Bruce

    2016-01-01

    The aim of this article was to assess the use of a group-based project for an empirical finance type of course. It examines the outline of the project, the methodology the students are encouraged to follow and how the course is assessed. This approach enables the students to apply many of the techniques learnt on this course and other courses such as econometrics, to determine an optimal portfolio of assets given their view on the risks in the economy. The emphasis is on risk management throu...

  10. 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

  11. Portfolio Effects of Renewable Energies - Basics, Models, Exemplary Results

    Energy Technology Data Exchange (ETDEWEB)

    Wiese, Andreas; Herrmann, Matthias

    2007-07-01

    The combination of sites and technologies to so-called renewable energy portfolios, which are being developed and implemented under the same financing umbrella, is currently the subject of intense discussion in the finance world. The resulting portfolio effect may allow the prediction of a higher return with the same risk or the same return with a lower risk - always in comparison with the investment in a single project. Models are currently being developed to analyse this subject and derive the portfolio effect. In particular, the effect of the spatial distribution, as well as the effects of using different technologies, suppliers and cost assumptions with different level of uncertainties, are of importance. Wind parks, photovoltaic, biomass, biogas and hydropower are being considered. The status of the model development and first results are being presented in the current paper. In a first example, the portfolio effect has been calculated and analysed using selected parameters for a wind energy portfolio of 39 sites distributed over Europe. Consequently it has been shown that the predicted yield, with the predetermined probabilities between 75 to 90%, is 3 - 8% higher than the sum of the yields for the individual wind parks using the same probabilities. (auth)

  12. PENGGUNAAN ALGORITMA GENETIKA UNTUK PEMILIHAN PORTFOLIO SAHAM DALAM MODEL MARKOWITZ

    Directory of Open Access Journals (Sweden)

    Silvia Rostianingsih

    2005-01-01

    Full Text Available Modern portfolio theory is based on asumption that investor can choose his proportion asset in portfolio, so they can minimize the risk and maximize the return. This paper presents the use of genetic algorithm (GA to optimize the choice of share portfolio in markowitz model by representing the efficient set portfolio. GA represent the efficient set using undirect representation to avoid infeasible solution and penalty function. From the implementation, it can be concluded that GA is one of methods which is able to obtain optimum point from portfolio. Abstract in Bahasa Indonesia : Teori portofolio modern mendasarkan teorinya pada asumsi bahwa investor bertindak secara rasional dengan memilih proporsi asetnya dalam sebuah portofolio sedemikian rupa sehingga dapat meminimalkan resiko dan memaksimalkan return. Dalam paper ini penulis mencoba menyajikan penggunaan algoritma genetika (Genetic Algorithm/GA untuk optimasi pemilihan portofolio saham dalam model markowitz dengan cara merepresentasikannya sebagai kumpulan portofolio yang efisien (the efficient set portofolio. GA merepresentasikan kumpulan yang effisien ini dengan menggunakan representasi tidak langsung untuk menghindari solusi yang tidak feasible dan fungsi penalti. Dari hasil yang telah diimplementasikan dapat disimpulkan bahwa GA dapat digunakan sebagai salah satu metode yang cukup berhasil dalam menemukan titik optimum dari sebuah portofolio. Kata kunci: markowitz, teori portofolio, algoritma genetika.

  13. Testing APT Model upon a BVB Stocks’ Portfolio

    Directory of Open Access Journals (Sweden)

    Alexandra BONTAŞ

    2011-01-01

    Full Text Available Applying the Arbitrage Pricing Theory model (APT, there can be identified the major factors of influence for a BVB’ portfolio stocks' trend. There were taken into consideration two of the APT theory models, establishing influences upon portfolio's yield: given to macroeconomic environment and to some stochastic factors. The researchs results certify that, on the long term, what influences the stocks’ movement in the stock market is mostly the action of specific short-term factors, without general covering, like the ones that are classified in the research area of behavioral finance (investors’ preference towards risk and towards time.

  14. Incorporating Contagion in Portfolio Credit Risk Models Using Network Theory

    NARCIS (Netherlands)

    Anagnostou, I.; Sourabh, S.; Kandhai, D.

    2018-01-01

    Portfolio credit risk models estimate the range of potential losses due to defaults or deteriorations in credit quality. Most of these models perceive default correlation as fully captured by the dependence on a set of common underlying risk factors. In light of empirical evidence, the ability of

  15. Return and volatility transmission between gold and stock sectors: Application of portfolio management and hedging effectiveness

    Directory of Open Access Journals (Sweden)

    Dilip Kumar

    2014-03-01

    Full Text Available The paper investigates the first and second orders moment transmission between gold and Indian industrial sectors with an application of portfolio design and hedging effectiveness using generalised VAR-ADCC-BVGARCH model. Our findings indicate unidirectional significant return spillover from gold to stock sectors. The negative values of estimated time varying conditional correlations are mainly observed during periods of market turbulence and crisis indicating the scope of portfolio diversification and hedging during these periods. We also estimate optimal weights, hedge ratios, and hedging effectiveness for the stock-gold portfolios. Our findings suggest that stock-gold portfolio provides better diversification benefits than stock portfolios.

  16. Effects of correlations and fees in random multiplicative environments: Implications for portfolio management.

    Science.gov (United States)

    Alper, Ofer; Somekh-Baruch, Anelia; Pirvandy, Oz; Schaps, Malka; Yaari, Gur

    2017-08-01

    Geometric Brownian motion (GBM) is frequently used to model price dynamics of financial assets, and a weighted average of multiple GBMs is commonly used to model a financial portfolio. Diversified portfolios can lead to an increased exponential growth compared to a single asset by effectively reducing the effective noise. The sum of GBM processes is no longer a log-normal process and has a complex statistical properties. The nonergodicity of the weighted average process results in constant degradation of the exponential growth from the ensemble average toward the time average. One way to stay closer to the ensemble average is to maintain a balanced portfolio: keep the relative weights of the different assets constant over time. To keep these proportions constant, whenever assets values change, it is necessary to rebalance their relative weights, exposing this strategy to fees (transaction costs). Two strategies that were suggested in the past for cases that involve fees are rebalance the portfolio periodically and rebalance it in a partial way. In this paper, we study these two strategies in the presence of correlations and fees. We show that using periodic and partial rebalance strategies, it is possible to maintain a steady exponential growth while minimizing the losses due to fees. We also demonstrate how these redistribution strategies perform in a phenomenal way on real-world market data, despite the fact that not all assumptions of the model hold in these real-world systems. Our results have important implications for stochastic dynamics in general and to portfolio management in particular, as we show that there is a superior alternative to the common buy-and-hold strategy, even in the presence of correlations and fees.

  17. Effects of correlations and fees in random multiplicative environments: Implications for portfolio management

    Science.gov (United States)

    Alper, Ofer; Somekh-Baruch, Anelia; Pirvandy, Oz; Schaps, Malka; Yaari, Gur

    2017-08-01

    Geometric Brownian motion (GBM) is frequently used to model price dynamics of financial assets, and a weighted average of multiple GBMs is commonly used to model a financial portfolio. Diversified portfolios can lead to an increased exponential growth compared to a single asset by effectively reducing the effective noise. The sum of GBM processes is no longer a log-normal process and has a complex statistical properties. The nonergodicity of the weighted average process results in constant degradation of the exponential growth from the ensemble average toward the time average. One way to stay closer to the ensemble average is to maintain a balanced portfolio: keep the relative weights of the different assets constant over time. To keep these proportions constant, whenever assets values change, it is necessary to rebalance their relative weights, exposing this strategy to fees (transaction costs). Two strategies that were suggested in the past for cases that involve fees are rebalance the portfolio periodically and rebalance it in a partial way. In this paper, we study these two strategies in the presence of correlations and fees. We show that using periodic and partial rebalance strategies, it is possible to maintain a steady exponential growth while minimizing the losses due to fees. We also demonstrate how these redistribution strategies perform in a phenomenal way on real-world market data, despite the fact that not all assumptions of the model hold in these real-world systems. Our results have important implications for stochastic dynamics in general and to portfolio management in particular, as we show that there is a superior alternative to the common buy-and-hold strategy, even in the presence of correlations and fees.

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

    Directory of Open Access Journals (Sweden)

    Ahmad Jaafarnejad

    2013-11-01

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

  19. The Optimal Portfolio Selection Model under g-Expectation

    Directory of Open Access Journals (Sweden)

    Li Li

    2014-01-01

    complicated and sophisticated, the optimal solution turns out to be surprisingly simple, the payoff of a portfolio of two binary claims. Also I give the economic meaning of my model and the comparison with that one in the work of Jin and Zhou, 2008.

  20. Quantifying credit portfolio losses under multi-factor models

    NARCIS (Netherlands)

    G. Colldeforns-Papiol (Gemma); L. Ortiz Gracia (Luis); C.W. Oosterlee (Kees)

    2018-01-01

    textabstractIn this work, we investigate the challenging problem of estimating credit risk measures of portfolios with exposure concentration under the multi-factor Gaussian and multi-factor t-copula models. It is well-known that Monte Carlo (MC) methods are highly demanding from the computational

  1. Introducing Model Predictive Control for Improving Power Plant Portfolio Performance

    DEFF Research Database (Denmark)

    Edlund, Kristian Skjoldborg; Bendtsen, Jan Dimon; Børresen, Simon

    2008-01-01

    This paper introduces a model predictive control (MPC) approach for construction of a controller for balancing the power generation against consumption in a power system. The objective of the controller is to coordinate a portfolio consisting of multiple power plant units in the effort to perform...

  2. Multi-objective possibilistic model for portfolio selection with transaction cost

    Science.gov (United States)

    Jana, P.; Roy, T. K.; Mazumder, S. K.

    2009-06-01

    In this paper, we introduce the possibilistic mean value and variance of continuous distribution, rather than probability distributions. We propose a multi-objective Portfolio based model and added another entropy objective function to generate a well diversified asset portfolio within optimal asset allocation. For quantifying any potential return and risk, portfolio liquidity is taken into account and a multi-objective non-linear programming model for portfolio rebalancing with transaction cost is proposed. The models are illustrated with numerical examples.

  3. INFLUENCE OF REGIME SWITCHING TO RISK IN PORT-MODERN PORTFOLIO MANAGEMENT

    OpenAIRE

    Cristina Geambaşu; Liviu Geambaşu; Iulia Jianu

    2013-01-01

    The present financial crises determines an increase in analysing the application of regime switching over portfolio investments. We applied the switching regimes to measurement of risk as presented in post-modern portfolio management theory. Post-modern portfolio theory include investor’s tendency to measure risk as the chance to obtain from the investment performed a return lower than the minimum expected by him. The investor, as presented by behavioural finance, is more concerned about his ...

  4. Strategy and Portfolio Management Aspects of Integrated Business Planning

    Directory of Open Access Journals (Sweden)

    Peter Jurečka

    2013-03-01

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

  5. A nonlinear bi-level programming approach for product portfolio management.

    Science.gov (United States)

    Ma, Shuang

    2016-01-01

    Product portfolio management (PPM) is a critical decision-making for companies across various industries in today's competitive environment. Traditional studies on PPM problem have been motivated toward engineering feasibilities and marketing which relatively pay less attention to other competitors' actions and the competitive relations, especially in mathematical optimization domain. The key challenge lies in that how to construct a mathematical optimization model to describe this Stackelberg game-based leader-follower PPM problem and the competitive relations between them. The primary work of this paper is the representation of a decision framework and the optimization model to leverage the PPM problem of leader and follower. A nonlinear, integer bi-level programming model is developed based on the decision framework. Furthermore, a bi-level nested genetic algorithm is put forward to solve this nonlinear bi-level programming model for leader-follower PPM problem. A case study of notebook computer product portfolio optimization is reported. Results and analyses reveal that the leader-follower bi-level optimization model is robust and can empower product portfolio optimization.

  6. A Bayesian joint model for population and portfolio-specific mortality

    NARCIS (Netherlands)

    van Berkum, F.; Antonio, K.; Vellekoop, M.

    2015-01-01

    Insurers and pension funds must value liabilities using mortality rates that are appropriate for their portfolio. Current practice is to multiply available projections of population mortality with portfolio-specific factors, which are often determined using Generalised Linear Models. Alternatively,

  7. Business Model Innovation Portfolio Strategy for Growth Under Product-Market Configurations

    OpenAIRE

    Bert Verhoeven; Lester W. Johnson

    2017-01-01

    Purpose: The research links three concepts: product market growth strategy, the magnitude of innovation and Business Model Innovation, merging them together into a dynamic Business Model Innovation strategy framework. Design/Methodology/Approach: The paper is conceptual and exploratory in nature and builds on existing literature and the author’s experience with developing business models. Findings: The BMI strategy framework can help managers establish a BMI portfolio strategy followi...

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

    Science.gov (United States)

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

    2018-01-01

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

  9. Uncertain programming models for portfolio selection with uncertain returns

    Science.gov (United States)

    Zhang, Bo; Peng, Jin; Li, Shengguo

    2015-10-01

    In an indeterminacy economic environment, experts' knowledge about the returns of securities consists of much uncertainty instead of randomness. This paper discusses portfolio selection problem in uncertain environment in which security returns cannot be well reflected by historical data, but can be evaluated by the experts. In the paper, returns of securities are assumed to be given by uncertain variables. According to various decision criteria, the portfolio selection problem in uncertain environment is formulated as expected-variance-chance model and chance-expected-variance model by using the uncertainty programming. Within the framework of uncertainty theory, for the convenience of solving the models, some crisp equivalents are discussed under different conditions. In addition, a hybrid intelligent algorithm is designed in the paper to provide a general method for solving the new models in general cases. At last, two numerical examples are provided to show the performance and applications of the models and algorithm.

  10. IT Project Portfolio Management; Challenges faced by Danish municipalities

    DEFF Research Database (Denmark)

    Hansen, Lars Kristian

    2010-01-01

    Abstract. Increasing the organizational benefits from IT projects is a key concern in most organizations. The use of Project Portfolio Management (PPM) is generally recommended by consultants (e.g. Kaplan 2005) and researchers (e.g. De Reyck et al 2005) as one way of increasing the organizational...... benefits from IT investments. This article reports from an action research project aiming at understanding and improving IT PPM practices in Danish municipalities, thereby contributing to the general body of knowledge concerning PPM of IT projects. Our findings suggest that the participating organizations...... might benefit from a structured approach as suggested by the literature (e.g. Kaplan 2005), but also that the prescriptive PPM literature in some areas is too simplistic when compared to the reality faced by the participating practitioners. Especially, our research suggests that different PPM elements...

  11. INVESTMENT PORTFOLIO MANAGEMENT PECULIARITIES OF NON-STATE PENSION FUNDS

    Directory of Open Access Journals (Sweden)

    Ivan LUCHIAN

    2015-07-01

    Full Text Available Non-state pension fund is a institution of social security, the primary purpose of which is the payment of pensions to members of the system of private pension provision. The insurance and pension funds in Republic of Moldova is just beginning. In this regard, a study was conducted in different countries on experience with non-state pension insurance. The results, being generalized, can be used in Republic of Moldova. Non-state pension fund has a multiple core: financial institution, fund, social institution, insurer and institutional investor. Non-governmental pension funds were highly integrated in public policy in most countries around the world aimed at expanding the supplementary pension insurance. Therefore, it becomes very important to solve the issue of formation and investment portfolio management in these financial institutions.

  12. Portfolio management using value at risk: A comparison between genetic algorithms and particle swarm optimization

    NARCIS (Netherlands)

    V.A.F. Dallagnol (V. A F); J.H. van den Berg (Jan); L. Mous (Lonneke)

    2009-01-01

    textabstractIn this paper, it is shown a comparison of the application of particle swarm optimization and genetic algorithms to portfolio management, in a constrained portfolio optimization problem where no short sales are allowed. The objective function to be minimized is the value at risk

  13. The development of the portfolio management for the unit investment funds

    OpenAIRE

    Sergeeva, Irina; Nikiforova, Vera

    2012-01-01

    The paper analyses common Russian practice of assessment of the effectiveness of the unit investment fund portfolio management based on the risk/return tradeoff. The paper identifies characteristics, advantages and disadvantages of various portfolio risk measures, and introduces the approach to risk assessment based on the analytical coefficient calculations.

  14. Were Knowledge Management Abilities of University Students Enhanced after Creating Personal Blog-Based Portfolios?

    Science.gov (United States)

    Chang, Chi-Cheng; Liang, Chaoyun; Tseng, Kuo-Hung; Tseng, Ju-Shih; Chen, To-Yu

    2013-01-01

    The effect of creating blog-based portfolios on knowledge management (KM) abilities among university students was examined in the present study. Participants included 43 students majoring in Multimedia and Game Science at a University in Taiwan. Students spent nine weeks creating their personal portfolios by using a blog. The "t"-test…

  15. Application of a General Risk Management Model to Portfolio Optimization Problems with Elliptical Distributed Returns for Risk Neutral and Risk Averse Decision Makers

    NARCIS (Netherlands)

    B. Kaynar; S.I. Birbil (Ilker); J.B.G. Frenk (Hans)

    2007-01-01

    textabstractIn this paper portfolio problems with linear loss functions and multivariate elliptical distributed returns are studied. We consider two risk measures, Value-at-Risk and Conditional-Value-at-Risk, and two types of decision makers, risk neutral and risk averse. For Value-at-Risk, we show

  16. Application of a general risk management model to portfolio optimization problems with elliptical distributed returns for risk neutral and risk averse decision makers.

    NARCIS (Netherlands)

    B. Kaynar; S.I. Birbil (Ilker); J.B.G. Frenk (Hans)

    2007-01-01

    textabstractWe discuss a class of risk measures for portfolio optimization with linear loss functions, where the random returns of financial instruments have a multivariate elliptical distribution. Under this setting we pay special attention to two risk measures, Value-at-Risk and

  17. Investment portfolio management from cybernetic point of view

    Science.gov (United States)

    Marchev, Angel, Jr.; Marchev, Angel

    2013-12-01

    The theory of investment portfolios is a well defined component of financial science. While sound in principle, it faces some setbacks in its real-world implementation. In this paper the authors propose a reformulation of the investment portfolio problem as a cybernetic system where the Investor is the controlling system and the portfolio is the controlled system. Also the portfolio controlling process should be dissected in several ordered phases, so that each phase is represented as a subsystem within the structure of the controlling system Investor.

  18. 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.

  19. A Post-Modern Portfolio Management Approach on CEE Markets

    Directory of Open Access Journals (Sweden)

    Marcela-Daniela Todoni

    2015-01-01

    Full Text Available In this paper we apply two methods based on the Post-Modern Portfolio Management approach to study the risk-adjusted return of 5 major indices from emerging markets in Central and Eastern Europe during the period 2008-2013 on daily data. First, we involve the Sortino ratio. Secondly we propose an alternative method to the Sortino ratio for calculating the risk-adjusted return using a “multipliers method” to determine a global measure of risk. The Sortino ratio is used to score a portfolio's risk-adjusted returns relative to an investment target using downside risk and it measures the risk-adjusted return of an investment asset, portfolio or strategy. Our proposed alternative method is using the same logic and frame structure as Sortino ratio. However instead of downside risk we use the global risk calculated using multipliers. This is due to the fact that Sortino ratio does not distinguish between sub-cases possible – unrealized return area and loss area (negative return. Because of these we believe that it would be necessary a new method which to refine the results and take and into account the three areas. Our dataset includes 5 emerging markets: Romania (BET, Hungary (BUX, Czech Republic (PX, Bulgaria (SOFIX and Poland (WIG. For each of them we estimate the Sortino ratio of length windows 7, 14, 42 and 10, 21, 60. We used two variants for each target return, namely 2% and 5%. We consider Germany as a benchmark. After estimating the Sortino ratio and global risk calculated using “multipliers method”, we conducted a parallel analysis between Sortino ratio and the proposed alternative method. We split the analysis time span in two sub-periods, 2008-2010 and 2011-2013. As known, the higher the Sortino ratio, the better the risk-adjusted performance. The risk-adjusted return is influenced by the used target return and the used window. Analyzed data reveals that in case of Sortino ratio, Hungary has the best results and on the other side

  20. Development of a Portfolio Management Approach with Case Study of the NASA Airspace Systems Program

    Science.gov (United States)

    Neitzke, Kurt W.; Hartman, Christopher L.

    2012-01-01

    A portfolio management approach was developed for the National Aeronautics and Space Administration s (NASA s) Airspace Systems Program (ASP). The purpose was to help inform ASP leadership regarding future investment decisions related to its existing portfolio of advanced technology concepts and capabilities (C/Cs) currently under development and to potentially identify new opportunities. The portfolio management approach is general in form and is extensible to other advanced technology development programs. It focuses on individual C/Cs and consists of three parts: 1) concept of operations (con-ops) development, 2) safety impact assessment, and 3) benefit-cost-risk (B-C-R) assessment. The first two parts are recommendations to ASP leaders and will be discussed only briefly, while the B-C-R part relates to the development of an assessment capability and will be discussed in greater detail. The B-C-R assessment capability enables estimation of the relative value of each C/C as compared with all other C/Cs in the ASP portfolio. Value is expressed in terms of a composite weighted utility function (WUF) rating, based on estimated benefits, costs, and risks. Benefit utility is estimated relative to achieving key NAS performance objectives, which are outlined in the ASP Strategic Plan.1 Risk utility focuses on C/C development and implementation risk, while cost utility focuses on the development and implementation portions of overall C/C life-cycle costs. Initial composite ratings of the ASP C/Cs were successfully generated; however, the limited availability of B-C-R information, which is used as inputs to the WUF model, reduced the meaningfulness of these initial investment ratings. Development of this approach, however, defined specific information-generation requirements for ASP C/C developers that will increase the meaningfulness of future B-C-R ratings.

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

    Directory of Open Access Journals (Sweden)

    Alexander M. Karminsky

    2015-01-01

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

  2. Revitalizing Brands and Brand Portfolios: Essays on Brand and Brand Portfolio Management Strategies

    NARCIS (Netherlands)

    B.E. Depecik (Baris)

    2016-01-01

    markdownabstractHow should consumer products manufacturers and retailers keep their portfolio of brand offerings relevant and energetic when large numbers of new brands are continuously launched into a world of increasingly nonloyal customers with evolving needs? The harsh reality is, at a time when

  3. Application of Vine Copulas to Credit Portfolio Risk Modeling

    Directory of Open Access Journals (Sweden)

    Marco Geidosch

    2016-06-01

    Full Text Available In this paper, we demonstrate the superiority of vine copulas over conventional copulas when modeling the dependence structure of a credit portfolio. We show statistical and economic implications of replacing conventional copulas by vine copulas for a subportfolio of the Euro Stoxx 50 and the S&P 500 companies, respectively. Our study includes D-vines and R-vines where the bivariate building blocks are chosen from the Gaussian, the t and the Clayton family. Our findings are (i the conventional Gauss copula is deficient in modeling the dependence structure of a credit portfolio and economic capital is seriously underestimated; (ii D-vine structures offer a better statistical fit to the data than classical copulas, but underestimate economic capital compared to R-vines; (iii when mixing different copula families in an R-vine structure, the best statistical fit to the data can be achieved which corresponds to the most reliable estimate for economic capital.

  4. Incorporating Contagion in Portfolio Credit Risk Models Using Network Theory

    Directory of Open Access Journals (Sweden)

    Ioannis Anagnostou

    2018-01-01

    Full Text Available Portfolio credit risk models estimate the range of potential losses due to defaults or deteriorations in credit quality. Most of these models perceive default correlation as fully captured by the dependence on a set of common underlying risk factors. In light of empirical evidence, the ability of such a conditional independence framework to accommodate for the occasional default clustering has been questioned repeatedly. Thus, financial institutions have relied on stressed correlations or alternative copulas with more extreme tail dependence. In this paper, we propose a different remedy—augmenting systematic risk factors with a contagious default mechanism which affects the entire universe of credits. We construct credit stress propagation networks and calibrate contagion parameters for infectious defaults. The resulting framework is implemented on synthetic test portfolios wherein the contagion effect is shown to have a significant impact on the tails of the loss distributions.

  5. MANAGEMENT ACCOUNTING FOR A PORTFOLIO OF PROJECTS TO SUPPORT ORGANISATIONAL VALUE MAXIMISATION

    Directory of Open Access Journals (Sweden)

    P.J. Viljoen

    2012-01-01

    Full Text Available

    ENGLISH ABSTRACT:The objective of management accounting is to provide management with the financial information that will enable them to make decisions that will result in increased profitability of their organisation. The management accounting of projects in a portfolio as proposed in the literature often presents major problems that prevent the achievement of this objective. These problems include how to estimate value in financial terms during the pre-project phase of the project life cycle as well as the difficulties with financial control of the portfolio of projects as they are conducted. A few case studies are presented highlighting, current practice and the negative effects being experienced. A simple throughput accounting model for the financial management of a portfolio of projects, that could lead to better management decisions and increased profitability of organisations, is proposed.

    AFRIKAANSE OPSOMMING: Die doelwit van bestuursrekeningkunde is om bestuur te voorsien met finansiële inligting wat hulle in staat stel om besluite te maak wat die winsgewendheid van die onderneming sal verbeter. Die bestuursrekeningkunde van 'n portefeulje van projekte wat in die literatuur voorgestel word, het 'n aantal probleme wat die bereiking van hierdie doelwit verhinder. Hierdie probleme sluit in hoe om ramings van waarde in finansiële terme te doen tydens die pre-projek fase van die projeklewenssiklus asook die probleme met finansiële beheer van die projekportefeulje soos dit uitgevoer word. ‘n Aantal gevallestudies word aangebied wat huidige praktyke en die negatiewe effekte wat ondervind word toelig. ‘n Eenvoudige deursetverrekeningsmodel vir die finansiële bestuur van ‘n projekportefeulje word voorgestel wat kan lei tot beter bestuursbesluite wat die winsgewendheid van ‘n onderneming sal verbeter.

  6. Ant Colony Optimization for Markowitz Mean-Variance Portfolio Model

    Science.gov (United States)

    Deng, Guang-Feng; Lin, Woo-Tsong

    This work presents Ant Colony Optimization (ACO), which was initially developed to be a meta-heuristic for combinatorial optimization, for solving the cardinality constraints Markowitz mean-variance portfolio model (nonlinear mixed quadratic programming problem). To our knowledge, an efficient algorithmic solution for this problem has not been proposed until now. Using heuristic algorithms in this case is imperative. Numerical solutions are obtained for five analyses of weekly price data for the following indices for the period March, 1992 to September, 1997: Hang Seng 31 in Hong Kong, DAX 100 in Germany, FTSE 100 in UK, S&P 100 in USA and Nikkei 225 in Japan. The test results indicate that the ACO is much more robust and effective than Particle swarm optimization (PSO), especially for low-risk investment portfolios.

  7. Revitalizing Brands and Brand Portfolios: Essays on Brand and Brand Portfolio Management Strategies

    OpenAIRE

    Depecik, Baris

    2016-01-01

    markdownabstractHow should consumer products manufacturers and retailers keep their portfolio of brand offerings relevant and energetic when large numbers of new brands are continuously launched into a world of increasingly nonloyal customers with evolving needs? The harsh reality is, at a time when the demise of old brands has accelerated and even established brands are vulnerable, it stands to be a great deal of challenge. Fortunately, a number of ‘revitalization’ strategies can add relevan...

  8. USMA Study of the Residential Communities Initiative (RCI) Portfolio and Asset Management (PAM)

    National Research Council Canada - National Science Library

    Powell, Robert; Parnell, Gregory; Driscoll, Patrick J; Boylan, Gregory; Evans, Daniel; Underwood, Thaddeus; Moten, Margaret

    2006-01-01

    ...) Portfolio and Asset Management (PAM) program and provide an independent assessment of the adequacy of the Army's RCI PAM program in achieving its intended objectives across all domains and all phases of the program...

  9. Multi-objective mean-variance-skewness model for generation portfolio allocation in electricity markets

    Energy Technology Data Exchange (ETDEWEB)

    Pindoriya, N.M.; Singh, S.N. [Department of Electrical Engineering, Indian Institute of Technology Kanpur, Kanpur 208016 (India); Singh, S.K. [Indian Institute of Management Lucknow, Lucknow 226013 (India)

    2010-10-15

    This paper proposes an approach for generation portfolio allocation based on mean-variance-skewness (MVS) model which is an extension of the classical mean-variance (MV) portfolio theory, to deal with assets whose return distribution is non-normal. The MVS model allocates portfolios optimally by considering the maximization of both the expected return and skewness of portfolio return while simultaneously minimizing the risk. Since, it is competing and conflicting non-smooth multi-objective optimization problem, this paper employed a multi-objective particle swarm optimization (MOPSO) based meta-heuristic technique to provide Pareto-optimal solution in a single simulation run. Using a case study of the PJM electricity market, the performance of the MVS portfolio theory based method and the classical MV method is compared. It has been found that the MVS portfolio theory based method can provide significantly better portfolios in the situation where non-normally distributed assets exist for trading. (author)

  10. Multi-objective mean-variance-skewness model for generation portfolio allocation in electricity markets

    International Nuclear Information System (INIS)

    Pindoriya, N.M.; Singh, S.N.; Singh, S.K.

    2010-01-01

    This paper proposes an approach for generation portfolio allocation based on mean-variance-skewness (MVS) model which is an extension of the classical mean-variance (MV) portfolio theory, to deal with assets whose return distribution is non-normal. The MVS model allocates portfolios optimally by considering the maximization of both the expected return and skewness of portfolio return while simultaneously minimizing the risk. Since, it is competing and conflicting non-smooth multi-objective optimization problem, this paper employed a multi-objective particle swarm optimization (MOPSO) based meta-heuristic technique to provide Pareto-optimal solution in a single simulation run. Using a case study of the PJM electricity market, the performance of the MVS portfolio theory based method and the classical MV method is compared. It has been found that the MVS portfolio theory based method can provide significantly better portfolios in the situation where non-normally distributed assets exist for trading. (author)

  11. There is more to IT portfolio management than top-management making the right decisions: A review of the literature

    DEFF Research Database (Denmark)

    Hansen, Lars; Kræmmergaard, Pernille

    2011-01-01

    There is more to IT portfolio management than top-management making the right decisions: A review of the IT PPM literature. Organizations experience ongoing challenges in managing their portfolio of InformationTechnology (IT) as IT expenses are becoming a major part of the budget. Hence......, organizations implement a wide range of IT portfolio management (IT PPM) arrangements to increase value from IT. The literature vastly emphasizes the organizational benefits of establishing IT PPM, but only a minor part of the literature emphasizes the unintended and negative consequences of IT PPM....

  12. 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...

  13. Dynamic portfolio managment based on complex quantile risk measures

    Directory of Open Access Journals (Sweden)

    Ekaterina V. Tulupova

    2011-05-01

    Full Text Available The article focuses on effectiveness evaluation combined measures of financial risks, which are convex combinations of measures VaR, CVaR and their analogues for the right distribution tail functions of a portfolio returns.

  14. An Assessment of Air Force Development Portfolio Management Practices

    National Research Council Canada - National Science Library

    Greiner, Michael A; Dooley, Kevin J; Shunk, Dan L; McNutt, Ross T

    2002-01-01

    .... Decision makers must weigh benefits, costs, and mission needs for a variety of proposed new initiatives and current weapon systems programs to develop an effective portfolio that provides the best value to the user...

  15. Um modelo quantitativo para a gestão da inovação em portfólio de produtos A quantitative model for innovation management in product portfolio

    Directory of Open Access Journals (Sweden)

    Ângela de Moura Ferreira Danilevicz

    2013-03-01

    Full Text Available Este trabalho apresenta um modelo quantitativo para auxiliar nas decisões estratégicas associadas à inovação, denominado DEIN - Decisões Estratégicas de INovação - o qual contempla tanto a inovação espontânea como a induzida. O modelo proposto foi construído a partir da análise do referencial teórico e entrevistas conduzidas junto a especialistas. Ele fornece uma estrutura para avaliar os diferentes elementos envolvidos na gestão da inovação: (i ideias associadas à inovação em produto ou processo; (ii competitividade dos produtos existentes; (iii possibilidade de inovação nos processos e produtos existentes; (iv competitividade de novos produtos; e (v índice de inovação praticado pela empresa. A utilização do DEIN pode auxiliar as empresas a decidir a respeito de quais produtos serão mantidos, quais serão aposentados, quais serão objeto de inovação e quais novos produtos devem ser lançados. O DEIN é apresentado em detalhe neste artigo. Ele foi desenvolvido a partir do estudo de duas empresas de diferentes setores industriais: automotivo e de cabos de ancoragem para plataformas marítimas. Posteriormente, ele foi avaliado junto a outras três empresas com diferentes perfis. A avaliação permitiu aprimorar o modelo e confirmou a sua relevância e aplicabilidade junto ao meio empresarial.This study presents a quantitative model to aid strategic decisions concerning innovation management denominated DEIN - Strategic Decision Making on Innovation - which embodies both spontaneous and inducted innovation. The model was constructed based on the review of literature and interviews conducted with experts. It comprises a framework to evaluate the different elements involved in innovation management such as: (i ideas associated to product or process innovation; (ii competitiveness of existing product range; (iii innovation associated to existing portfolio;(iv new product competitiveness; and (v company's level of

  16. A portfolio management system in the strategic management process

    Directory of Open Access Journals (Sweden)

    Qifan Huang

    2017-02-01

    Full Text Available Strategic management is the process of “what we are” which decides and implements “what we intend to be and how we are going to get there.” Strategy describes how an organization intends to compete with the resource available in the existing and perceived future environment. “Project management” is ancient, but also emerging. The wise human ancestors left numerous miracles with us, project management is a branch of the discipline of management, including the pyramids, statues of Zeus, Lighthouse of Alexandria, etc., which are brilliant pages in the history of project management. A project is a plan to solve the problem and effectively complete the established goal of the projects, so you have to go on strategic management for the project. Policy management is the means to achieve its objectives, including planning, implementation and control process. Strategic management is to gather staffs with different functions and form the project team. Due to its properties with a variety of different functions, more flexible management of property strategy in accordance with its special functions should be made in response to the changing internal and external environment. Management of functions is the role and performance management. It is not crime and punishment, but sparse and guide. Instead of the occurrence and discovery of issues, the difficulty is finding the solutions to problems by observations and recommendations. The management functions need to recognize their own responsibilities, and help the company to have a more long-term development of rational thinking.

  17. Introducing Model Predictive Control for Improving Power Plant Portfolio Performance

    DEFF Research Database (Denmark)

    Edlund, Kristian Skjoldborg; Bendtsen, Jan Dimon; Børresen, Simon

    2008-01-01

    This paper introduces a model predictive control (MPC) approach for construction of a controller for balancing the power generation against consumption in a power system. The objective of the controller is to coordinate a portfolio consisting of multiple power plant units in the effort to perform...... reference tracking and disturbance rejection in an economically optimal way. The performance function is chosen as a mixture of the `1-norm and a linear weighting to model the economics of the system. Simulations show a significant improvement of the performance of the MPC compared to the current...

  18. Application of the Beck model to stock markets: Value-at-Risk and portfolio risk assessment

    Science.gov (United States)

    Kozaki, M.; Sato, A.-H.

    2008-02-01

    We apply the Beck model, developed for turbulent systems that exhibit scaling properties, to stock markets. Our study reveals that the Beck model elucidates the properties of stock market returns and is applicable to practical use such as the Value-at-Risk estimation and the portfolio analysis. We perform empirical analysis with daily/intraday data of the S&P500 index return and find that the volatility fluctuation of real markets is well-consistent with the assumptions of the Beck model: The volatility fluctuates at a much larger time scale than the return itself and the inverse of variance, or “inverse temperature”, β obeys Γ-distribution. As predicted by the Beck model, the distribution of returns is well-fitted by q-Gaussian distribution of Tsallis statistics. The evaluation method of Value-at-Risk (VaR), one of the most significant indicators in risk management, is studied for q-Gaussian distribution. Our proposed method enables the VaR evaluation in consideration of tail risk, which is underestimated by the variance-covariance method. A framework of portfolio risk assessment under the existence of tail risk is considered. We propose a multi-asset model with a single volatility fluctuation shared by all assets, named the single β model, and empirically examine the agreement between the model and an imaginary portfolio with Dow Jones indices. It turns out that the single β model gives good approximation to portfolios composed of the assets with non-Gaussian and correlated returns.

  19. 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...

  20. Pan-European management of electricity portfolios: Risks and opportunities of contract bundling

    International Nuclear Information System (INIS)

    Gampert, Markus; Madlener, Reinhard

    2011-01-01

    Due to the liberalization of energy markets in the European Union, today's European utilities not only focus on electricity supply, but also offer exchange-traded 'structured products' or portfolio management for unbundling financial and physical risk positions. Many utilities are only able to provide these services in their domestic markets. In a globalized economy, the need for a centrally organized pan-European portfolio management has arisen, as it allows a simplified commodity sourcing in combination with an optimized risk management. In this paper, we examine the challenges to be overcome for establishing a European-wide bundling of electricity contracts. For this purpose, a case study based on the business perspective of RWE Supply and Trading in Central and Eastern Europe is carried out. In a first step, we analyze general requirements for a pan-European bundling of electricity contracts. Then, RWE's situation in Europe is examined, based on which we finally propose a concept to meet customer demands in Central and Eastern Europe. - Research highlights: → Analysis of electricity market liberalization in Central and Eastern Europe. → Identification of requirements and problems for pan-European bundling of contracts. → Case study based on RWE Supply and Trading perspective in Central and Eastern Europe. → Model development for pan-European unbundling of financial/physical risk positions.

  1. Pharmaceutical portfolio management: global disease burden and corporate performance metrics.

    Science.gov (United States)

    Daems, Rutger; Maes, Edith; Mehra, Maneesha; Carroll, Benjamin; Thomas, Adrian

    2014-09-01

    Biopharmaceutical companies face multiple external pressures. Shareholders demand a profitable company while governments, nongovernmental third parties, and the public at large expect a commitment to improving health in developed and, in particular, emerging economies. Current industry commercial models are inadequate for assessing opportunities in emerging economies where disease and market data are highly limited. The purpose of this article was to define a conceptual framework and build an analytic decision-making tool to assess and enhance a company's global portfolio while balancing its business needs with broader social expectations. Through a case-study methodology, we explore the relationship between business and social parameters associated with pharmaceutical innovation in three distinct disease areas. The global burden of disease-based theoretical framework using disability-adjusted life-years provides an overview of the burden associated with particular diseases. The social return on investment is expressed as disability-adjusted life-years averted as a result of the particular pharmaceutical innovation. Simultaneously, the business return on investment captures the research and development costs and projects revenues in terms of a profitability index. The proposed framework can assist companies as they strive to meet the medical needs of populations around the world for decades to come. Copyright © 2014 International Society for Pharmacoeconomics and Outcomes Research (ISPOR). Published by Elsevier Inc. All rights reserved.

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

    OpenAIRE

    Weißbach, Rafael; von Lieres und Wilkau, Carsten

    2005-01-01

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

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

    Science.gov (United States)

    Shinzato, Takashi

    2017-06-01

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

  4. Capability and Development Risk Management in System-of-Systems Architectures: A Portfolio Approach to Decision-Making

    Science.gov (United States)

    2012-04-30

    tool that provides a means of balancing capability development against cost and interdependent risks through the use of modern portfolio theory ...Focardi, 2007; Tutuncu & Cornuejols, 2007) that are extensions of modern portfolio and control theory . The reformulation allows for possible changes...Acquisition: Wave Model context • An Investment Portfolio Approach – Mean Variance Approach – Mean - Variance : A Robust Version • Concept

  5. Land-use planning for nearshore ecosystem services—the Puget Sound Ecosystem Portfolio Model

    Science.gov (United States)

    Byrd, Kristin

    2011-01-01

    The 2,500 miles of shoreline and nearshore areas of Puget Sound, Washington, provide multiple benefits to people—"ecosystem services"—including important fishing, shellfishing, and recreation industries. To help resource managers plan for expected growth in coming decades, the U.S. Geological Survey Western Geographic Science Center has developed the Puget Sound Ecosystem Portfolio Model (PSEPM). Scenarios of urban growth and shoreline modifications serve as model inputs to develop alternative futures of important nearshore features such as water quality and beach habitats. Model results will support regional long-term planning decisions for the Puget Sound region.

  6. Portfolio Management with Stochastic Interest Rates and Inflation Ambiguity

    DEFF Research Database (Denmark)

    Munk, Claus; Rubtsov, Alexey Vladimirovich

    We solve a stock-bond-cash portfolio choice problem for a risk- and ambiguity-averse investor in a setting where the inflation rate and interest rates are stochastic. The expected inflation rate is unobservable, but the investor may learn about it from realized inflation and observed stock and bond......-Jacobi-Bellman equation in closed form and derive and illustrate a number of interesting properties of the solution. For example, ambiguity aversion affects the optimal portfolio through the correlation of price level with the stock index, a bond, and the expected inflation rate. Furthermore, unlike other settings...

  7. The portfolio method as management support for patients with major depression.

    Science.gov (United States)

    Nunstedt, Håkan; Nilsson, Kerstin; Skärsäter, Ingela

    2014-06-01

    To describe how patients with major depression in psychiatric outpatient care use the portfolio method and whether the method helps the patients to understand their depression. Major depressive disorder is an increasing problem in society. Learning about one's depression has been demonstrated to be important for recovery. If the goal is better understanding and management of depression, learning must proceed on the patient's own terms, based on the patient's previous understanding of their depression. Learning must be aligned with patient needs if it is to result in meaningful and useful understanding. Each patient's portfolio consisted of a binder. Inside the binder, there was a register with predetermined flaps and questions. The patients were asked to work with the questions in the sections that built the content in the portfolio. Individual interviews with patients (n = 5) suffering from major depression according to Diagnostic and Statistical Manual of Mental Disorders - Fourth Edition (DSM-IV) (American Psychiatric Association 1994) were repeatedly conducted between April 2008 and August 2009 in two psychiatric outpatient clinics in western Sweden. Data were analysed using latent content analysis. The results showed that the portfolio was used by patients as a management strategy for processing and analysis of their situation and that a portfolio's structure affects its usability. The patients use the portfolio for reflection on and confirmation of their progress, to create structure in their situation, as a management strategy for remembering situations and providing reminders of upcoming activities. Using a clearly structured care portfolio can enable participation and patient learning and help patients understand their depression. The portfolio method could provide a tool in psychiatric nursing that may facilitate patient understanding and increase self-efficacy. © 2013 John Wiley & Sons Ltd.

  8. Roy's safety-first portfolio principle in financial risk management of disastrous events.

    Science.gov (United States)

    Chiu, Mei Choi; Wong, Hoi Ying; Li, Duan

    2012-11-01

    Roy pioneers the concept and practice of risk management of disastrous events via his safety-first principle for portfolio selection. More specifically, his safety-first principle advocates an optimal portfolio strategy generated from minimizing the disaster probability, while subject to the budget constraint and the mean constraint that the expected final wealth is not less than a preselected disaster level. This article studies the dynamic safety-first principle in continuous time and its application in asset and liability management. We reveal that the distortion resulting from dropping the mean constraint, as a common practice to approximate the original Roy's setting, either leads to a trivial case or changes the problem nature completely to a target-reaching problem, which produces a highly leveraged trading strategy. Recognizing the ill-posed nature of the corresponding Lagrangian method when retaining the mean constraint, we invoke a wisdom observed from a limited funding-level regulation of pension funds and modify the original safety-first formulation accordingly by imposing an upper bound on the funding level. This model revision enables us to solve completely the safety-first asset-liability problem by a martingale approach and to derive an optimal policy that follows faithfully the spirit of the safety-first principle and demonstrates a prominent nature of fighting for the best and preventing disaster from happening. © 2012 Society for Risk Analysis.

  9. A General Framework for Portfolio Theory. Part I: theory and various models

    OpenAIRE

    Maier-Paape, Stanislaus; Zhu, Qiji Jim

    2017-01-01

    Utility and risk are two often competing measurements on the investment success. We show that efficient trade-off between these two measurements for investment portfolios happens, in general, on a convex curve in the two dimensional space of utility and risk. This is a rather general pattern. The modern portfolio theory of Markowitz [H. Markowitz, Portfolio Selection, 1959] and its natural generalization, the capital market pricing model, [W. F. Sharpe, Mutual fund performance , 1966] are spe...

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

    OpenAIRE

    Korsos, Laszlo F.

    2013-01-01

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

  11. Using Electronic Student Portfolios in Management Education: A Stakeholder Perspective.

    Science.gov (United States)

    Chappell, David S.; Schermerhorn, John R., Jr.

    1999-01-01

    A business school is using electronic student portfolios as an academic assessment and career development tool. They are also used for internship and job placements. It is recommended that they be mandatory, even for students with weaker computer skills, and they should have defined deadlines and feedback mechanisms. (SK)

  12. TROPHIC PORTFOLIOS IN MARINE FISHERIES: A STEP TOWARDS ECOSYSTEM MANAGEMENT

    OpenAIRE

    Sanchirico, James N.; Smith, Martin D.

    2003-01-01

    Marine ecologists warn that humans are "fishing down marine food webs." To explore the economic implications of this phenomenon, this paper applies portfolio theory to aggregate fisheries data. It poses two definitions of a sustainable mean-variance catch frontier. It computes a mean-variance frontier for catch using UNFAO historical fisheries data. Finally, the paper discusses the historical trend in inefficiency.

  13. 17 CFR 274.130 - Form N-Q, quarterly schedule of portfolio holdings of registered management investment company.

    Science.gov (United States)

    2010-04-01

    ... of portfolio holdings of registered management investment company. 274.130 Section 274.130 Commodity... INVESTMENT COMPANY ACT OF 1940 Forms for Reports § 274.130 Form N-Q, quarterly schedule of portfolio holdings of registered management investment company. This form shall be used by registered management...

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

    Directory of Open Access Journals (Sweden)

    José Claudio Isaias

    2015-01-01

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

  15. Portfolio management under sudden changes in volatility and heterogeneous investment horizons

    Science.gov (United States)

    Fernandez, Viviana; Lucey, Brian M.

    2007-03-01

    We analyze the implications for portfolio management of accounting for conditional heteroskedasticity and sudden changes in volatility, based on a sample of weekly data of the Dow Jones Country Titans, the CBT-municipal bond, spot and futures prices of commodities for the period 1992-2005. To that end, we first proceed to utilize the ICSS algorithm to detect long-term volatility shifts, and incorporate that information into PGARCH models fitted to the returns series. At the next stage, we simulate returns series and compute a wavelet-based value at risk, which takes into consideration the investor's time horizon. We repeat the same procedure for artificial data generated from semi-parametric estimates of the distribution functions of returns, which account for fat tails. Our estimation results show that neglecting GARCH effects and volatility shifts may lead to an overestimation of financial risk at different time horizons. In addition, we conclude that investors benefit from holding commodities as their low or even negative correlation with stock and bond indices contribute to portfolio diversification.

  16. Purpose and Pedagogy: A Conceptual Model for an ePortfolio

    Science.gov (United States)

    Buyarski, Catherine A.; Aaron, Robert W.; Hansen, Michele J.; Hollingsworth, Cynthia D.; Johnson, Charles A.; Kahn, Susan; Landis, Cynthia M.; Pedersen, Joan S.; Powell, Amy A.

    2015-01-01

    This conceptual model emerged from the need to balance multiple purposes and perspectives associated with developing an ePortfolio designed to promote student development and success. A comprehensive review of literature from various disciplines, theoretical frameworks, and scholarship, including self-authorship, reflection, ePortfolio pedagogy,…

  17. The Effects of ePortfolio-Based Learning Model on Student Self-Regulated Learning

    Science.gov (United States)

    Nguyen, Lap Trung; Ikeda, Mitsuru

    2015-01-01

    Self-regulated learners are aware of their knowledge and skills and proactive in learning. They view learning as a controllable process and accept more responsibility for the results of this process. The research described in this article proposes, implements, and evaluates an ePortfolio-based self-regulated learning model. An ePortfolio system…

  18. Fuzzy portfolio model with fuzzy-input return rates and fuzzy-output proportions

    Science.gov (United States)

    Tsaur, Ruey-Chyn

    2015-02-01

    In the finance market, a short-term investment strategy is usually applied in portfolio selection in order to reduce investment risk; however, the economy is uncertain and the investment period is short. Further, an investor has incomplete information for selecting a portfolio with crisp proportions for each chosen security. In this paper we present a new method of constructing fuzzy portfolio model for the parameters of fuzzy-input return rates and fuzzy-output proportions, based on possibilistic mean-standard deviation models. Furthermore, we consider both excess or shortage of investment in different economic periods by using fuzzy constraint for the sum of the fuzzy proportions, and we also refer to risks of securities investment and vagueness of incomplete information during the period of depression economics for the portfolio selection. Finally, we present a numerical example of a portfolio selection problem to illustrate the proposed model and a sensitivity analysis is realised based on the results.

  19. Safety Risk Knowledge Elicitation in Support of Aeronautical R and D Portfolio Management: A Case Study

    Science.gov (United States)

    Shih, Ann T.; Ancel, Ersin; Jones, Sharon Monica; Reveley, Mary S.; Luxhoj, James T.

    2012-01-01

    Aviation is a problem domain characterized by a high level of system complexity and uncertainty. Safety risk analysis in such a domain is especially challenging given the multitude of operations and diverse stakeholders. The Federal Aviation Administration (FAA) projects that by 2025 air traffic will increase by more than 50 percent with 1.1 billion passengers a year and more than 85,000 flights every 24 hours contributing to further delays and congestion in the sky (Circelli, 2011). This increased system complexity necessitates the application of structured safety risk analysis methods to understand and eliminate where possible, reduce, and/or mitigate risk factors. The use of expert judgments for probabilistic safety analysis in such a complex domain is necessary especially when evaluating the projected impact of future technologies, capabilities, and procedures for which current operational data may be scarce. Management of an R&D product portfolio in such a dynamic domain needs a systematic process to elicit these expert judgments, process modeling results, perform sensitivity analyses, and efficiently communicate the modeling results to decision makers. In this paper a case study focusing on the application of an R&D portfolio of aeronautical products intended to mitigate aircraft Loss of Control (LOC) accidents is presented. In particular, the knowledge elicitation process with three subject matter experts who contributed to the safety risk model is emphasized. The application and refinement of a verbal-numerical scale for conditional probability elicitation in a Bayesian Belief Network (BBN) is discussed. The preliminary findings from this initial step of a three-part elicitation are important to project management practitioners as they illustrate the vital contribution of systematic knowledge elicitation in complex domains.

  20. Collection management to reduce the uncorrect credit portfolio granted by the National Development Bank, Ecuador

    Directory of Open Access Journals (Sweden)

    Frank A. Lemoine-Quintero

    2018-01-01

    Full Text Available The objective of the research was to develop a collection management model for the reduction of the uncollectible portfolio generated by the microcredits of the National Development Bank (BNF in the Bolívar canton of Ecuador. A diagnosis was made based on the bank's internal and external analysis to define the strengths and weaknesses. The engineering matrix of the services allows to locate the credits the client quadrants unsatisfied and little satisfied. A budget history was evaluated to grant the credits in order to analyze the main causes of the services that are granted to define the objective and subjective problems. The results obtained allowed to define growth strategies, defense strategies and competitive strategies.

  1. From the microscope to the macroscopic: changing from the bench to portfolio management.

    Science.gov (United States)

    Sachs, Michael

    2017-11-01

    A role in portfolio management is ideal for individuals who enjoy tackling challenges that have both technical and business components. Portfolio management provides objective insights and analytics to support research and development decision making and planning. Successful practitioners usually have strong analytical abilities developed from a background in either science or business. Portfolio managers often advise key decision makers at both the team and senior management level and thus require robust oral, written, and interpersonal communication skills. Day-to-day tasks are rarely the same, and comfort with change and the unknown is essential. Here I will discuss my experience as a portfolio manager in a larger biopharmaceutical company and the skills from academic research I leveraged to make the transition. © 2017 Sachs. This article is distributed by The American Society for Cell Biology under license from the author(s). Two months after publication it is available to the public under an Attribution–Noncommercial–Share Alike 3.0 Unported Creative Commons License (http://creativecommons.org/licenses/by-nc-sa/3.0).

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

    Directory of Open Access Journals (Sweden)

    Aldrin Herwany

    2008-09-01

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

  3. Improving IT Portfolio Management Decision Confidence Using Multi-Criteria Decision Making and Hypervariate Display Techniques

    Science.gov (United States)

    Landmesser, John Andrew

    2014-01-01

    Information technology (IT) investment decision makers are required to process large volumes of complex data. An existing body of knowledge relevant to IT portfolio management (PfM), decision analysis, visual comprehension of large volumes of information, and IT investment decision making suggest Multi-Criteria Decision Making (MCDM) and…

  4. Discourses and Theoretical Assumptions in IT Project Portfolio Management: A Review of the Literature

    DEFF Research Database (Denmark)

    Hansen, Lars Kristian

    2014-01-01

    These years increasing interest is put on IT project portfolio management (IT PPM). Considering IT PPM an interdisciplinary practice, this paper conducts a concept-based literature review of relevant articles across various research disciplines. It finds and classifies a stock of 107 relevant...

  5. 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)

  6. Accurate and Robust Numerical Methods for the Dynamic Portfolio Management Problem

    NARCIS (Netherlands)

    F. Cong (Fei); C.W. Oosterlee (Cornelis)

    2017-01-01

    textabstractThis paper enhances a well-known dynamic portfolio management algorithm, the BGSS algorithm, proposed by Brandt et al. (Review of Financial Studies, 18(3):831–873, 2005). We equip this algorithm with the components from a recently developed method, the Stochastic Grid Bundling Method

  7. Accurate and Robust Numerical Methods for the Dynamic Portfolio Management Problem

    NARCIS (Netherlands)

    Cong, F.; Oosterlee, C.W.

    2016-01-01

    This paper enhances a well-known dynamic portfolio management algorithm, the BGSS algorithm, proposed by Brandt et al. (Review of Financial Studies, 18(3):831–873, 2005). We equip this algorithm with the components from a recently developed method, the Stochastic Grid Bundling Method (SGBM), for

  8. Accurate and Robust Numerical Methods for the Dynamic Portfolio Management Problem

    NARCIS (Netherlands)

    Cong, F.; Oosterlee, C.W.

    2016-01-01

    This paper enhances a well-known dynamic portfolio management algorithm, the BGSS algorithm, proposed by Brandt et al. (Review of Financial Studies, 18(3):831–873, 2005). We equip this algorithm with the components from a recently developed method, the Stochastic Grid Bundling Method (SGBM), for

  9. Discourses and Theoretical Assumptions in IT Project Portfolio Management: A Review of the Literature (reprint)

    DEFF Research Database (Denmark)

    Hansen, Lars Kristian

    2016-01-01

    These years increasing interest is put on IT project portfolio management (IT PPM). Considering IT PPM an interdisciplinary practice, this paper conducts a concept-based literature review of relevant articles across various research disciplines. It finds and classifies a stock of 107 relevant...

  10. Positioning the Learning Asset Portfolio as a Key Component in an Organization's Enterprise Risk Management Strategy

    Science.gov (United States)

    McAliney, Peter J.

    2009-01-01

    This article presents a process for valuing a portfolio of learning assets used by line executives across industries to value traditional business assets. Embedded within the context of enterprise risk management, this strategic asset allocation process is presented step by step, providing readers the operational considerations to implement this…

  11. The role of nuclear plants in portfolio management of CEZ, a. s

    International Nuclear Information System (INIS)

    Svoboda, A. . E-mail : svoboda@mail.cez.cz

    2004-01-01

    CEZ operates a portfolio of power plants with different unit sizes, fuel and flexibility. This portfolio has been extended significantly by launching the Temelin nuclear power plant. CEZ manages its power plants and trades actively around them in the liberalized but relatively small market with limited liquidity and cross-border connections. After the initial testing period, reliable operation of two 1000 MW Temelin units with low variable costs provide an attractive trading opportunity especially in the environment of uncertain fossil fuels, emission regulation and volatile availability of renewable energy. CEZ has learned ho to dampen the negative impact of available capacity changes and monetize on its extended portfolio of nuclear plants. The presentation contains many graphs illustrating the situation in the Czech power sector

  12. Risk management and portfolio optimization in volatile energy markets

    International Nuclear Information System (INIS)

    El-Ramly, Z.

    2002-01-01

    Characteristics of competitive markets, especially as they relate to the deregulated electricity market, are explained in terms of pricing, contracting, operation, the types of physical and financial products and services, and procurement decisions. The importance of market monitoring, organization monitoring and analysis, the understanding of market dynamics and the impacts of market data, price volatility and risk, and how they affect and are used in decision making are reviewed in some detail. A variety of proprietary task-specific power tools such as the ZE Data Manager, ZE XML Importer, ZE Market Analyzer, ZE Forward Price Models, ZE Trade Manager, and ZE Credit Risk Manager are described, and their application demonstrated. The inter-relatedness of price volatility and risk is discussed, along with the need to understand, monitor, quantify and deal with it on a continuous basis

  13. How banking sanctions influence on performance of foreign currency portfolio management

    Directory of Open Access Journals (Sweden)

    Mohammad Khodaei Valahzaghard

    2013-02-01

    Full Text Available A good portfolio optimization on banks’ currency holdings not only helps meet their needs but also it increases banks’ total assets. During the past few months, US sanctions against Iran has influenced profitability banking currency portfolio holding. The proposed model of this paper considers the weekly information of two years before and after sanctions occurred in Iranian banking system. Therefore, the study uses 210 weekly data and proposes a method to analyze the data to measure the performance of banking currency portfolio after sanction happens. The proposed model of this paper provides lost profit and unrealized loss and using the idea of Technique for Order of Preference by Similarity to Ideal Solution (TOPSIS we rank the resulted data. Next, we use some parametric and non-parametric methods to see whether there is any change as a result of sanction on the performance of the portfolio. The results indicate that not only the performance of the portfolio was reduced but also the variance of the return after sanction has been increased.

  14. Applying the Land Use Portfolio Model with Hazus to analyse risk from natural hazard events

    Science.gov (United States)

    Dinitz, Laura B.; Taketa, Richard A.

    2013-01-01

    This paper describes and demonstrates the integration of two geospatial decision-support systems for natural-hazard risk assessment and management. Hazus is a risk-assessment tool developed by the Federal Emergency Management Agency to identify risks and estimate the severity of risk from natural hazards. The Land Use Portfolio Model (LUPM) is a risk-management tool developed by the U.S. Geological Survey to evaluate plans or actions intended to reduce risk from natural hazards. We analysed three mitigation policies for one earthquake scenario in the San Francisco Bay area to demonstrate the added value of using Hazus and the LUPM together. The demonstration showed that Hazus loss estimates can be input to the LUPM to obtain estimates of losses avoided through mitigation, rates of return on mitigation investment, and measures of uncertainty. Together, they offer a more comprehensive approach to help with decisions for reducing risk from natural hazards.

  15. 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

  16. Methodical bases of accounting and analytical support for the management of credit portfolio of the bank

    Directory of Open Access Journals (Sweden)

    A.M. Gerasimovich

    2015-03-01

    Full Text Available Solved how to optimize the system of accounting and analytical indicators to assess the level of risk and the effectiveness of the Bank's credit activity, on the basis of scale, scope and structure of the credit portfolio; the turnover of credit investments; the problematical character of the loan portfolio and the level of risk and security of the loan portfolio. Exploring the possibility of accounting on the basis of which analysis calculated metrics and evaluation of significance proposed, in contrast to the current Grad C system with more than 50 indicators, the most informative in the amount of 20–25, which allow daily operational way to assess the level of credit portfolio management of the Bank. This contributes to the daily detailed sub-accounts trial balance balance sheet, which consists of all banks and provide the National Bank of Ukraine. So, the most reasonable is the performance in terms of scale and structure – percentage changes; turnover rates – the rate in days; problem – percentage problems; credit risk – factor security loans; management effectiveness factors: the economy, profitability and efficiency.

  17. Mean-variance model for portfolio optimization with background risk based on uncertainty theory

    Science.gov (United States)

    Zhai, Jia; Bai, Manying

    2018-04-01

    The aim of this paper is to develop a mean-variance model for portfolio optimization considering the background risk, liquidity and transaction cost based on uncertainty theory. In portfolio selection problem, returns of securities and assets liquidity are assumed as uncertain variables because of incidents or lacking of historical data, which are common in economic and social environment. We provide crisp forms of the model and a hybrid intelligent algorithm to solve it. Under a mean-variance framework, we analyze the portfolio frontier characteristic considering independently additive background risk. In addition, we discuss some effects of background risk and liquidity constraint on the portfolio selection. Finally, we demonstrate the proposed models by numerical simulations.

  18. Portfolio size as funktion of the premium: modeling and optimization

    DEFF Research Database (Denmark)

    Asmussen, Søren; Christensen, Bent Jesper; Taksar, Michael I

    An insurance company has a large number N of potential customers characterized by i.i.d. r.v.'s A1,…,AN giving the arrival rates of claims. Customers are risk averse, and a customer accepts an offered premium p according to his A-value. The modeling further involves a discount rate d>r of customers......, where r is the risk-free interest rate. Based on calculations of the customers' present values of the alternative strategies of insuring and not insuring, the portfolio size n(p) is derived, and also the rate of claims from the insured customers is given. Further, the value of p which is optimal...... for minimizing the ruin probability is derived in a diffusion approximation to the Cramér-Lundberg risk process with an added liability rate L of the company. The solution involves the Lambert W function. Similar discussion is given for extensions involving customers having only partial information...

  19. 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.

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

    Science.gov (United States)

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

    2014-06-01

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

  1. Portfolio management using realized covariances: Evidence from Brazil

    Directory of Open Access Journals (Sweden)

    João F. Caldeira

    2017-09-01

    Full Text Available It is often argued that intraday returns can be used to construct covariance estimates that are more accurate than those based on daily returns. However, it is still unclear whether high frequency data provide more precise covariance estimates in markets more contaminated from microstructure noise such as higher bid-ask spreads and lower liquidity. We address this question by investigating the benefits of using high frequency data in the Brazilian equities market to construct optimal minimum variance portfolios. We implement alternative realized covariance estimators based on intraday returns sampled at alternative frequencies and obtain their dynamic versions using a multivariate GARCH framework. Our evidence based on a high-dimensional data set suggests that realized covariance estimators performed significantly better from an economic point of view in comparison to standard estimators based on low-frequency (close-to-close data as they delivered less risky portfolios. Resumo: Argumenta-se frequentemente que retornos intradiários podem ser usados para construir estimativas de covariâncias mais precisas em relação àquelas obtidas com retornos diários. No entanto, ainda não está claro se os dados de alta freqüência fornecem estimativas de covariância mais precisas em mercados mais contaminados pelo ruído da microestrutura, como maiores spreads entre ofertas de compra e venda e baixa liquidez. Abordamos essa questão investigando os benefícios do uso de dados de alta freqüência no mercado de ações brasileiro através da construção de portfólios ótimos de variância mínima. Implementamos diversos estimadores de covariâncias realizadas com base em retornos intradiários amostrados em diferentes frequências e obtemos suas versões dinâmicas usando uma estrutura GARCH multivariada. Nossa evidência baseada em um conjunto de dados de alta dimensão sugere que os estimadores de covariâncias realizadas obtiveram um desempenho

  2. Risk of portfolio with simulated returns based on copula model

    Science.gov (United States)

    Razak, Ruzanna Ab; Ismail, Noriszura

    2015-02-01

    The commonly used tool for measuring risk of a portfolio with equally weighted stocks is variance-covariance method. Under extreme circumstances, this method leads to significant underestimation of actual risk due to its multivariate normality assumption of the joint distribution of stocks. The purpose of this research is to compare the actual risk of portfolio with the simulated risk of portfolio in which the joint distribution of two return series is predetermined. The data used is daily stock prices from the ASEAN market for the period January 2000 to December 2012. The copula approach is applied to capture the time varying dependence among the return series. The results shows that the chosen copula families are not suitable to present the dependence structures of each bivariate returns. Exception for the Philippines-Thailand pair where by t copula distribution appears to be the appropriate choice to depict its dependence. Assuming that the t copula distribution is the joint distribution of each paired series, simulated returns is generated and value-at-risk (VaR) is then applied to evaluate the risk of each portfolio consisting of two simulated return series. The VaR estimates was found to be symmetrical due to the simulation of returns via elliptical copula-GARCH approach. By comparison, it is found that the actual risks are underestimated for all pairs of portfolios except for Philippines-Thailand. This study was able to show that disregard of the non-normal dependence structure of two series will result underestimation of actual risk of the portfolio.

  3. 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.

  4. Estimating Risk of Natural Gas Portfolios by Using GARCH-EVT-Copula Model.

    Science.gov (United States)

    Tang, Jiechen; Zhou, Chao; Yuan, Xinyu; Sriboonchitta, Songsak

    2015-01-01

    This paper concentrates on estimating the risk of Title Transfer Facility (TTF) Hub natural gas portfolios by using the GARCH-EVT-copula model. We first use the univariate ARMA-GARCH model to model each natural gas return series. Second, the extreme value distribution (EVT) is fitted to the tails of the residuals to model marginal residual distributions. Third, multivariate Gaussian copula and Student t-copula are employed to describe the natural gas portfolio risk dependence structure. Finally, we simulate N portfolios and estimate value at risk (VaR) and conditional value at risk (CVaR). Our empirical results show that, for an equally weighted portfolio of five natural gases, the VaR and CVaR values obtained from the Student t-copula are larger than those obtained from the Gaussian copula. Moreover, when minimizing the portfolio risk, the optimal natural gas portfolio weights are found to be similar across the multivariate Gaussian copula and Student t-copula and different confidence levels.

  5. Estimating Risk of Natural Gas Portfolios by Using GARCH-EVT-Copula Model

    Directory of Open Access Journals (Sweden)

    Jiechen Tang

    2015-01-01

    Full Text Available This paper concentrates on estimating the risk of Title Transfer Facility (TTF Hub natural gas portfolios by using the GARCH-EVT-copula model. We first use the univariate ARMA-GARCH model to model each natural gas return series. Second, the extreme value distribution (EVT is fitted to the tails of the residuals to model marginal residual distributions. Third, multivariate Gaussian copula and Student t-copula are employed to describe the natural gas portfolio risk dependence structure. Finally, we simulate N portfolios and estimate value at risk (VaR and conditional value at risk (CVaR. Our empirical results show that, for an equally weighted portfolio of five natural gases, the VaR and CVaR values obtained from the Student t-copula are larger than those obtained from the Gaussian copula. Moreover, when minimizing the portfolio risk, the optimal natural gas portfolio weights are found to be similar across the multivariate Gaussian copula and Student t-copula and different confidence levels.

  6. An Evolutionary Algorithm for Multiobjective Fuzzy Portfolio Selection Models with Transaction Cost and Liquidity

    Directory of Open Access Journals (Sweden)

    Wei Yue

    2015-01-01

    Full Text Available The major issues for mean-variance-skewness models are the errors in estimations that cause corner solutions and low diversity in the portfolio. In this paper, a multiobjective fuzzy portfolio selection model with transaction cost and liquidity is proposed to maintain the diversity of portfolio. In addition, we have designed a multiobjective evolutionary algorithm based on decomposition of the objective space to maintain the diversity of obtained solutions. The algorithm is used to obtain a set of Pareto-optimal portfolios with good diversity and convergence. To demonstrate the effectiveness of the proposed model and algorithm, the performance of the proposed algorithm is compared with the classic MOEA/D and NSGA-II through some numerical examples based on the data of the Shanghai Stock Exchange Market. Simulation results show that our proposed algorithm is able to obtain better diversity and more evenly distributed Pareto front than the other two algorithms and the proposed model can maintain quite well the diversity of portfolio. The purpose of this paper is to deal with portfolio problems in the weighted possibilistic mean-variance-skewness (MVS and possibilistic mean-variance-skewness-entropy (MVS-E frameworks with transaction cost and liquidity and to provide different Pareto-optimal investment strategies as diversified as possible for investors at a time, rather than one strategy for investors at a time.

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

    Science.gov (United States)

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

    2014-12-01

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

  8. Model of formation of low-risk stock portfolio in modern financial markets

    Directory of Open Access Journals (Sweden)

    Дмитро Сергійович Богач

    2016-03-01

    Full Text Available The basic principles of formation of an investment portfolio in modern financial markets are determined. A method of forming stock portfolio due to the statistical properties of stationary process and relations between the behavior of stocks and economic sector, characterizing these actions, is proposed. Optimal points of recalculation of model depends on changes in current trends in the financial market is described

  9. Portfolio Optimization: A Combined Regime-Switching and Black–Litterman Model

    OpenAIRE

    Edwin O. Fischer; Immanuel Seidl

    2013-01-01

    Traditionally portfolios are optimized with the single-regime Markowitz model using the volatility as the risk measure and the historical return as the expected return. This study shows the effects that a regime-switching framework and alternative risk measures (modified value at risk and conditional value at risk) and return measures (CAPM estimates and Black–Litterman estimates) have on the asset allocation and on the absolute and relative performance of portfolios. It demonstrates that the...

  10. 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...

  11. A comparison of portfolio selection models via application on ISE 100 index data

    Science.gov (United States)

    Altun, Emrah; Tatlidil, Hüseyin

    2013-10-01

    Markowitz Model, a classical approach to portfolio optimization problem, relies on two important assumptions: the expected return is multivariate normally distributed and the investor is risk averter. But this model has not been extensively used in finance. Empirical results show that it is very hard to solve large scale portfolio optimization problems with Mean-Variance (M-V)model. Alternative model, Mean Absolute Deviation (MAD) model which is proposed by Konno and Yamazaki [7] has been used to remove most of difficulties of Markowitz Mean-Variance model. MAD model don't need to assume that the probability of the rates of return is normally distributed and based on Linear Programming. Another alternative portfolio model is Mean-Lower Semi Absolute Deviation (M-LSAD), which is proposed by Speranza [3]. We will compare these models to determine which model gives more appropriate solution to investors.

  12. Absorptive Capacity, Alliance Portfolios and Innovation Performance: an Analytical Model Based on Bibliographic Research

    Directory of Open Access Journals (Sweden)

    Teresia Diana Lewe van Aduard de Macedo-Soares

    2016-10-01

    Full Text Available The objective of this article is to present a model for analysing the role of absorptive capacity in the relationship between strategic alliance portfolios and innovation performance based on the results of bibliographic research on the subject published between 2000 and 2015. The research was carried out in three stages, involving both quantitative - bibliometric and bibliographic coupling - and qualitative content analyses.  AP management capabilities were found to have a fundamental moderating role in the AP–IP relationship, and amongst these capabilities AC was highlighted by several authors. However, its role was found to vary according to AP characteristics, notably AP diversity – functional, geographic and institutional, but also centrality, size, stability and volume of resources, alliance and partner types as well as country type: emerging versus developed economies. This research formed the basis for the development of the model and the formulation of some propositions that focused on emerging countries.

  13. Transforming local government by project portfolio management: Identifying and overcoming control problems

    DEFF Research Database (Denmark)

    Hansen, Lars Kristian

    2013-01-01

    Purpose – As public organizations strive for higher e-government maturity, information technology (IT) Project Portfolio Management (IT PPM) has become a high priority issue. Assuming control is central in IT PPM, the purpose of this paper is to investigate how a Danish local government conducts...... to understand how local governments can improve IT PPM. Keywords IT project portfolio management, E-government, Control theory, Control problems, Formal mechanisms, Informal mechanisms, Local government, Denmark...... control in IT PPM. The authors identify control problems and formulate recommendations to address these. Design/methodology/approach – Adopting principles from Engaged Scholarship, the authors have conducted a case study using a wide variety of data collection methods, including 29 interviews, one...

  14. Decision Support for Retirement Portfolio Management: Overcoming Myopic Loss Aversion via Technology Design

    OpenAIRE

    Clayton Arlen Looney; Andrew M. Hardin

    2009-01-01

    As firms continue to abandon pensions in favor of employee-managed retirement plans, tremendous demands are being placed on the decision-making proficiency of future retirees. As reflected in the equity premium puzzle, individual investors tend to hold overly conservative portfolios that provide meager payoffs over time. Consequently, there is growing concern that the vast majority of retirement accounts might be insufficiently funded when employees reach retirement. Given that most retiremen...

  15. 12 CFR 1500.2 - What are the limitations on managing or operating a portfolio company held as a merchant banking...

    Science.gov (United States)

    2010-01-01

    ... of the portfolio company. Examples of the types of actions that may be subject to these types of... operating a portfolio company held as a merchant banking investment? 1500.2 Section 1500.2 Banks and Banking... on managing or operating a portfolio company held as a merchant banking investment? (a) May a...

  16. The portfolio risk management and diversification benefits from the South African rand currency index (rain

    Directory of Open Access Journals (Sweden)

    F.Y. Jordaan

    2012-12-01

    Full Text Available This study attempts to explain the source of risk management and diversification benefits that investors may gain from the South African Rand Currency Index (RAIN as it relates to an equity portfolio with stock market exposure (locally or international. These diversification benefits may result from the negative correlation between RAIN and the South African All Share Index (ALSI. To explain and fully exploit the benefits of RAIN, the main variables that represent South Africa’s trading partner equity and bond markets movements, were identified. To account for the interaction of RAIN with the ALSI, the latter was firstly decomposed into its economic groups and secondly into its various sub-sectors. Various analyses were carried out to determine which variables describe the relationship between the ALSI and RAIN. The variables that describe the relationship with a high adjusted R2, were identified. The findings suggest that when the ALSI is decomposed into its ten economic groups and thirty-seven sub-groups, the quadratic as opposed to linear models using response surface regressions, explained the majority of the variation in RAIN over the entire period. The linear models, however, explained more of the variation in RAIN during the recent 2008/2009 financial crisis

  17. Project Portfolio Management for Academic Libraries: A Gentle Introduction

    Science.gov (United States)

    Vinopal, Jennifer

    2012-01-01

    In highly dynamic, service-oriented environments like academic libraries, much staff time is spent on initiatives to implement new products and services to meet users' evolving needs. Yet even in an environment where a sound project management process is applied, if we're not properly planning, managing, and controlling the organization's work in…

  18. Particle swarm optimization algorithm for mean-variance portfolio optimization: A case study of Istanbul Stock Exchange

    OpenAIRE

    Akyer, Hasan; Kalaycı, Can Berk; Aygören, Hakan

    2018-01-01

    Whileinvestors used to create their portfolios according to traditional portfoliotheory in the past, today modern portfolio approach is widely preferred. Thebasis of the modern portfolio theory was suggested by Harry Markowitz with themean variance model. A greater number of securities in a portfolio is difficultto manage and has an increased transaction cost. Therefore, the number ofsecurities in the portfolio should be restricted. The problem of portfoliooptimization with cardinality constr...

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

    Science.gov (United States)

    Luo, Cuicui; Wu, Desheng

    2016-08-01

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

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

    OpenAIRE

    Ahmad Jaafarnejad; Davood Rafierad; Masoumeh Gardeshi

    2013-01-01

    The adoption of information technology (IT) along with supply chain management (SCM) has become increasingly a necessity among most businesses. This enhances supply chain (SC) performance and helps companies achieve the organizational competitiveness. IT systems capture and analyze information and enable management to make decisions by considering a global scope across the entire SC. This paper reviews the existing literature on IT in SCM and considers pertinent criteria. Using principal comp...

  2. Multivariate Models to Forecast Portfolio Value at Risk: from the Dot- Com crisis to the global financial crisis

    Directory of Open Access Journals (Sweden)

    Manuel Sousa Gabrie

    2014-09-01

    Full Text Available This study analyzed market risk of an international investment portfolio by means of a new methodological proposal based on Value-at- Risk, using the covariance matrix of multivariate GARCH-type models and the extreme value theory to realize if an international diversification strategy minimizes market risk, and to determine if the VaR methodology adequately captures market risk, by applying Backtesting tests. To this end, we considered twelve international stock indexes, accounting for about 62% of the world stock market capitalization, and chose the period from the Dot-Com crisis to the current global financial crisis. Results show that the proposed methodology is a good alternative to accommodate the high market turbulence and can be considered as an adequate portfolio risk management instrument.

  3. Managing supplier involvement in new product development: a portfolio approach

    NARCIS (Netherlands)

    Wynstra, Finn; ten Pierick, E.

    2000-01-01

    Supplier involvement in new product development projects has become an increasingly popular method for improving project effectiveness (product costs and quality) and project efficiency (development costs and time). One of the key issues in managing this involvement is determining which type of

  4. 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.

  5. PRINCIPLES OF STOCK PORTFOLIO MANAGEMENT FOR INDIVIDUAL INVESTOR

    Directory of Open Access Journals (Sweden)

    Aliya Tussayeva

    2015-12-01

    Full Text Available The article deals with the management of equity risk in the US market. We investigate methods of diversification, the method of using a simplified version of the index and invest in securities, depending on the coefficient “beta” and the company’s capitalization. The paper provides guidance on the easy and simple way of investing that will not use the services of professional intermediaries.

  6. Gas contract portfolio management: a stochastic programming approach

    International Nuclear Information System (INIS)

    Haurie, A.; Smeers, Y.; Zaccour, G.

    1991-01-01

    This paper deals with a stochastic programming model which complements long range market simulation models generating scenarios concerning the evolution of demand and prices for gas in different market segments. Agas company has to negociate contracts with lengths going from one to twenty years. This stochastic model is designed to assess the risk associated with committing the gas production capacity of the company to these market segments. Different approaches are presented to overcome the difficulties associated with the very large size of the resulting optimization problem

  7. Influence Manager's Investment Attitude on Organization Environment and Portfolio Performance Reksadana Shares (Study on Mutual Fund Management Company Reksadana Shares in Indonesia)

    OpenAIRE

    Oswari, Teddy; Kowanda, Dionysia

    2007-01-01

    The purpose of this research is to measures the effect of investment manager attitude through operational employees to mutual funds work attitude portfolio, to analyse how big the organizational environment effect together with investment manager attitude, through operational employees to mutual funds work attitude portfolio and analyse the effect of organizational envirobment to investment manage attitude in mutual funds company. The observation conducted in 72 mutual funds company, the data...

  8. Smooth Solutions to Optimal Investment Models with Stochastic Volatilities and Portfolio Constraints

    International Nuclear Information System (INIS)

    Pham, H.

    2002-01-01

    This paper deals with an extension of Merton's optimal investment problem to a multidimensional model with stochastic volatility and portfolio constraints. The classical dynamic programming approach leads to a characterization of the value function as a viscosity solution of the highly nonlinear associated Bellman equation. A logarithmic transformation expresses the value function in terms of the solution to a semilinear parabolic equation with quadratic growth on the derivative term. Using a stochastic control representation and some approximations, we prove the existence of a smooth solution to this semilinear equation. An optimal portfolio is shown to exist, and is expressed in terms of the classical solution to this semilinear equation. This reduction is useful for studying numerical schemes for both the value function and the optimal portfolio. We illustrate our results with several examples of stochastic volatility models popular in the financial literature

  9. An Optimal Portfolio and Capital Management Strategy for Basel III Compliant Commercial Banks

    Directory of Open Access Journals (Sweden)

    Grant E. Muller

    2014-01-01

    Full Text Available We model a Basel III compliant commercial bank that operates in a financial market consisting of a treasury security, a marketable security, and a loan and we regard the interest rate in the market as being stochastic. We find the investment strategy that maximizes an expected utility of the bank’s asset portfolio at a future date. This entails obtaining formulas for the optimal amounts of bank capital invested in different assets. Based on the optimal investment strategy, we derive a model for the Capital Adequacy Ratio (CAR, which the Basel Committee on Banking Supervision (BCBS introduced as a measure against banks’ susceptibility to failure. Furthermore, we consider the optimal investment strategy subject to a constant CAR at the minimum prescribed level. We derive a formula for the bank’s asset portfolio at constant (minimum CAR value and present numerical simulations on different scenarios. Under the optimal investment strategy, the CAR is above the minimum prescribed level. The value of the asset portfolio is improved if the CAR is at its (constant minimum value.

  10. 17 CFR 249.332 - Form N-Q, quarterly schedule of portfolio holdings of registered management investment company.

    Science.gov (United States)

    2010-04-01

    ... of portfolio holdings of registered management investment company. 249.332 Section 249.332 Commodity... management investment company. This form shall be used by registered management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter...

  11. Stock Selection for Portfolios Using Expected Utility-Entropy Decision Model

    Directory of Open Access Journals (Sweden)

    Jiping Yang

    2017-09-01

    Full Text Available Yang and Qiu proposed and then recently improved an expected utility-entropy (EU-E measure of risk and decision model. When segregation holds, Luce et al. derived an expected utility term, plus a constant multiplies the Shannon entropy as the representation of risky choices, further demonstrating the reasonability of the EU-E decision model. In this paper, we apply the EU-E decision model to selecting the set of stocks to be included in the portfolios. We first select 7 and 10 stocks from the 30 component stocks of Dow Jones Industrial Average index, and then derive and compare the efficient portfolios in the mean-variance framework. The conclusions imply that efficient portfolios composed of 7(10 stocks selected using the EU-E model with intermediate intervals of the tradeoff coefficients are more efficient than that composed of the sets of stocks selected using the expected utility model. Furthermore, the efficient portfolio of 7(10 stocks selected by the EU-E decision model have almost the same efficient frontier as that of the sample of all stocks. This suggests the necessity of incorporating both the expected utility and Shannon entropy together when taking risky decisions, further demonstrating the importance of Shannon entropy as the measure of uncertainty, as well as the applicability of the EU-E model as a decision-making model.

  12. Evaluating Portfolio Value-At-Risk Using Semi-Parametric GARCH Models

    NARCIS (Netherlands)

    J.V.K. Rombouts; M.J.C.M. Verbeek (Marno)

    2009-01-01

    textabstractIn this paper we examine the usefulness of multivariate semi-parametric GARCH models for evaluating the Value-at-Risk (VaR) of a portfolio with arbitrary weights. We specify and estimate several alternative multivariate GARCH models for daily returns on the S&P 500 and Nasdaq indexes.

  13. Credit Portfolio Management in a Turning Rates Environment

    OpenAIRE

    Berd, Arthur M.; Ranguelova, Elena; da Silva, Antonio Baldaque

    2013-01-01

    We give a detailed account of correlations between credit sector/quality and treasury curve factors, using the robust framework of the Barclays POINT Global Risk Model. Consistent with earlier studies, we find a strong negative correlation between sector spreads and rate shifts. However, we also observe that the correlations between spreads and Treasury twists reversed recently, which is likely attributable to the Fed's ongoing quantitative easing. We also find that short-term effective durat...

  14. 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.

  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. PMID:25364229

  16. Portfolio theory as a management tool to guide conservation and restoration of multi-stock fish populations

    Science.gov (United States)

    DuFour, Mark R.; May, Cassandra J.; Roseman, Edward F.; Ludsin, Stuart A.; Vandergoot, Christopher S.; Pritt, Jeremy J.; Fraker, Michael E.; Davis, Jeremiah J.; Tyson, Jeffery T.; Miner, Jeffery G.; Marschall, Elizabeth A.; Mayer, Christine M.

    2015-01-01

    Habitat degradation and harvest have upset the natural buffering mechanism (i.e., portfolio effects) of many large-scale multi-stock fisheries by reducing spawning stock diversity that is vital for generating population stability and resilience. The application of portfolio theory offers a means to guide management activities by quantifying the importance of multi-stock dynamics and suggesting conservation and restoration strategies to improve naturally occurring portfolio effects. Our application of portfolio theory to Lake Erie Sander vitreus (walleye), a large population that is supported by riverine and open-lake reef spawning stocks, has shown that portfolio effects generated by annual inter-stock larval fish production are currently suboptimal when compared to potential buffering capacity. Reduced production from riverine stocks has resulted in a single open-lake reef stock dominating larval production, and in turn, high inter-annual recruitment variability during recent years. Our analyses have shown (1) a weak average correlation between annual river and reef larval production (ρ̄ = 0.24), suggesting that a natural buffering capacity exists in the population, and (2) expanded annual production of larvae (potential recruits) from riverine stocks could stabilize the fishery by dampening inter-annual recruitment variation. Ultimately, our results demonstrate how portfolio theory can be used to quantify the importance of spawning stock diversity and guide management on ecologically relevant scales (i.e., spawning stocks) leading to greater stability and resilience of multi-stock populations and fisheries.

  17. A Balanced Portfolio Model For Improving Health: Concept And Vermont's Experience.

    Science.gov (United States)

    Hester, James

    2018-04-01

    A successful strategy for improving population health requires acting in several sectors by implementing a portfolio of interventions. The mix of interventions should be both tailored to meet the community's needs and balanced in several dimensions-for example, time frame, level of risk, and target population. One obstacle is finding sustainable financing for both the interventions and the community infrastructure needed. This article first summarizes Vermont's experience as a laboratory for health reform. It then presents a conceptual model for a community-based population health strategy, using a balanced portfolio and diversified funding approaches. The article then reviews Vermont's population health initiative, including an example of a balanced portfolio and lessons learned from the state's experience.

  18. The difference between LSMC and replicating portfolio in insurance liability modeling.

    Science.gov (United States)

    Pelsser, Antoon; Schweizer, Janina

    2016-01-01

    Solvency II requires insurers to calculate the 1-year value at risk of their balance sheet. This involves the valuation of the balance sheet in 1 year's time. As for insurance liabilities, closed-form solutions to their value are generally not available, insurers turn to estimation procedures. While pure Monte Carlo simulation set-ups are theoretically sound, they are often infeasible in practice. Therefore, approximation methods are exploited. Among these, least squares Monte Carlo (LSMC) and portfolio replication are prominent and widely applied in practice. In this paper, we show that, while both are variants of regression-based Monte Carlo methods, they differ in one significant aspect. While the replicating portfolio approach only contains an approximation error, which converges to zero in the limit, in LSMC a projection error is additionally present, which cannot be eliminated. It is revealed that the replicating portfolio technique enjoys numerous advantages and is therefore an attractive model choice.

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

    OpenAIRE

    Giulio PALOMBA

    2006-01-01

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

  20. PORTFOLIO MANAGEMENT IN NEW PRODUCTS DEVELOPMENT IN THE TELECOMMUNICATION SECTOR IN BRAZIL: A MULTIPLE CASES STUDY

    Directory of Open Access Journals (Sweden)

    Roque Rabechini Jr.

    2017-06-01

    Full Text Available This study aimed to understand how the use of portfolio management practices influence the development of new products in the Brazilian telecommunications operators. The chosen alternative methodology was the multiple case study. The results showed that the processes of identification, selection and prioritization projects influence the development of new products. Specifically, we found that the optimization of resources and product launch projects in short periods of time, are indicators to reveal the possibilities of organizations to remain competitive in the market.

  1. Understanding the Influence of knowledge-sharing in Project Portfolio Management in professional services

    DEFF Research Database (Denmark)

    Møller, Mads Lyngsø; Horsager, Betina; Tambo, Torben

    2016-01-01

    that combine the entire project-, program and portfolio life-cycle. The information processing must facilitate controlled knowledge flows and learnings, while helping the project managers to reduce non-productive knowledge acquisition. This is accomplished with a balance between the need for knowledge....... As critical findings of the paper are observations, characterization of knowledge-sharing and -management processes between clients, consultants, consultants-as-a-community, and senior management with information systems often in a retrospective position according to the immediate needs of PPM....... As such there is found knowledge-based deficit in the precision of the PPM system. The originality of this paper relates to knowledge management studies in small professional services organization at the tipping point where KM changes from person-based to be institutionalized in information systems with having...

  2. Reducing IT costs and ensuring safe operation with application of the portfolio management

    Directory of Open Access Journals (Sweden)

    Livia Alice Mozsar Kovacsne

    2017-05-01

    Full Text Available Large companies need to give focus on their cost components related to their information technology. Business growths is supported by their IT and hundreds or thousands of applications worldwide. Top level management needs to focus more on their information strategy and the applications they need to manage. A structured and transparent application landscape supports not only the current business but it also enables faster business growth for the future as well. Structuring and organizing the applications related to the various risks supports secure business and information operations within a company. Capturing the applications gives the companies an overview of their information costs and provides the possibility of measurement and control of their IT costs elements. Application portfolio management and information security management are important elements of the corporate strategies.

  3. 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.

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

    Directory of Open Access Journals (Sweden)

    Camila Costa Dutra

    2016-12-01

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

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

    Directory of Open Access Journals (Sweden)

    Maria Auxiliadora Cannarozzo Tinoco

    2016-12-01

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

  6. Higher order saddlepoint approximations in the Vasicek portfolio credit loss model

    NARCIS (Netherlands)

    Huang, X.; Oosterlee, C.W.; van der Weide, J.A.M.

    2006-01-01

    This paper utilizes the saddlepoint approximation as an efficient tool to estimate the portfolio credit loss distribution in the Vasicek model. Value at Risk (VaR), the risk measure chosen in the Basel II Accord for the evaluation of capital requirement, can then be found by inverting the loss

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

    International Nuclear Information System (INIS)

    Sutherland, R.J.

    1986-01-01

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

  8. 78 FR 35073 - Compass Efficient Model Portfolios, LLC and Compass EMP Funds Trust; Notice of Application

    Science.gov (United States)

    2013-06-11

    ... Balanced Fund, Compass EMP Multi-Asset Growth Fund, Compass EMP Alternative Strategies Fund, Compass EMP Balanced Volatility Weighted Fund, Compass EMP Growth Volatility Weighted Fund, and Compass EMP... Efficient Model Portfolios, LLC and Compass EMP Funds Trust; Notice of Application June 4, 2013. AGENCY...

  9. ALPHA-BETA SEPARATION PORTFOLIO STRATEGIES FOR ISLAMIC FINANCE

    Directory of Open Access Journals (Sweden)

    Valentyn Khokhlov

    2016-11-01

    Full Text Available 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-variance optimization strategy. Results of the portfolio dynamics clearly show that a significant amount of value was created by alpha-beta separation. The typical alpha ranges from 4% to 5.7%. The most aggressive portfolio strategies that allow short positions in the satellite portfolio work best with frequent rebalancing and benefit from the active bets. Smoothing technique that was introduced to decrease the portfolio turnover and stabilize its composition works better when active bets are less efficient, particularly with less frequent rebalancing. The best risk-return combinations are achieved with modest (3% to 10% allocation of the total portfolio to the satellite, and the remaining part (90% to 97% being managed in order to minimize the tracking error. Practical implications. The alpha-beta separation framework suggested in this paper can be used to enhance the portfolio management techniques for the hedge funds that operate under tight restrictions, particularly under the Islamic finance principles. The mathematical models developed in this paper allow practical implementation of the alphabeta separation concept. Originality/value. While the idea of alpha-beta separation existed in hedge fund management before, there was no comprehensive mathematical model under it, so its implementation was based on the ad hoc approach. This paper introduces such a mathematical model and demonstrates how portfolio managers can create value for their clients using it.

  10. Modeling the resilience of urban water supply using the capital portfolio approach

    Science.gov (United States)

    Krueger, E. H.; Klammler, H.; Borchardt, D.; Frank, K.; Jawitz, J. W.; Rao, P. S.

    2017-12-01

    The dynamics of global change challenge the resilience of cities in a multitude of ways, including pressures resulting from population and consumption changes, production patterns, climate and landuse change, as well as environmental hazards. Responses to these challenges aim to improve urban resilience, but lack an adequate understanding of 1) the elements and processes that lead to the resilience of coupled natural-human-engineered systems, 2) the complex dynamics emerging from the interaction of these elements, including the availability of natural resources, infrastructure, and social capital, which may lead to 3) unintended consequences resulting from management responses. We propose a new model that simulates the coupled dynamics of five types of capitals (water resources, infrastructure, finances, political capital /management, and social adaptive capacity) that are necessary for the provision of water supply to urban residents. We parameterize the model based on data for a case study city, which is limited by constraints in water availability, financial resources, and faced with degrading infrastructure, as well as population increase, which challenge the urban management institutions. Our model analyzes the stability of the coupled system, and produces time series of the capital dynamics to quantify its resilience as a result of the portfolio of capitals available to usher adaptive capacity and to secure water supply subjected to multiple recurring shocks. We apply our model to one real urban water supply system located in an arid environment, as well as a wide range of hypothetical case studies, which demonstrates its applicability to various types of cities, and its ability to quantify and compare water supply resilience. The analysis of a range of urban water systems provides valuable insights into guiding more sustainable responses for maintaining the resilience of urban water supply around the globe, by showing how unsustainable responses risk the

  11. Developing evaluation instrument based on CIPP models on the implementation of portfolio assessment

    Science.gov (United States)

    Kurnia, Feni; Rosana, Dadan; Supahar

    2017-08-01

    This study aimed to develop an evaluation instrument constructed by CIPP model on the implementation of portfolio assessment in science learning. This study used research and development (R & D) method; adapting 4-D by the development of non-test instrument, and the evaluation instrument constructed by CIPP model. CIPP is the abbreviation of Context, Input, Process, and Product. The techniques of data collection were interviews, questionnaires, and observations. Data collection instruments were: 1) the interview guidelines for the analysis of the problems and the needs, 2) questionnaire to see level of accomplishment of portfolio assessment instrument, and 3) observation sheets for teacher and student to dig up responses to the portfolio assessment instrument. The data obtained was quantitative data obtained from several validators. The validators consist of two lecturers as the evaluation experts, two practitioners (science teachers), and three colleagues. This paper shows the results of content validity obtained from the validators and the analysis result of the data obtained by using Aikens' V formula. The results of this study shows that the evaluation instrument based on CIPP models is proper to evaluate the implementation of portfolio assessment instruments. Based on the experts' judgments, practitioners, and colleagues, the Aikens' V coefficient was between 0.86-1,00 which means that it is valid and can be used in the limited trial and operational field trial.

  12. 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.

  13. A General Framework for Portfolio Theory—Part I: Theory and Various Models

    Directory of Open Access Journals (Sweden)

    Stanislaus Maier-Paape

    2018-05-01

    Full Text Available Utility and risk are two often competing measurements on the investment success. We show that efficient trade-off between these two measurements for investment portfolios happens, in general, on a convex curve in the two-dimensional space of utility and risk. This is a rather general pattern. The modern portfolio theory of Markowitz (1959 and the capital market pricing model Sharpe (1964, are special cases of our general framework when the risk measure is taken to be the standard deviation and the utility function is the identity mapping. Using our general framework, we also recover and extend the results in Rockafellar et al. (2006, which were already an extension of the capital market pricing model to allow for the use of more general deviation measures. This generalized capital asset pricing model also applies to e.g., when an approximation of the maximum drawdown is considered as a risk measure. Furthermore, the consideration of a general utility function allows for going beyond the “additive” performance measure to a “multiplicative” one of cumulative returns by using the log utility. As a result, the growth optimal portfolio theory Lintner (1965 and the leverage space portfolio theory Vince (2009 can also be understood and enhanced under our general framework. Thus, this general framework allows a unification of several important existing portfolio theories and goes far beyond. For simplicity of presentation, we phrase all for a finite underlying probability space and a one period market model, but generalizations to more complex structures are straightforward.

  14. Modeling the impacts of two age-related portfolio effects on recruitment variability with and without a marine reserve.

    Science.gov (United States)

    McGilliard, Carey R; Punt, André E; Hilborn, Ray; Essington, Tim

    2017-10-01

    Many rockfish species are long-lived and thought to be susceptible to being overfished. Hypotheses about the importance of older female rockfish to population persistence have led to arguments that marine reserves are needed to ensure the sustainability of rockfish populations. However, the implications of these hypotheses for rockfish population dynamics are still unclear. We modeled two mechanisms by which reducing the proportion of older fish in a population has been hypothesized to influence sustainability, and explored whether these mechanisms influenced mean population dynamics and recruitment variability. We explored whether populations with these mechanisms could be managed more sustainably with a marine reserve in addition to a constant fishing mortality rate (F) than with a constant F alone. Both hypotheses can be seen as portfolio effects whereby risk of recruitment failure is spread over a "portfolio" of maternal ages. First, we modeled a spawning window effect whereby mothers of different ages spawned in different times or locations (windows) with local environmental conditions. Second, we modeled an offspring size effect whereby older mothers produced larger offspring than younger mothers, where length of a starvation period over which offspring could survive increased with maternal age. Recruitment variability resulting from both models was 55-65% lower than for models without maternal age-related portfolio effects in the absence of fishing and increased with increases in Fs for both models. An offspring size effect caused lower output reproductive rates such that the specified reproductive rate input as a model parameter was no longer the realized rate measured as the reproductive rate observed in model results; this quirk is not addressed in previous analyses of offspring size effects. We conducted a standardization such that offspring size effect and control models had the same observed reproductive rates. A comparison of long-term catch, the

  15. MODEL OF DISTRIBUTION OF THE BUDGET OF THE PORTFOLIO OF IT PROJECTS TAKING IN-TO ACCOUNT THEIR PRIORITY

    Directory of Open Access Journals (Sweden)

    Anita V. Sotnikova

    2015-01-01

    Full Text Available Article is devoted to a problem of effective distribution of the general budget of a portfolio between the IT projects which are its part taking into ac-count their priority. The designated problem is actual in view of low results of activity of the consulting companies in the sphere of information technologies.For determination of priority of IT projects the method of analytical networks developed by T. Saati is used. For the purpose of application of this method the system of criteria (indicators reflecting influence of IT projects of a portfolio on the most significant purposes of implementation of IT projects of a portfolio is developed. As system of criteria the key indicators of efficiency defined when developing the Balanced system of indicators which meet above-mentioned requirements are used. The essence of a method of analytical net-works consists in paired comparison of key indicators of efficiency concerning the purpose of realization of a portfolio and IT projects which are a part of a portfolio. Result of use of a method of analytical networks are coefficients of priority of each IT project of a portfolio. The received coefficients of priority of IT projects are used in the offered model of distribution of the budget of a portfolio between IT projects. Thus, the budget of a portfolio of IT projects is distributed between them taking into account not only the income from implementation of each IT project, but also other criteria, important for the IT company, for example: the degree of compliance of the IT project to strategic objectives of the IT company defining expediency of implementation of the IT project; the term of implementation of the IT project determined by the customer. The developed model of distribution of the budget of a portfolio between IT projects is approved on the example of distribution of the budget between IT projects of the portfolio consisting of three IT projects. Taking into account the received

  16. Rethinking the Educator Portfolio: An Innovative Criteria-Based Model.

    Science.gov (United States)

    Shinkai, Kanade; Chen, Chen Amy; Schwartz, Brian S; Loeser, Helen; Ashe, Cynthia; Irby, David M

    2017-11-07

    Academic medical centers struggle to achieve parity in advancement and promotions between educators and discovery-oriented researchers in part because of narrow definitions of scholarship, lack of clear criteria for measuring excellence, and barriers to making educational contributions available for peer review. Despite recent progress in expanding scholarship definitions and identifying excellence criteria, these advances are not integrated into educator portfolio (EP) templates or curriculum vitae platforms. From 2013 to 2015, a working group from the Academy of Medical Educators (AME) at the University of California, San Francisco (UCSF) designed a streamlined, criteria-based EP (EP 2.0) template highlighting faculty members' recent activities in education and setting rigorous evaluation methods to enable educational scholarship to be objectively evaluated for academic advancement, AME membership, and professional development. The EP 2.0 template was integrated into the AME application, resulting in high overall satisfaction among candidates and the selection committee and positive feedback on the template's transparency, ease of use, and streamlined format. In 2016, the EP 2.0 template was integrated into the campus-wide curriculum vitae platform and academic advancement system. The authors plan to increase awareness of the EP 2.0 template by educating promotions committees and faculty at UCSF and partnering with other institutions to disseminate it for use. They also plan to study the impact of the template on supporting educators by making their important scholarly contributions available for peer review, providing guidance for professional development, and decreasing disparities in promotions.

  17. Power Grid Construction Project Portfolio Optimization Based on Bi-level programming model

    Science.gov (United States)

    Zhao, Erdong; Li, Shangqi

    2017-08-01

    As the main body of power grid operation, county-level power supply enterprises undertake an important emission to guarantee the security of power grid operation and safeguard social power using order. The optimization of grid construction projects has been a key issue of power supply capacity and service level of grid enterprises. According to the actual situation of power grid construction project optimization of county-level power enterprises, on the basis of qualitative analysis of the projects, this paper builds a Bi-level programming model based on quantitative analysis. The upper layer of the model is the target restriction of the optimal portfolio; the lower layer of the model is enterprises’ financial restrictions on the size of the enterprise project portfolio. Finally, using a real example to illustrate operation proceeding and the optimization result of the model. Through qualitative analysis and quantitative analysis, the bi-level programming model improves the accuracy and normative standardization of power grid enterprises projects.

  18. Object-Oriented Bayesian Networks (OOBN) for Aviation Accident Modeling and Technology Portfolio Impact Assessment

    Science.gov (United States)

    Shih, Ann T.; Ancel, Ersin; Jones, Sharon M.

    2012-01-01

    The concern for reducing aviation safety risk is rising as the National Airspace System in the United States transforms to the Next Generation Air Transportation System (NextGen). The NASA Aviation Safety Program is committed to developing an effective aviation safety technology portfolio to meet the challenges of this transformation and to mitigate relevant safety risks. The paper focuses on the reasoning of selecting Object-Oriented Bayesian Networks (OOBN) as the technique and commercial software for the accident modeling and portfolio assessment. To illustrate the benefits of OOBN in a large and complex aviation accident model, the in-flight Loss-of-Control Accident Framework (LOCAF) constructed as an influence diagram is presented. An OOBN approach not only simplifies construction and maintenance of complex causal networks for the modelers, but also offers a well-organized hierarchical network that is easier for decision makers to exploit the model examining the effectiveness of risk mitigation strategies through technology insertions.

  19. Modeling of Mean-VaR portfolio optimization by risk tolerance when the utility function is quadratic

    Science.gov (United States)

    Sukono, Sidi, Pramono; Bon, Abdul Talib bin; Supian, Sudradjat

    2017-03-01

    The problems of investing in financial assets are to choose a combination of weighting a portfolio can be maximized return expectations and minimizing the risk. This paper discusses the modeling of Mean-VaR portfolio optimization by risk tolerance, when square-shaped utility functions. It is assumed that the asset return has a certain distribution, and the risk of the portfolio is measured using the Value-at-Risk (VaR). So, the process of optimization of the portfolio is done based on the model of Mean-VaR portfolio optimization model for the Mean-VaR done using matrix algebra approach, and the Lagrange multiplier method, as well as Khun-Tucker. The results of the modeling portfolio optimization is in the form of a weighting vector equations depends on the vector mean return vector assets, identities, and matrix covariance between return of assets, as well as a factor in risk tolerance. As an illustration of numeric, analyzed five shares traded on the stock market in Indonesia. Based on analysis of five stocks return data gained the vector of weight composition and graphics of efficient surface of portfolio. Vector composition weighting weights and efficient surface charts can be used as a guide for investors in decisions to invest.

  20. On market timing and portfolio selectivity: modifying the Henriksson-Merton model

    OpenAIRE

    Goś, Krzysztof

    2011-01-01

    This paper evaluates selected functionalities of the parametrical Henriksson-Merton test, a tool designed for measuring the market timing and portfolio selectivity capabilities. It also provides a solution to two significant disadvantages of the model: relatively indirect interpretation and vulnerability to parameter insignificance. The model has been put to test on a group of Polish mutual funds in a period of 63 months (January 2004 – March 2009), providing unsatisfa...

  1. Empirical Studies on Actively Managed Mutual Funds: New Insights into the Costs and Benefits of Portfolio Disclosure

    NARCIS (Netherlands)

    T.C. Dyakov (Teodor)

    2014-01-01

    markdownabstract__Abstract__ Dyakov’s dissertation bundles three empirical studies on actively managed mutual funds. His studies provide new knowledge of the costs and benefits of portfolio disclosure and shed more light into the question whether mutual fund investors have an information

  2. Investments Portfolio Optimal Planning for industrial assets management: Method and Tool

    International Nuclear Information System (INIS)

    Lonchampt, Jerome; Fessart, Karine

    2012-01-01

    The purpose of this paper is to describe the method and tool dedicated to optimize investments planning for industrial assets. These investments may either be preventive maintenance tasks, asset enhancement or logistic investment such as spare parts purchase. The three methodological points to investigate in such an issue are: 1. The measure of the profitability of a portfolio of investments 2. The selection and planning of an optimal set of investments 3. The measure of the risk of a portfolio of investments The measure of the profitability of a set of investments in the IPOP (registered) tool is synthesised in the Net Present Value indicator. The NPV is the sum of the differences of discounted cash flows (direct costs, forced outages...) between the situations with and without a given investment. These cash flows are calculated through a pseudo-markov reliability model representing independently the components of the industrial asset and the spare parts inventories. The component model has been widely discussed over the years but the spare part model is a new one based on some approximations that will be discussed. This model, referred as the NPV function, takes for input an investments portfolio and gives its NPV. The second issue is to optimize the NPV. If all investments were independent, this optimization would be an easy calculation, unfortunately there are two sources of dependency. The first one is introduced by the spare part model, as if components are indeed independent in their reliability model, the fact that several components use the same inventory induces a dependency. The second dependency comes from economic, technical or logistic constraints, such as a global maintenance budget limit or a precedence constraint between two investments, making the aggregation of individual optimum not necessary feasible. The algorithm used to solve such a difficult optimization problem is a genetic algorithm. After a description of the features of the software a

  3. ) Application of Value Management and Portfolio Optimization to the Nigerian Market

    International Nuclear Information System (INIS)

    Agbonyeme, C.

    2003-01-01

    The desire to thoroughly analyze the economic value of oil, gas and non-oil properties in Nigeria is increasing fast.This analysis is especially important for marginal fields where the borderline between technical success and financial disaster is small. Also, with the objective to increase daily output of oil to 4 million bbl/day by the year 2005 many dormant fields are re-appraised. This has to be done technically and financially. Oil and gas companies that optimize their portfolio through acquisition and divestiture face a lot of challenges. These challenges include decisions of whether to invest or divest, preparation of a divestiture package for analysis, and also the definition of a company's own most suitable economic performance indicators. In this evaluation process, the understanding and proper modelling of the local fiscal regime is of paramount importance. A quick and efficient method is presented which accounts for the complexity of the Nigerian fiscal regime-for computing the value of fields, analyzing the risks associated with a project and selecting the most profitable project from a range of available projects or portfolios. Tools for facilitating this multifaceted decision making process will be discussed as well as latest probabilistic techniques discussed as well as latest probabilistic techniques and optimization strategies. Example cases showing the successful application of these techniques in Nigeria will round off this paper

  4. Transforming local government by project portfolio management: Identifying and overcoming control problems

    DEFF Research Database (Denmark)

    Hansen, Lars Kristian

    2013-01-01

    Purpose – As public organizations strive for higher e-government maturity, information technology (IT) Project Portfolio Management (IT PPM) has become a high priority issue. Assuming control is central in IT PPM, the purpose of this paper is to investigate how a Danish local government conducts...... workshop, and analyses of documents. Findings – It is found that the local government relies vastly on informal control mechanisms and five control problems are identified: weak accountability processes between the political and administrative level; weak accountability between the director level...... the identified control problems. Research limitations/implications – As a single qualitative case study, the results are limited to one organization and subject. Practical implications – The paper has implications for IT PPM in Danish local governments and similar organizations in other countries. The paper...

  5. Multi-Period Structural Model of a Mortgage Portfolio with Cointegrated Factors

    Czech Academy of Sciences Publication Activity Database

    Gapko, Petr; Šmíd, Martin

    2016-01-01

    Roč. 66, č. 6 (2016), s. 565-574 ISSN 0015-1920 R&D Projects: GA ČR GA15-10331S Institutional support: RVO:67985556 Keywords : credit risk * mortgage * loan portfolio * dynamic model * estimation Subject RIV: AH - Economics Impact factor: 0.604, year: 2016 http://library.utia.cas.cz/separaty/2016/E/smid-0467176.pdf

  6. A linear allocation of spending-power system : consumer demand and portfolio model

    OpenAIRE

    Clements, Ken

    2017-01-01

    In the applied literature the household's consumption and portfolio decisions have tended to be viewed separately. This thesis is an initial attempt to remedy this. The household's demand for both commodities and assets, at a reasonably low level of aggregation, is integrated by using a tightly specified utility maximizing model. Utility is a function of both the flow of commodities consumed and the stock of assets held. The consumer demand literature is used as a starting point. The solutio...

  7. Modelling on optimal portfolio with exchange rate based on discontinuous stochastic process

    Science.gov (United States)

    Yan, Wei; Chang, Yuwen

    2016-12-01

    Considering the stochastic exchange rate, this paper is concerned with the dynamic portfolio selection in financial market. The optimal investment problem is formulated as a continuous-time mathematical model under mean-variance criterion. These processes follow jump-diffusion processes (Weiner process and Poisson process). Then the corresponding Hamilton-Jacobi-Bellman(HJB) equation of the problem is presented and its efferent frontier is obtained. Moreover, the optimal strategy is also derived under safety-first criterion.

  8. Determining the Optimum Portfolio of Sharia Stocks Using an Approach of Shariah Compliant Asset Pricing Model (SCAPM

    Directory of Open Access Journals (Sweden)

    Fakhri Husein

    2017-03-01

    Full Text Available Shariah Compliant Asset Pricing Model (SCAPM is a modification of the model Capital Asset Pricing Model (CAPM. This research is quantitative descriptive study of theories of optimal portfolio analysis applied to trading stocks, especially in stocks Jakarta Islamic Index. Sampling technique used was purposive sampling and obtained 26 shares. The analysis tool used is MatLab R2010a. The results of this study are not prove theMarkowitz portfolio theory. This is explained by the amount of Beta market (β_m a value beta below 1 indicates that the fluctuation of stocks returns do not follow the movement of market fluctuations. Investors are likely to want a high profit, the investors are advised to choose a second portfolio groups, with rate of 0.176722% and investors are likely to enjoy a substantial risk in the investment portfolio are advised to choose the first group with a great risk of 0.8501%.

  9. Sustainable procurement portfolio management: a case study in a mining company

    Directory of Open Access Journals (Sweden)

    Tamires Magalhães de Mello

    Full Text Available Abstract Sustainable procurement is a solution to integrate environmental and social considerations in all steps of procurement process, in order to reduce impacts on human health, environment, and human rights. Despite the existence of important works in this area, more studies for determining how the principles related to sustainable development can be integrated to procurement strategies are needed. This study presents a case study in a mining company to evaluate the elements that should be considered for the implementation of sustainability concept in the contracting of services through the application of a sustainability portfolio model. Results show that the contracts of the internal movement's category of the studied company fit as Strategic Commodity, which means that the items in this category have a risk in the strategic supply, because they need investments made by the buyer in the relationship with the supplier.

  10. DIFFERENCES BETWEEN MEAN-VARIANCE AND MEAN-CVAR PORTFOLIO OPTIMIZATION MODELS

    Directory of Open Access Journals (Sweden)

    Panna Miskolczi

    2016-07-01

    Full Text Available Everybody heard already that one should not expect high returns without high risk, or one should not expect safety without low returns. The goal of portfolio theory is to find the balance between maximizing the return and minimizing the risk. To do so we have to first understand and measure the risk. Naturally a good risk measure has to satisfy several properties - in theory and in practise. Markowitz suggested to use the variance as a risk measure in portfolio theory. This led to the so called mean-variance model - for which Markowitz received the Nobel Prize in 1990. The model has been criticized because it is well suited for elliptical distributions but it may lead to incorrect conclusions in the case of non-elliptical distributions. Since then many risk measures have been introduced, of which the Value at Risk (VaR is the most widely used in the recent years. Despite of the widespread use of the Value at Risk there are some fundamental problems with it. It does not satisfy the subadditivity property and it ignores the severity of losses in the far tail of the profit-and-loss (P&L distribution. Moreover, its non-convexity makes VaR impossible to use in optimization problems. To come over these issues the Expected Shortfall (ES as a coherent risk measure was developed. Expected Shortfall is also called Conditional Value at Risk (CVaR. Compared to Value at Risk, ES is more sensitive to the tail behaviour of the P&L distribution function. In the first part of the paper I state the definition of these three risk measures. In the second part I deal with my main question: What is happening if we replace the variance with the Expected Shortfall in the portfolio optimization process. Do we have different optimal portfolios as a solution? And thus, does the solution suggests to decide differently in the two cases? To answer to these questions I analyse seven Hungarian stock exchange companies. First I use the mean-variance portfolio optimization model

  11. Motivating Freshman Students in a Business Management Course via Portfolios: Practice from a Greek Public University

    Science.gov (United States)

    Papadimitriou, Antigoni

    2009-01-01

    There are many ways to approach the evaluation of student learning. Portfolios, as collections of student work, are an increasingly popular assessment strategy, especially in the United States. Portfolios provide an exceptionally comprehensive picture of student learning. However, this assessment method requires extra effort to plan, to evaluate,…

  12. 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

  13. 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...

  14. Modeling and Forecasting Large Realized Covariance Matrices and Portfolio Choice

    NARCIS (Netherlands)

    Callot, Laurent A.F.; Kock, Anders B.; Medeiros, Marcelo C.

    2017-01-01

    We consider modeling and forecasting large realized covariance matrices by penalized vector autoregressive models. We consider Lasso-type estimators to reduce the dimensionality and provide strong theoretical guarantees on the forecast capability of our procedure. We show that we can forecast

  15. 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

  16. Alternative models for portfolio diversification and renewables development

    Energy Technology Data Exchange (ETDEWEB)

    Morris, G.; Corbett, L.; Pape, A.; Kelly, B.

    1998-04-01

    The question of how to promote renewable energy and demand-side management during the transition to a competitive market was the topic discussed at this session. Gregory Morris, Principal of Future Resource Associates Inc, and Director of the Green Power Institute of Berkeley, California traced the first three years of restructuring experiences in his state. He warned renewable energy suppliers that there is always a slip between polls indicating consumer willingness to pay a premium for green power and actual sales. Nevertheless, deregulation will open the doors for green power producers to market their wares, regardless of the status of other renewable energy programs. Lois Corbett, Executive Director of the Toronto Atmospheric Fund (TAF), described that organization`s efforts over the years to promote a transition to safe, reliable energy supplies. A 20 per cent reduction in CO{sub 2} emission by 2005 was proposed as far back as TAF`s first conference in 1988. Despite dire predictions that even a much more modest goal of CO{sub 2} reduction would cause irreparable harm to the economy, in May 1997, Toronto edged out all of the world`s cities with total CO{sub 2} reductions just a few tonnes higher than Berlin, the previous leader. TAF is now concentrating its efforts on a $4-to-10-million green fleets partnership to try and solve the problem of emissions in the transportation sector, and a $3 million co-op housing revolving fund, to provide loans to retrofit units in need of upgrading. Andrew Pape, a consultant with Compass Resource Management of Vancouver described his analysis of mechanisms that would support renewable energy, emissions reductions and sustainability within the retail electricity market in British Columbia and Alberta.

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

    Directory of Open Access Journals (Sweden)

    Zaimovic Azra

    2017-04-01

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

  18. Ancient clam gardens, traditional management portfolios, and the resilience of coupled human-ocean systems

    Directory of Open Access Journals (Sweden)

    Julia Jackley

    2016-12-01

    Full Text Available Indigenous communities have actively managed their environments for millennia using a diversity of resource use and conservation strategies. Clam gardens, ancient rock-walled intertidal beach terraces, represent one example of an early mariculture technology that may have been used to improve food security and confer resilience to coupled human-ocean systems. We surveyed a coastal landscape for evidence of past resource use and management to gain insight into ancient resource stewardship practices on the central coast of British Columbia, Canada. We found that clam gardens are embedded within a diverse portfolio of resource use and management strategies and were likely one component of a larger, complex resource management system. We compared clam diversity, density, recruitment, and biomass in three clam gardens and three unmodified nonwalled beaches. Evidence suggests that butter clams (Saxidomus gigantea had 1.96 times the biomass and 2.44 times the density in clam gardens relative to unmodified beaches. This was due to a reduction in beach slope and thus an increase in the optimal tidal range where clams grow and survive best. The most pronounced differences in butter clam density between nonwalled beaches and clam gardens were found at high tidal elevations at the top of the beach. Finally, clam recruits (0.5-2 mm in length tended to be greater in clam gardens compared to nonwalled beaches and may be attributed to the addition of shell hash by ancient people, which remains on the landscape today. As part of a broader social-ecological system, clam garden sites were among several modifications made by humans that collectively may have conferred resilience to past communities by providing reliable and diverse access to food resources.

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

    International Nuclear Information System (INIS)

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

    1998-01-01

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

  20. Credit securitization and credit derivatives: Financial instruments and the credit risk management of middle market commercial loan portfolios

    OpenAIRE

    Henke, Sabine; Burghof, Hans-Peter; Rudolph, Bernd

    1998-01-01

    Banks increasingly recognize the need to measure and manage the credit risk of their loans on a portfolio basis. We address the subportfolio "middle market". Due to their specific lending policy for this market segment it is an important task for banks to systematically identify regional and industrial credit concentrations and reduce the detected concentrations through diversification. In recent years, the development of markets for credit securitization and credit derivatives has provided n...

  1. Environmental management practices, environmental technology portfolio, and environmental commitment: A content analytic approach for U.K. manufacturing firms

    OpenAIRE

    Nath, P; Ramanathan, R

    2016-01-01

    This study investigates how various aspects of environmental management practices EMPs (operational, strategic, and tactical) undertaken by firms influence their environmental technology portfolios ETPs (pollution control and pollution prevention). It also explores the role of environmental commitment of firms on the influence of EMPs on ETPs. This study uses data from content analysis of annual reports, and corporate social responsibility reports available from corporate websites of 76 UK ma...

  2. 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.

  3. 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...

  4. 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.

  5. A Dynamic Spreadsheet Model for Determining the Portfolio Frontier for BSE30 Stocks

    Directory of Open Access Journals (Sweden)

    Dr. Anupam Mitra

    2014-01-01

    Full Text Available Introductory investments courses revolve around Harry Markowitz’s modern portfolio theory and William Sharpe’s Index for the performance measurement of those portfolios. This paper presents a simplified perspective of Markowitz’s contributions to Modern Portfolio Theory. It is to see the effect of duration of historical data on the risk and return of the portfolio and to see the applicability of risk-reward logic. The empirical results also show that short selling may increase the risk of the portfolio when the investor is instability preferred.

  6. A fuzzy compromise programming approach for the Black-Litterman portfolio selection model

    Directory of Open Access Journals (Sweden)

    Mohsen Gharakhani

    2013-01-01

    Full Text Available In this paper, we examine advanced optimization approach for portfolio problem introduced by Black and Litterman to consider the shortcomings of Markowitz standard Mean-Variance optimization. Black and Litterman propose a new approach to estimate asset return. They present a way to incorporate the investor’s views into asset pricing process. Since the investor’s view about future asset return is always subjective and imprecise, we can represent it by using fuzzy numbers and the resulting model is multi-objective linear programming. Therefore, the proposed model is analyzed through fuzzy compromise programming approach using appropriate membership function. For this purpose, we introduce the fuzzy ideal solution concept based on investor preference and indifference relationships using canonical representation of proposed fuzzy numbers by means of their correspondingα-cuts. A real world numerical example is presented in which MSCI (Morgan Stanley Capital International Index is chosen as the target index. The results are reported for a portfolio consisting of the six national indices. The performance of the proposed models is compared using several financial criteria.

  7. Probabilistic disaggregation model with application to natural hazard risk assessment of portfolios

    DEFF Research Database (Denmark)

    Custer, Rocco; Nishijima, Kazuyoshi

    In natural hazard risk assessment, a resolution mismatch between hazard data and aggregated exposure data is often observed. A possible solution to this issue is the disaggregation of exposure data to match the spatial resolution of hazard data. Disaggregation models available in literature...... disaggregation model that considers the uncertainty in the disaggregation, taking basis in the scaled Dirichlet distribution. The proposed probabilistic disaggregation model is applied to a portfolio of residential buildings in the Canton Bern, Switzerland, subject to flood risk. Thereby, the model is verified...... are usually deterministic and make use of auxiliary indicator, such as land cover, to spatially distribute exposures. As the dependence between auxiliary indicator and disaggregated number of exposures is generally imperfect, uncertainty arises in disaggregation. This paper therefore proposes a probabilistic...

  8. On the Benefits of Equicorrelation for Portfolio Allocation

    OpenAIRE

    Adam Clements; Ayesha Scott; Annastiina Silvennoinen

    2013-01-01

    The importance of modelling correlation has long been recognised in the field of portfolio management with large dimensional multivariate problems are increasingly becoming the focus of research. This paper provides a straightforward and commonsense approach toward investigating a number of models used to generate forecasts of the correlation matrix for large dimensional problems. We find evidence in favour of assuming equicorrelation across various portfolio sizes, particularly during times ...

  9. Monte Carlo Simulation Of The Portfolio-Balance Model Of Exchange Rates: Finite Sample Properties Of The GMM Estimator

    OpenAIRE

    Hong-Ghi Min

    2011-01-01

    Using Monte Carlo simulation of the Portfolio-balance model of the exchange rates, we report finite sample properties of the GMM estimator for testing over-identifying restrictions in the simultaneous equations model. F-form of Sargans statistic performs better than its chi-squared form while Hansens GMM statistic has the smallest bias.

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

    Directory of Open Access Journals (Sweden)

    Dragutin Kermek

    2006-06-01

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

  11. Selection of risk reduction portfolios under interval-valued probabilities

    International Nuclear Information System (INIS)

    Toppila, Antti; Salo, Ahti

    2017-01-01

    A central problem in risk management is that of identifying the optimal combination (or portfolio) of improvements that enhance the reliability of the system most through reducing failure event probabilities, subject to the availability of resources. This optimal portfolio can be sensitive with regard to epistemic uncertainties about the failure events' probabilities. In this paper, we develop an optimization model to support the allocation of resources to improvements that mitigate risks in coherent systems in which interval-valued probabilities defined by lower and upper bounds are employed to capture epistemic uncertainties. Decision recommendations are based on portfolio dominance: a resource allocation portfolio is dominated if there exists another portfolio that improves system reliability (i) at least as much for all feasible failure probabilities and (ii) strictly more for some feasible probabilities. Based on non-dominated portfolios, recommendations about improvements to implement are derived by inspecting in how many non-dominated portfolios a given improvement is contained. We present an exact method for computing the non-dominated portfolios. We also present an approximate method that simplifies the reliability function using total order interactions so that larger problem instances can be solved with reasonable computational effort. - Highlights: • Reliability allocation under epistemic uncertainty about probabilities. • Comparison of alternatives using dominance. • Computational methods for generating the non-dominated alternatives. • Deriving decision recommendations that are robust with respect to epistemic uncertainty.

  12. 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…

  13. 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....

  14. 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".

  15. A senior manager with a knowledge management portfolio: the Santa Clara County experience.

    Science.gov (United States)

    Lindberg, Arley

    2012-01-01

    The agency director sought to create a systematically coordinated department that utilizes knowledge management strategies to promote evidence-informed practice. In his view, the organization was not providing needed information or organizational supports for practitioners to use knowledge effectively. To address this issue, he created a Director of Development and Operational Planning (DDOP) position with the responsibility to build structures and facilitate processes that support knowledge management. The DDOP oversees research and planning, government relations, legislative development and support, Board of Supervisors communications, staff development and training, community contracts, public information and in-house communication. The DDOP is reorganizing units under her supervision to create a knowledge management matrix that will implement new knowledge sharing strategies related to evaluation, contracts, legislation, organizational development, policy and planning, and staff development. The case study describes challenges and strategies related to: government regulations, size and complexity of the agency, staff resistance, and the developmental nature of the process. Copyright © Taylor & Francis Group, LLC

  16. THE METHOD OF CONSTRUCTING MODELS OF STRESS-TESTING OF THE TRADING PORTFOLIO OF FINANCIAL ORGANIZATIONS

    Directory of Open Access Journals (Sweden)

    Alimbaev Farkhad

    2009-11-01

    Full Text Available The financial crisis gave an impetus to finding “weaknesses” in financial institutions. One such tool is the stress-testing. This method is intended to identify through modeling “hypothetical” or “historical” scenarios, the most losses, in the execution of a script. In the simulation of hypothetical scenarios to find the impact factor, as shock events on the trade portfolio. When using historical scenarios, as the shocks applied developments in the past that have caused catastrophic losses, both in quantitative and qualitative size. For example, such scenarios can be: financial crises of the 90-ies and the current decline in international stock markets, a drop or increase in foreign exchange rates, etc.

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

    NARCIS (Netherlands)

    Bakker, Diederich; Raabe, Thorsten; Haas, Sandra

    2014-01-01

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

  18. Is it real? Can we win? Is it worth doing? Managing risk and reward in an innovation portfolio.

    Science.gov (United States)

    Day, George S

    2007-12-01

    Minor innovations make up most of a company's development portfolio, on average, but they never generate the growth companies seek. The solution, says Day--the Geoffrey T. Boisi Professor of Marketing and a codirector of the Mack Center for Technological Innovation at Wharton--is for companies to undertake a systematic, disciplined review of their innovation portfolios and increase the number of major innovations at an acceptable level of risk. Two tools can help them do this. The first, called the risk matrix, graphically reveals the distribution of risk across a company's entire innovation portfolio. The matrix allows companies to estimate each project's probability of success or failure, based on how big a stretch it is for the firm to undertake. The less familiar the product or technology and the intended market, the higher the risk. The second tool, dubbed the R-W-W (real-win-worth it) screen, allows companies to evaluate the risks and potential of individual projects by answering six fundamental questions about each one: Is the market real? Explores customers' needs, their willingness to buy, and the size of the potential market. Is the product real? Looks at the feasibility of producing the innovation. Can the product be competitive? and Can our company be competitive? Investigate how well suited the company's resources and management are to compete in the marketplace with the product. Will the product be profitable at an acceptable risk? Explores the financial analysis needed to assess an innovation's commercial viability. Last, Does launching the product make strategic sense? examines the project's fit with company strategy and whether management supports it.

  19. 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.

  20. 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

  1. Session 4: CVD, diabetes and cancer: A dietary portfolio for management and prevention of heart disease.

    Science.gov (United States)

    Esfahani, Amin; Jenkins, David J A; Kendall, Cyril W C

    2010-02-01

    CHD is the leading cause of worldwide mortality. The prevalence of heart disease has been linked to the adoption of a sedentary lifestyle and the increased dietary dependence on saturated fats from animal sources and the intake of refined foods. Elevated blood cholesterol level is one of the major risk factors for CHD. While cholesterol-lowering drug therapy (statins) has been effective in reducing the risk of heart disease, there are those individuals who are unwilling or because of muscle pains or raised levels of liver or muscle enzymes are unable to take cholesterol-lowering medication. Fortunately, there is evidence linking a number of dietary components to CHD risk reduction. The strength of this evidence has prompted various regulatory bodies to advocate diet as the first line of defence for primary prevention of heart disease. It was therefore decided to combine four dietary components that have been shown to lower blood cholesterol concentrations (nuts, plant sterols, viscous fibre and vegetable protein) in a dietary portfolio in order to determine whether the combined effect is additive. In a metabolically-controlled setting this dietary portfolio has proved to be as effective as a starting dose of a first-generation statin cholesterol-lowering medication in reducing the risk of CHD. The dietary portfolio has also been shown to be effective in sustaining a clinically-significant effect in the long term under a 'real-world' scenario. However, success of the diet depends on compliance and despite the accessibility of the foods adherence has been found to vary greatly. Overall, the evidence supports the beneficial role of the dietary portfolio in reducing blood cholesterol levels and CHD risk.

  2. Enrollment Management with Academic Portfolio Strategies: Preparing for Environment-Induced Changes in Student Preferences.

    Science.gov (United States)

    Paulsen, Michael B.

    1990-01-01

    A marketing model of enrollment management focusing on relationships between changes in the macroenvironment, target market student preferences, college marketing mix, and enrollment is presented. Application of the model illustrates how institutions can offset, enhance, or neutralize potential enrollment effects of job market changes through…

  3. A modified portfolio diet complements medical management to reduce cardiovascular risk factors in diabetic patients with coronary artery disease.

    Science.gov (United States)

    Keith, Mary; Kuliszewski, Michael A; Liao, Christine; Peeva, Valentina; Ahmed, Mavra; Tran, Susan; Sorokin, Kevin; Jenkins, David J; Errett, Lee; Leong-Poi, Howard

    2015-06-01

    Secondary prevention can improve outcomes in high risk patients. This study investigated the magnitude of cardiovascular risk reduction associated with consumption of a modified portfolio diet in parallel with medical management. 30 patients with type II diabetes, 6 weeks post bypass surgery received dietary counseling on a Modified Portfolio Diet (MPD) (low fat, 8 g/1000 kcal viscous fibres, 17 g/1000 kcal soy protein and 22 g/1000 kcal almonds). Lipid profiles, endothelial function and markers of glycemic control, oxidative stress and inflammation were measured at baseline and following two and four weeks of intervention. Seven patients with no diet therapy served as time controls. Consumption of the MPD resulted in a 19% relative reduction in LDL (1.9 ± 0.8 vs 1.6 ± 0.6 mmol/L, p managed, high risk patients resulted in important reductions in risk factors. Clinical Trials registry number NCT00462436. Copyright © 2014 Elsevier Ltd and European Society for Clinical Nutrition and Metabolism. All rights reserved.

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

    Directory of Open Access Journals (Sweden)

    Salvatore J. Terregrossa

    2016-12-01

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

  5. Tools and methods for evaluating and refining alternative futures for coastal ecosystem management—the Puget Sound Ecosystem Portfolio Model

    Science.gov (United States)

    Byrd, Kristin B.; Kreitler, Jason R.; Labiosa, William B.

    2011-01-01

    The U.S. Geological Survey Puget Sound Ecosystem Portfolio Model (PSEPM) is a decision-support tool that uses scenarios to evaluate where, when, and to what extent future population growth, urban growth, and shoreline development may threaten the Puget Sound nearshore environment. This tool was designed to be used iteratively in a workshop setting in which experts, stakeholders, and decisionmakers discuss consequences to the Puget Sound nearshore within an alternative-futures framework. The PSEPM presents three possible futures of the nearshore by analyzing three growth scenarios developed out to 2060: Status Quo—continuation of current trends; Managed Growth—adoption of an aggressive set of land-use management policies; and Unconstrained Growth—relaxation of land-use restrictions. The PSEPM focuses on nearshore environments associated with barrier and bluff-backed beaches—the most dominant shoreforms in Puget Sound—which represent 50 percent of Puget Sound shorelines by length. This report provides detailed methodologies for development of three submodels within the PSEPM—the Shellfish Pollution Model, the Beach Armoring Index, and the Recreation Visits Model. Results from the PSEPM identify where and when future changes to nearshore ecosystems and ecosystem services will likely occur within the three growth scenarios. Model outputs include maps that highlight shoreline sections where nearshore resources may be at greater risk from upland land-use changes. The background discussed in this report serves to document and supplement model results displayed on the PSEPM Web site located at http://geography.wr.usgs.gov/pugetSound/.

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

    Science.gov (United States)

    Knauf, Helen

    2017-01-01

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

  7. Managing the Public Sector Research and Development Portfolio Selection Process: A Case Study of Quantitative Selection and Optimization

    Science.gov (United States)

    2016-09-01

    PUBLIC SECTOR RESEARCH & DEVELOPMENT PORTFOLIO SELECTION PROCESS: A CASE STUDY OF QUANTITATIVE SELECTION AND OPTIMIZATION by Jason A. Schwartz...PUBLIC SECTOR RESEARCH & DEVELOPMENT PORTFOLIO SELECTION PROCESS: A CASE STUDY OF QUANTITATIVE SELECTION AND OPTIMIZATION 5. FUNDING NUMBERS 6...describing how public sector organizations can implement a research and development (R&D) portfolio optimization strategy to maximize the cost

  8. Processo de gestão da carteira de clientes = Process for the client’s portfolio management

    Directory of Open Access Journals (Sweden)

    Aline Arruda Milani

    2015-04-01

    Full Text Available Identificar e acompanhar as mudanças que ocorrem no mercado é com certeza um diferencial que todas as empresas buscam alcançar em seu processo de gestão. Conhecer a carteira de clientes da empresa e conseguir extrair dela o máximo de informações gerenciais não é uma tarefa fácil e muitos gestores acabam não dando a merecida atenção a este processo. O presente estudo traz uma proposta de como trabalhar o processo de gestão da carteira de clientes, construindo desde o seu banco de dados até os indicadores finais. A metodologia utilizada foi baseada na teoria da Curva ABC, desenvolvida por Pareto, para assim agrupar e priorizar os dados a serem trabalhados, já os clientes foram segmentados segundo o seu potencial. Ao final de todo o processo se tem a criação de um painel gerencial que contenha os indicadores da carteira, em um formato de fácil assimilação e interpretação, para que assim o gestor desta carteira tenha subsídios para tomar decisões de forma consciente sobre o panorama do que está ocorrendo naquele momento. = Identify and track changes occurring in the market is definitely a difference that all companies seek to achieve in their management process. Knowing the customer base of the company and it could extract the maximum of information management is not an easy task and many managers end up not giving the deserved attention to this process. This paper presents a proposal of how to work the process of managing the portfolio of customers, building from its database until the final indicators. The methodology was based on the theory of curve ABC, developed by Pareto, thus grouping and prioritizing the data to be worked out, since customers were segmented according to their potential. The end of the whole process is the creation of a management dashboard that contains indicators of the portfolio in a format easy to assimilate and interpret, so that the manager of this portfolio has subsidies to consciously make

  9. Noise sensitivity of portfolio selection in constant conditional correlation GARCH models

    Science.gov (United States)

    Varga-Haszonits, I.; Kondor, I.

    2007-11-01

    This paper investigates the efficiency of minimum variance portfolio optimization for stock price movements following the Constant Conditional Correlation GARCH process proposed by Bollerslev. Simulations show that the quality of portfolio selection can be improved substantially by computing optimal portfolio weights from conditional covariances instead of unconditional ones. Measurement noise can be further reduced by applying some filtering method on the conditional correlation matrix (such as Random Matrix Theory based filtering). As an empirical support for the simulation results, the analysis is also carried out for a time series of S&P500 stock prices.

  10. Developing a framework for energy technology portfolio selection

    Science.gov (United States)

    Davoudpour, Hamid; Ashrafi, Maryam

    2012-11-01

    Today, the increased consumption of energy in world, in addition to the risk of quick exhaustion of fossil resources, has forced industrial firms and organizations to utilize energy technology portfolio management tools viewed both as a process of diversification of energy sources and optimal use of available energy sources. Furthermore, the rapid development of technologies, their increasing complexity and variety, and market dynamics have made the task of technology portfolio selection difficult. Considering high level of competitiveness, organizations need to strategically allocate their limited resources to the best subset of possible candidates. This paper presents the results of developing a mathematical model for energy technology portfolio selection at a R&D center maximizing support of the organization's strategy and values. The model balances the cost and benefit of the entire portfolio.

  11. Developing R&D Portfolio Business Validity Simulation Model and System

    Directory of Open Access Journals (Sweden)

    Hyun Jin Yeo

    2015-01-01

    Full Text Available The R&D has been recognized as critical method to take competitiveness by not only companies but also nations with its value creation such as patent value and new product. Therefore, R&D has been a decision maker’s burden in that it is hard to decide how much money to invest, how long time one should spend, and what technology to develop which means it accompanies resources such as budget, time, and manpower. Although there are diverse researches about R&D evaluation, business factors are not concerned enough because almost all previous studies are technology oriented evaluation with one R&D technology based. In that, we early proposed R&D business aspect evaluation model which consists of nine business model components. In this research, we develop a simulation model and system evaluating a company or industry’s R&D portfolio with business model point of view and clarify default and control parameters to facilitate evaluator’s business validity work in each evaluation module by integrate to one screen.

  12. Developing R&D portfolio business validity simulation model and system.

    Science.gov (United States)

    Yeo, Hyun Jin; Im, Kwang Hyuk

    2015-01-01

    The R&D has been recognized as critical method to take competitiveness by not only companies but also nations with its value creation such as patent value and new product. Therefore, R&D has been a decision maker's burden in that it is hard to decide how much money to invest, how long time one should spend, and what technology to develop which means it accompanies resources such as budget, time, and manpower. Although there are diverse researches about R&D evaluation, business factors are not concerned enough because almost all previous studies are technology oriented evaluation with one R&D technology based. In that, we early proposed R&D business aspect evaluation model which consists of nine business model components. In this research, we develop a simulation model and system evaluating a company or industry's R&D portfolio with business model point of view and clarify default and control parameters to facilitate evaluator's business validity work in each evaluation module by integrate to one screen.

  13. Developing R&D Portfolio Business Validity Simulation Model and System

    Science.gov (United States)

    2015-01-01

    The R&D has been recognized as critical method to take competitiveness by not only companies but also nations with its value creation such as patent value and new product. Therefore, R&D has been a decision maker's burden in that it is hard to decide how much money to invest, how long time one should spend, and what technology to develop which means it accompanies resources such as budget, time, and manpower. Although there are diverse researches about R&D evaluation, business factors are not concerned enough because almost all previous studies are technology oriented evaluation with one R&D technology based. In that, we early proposed R&D business aspect evaluation model which consists of nine business model components. In this research, we develop a simulation model and system evaluating a company or industry's R&D portfolio with business model point of view and clarify default and control parameters to facilitate evaluator's business validity work in each evaluation module by integrate to one screen. PMID:25893209

  14. Achieving a Prioritized Research and Technology Development Portfolio for the Dust Management Project

    Science.gov (United States)

    Hyatt, Mark J.; Abel, Phillip; Delaune, Paul; Fishman, Julianna; Kohli, Rajiv

    2009-01-01

    Mission architectures for human exploration of the lunar surface continue to advance as well as the definitions of capability needs, best practices and engineering design to mitigate the impact of lunar dust on exposed systems. The NASA DMP has been established as the agency focal point for dust characterization, technology, and simulant development. As described in this paper, the DMP has defined a process for selecting and justifying its R&T portfolio. The technology prioritization process, which is based on a ranking system according to weighted criteria, has been successfully applied to the current DMP dust mitigation technology portfolio. Several key findings emerged from this assessment. Within the dust removal and cleaning technologies group, there are critical technical challenges that must be overcome for these technologies to be implemented for lunar applications. For example, an in-situ source of CO2 on the moon is essential to the CO2 shower technology. Also, significant development effort is required to achieve technology readiness level TRL 6 for the electrostatic cleaning system for removal of particles smaller than 50 pm. The baseline materials related technologies require considerable development just to achieve TRL 6. It is also a nontrivial effort to integrate the materials in hardware for lunar application. At present, there are no terrestrial applications that are readily adaptable to lunar surface applications nor are there any obvious leading candidates. The unique requirements of dust sealing systems for lunar applications suggest an extensive development effort will be necessary to mature dust sealing systems to TRL 6 and beyond. As discussed here, several alternate materials and technologies have achieved high levels of maturity for terrestrial applications and warrant due diligence in ongoing assessment of the technology portfolio. The present assessment is the initial step in an ongoing effort to continually evaluate the DMP technology

  15. A multi-attribute decision model for portfolio selection aiming to replace technologies in industrial motor systems

    International Nuclear Information System (INIS)

    Vanderley Herrero Sola, Antonio; Mota, Caroline Maria de Miranda

    2012-01-01

    Highlights: ► We propose a multicriteria decision model for technology replacement. ► We prioritize induction motors in order to improve the energy efficiency. ► The best portfolio of options is selected based on decision maker’s utilities. ► The model contribute to surpass some organizational barriers. - Abstract: The energy efficient technologies offered by the market are in constant evolution, but their insertion in the productive sector comes up against organizational barriers, which obstruct decision making in firms. This paper proposes a multicriteria decision model in order to replace technologies in industrial energy systems, regarding organizational barriers for energy efficiency. The proposed model is applied in industrial motor systems, using Multi-Attribute Utility Theory (MAUT), in order to select the best portfolio of options based on the decision maker’s utilities. Portfolios of options from the prioritized set of motors compiled by the operational area of the studied industry are analyzed, including diverse suppliers and different classes of motors. The results show that it is essential to structure the proposed model in two steps, beginning with the operational level, to ensure that important technologies for the production system are prioritized, thus preserving the interests of the organization and improving the efficiency of industrial energy systems.

  16. Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Tactical and Strategic Asset Allocation

    OpenAIRE

    Roncalli, Thierry

    2013-01-01

    Risk parity is an allocation method used to build diversified portfolios that does not rely on any assumptions of expected returns, thus placing risk management at the heart of the strategy. This explains why risk parity became a popular investment model after the global financial crisis in 2008. However, risk parity has also been criticized because it focuses on managing risk concentration rather than portfolio performance, and is therefore seen as being closer to passive management than act...

  17. 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…

  18. Study on the Market Risk Measurement of the Style Portfolios in Stock Markets Based on EVT-t-Copula Model

    Directory of Open Access Journals (Sweden)

    Yuhong Zhou

    2013-03-01

    Full Text Available For the presence of non-normal distribution characteristics in the financial assets returns, the model of AR(1-GJR(1,1 is used to characterize the marginal distribution of the style assets in China stock market. The Copula function is introduced to analyze the dependency structure between the six style assets, combined with the marginal distributed residual sequences. And the joint return distribution of the style portfolios is simulated, combined with extreme value theory and Monte Carlo simulation method. Then the market risks (VaR and CVaR of the style portfolios in China stock markets are obtained. The results of the study show that the generalized Pareto distribution Model can well fit the non-normal distribution characteristics such as peak and fat tail in the style assets returns.

  19. Overall strategy for management of parameters and data in the biosphere assessment portfolio

    International Nuclear Information System (INIS)

    Hjerpe, T.

    2006-12-01

    Throughout the biosphere assessment, the parameters selected to represent the present and future biosphere and choices of data values are crucial issues, greatly affecting the end result. The necessity of clear strategy for managing parameters and data is obvious; how to handle the variability of parameters as such, the selection from different sources, the derivation of values of model parameters not readily available, storage of the data in a proper manner, and assuring the quality throughout the whole assessment programme. In this working report a proposed set of broad guidelines for the overall strategy for the management of parameters and data in the biosphere assessment strategy is first presented. Thereafter, a scheme is proposed for assuring the knowledge quality of data. Finally, a proposal for requirements and management of the biosphere assessment database and the current status of the on-going work building the biosphere assessment database and interfaces to other tools are presented. (orig.)

  20. A Quantitative Approach to Credit Risk Management in the Underwriting Process for the Retail Portfolio

    Directory of Open Access Journals (Sweden)

    Andreea Costea

    2017-03-01

    Full Text Available The core of this paper encloses a mathematical approach of credit risk management, based on a scorecard model used in the bank’s underwriting process. The main purpose of this paper is to present how to develop, validate and apply a rating model in practice. Using 21568 loan applications provided by one of the largest banks from Romania, a scorecard is built for the underwriting purposes. The customer data used in the modeling is based on socio-demographic characteristics. The model is developed according to a set of statistical methods for parameter estimation. A real-life example of how to use such a model in the strategic decisions of a bank is presented. The cut-off score for the acceptance of the applications is calibrated to a potential risk appetite of the main four banks in Romania. From an evaluative perspective, this paper is compatible with an exploratory approach to quantitative research methodology.

  1. 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

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

    Science.gov (United States)

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

    2009-01-01

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

  3. A Different Statistic for the Management of Portfolios - the Hurst Exponent: Persistent, Antipersistent or Random Time Series?

    Directory of Open Access Journals (Sweden)

    Ana-Maria CALOMFIR (METESCU

    2015-12-01

    Full Text Available In recent years, research in the capital markets and management of portfolios has been producing more questions than it has been answering: the need for a new paradigm or a new way of looking at things has become more and more concludent. The existing and classical view of capital markets, based on efficient market hypothesis, has a definite theory for the last six decades, but it is still not capable of significantly increase the understanding of how capital markets function. The purpose of this article is to theoretically describe a less used statistic coefficient, having a vast area of applicability due to its robustness, and which can easily divide the random series from a non-random series, even if the random series is non-Gaussian: the Hurst exponent.

  4. The influence of volatility spill-overs and market beta on portfolio construction

    Directory of Open Access Journals (Sweden)

    André Heymans

    2015-05-01

    Full Text Available This study adds to Modern Portfolio Theory (MPT by providing an additional measure to market beta in constructing a more efficient investment portfolio. The additional measure analyses the volatility spill-over effects among stocks within the same portfolio. Using intraday stock returns from five top-40 listed stocks on the JSE between July 2008 and April 2010, volatility spill-over effects were estimated with a residual- based test (aggregate shock [AS] model framework. It is shown that when a particular stock attracted fewer volatility spill-over effects from the other stocks in the portfolio, the overall portfolio volatility decreased as well. In most cases market beta showcased similar results. Therefore, in order to construct a more efficient risk- adjusted portfolio, one requires both a portfolio that has a unit correlation with the market (beta-based, and stocks that showcase the least amount of volatility spill-over effects amongst one another. These results might assist portfolio managers to construct lower mean variance portfolios.

  5. Nonzero-Sum Stochastic Differential Portfolio Games under a Markovian Regime Switching Model

    Directory of Open Access Journals (Sweden)

    Chaoqun Ma

    2015-01-01

    Full Text Available We consider a nonzero-sum stochastic differential portfolio game problem in a continuous-time Markov regime switching environment when the price dynamics of the risky assets are governed by a Markov-modulated geometric Brownian motion (GBM. The market parameters, including the bank interest rate and the appreciation and volatility rates of the risky assets, switch over time according to a continuous-time Markov chain. We formulate the nonzero-sum stochastic differential portfolio game problem as two utility maximization problems of the sum process between two investors’ terminal wealth. We derive a pair of regime switching Hamilton-Jacobi-Bellman (HJB equations and two systems of coupled HJB equations at different regimes. We obtain explicit optimal portfolio strategies and Feynman-Kac representations of the two value functions. Furthermore, we solve the system of coupled HJB equations explicitly in a special case where there are only two states in the Markov chain. Finally we provide comparative statics and numerical simulation analysis of optimal portfolio strategies and investigate the impact of regime switching on optimal portfolio strategies.

  6. 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.

  7. 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.

  8. Hierarchical model-based predictive control of a power plant portfolio

    DEFF Research Database (Denmark)

    Edlund, Kristian; Bendtsen, Jan Dimon; Jørgensen, John Bagterp

    2011-01-01

    One of the main difficulties in large-scale implementation of renewable energy in existing power systems is that the production from renewable sources is difficult to predict and control. For this reason, fast and efficient control of controllable power producing units – so-called “portfolio...... design for power system portfolio control, which aims specifically at meeting these demands.The design involves a two-layer hierarchical structure with clearly defined interfaces that facilitate an object-oriented implementation approach. The same hierarchical structure is reflected in the underlying...... optimisation problem, which is solved using Dantzig–Wolfe decomposition. This decomposition yields improved computational efficiency and better scalability compared to centralised methods.The proposed control scheme is compared to an existing, state-of-the-art portfolio control system (operated by DONG Energy...

  9. 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.

  10. 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.

  11. 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...

  12. An optimization-based approach for facility energy management with uncertainties, and, Power portfolio optimization in deregulated electricity markets with risk management

    Science.gov (United States)

    Xu, Jun

    Topic 1. An Optimization-Based Approach for Facility Energy Management with Uncertainties. Effective energy management for facilities is becoming increasingly important in view of the rising energy costs, the government mandate on the reduction of energy consumption, and the human comfort requirements. This part of dissertation presents a daily energy management formulation and the corresponding solution methodology for HVAC systems. The problem is to minimize the energy and demand costs through the control of HVAC units while satisfying human comfort, system dynamics, load limit constraints, and other requirements. The problem is difficult in view of the fact that the system is nonlinear, time-varying, building-dependent, and uncertain; and that the direct control of a large number of HVAC components is difficult. In this work, HVAC setpoints are the control variables developed on top of a Direct Digital Control (DDC) system. A method that combines Lagrangian relaxation, neural networks, stochastic dynamic programming, and heuristics is developed to predict the system dynamics and uncontrollable load, and to optimize the setpoints. Numerical testing and prototype implementation results show that our method can effectively reduce total costs, manage uncertainties, and shed the load, is computationally efficient. Furthermore, it is significantly better than existing methods. Topic 2. Power Portfolio Optimization in Deregulated Electricity Markets with Risk Management. In a deregulated electric power system, multiple markets of different time scales exist with various power supply instruments. A load serving entity (LSE) has multiple choices from these instruments to meet its load obligations. In view of the large amount of power involved, the complex market structure, risks in such volatile markets, stringent constraints to be satisfied, and the long time horizon, a power portfolio optimization problem is of critical importance but difficulty for an LSE to serve the

  13. 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....

  14. Modeling a Dynamic Portfolio for Pension Plans in Emerging Markets With Myopic and Nonmyopic Behavior

    DEFF Research Database (Denmark)

    Pimentel, Livia F.; Santiago, Leonardo

    2015-01-01

    We introduce a dynamic formulation for the problem of portfolio selection of pension funds in the absence of a risk-free asset. In emerging markets, a risk-free asset might be unavailable, and the approaches commonly used may no longer be suitable. We use a parametric approach to combine dynamic...

  15. Modelling of and empirical studies on portfolio choice, option pricing, and credit risk

    NARCIS (Netherlands)

    Polbennikov, S.Y.

    2005-01-01

    This thesis develops and applies a statistical spanning test for mean-coherent regular risk portfolios. Similarly in spirt to Huberman and Kandel (1987), this test can be implemented by means of a simple semi-parametric instrumental variable regression, where instruments have a direct link with a

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

    Directory of Open Access Journals (Sweden)

    Saša Žiković

    2005-06-01

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

  17. 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.

  18. Evaluation of Service Level Agreement Approaches for Portfolio Management in the Financial Industry

    Science.gov (United States)

    Pontz, Tobias; Grauer, Manfred; Kuebert, Roland; Tenschert, Axel; Koller, Bastian

    The idea of service-oriented Grid computing seems to have the potential for fundamental paradigm change and a new architectural alignment concerning the design of IT infrastructures. There is a wide range of technical approaches from scientific communities which describe basic infrastructures and middlewares for integrating Grid resources in order that by now Grid applications are technically realizable. Hence, Grid computing needs viable business models and enhanced infrastructures to move from academic application right up to commercial application. For a commercial usage of these evolutions service level agreements are needed. The developed approaches are primary of academic interest and mostly have not been put into practice. Based on a business use case of the financial industry, five service level agreement approaches have been evaluated in this paper. Based on the evaluation, a management architecture has been designed and implemented as a prototype.

  19. A Risk-Free Protection Index Model for Portfolio Selection with Entropy Constraint under an Uncertainty Framework

    Directory of Open Access Journals (Sweden)

    Jianwei Gao

    2017-02-01

    Full Text Available This paper aims to develop a risk-free protection index model for portfolio selection based on the uncertain theory. First, the returns of risk assets are assumed as uncertain variables and subject to reputable experts’ evaluations. Second, under this assumption, combining with the risk-free interest rate we define a risk-free protection index (RFPI, which can measure the protection degree when the loss of risk assets happens. Third, note that the proportion entropy serves as a complementary means to reduce the risk by the preset diversification requirement. We put forward a risk-free protection index model with an entropy constraint under an uncertainty framework by applying the RFPI, Huang’s risk index model (RIM, and mean-variance-entropy model (MVEM. Furthermore, to solve our portfolio model, an algorithm is given to estimate the uncertain expected return and standard deviation of different risk assets by applying the Delphi method. Finally, an example is provided to show that the risk-free protection index model performs better than the traditional MVEM and RIM.

  20. Sustainability-Oriented Financial Resource Allocation in a Project Portfolio through Multi-Criteria Decision-Making

    Directory of Open Access Journals (Sweden)

    Nomeda Dobrovolskienė

    2016-05-01

    Full Text Available Modern portfolio theory attempts to maximize the expected return of a portfolio for a given level of portfolio risk, or equivalently minimize risk for a given level of expected return. The reality, however, shows that, when selecting projects to a portfolio and allocating resources in the portfolio, an increasing number of organizations take into account other aspects as well. As a result of the sole purpose (risk-return, it offers only a partial solution for a sustainable organization. Existing project portfolio selection and resource allocation methods and models do not consider sustainability. Therefore, the aim of this article is to develop a sustainability-oriented model of financial resource allocation in a project portfolio by integrating a composite sustainability index of a project into Markowitz’s classical risk-return scheme (mean-variance model. The model was developed by applying multi-criteria decision-making methods. The practicability of the model was tested by an empirical study in a selected construction company. The proposed sustainability-oriented financial resource allocation model could be used in allocating financial resources in any type of business. The use of the model would not only help organisations to manage risk and achieve higher return but would also allow carrying out sustainable projects, thereby promoting greater environmental responsibility and giving more consideration to the wellbeing of future generations. Moreover, the model allows quantifying the impact of the integration of sustainability into financial resource allocation on the return of a portfolio.

  1. An Information-Based Trade Off between Foreign Direct Investment and Foreign Portfolio Investment

    OpenAIRE

    Itay Goldstein; Assaf Razin

    2005-01-01

    The paper develops a model of foreign direct investments (FDI) and foreign portfolio investments (FPI).The model describes an information-based trade off between direct investments and portfolio investments. Direct investors are more informed about the fundamentals of their projects. This information enables them to manage their projects more efficiently. However, it also creates an asymmetric-information problem in case they need to sell their projects prematurely, and reduces the price they...

  2. Numerical approach to optimal portfolio in a power utility regime-switching model

    Science.gov (United States)

    Gyulov, Tihomir B.; Koleva, Miglena N.; Vulkov, Lubin G.

    2017-12-01

    We consider a system of weakly coupled degenerate semi-linear parabolic equations of optimal portfolio in a regime-switching with power utility function, derived by A.R. Valdez and T. Vargiolu [14]. First, we discuss some basic properties of the solution of this system. Then, we develop and analyze implicit-explicit, flux limited finite difference schemes for the differential problem. Numerical experiments are discussed.

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

    Science.gov (United States)

    Dexter, Franklin; Ledolter, Johannes

    2003-07-01

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

  4. Finding Balanced Scorecards for Business Driven IT Service Portfolio Management: A Literature Review

    OpenAIRE

    Györy, Andreas Antonius Béla; Cleven, Anne; Uebernickel, Falk; Brenner, Walter

    2012-01-01

    During the last decades information technology (IT) management has changed significantly. Starting from being a costly and rare resource in its very beginnings IT has evolved into a vital enabler for almost any kind of business today. This development demands for highly flexible management concepts allowing the business to actively control and govern IT performance. A meanwhile widely used approach for multi-dimensional performance measurement in the context of IT management is the Balanced S...

  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. Rethinking project portfolio management: A case study of a public organization

    DEFF Research Database (Denmark)

    Hansen, Lars Kristian; Svejvig, Per

    2018-01-01

    analytical perspectives. One perspective, denoted as classical project management (CPM), highlights key characteristics of traditional PPM research. A second perspective, denoted as rethinking project management (RPM), highlights characteristics of progressive PPM research. Against this background, we...... diagnose PPM practices in a large public organization and find that organizational top management use the vocabulary and request the values emphasized by the CPM perspective, such as executability, controllability, instrumentality and linearity. However, below top management level, we find managers...... practices. Taking into account the limitations of our single case study design, our research shows how an organization, which differs considerably from advise provided by the conventional CPM perspective, and best PPM practices, may be well functioning – or at least, in large, meets the organization’ PPM...

  7. 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.

  8. 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...

  9. How to combine human resource management systems and human capital portfolios to achieve superior innovation performance

    OpenAIRE

    Rupietta, Christian; Backes-Gellner, Uschi

    2013-01-01

    Firms generate new knowledge that leads to innovations by recombining existing knowledge sources. A successful recombination depends on both the availability of a knowledge stock (human capital pool) that contains innovation-relevant knowledge and the regulation of the knowledge flow through the application of human resource management practices. However, while human resource theory expects complementarities between both the human capital pool and the human resource management system it does ...

  10. DEVELOPING A MODULAR PORTFOLIO SELECTION MODEL FOR SHORT-TERM AND LONGTERM MARKET TRENDS AND MASS PSYCHOLOGY

    Directory of Open Access Journals (Sweden)

    M. Jasemi

    2012-01-01

    Full Text Available

    ENGLISH ABSTRACT: In an effort to model stock markets, many researchers have developed portfolio selection models to maximise investor satisfaction. However, this field still needs more accurate and comprehensive models. Development of these models is difficult because of unpredictable economic, social, and political variables that affect stock market behaviour. In this paper, a new model with three modules for portfolio optimisation is presented. The first module derives the efficient frontier through a new approach; the second presents an intelligent mechanism for emitting trading signals; while the third module integrates the outputs of the first two modules. Some important features of the model in comparison with others are: 1 consideration of investors’ emotions – the psychology of the market – that arises from the three above-mentioned factors; 2 significant loosening of simplifying assumptions about markets and stocks; and 3 greater sensitivity to new data.

    AFRIKAANSE OPSOMMING: In ‘n poging om aandelemarkte te modelleer het verskeie navorsers portefeulje-seleksiemodelle ontwikkel om beleggers se tevredenheid te maksimiseer. Desnieteenstaande word meer akkurate en omvattende modelle benodig. Die ontwikkeling van hierdie modelle word bemoeilik deur die onvoorspelbare ekonomiese, sosiale en politiese veranderlikes wat aandelemarkte se gedrag raak. In hierdie artikel word ‘n nuwe model voorgehou wat bestaan uit drie modules vir portefeulje-optimisering. Die eerste module bepaal die doelmatigheidsgrens op ‘n nuwe metode; die tweede hou ‘n intelligente meganisme voor om transaksieseine te lewer terwyl die derde module die uitsette van die eerste twee modules integreer. Sommige van die belangrike eienskappe van die model wat dit van ander onderskei is: 1 konsiderasie van die beleggers se emosies – die sielkunde van die mark – wat ontstaan vanweë die genoemde faktore; 2 betekenisvolle verslapping van die

  11. Rational and mechanics of a peak risk variance swap for a property insurance portfolio

    OpenAIRE

    Zvezdov, Ivelin

    2012-01-01

    In this technical report we explore the motivation, structuring and detailed mechanics of a variance swap contract adapted for a property insurance portfolio. We structure, price and test sensitivities of the swap contract using real event historical and modeled natural catastrophe loss data. Our key motivation is to propose an element of financial engineering innovation to insurance portfolio risk management to allow for constructing hedging strategies that may not be possible to achieve w...

  12. 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...

  13. 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

  14. An Empirical Exploration of the Antecedents and Outcomes of NPD Portfolio Success

    NARCIS (Netherlands)

    Kester, L.; Hultink, H.J.; Griffin, A.

    2013-01-01

    The manuscript first combines theory and previous empirical findings to build a model of new product development portfolio success. Because relationships between product development portfolio decision-making effectiveness, portfolio success and firm-level success have not previously been

  15. Optimal portfolio strategy with cross-correlation matrix composed by DCCA coefficients: Evidence from the Chinese stock market

    Science.gov (United States)

    Sun, Xuelian; Liu, Zixian

    2016-02-01

    In this paper, a new estimator of correlation matrix is proposed, which is composed of the detrended cross-correlation coefficients (DCCA coefficients), to improve portfolio optimization. In contrast to Pearson's correlation coefficients (PCC), DCCA coefficients acquired by the detrended cross-correlation analysis (DCCA) method can describe the nonlinear correlation between assets, and can be decomposed in different time scales. These properties of DCCA make it possible to improve the investment effect and more valuable to investigate the scale behaviors of portfolios. The minimum variance portfolio (MVP) model and the Mean-Variance (MV) model are used to evaluate the effectiveness of this improvement. Stability analysis shows the effect of two kinds of correlation matrices on the estimation error of portfolio weights. The observed scale behaviors are significant to risk management and could be used to optimize the portfolio selection.

  16. An open Markov chain scheme model for a credit consumption portfolio fed by ARIMA and SARMA processes

    Science.gov (United States)

    Esquível, Manuel L.; Fernandes, José Moniz; Guerreiro, Gracinda R.

    2016-06-01

    We introduce a schematic formalism for the time evolution of a random population entering some set of classes and such that each member of the population evolves among these classes according to a scheme based on a Markov chain model. We consider that the flow of incoming members is modeled by a time series and we detail the time series structure of the elements in each of the classes. We present a practical application to data from a credit portfolio of a Cape Verdian bank; after modeling the entering population in two different ways - namely as an ARIMA process and as a deterministic sigmoid type trend plus a SARMA process for the residues - we simulate the behavior of the population and compare the results. We get that the second method is more accurate in describing the behavior of the populations when compared to the observed values in a direct simulation of the Markov chain.

  17. 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.

  18. Simple Models for Model-based Portfolio Load Balancing Controller Synthesis

    DEFF Research Database (Denmark)

    Edlund, Kristian Skjoldborg; Mølbak, Tommy; Bendtsen, Jan Dimon

    2010-01-01

    of generation units existing in an electrical power supply network, for instance in model-based predictive control or declarative control schemes. We focus on the effectuators found in the Danish power system. In particular, the paper presents models for boiler load, district heating, condensate throttling...

  19. 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…

  20. 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

  1. Estimating risk of foreign exchange portfolio: Using VaR and CVaR based on GARCH-EVT-Copula model

    Science.gov (United States)

    Wang, Zong-Run; Chen, Xiao-Hong; Jin, Yan-Bo; Zhou, Yan-Ju

    2010-11-01

    This paper introduces GARCH-EVT-Copula model and applies it to study the risk of foreign exchange portfolio. Multivariate Copulas, including Gaussian, t and Clayton ones, were used to describe a portfolio risk structure, and to extend the analysis from a bivariate to an n-dimensional asset allocation problem. We apply this methodology to study the returns of a portfolio of four major foreign currencies in China, including USD, EUR, JPY and HKD. Our results suggest that the optimal investment allocations are similar across different Copulas and confidence levels. In addition, we find that the optimal investment concentrates on the USD investment. Generally speaking, t Copula and Clayton Copula better portray the correlation structure of multiple assets than Normal Copula.

  2. Building a Library App Portfolio with Redis and Django

    Directory of Open Access Journals (Sweden)

    Jeremy Nelson

    2013-01-01

    Full Text Available The Tutt Library at Colorado College is developing a portfolio of library applications for use by patrons and library staff. Developed under an iterative and incremental agile model, these single-use HTML5 applications target multiple devices while using Bootstrap and Django to deliver fast and responsive interfaces to underlying FRBR datastores running on Redis, an advanced NoSQL database server. Two types are delineated: applications for access and discovery, which are available to everyone; and productivity applications, which are primarily for library staff to administer and manage the FRBR-RDA records. The access portfolio includes Book Search, Article Search, Call Number, and Library Hours applications. The productivity side includes an Orders App and a MARC Batch application for ingesting MARC records as FRBR entities using RDA Core attributes. When a critical threshold is reached, the Tutt Library intends to replace its legacy ILS with this library application portfolio.

  3. 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...

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

    OpenAIRE

    Memmel, Christoph; Wehn, Carsten

    2005-01-01

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

  6. 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

  7. 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

  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

    2014-01-01

    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

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

    Science.gov (United States)

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

    2013-01-01

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

  10. The South Florida Ecosystem Portfolio Model - A Map-Based Multicriteria Ecological, Economic, and Community Land-Use Planning Tool

    Science.gov (United States)

    Labiosa, William B.; Bernknopf, Richard; Hearn, Paul; Hogan, Dianna; Strong, David; Pearlstine, Leonard; Mathie, Amy M.; Wein, Anne M.; Gillen, Kevin; Wachter, Susan

    2009-01-01

    The South Florida Ecosystem Portfolio Model (EPM) prototype is a regional land-use planning Web tool that integrates ecological, economic, and social information and values of relevance to decision-makers and stakeholders. The EPM uses a multicriteria evaluation framework that builds on geographic information system-based (GIS) analysis and spatially-explicit models that characterize important ecological, economic, and societal endpoints and consequences that are sensitive to regional land-use/land-cover (LULC) change. The EPM uses both economics (monetized) and multiattribute utility (nonmonetized) approaches to valuing these endpoints and consequences. This hybrid approach represents a methodological middle ground between rigorous economic and ecological/ environmental scientific approaches. The EPM sacrifices some degree of economic- and ecological-forecasting precision to gain methodological transparency, spatial explicitness, and transferability, while maintaining credibility. After all, even small steps in the direction of including ecosystem services evaluation are an improvement over current land-use planning practice (Boyd and Wainger, 2003). There are many participants involved in land-use decision-making in South Florida, including local, regional, State, and Federal agencies, developers, environmental groups, agricultural groups, and other stakeholders (South Florida Regional Planning Council, 2003, 2004). The EPM's multicriteria evaluation framework is designed to cut across the objectives and knowledge bases of all of these participants. This approach places fundamental importance on social equity and stakeholder participation in land-use decision-making, but makes no attempt to determine normative socially 'optimal' land-use plans. The EPM is thus a map-based set of evaluation tools for planners and stakeholders to use in their deliberations of what is 'best', considering a balancing of disparate interests within a regional perspective. Although

  11. A Comprehensive Model of Municipal Housing Stock Management

    Directory of Open Access Journals (Sweden)

    Muczyński Andrzej

    2016-06-01

    Full Text Available In many European countries there are still substantial housing needs which social landlords have to fulfill. Especially in countries with a shortage of affordable housing for underprivileged households, the effective and efficient management of the existing social housing stock, which includes technical, social, financial and tenure management activities on the strategic, tactical and operational level, is very important. The paper presents a comprehensive model of municipal housing stock management in the context of Polish conditions. This model was built by adapting the multidimensional concept of real estate management originally developed for commercial real estate portfolio management. It shows an integrative view of municipal housing stock management in Poland and contributes to the better organization and coordination of management activities and tasks in this area. The prepared model may be of interest to other countries where the functions of social landlords are mostly carried out directly by municipalities and their organizational units.

  12. The primary assessment tool at Philips electronics : capturing real options and organizational risk in technology portfolio management

    NARCIS (Netherlands)

    Lint, L.J.O.

    2000-01-01

    I develop an extended scoring approach to build a balanced portfolio of new technology projects under uncertainty at early stages of development. My contribution is twofold. First, I show how the tool incorporates the option approach to decision making to create contingent claims on future market

  13. 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

  14. An optimization model for natural gas supply portfolios of a power generation company

    International Nuclear Information System (INIS)

    Jirutitijaroen, Panida; Kim, Sujin; Kittithreerapronchai, Oran; Prina, José

    2013-01-01

    Highlights: ► An optimization model for daily operation of a natural gas-fired generation company is proposed. ► The model considers uncertainties in electricity price and natural gas price. ► The model is formulated to capture the hedging decisions by the company. ► The solution yields quantities of natural gas, generating schedule and purchasing quantities of electricity. ► Higher profit can be achieved by adapting inventory and production to the actual spot prices of natural gas and electricity. - Abstract: This paper considers a deregulated electricity market environment where a natural gas-fired generation company can engage in different types of contracts to manage its natural gas supply as well as trade on the electricity market. If the contracts are properly designed, they can protect the company from fluctuations in electricity price and demand, at some cost to the company’s expected profit. This reduction in profit can be mitigated by trading on the natural gas and electricity spot markets, but this trading activity may also sometimes result in losses. A stochastic programming model is formulated to capture the hedging decisions made by the company, as well as the interactions between the natural gas and electricity markets. The benefits offered by this approach for profit maximization in a variety of business scenarios, such as the case where the company can hold some amount of gas in storage are studied and presented. It is found that the stochastic model enables the company to optimize the electricity generation schedule and the natural gas consumption, including spot price transactions and gas storage management. Several managerial insights into the natural gas market, natural gas storage, and distribution profit are given

  15. 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...

  16. 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

  17. IT Project Portfolio Management: Vertical and Horizontal Work Design Problems in a Public Organization

    DEFF Research Database (Denmark)

    Hansen, Lars Kristian

    2013-01-01

    arbejder på at forbedre dens IT PPM praksisser. Undersøgelsen anvender Work Design Teori til at analysere kommunens IT PPM praksisser på tværs af hierarkiske niveauer og organisatoriske enheder i bestræbelsen på, at besvare følgende tre forskningsspørgsmål:(1) Hvordan udfører en offentlig organisation...... and Van De Ven’s (2005) Work Design Teori, der sondrer mellem vertikal- og horisontal arbejdsdeling. Vertikal deling af arbejde bliver betragtet som fordelingen af autoritet, viden og resurser, hvilket undersøgelsen finder værende delt ud på fire hierarkiske niveauer: (1) det politiske niveau med den...... af det andet forskningsspørgsmål anvendes Work Design Teori til at identificere problemer indenfor tre relaterede problemområder: hierarkiske dekompositions problemer, modularitets problemer og komplekse netværks problemer. De identificerede problemer er sammenfattet i en model bestående af 14...

  18. 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.

  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. 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...

  1. 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...

  2. 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.

  3. 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.

  4. 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...

  5. Minimization of the root of a quadratic functional under a system of affine equality constraints with application to portfolio management

    Science.gov (United States)

    Landsman, Zinoviy

    2008-10-01

    We present an explicit closed form solution of the problem of minimizing the root of a quadratic functional subject to a system of affine constraints. The result generalizes Z. Landsman, Minimization of the root of a quadratic functional under an affine equality constraint, J. Comput. Appl. Math. 2007, to appear, see sciencedirect.com/science/journal/03770427>, articles in press, where the optimization problem was solved under only one linear constraint. This is of interest for solving significant problems pertaining to financial economics as well as some classes of feasibility and optimization problems which frequently occur in tomography and other fields. The results are illustrated in the problem of optimal portfolio selection and the particular case when the expected return of finance portfolio is certain is discussed.

  6. Acquisition Management for System of Systems: Requirement Evolution and Acquisition Strategy Planning

    Science.gov (United States)

    2013-01-29

    of modern portfolio and control theory . The reformulation allows for possible changes in estimated quantities (e.g., due to market shifts in... Portfolio Theory (MPT). Final Report: NPS award N00244-11-1-0003 5 Extending CEM and Markov: Agent-Based Modeling Approach Research conducted in the...integration and acquisition from a robust portfolio theory standpoint. Robust portfolio management methodologies have been widely used by financial

  7. A Risk-Sensitive Portfolio Optimization Problem with Fixed Incomes Securities

    OpenAIRE

    Goel, Mayank; Kumar, K. Suresh

    2007-01-01

    We discuss a class of risk-sensitive portfolio optimization problems. We consider the portfolio optimization model investigated by Nagai in 2003. The model by its nature can include fixed income securities as well in the portfolio. Under fairly general conditions, we prove the existence of optimal portfolio in both finite and infinite horizon problems.

  8. Modeling generator power plant portfolios and pollution taxes in electric power supply chain networks: a transportation network equilibrium transformation

    International Nuclear Information System (INIS)

    Kai Wu; Nagurney, A.; University of Massachusetts, Amherst, MA; Zugang Liu; Stranlund, J.K.

    2006-01-01

    Global climate change and fuel security risks have encouraged international and regional adoption of pollution/carbon taxes. A major portion of such policy interventions is directed at the electric power industry with taxes applied according to the type of fuel used by the power generators in their power plants. This paper proposes an electric power supply chain network model that captures the behavior of power generators faced with a portfolio of power plant options and subject to pollution taxes. We demonstrate that this general model can be reformulated as a transportation network equilibrium model with elastic demands and qualitatively analyzed and solved as such. The connections between these two different modeling schemas is done through finite-dimensional variational inequality theory. The numerical examples illustrate how changes in the pollution/carbon taxes affect the equilibrium electric power supply chain network production outputs, the transactions between the various decision-makers the demand market prices, as well as the total amount of carbon emissions generated. (author)

  9. Data model for Demand Side Management

    Directory of Open Access Journals (Sweden)

    Simona-Vasilica OPREA

    2017-08-01

    Full Text Available Demand Side Management (DSM is a portfolio of measures to improve the energy system mainly at the consumption level. In this paper we propose a data model for DSM stating from the optimization methods approach in SMARTRADE project from different perspectives of several entities that include: Transmission System Operator (TSO/Distribution System Operators (DSOs perspectives in case of security/reliability concerns: minimum amount of load (or generation shedding; aggregators perspective in case of demand or generation shedding request: Which demand (or generators should be shed?; consumers perspective: load shifting (time-of-use (ToU tariffs and optimum contract strategies with the aggregators (also known as balancing responsible parties- BRP for load shedding.

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

    Directory of Open Access Journals (Sweden)

    Ivan Ricardo Gartner

    2012-08-01

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

  11. 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)

  12. 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…

  13. 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.

  14. 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.

  15. 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...

  16. 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...

  17. 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

  18. 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

  19. 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

  20. Dynamic Portfolio Selection on Croatian Financial Markets: MGARCH Approach

    OpenAIRE

    Škrinjarić, Tihana; Šego, Boško

    2016-01-01

    Background: Investors on financial markets are interested in finding trading strategies which could enable them to beat the market. They always look for best possibilities to achieve above-average returns and manage risks successfully. MGARCH methodology (Multivariate Generalized Autoregressive Conditional Heteroskedasticity) makes it possible to model changing risks and return dynamics on financial markets on a daily basis. The results could be used in order to enhance portfolio formation an...

  1. Dynamic Portfolio Selection on Croatian Financial Markets: MGARCH Approach

    Directory of Open Access Journals (Sweden)

    Škrinjarić Tihana

    2016-09-01

    Full Text Available Background: Investors on financial markets are interested in finding trading strategies which could enable them to beat the market. They always look for best possibilities to achieve above-average returns and manage risks successfully. MGARCH methodology (Multivariate Generalized Autoregressive Conditional Heteroskedasticity makes it possible to model changing risks and return dynamics on financial markets on a daily basis. The results could be used in order to enhance portfolio formation and restructuring over time.

  2. Inter-rater reliability of healthcare professional skills' portfolio assessments: The Andalusian Agency for Healthcare Quality model

    Directory of Open Access Journals (Sweden)

    Antonio Almuedo-Paz

    2014-07-01

    Full Text Available This study aims to determine the reliability of assessment criteria used for a portfolio at the Andalusian Agency for Healthcare Quality (ACSA. Data: all competences certification processes, regardless of their discipline. Period: 2010-2011. Three types of tests are used: 368 certificates, 17,895 reports and 22,642 clinical practice reports (N = 3,010 candidates. The tests were evaluated in pairs by the ACSA team of raters using two categories: valid and invalid. Results: The percentage agreement in assessments of certificates was 89,9%, while for the reports of clinical practice was 85,1 % and for clinical practice reports was 81,7%. The inter-rater agreement coefficients (kappa ranged from 0,468 to 0,711. Discussion: The results of this study show that the inter-rater reliability of assessments varies from fair to good. Compared with other similar studies, the results put the reliability of the model in a comfortable position. Among the improvements incorporated, progressive automation of evaluations must be highlighted.

  3. 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.

  4. The disruption management model.

    Science.gov (United States)

    McAlister, James

    2011-10-01

    Within all organisations, business continuity disruptions present a set of dilemmas that managers may not have dealt with before in their normal daily duties. The disruption management model provides a simple but effective management tool to enable crisis management teams to stay focused on recovery in the midst of a business continuity incident. The model has four chronological primary headlines, which steer the team through a quick-time crisis decision-making process. The procedure facilitates timely, systematic, rationalised and justified decisions, which can withstand post-event scrutiny. The disruption management model has been thoroughly tested within an emergency services environment and is proven to significantly support clear and concise decision making in a business continuity context.

  5. The Role of Nuclear Power in Reducing Risk of the Fossil Fuel Prices and Diversity of Electricity Generation in Tunisia: A Portfolio Approach

    Science.gov (United States)

    Abdelhamid, Mohamed Ben; Aloui, Chaker; Chaton, Corinne; Souissi, Jomâa

    2010-04-01

    This paper applies real options and mean-variance portfolio theories to analyze the electricity generation planning into presence of nuclear power plant for the Tunisian case. First, we analyze the choice between fossil fuel and nuclear production. A dynamic model is presented to illustrate the impact of fossil fuel cost uncertainty on the optimal timing to switch from gas to nuclear. Next, we use the portfolio theory to manage risk of the electricity generation portfolio and to determine the optimal fuel mix with the nuclear alternative. Based on portfolio theory, the results show that there is other optimal mix than the mix fixed for the Tunisian mix for the horizon 2010-2020, with lower cost for the same risk degree. In the presence of nuclear technology, we found that the optimal generating portfolio must include 13% of nuclear power technology share.

  6. 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

  7. Relationships Between Risks in an IT Project Development Portfolio

    NARCIS (Netherlands)

    Kusters, R.J.; Postema, J.J.; Trienekens, J.J.M.; Lavazza, L.; Oberhauser, R.; Martin, A.; Hassine, J.; Gebhart, M.; Jäntti, M.

    2013-01-01

    More and more it is seen that IT (Information Technology) projects are managed as a whole as part of a IT project portfolio. As one of the arguments for doing so, risk management at the portfolio level was identified as one of the advantages that could benefit from this. This was based on the notion

  8. 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.

  9. 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...

  10. 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,...

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

    OpenAIRE

    Asgharian, Hossein

    2004-01-01

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

  12. 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.

  13. 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.

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

    Directory of Open Access Journals (Sweden)

    Foroogh Ghasemi

    2018-05-01

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

  15. 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 ...

  16. 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...

  17. How to manage future groundwater resource of China under climate change and urbanization: An optimal stage investment design from modern portfolio theory.

    Science.gov (United States)

    Hua, Shanshan; Liang, Jie; Zeng, Guangming; Xu, Min; Zhang, Chang; Yuan, Yujie; Li, Xiaodong; Li, Ping; Liu, Jiayu; Huang, Lu

    2015-11-15

    Groundwater management in China has been facing challenges from both climate change and urbanization and is considered as a national priority nowadays. However, unprecedented uncertainty exists in future scenarios making it difficult to formulate management planning paradigms. In this paper, we apply modern portfolio theory (MPT) to formulate an optimal stage investment of groundwater contamination remediation in China. This approach generates optimal weights of investment to each stage of the groundwater management and helps maximize expected return while minimizing overall risk in the future. We find that the efficient frontier of investment displays an upward-sloping shape in risk-return space. The expected value of groundwater vulnerability index increases from 0.6118 to 0.6230 following with the risk of uncertainty increased from 0.0118 to 0.0297. If management investment is constrained not to exceed certain total cost until 2050 year, the efficient frontier could help decision makers make the most appropriate choice on the trade-off between risk and return. Copyright © 2015 Elsevier Ltd. All rights reserved.

  18. 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...

  19. 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,…

  20. 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

  1. 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...

  2. 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.

  3. FORECASTING MODELS IN MANAGEMENT

    OpenAIRE

    Sindelar, Jiri

    2008-01-01

    This article deals with the problems of forecasting models. First part of the article is dedicated to definition of the relevant areas (vertical and horizontal pillar of definition) and then the forecasting model itself is defined; as article presents theoretical background for further primary research, this definition is crucial. Finally the position of forecasting models within the management system is identified. The paper is a part of the outputs of FEM CULS grant no. 1312/11/3121.

  4. 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

  5. A generalized CAPM model with asymmetric power distributed errors with an application to portfolio construction

    NARCIS (Netherlands)

    Bao, T.; Diks, C.; Li, H.

    We estimate the CAPM model on European stock market data, allowing for asymmetric and fat-tailed return distributions using independent and identically asymmetric power distributed (IIAPD) innovations. The results indicate that the generalized CAPM with IIAPD errors has desirable properties. It is

  6. Probabilistic disaggregation model with application to natural hazard risk assessment of portfolios

    OpenAIRE

    Custer, Rocco; Nishijima, Kazuyoshi

    2012-01-01

    In natural hazard risk assessment, a resolution mismatch between hazard data and aggregated exposure data is often observed. A possible solution to this issue is the disaggregation of exposure data to match the spatial resolution of hazard data. Disaggregation models available in literature are usually deterministic and make use of auxiliary indicator, such as land cover, to spatially distribute exposures. As the dependence between auxiliary indicator and disaggregated number of exposures is ...

  7. 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...

  8. 12 CFR 225.171 - What are the limitations on managing or operating a portfolio company held as a merchant banking...

    Science.gov (United States)

    2010-01-01

    ... of the portfolio company. Examples of the types of actions that may be subject to these types of... operating a portfolio company held as a merchant banking investment? 225.171 Section 225.171 Banks and... COMPANIES AND CHANGE IN BANK CONTROL (REGULATION Y) Regulations Merchant Banking Investments § 225.171 What...

  9. 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.

  10. [Development of a portfolio for competency-based assessment in a clinical clerkship curriculum].

    Science.gov (United States)

    Roh, HyeRin; Lee, Jong-Tae; Yoon, Yoo Sang; Rhee, Byoung Doo

    2015-12-01

    The purpose of this report was to describe our experience in planning and developing a portfolio for a clinical clerkship curriculum. We have developed a portfolio for assessing student competency since 2007. During an annual workshop on clinical clerkship curricula, clerkship directors from five Paik hospitals of Inje University met to improve the assessment of the portfolio. We generated templates for students to record their activities and reflection and receive feedback. We uploaded these templates to our school's website for students to download freely. Annually, we have held a faculty development seminar and a workshop for portfolio assessment and feedback. Also, we established an orientation program on how to construct a learning portfolio for students. Future actions include creating a ubiquitous portfolio system, extending the portfolio to the entire curriculum, setting up an advisor system, and managing the quality of the portfolio. This study could be helpful for medical schools that plan to improve their portfolio assessment with an outcome-based approach.

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

    Science.gov (United States)

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

    2014-05-01

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

  12. Modeling for transition management

    NARCIS (Netherlands)

    Chappin, E.J.L.; Dijkema, G.P.J.

    2015-01-01

    A framework for the modeling and simulation of transitions is presented. A transition, “substantial change in the state of a socio-technical system”, typically unfolds over a long timespan. We therefore suggest to use simulation to inform transition managers on the effect of their decisions.

  13. Modeling for Transition Management

    NARCIS (Netherlands)

    Chappin, Emile J L; Dijkema, Gerard P.J.

    2015-01-01

    A framework for the modeling and simulation of transitions is presented. A transition, “substantial change in the state of a socio-technical system”, typically unfolds over a long timespan. We therefore suggest to use simulation to inform transition managers on the effect of their decisions.

  14. A Cash Management Model.

    Science.gov (United States)

    Boyles, William W.

    1975-01-01

    In 1973, Ronald G. Lykins presented a model for cash management and analysed its benefits for Ohio University. This paper attempts to expand on the previous method by providing answers to questions raised by the Lykins methods by a series of simple algebraic formulas. Both methods are based on two premises: (1) all cash over which the business…

  15. Assessment and Planning Using Portfolio Analysis

    Science.gov (United States)

    Roberts, Laura B.

    2010-01-01

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

  16. Information Content of Mutual Fund Portfolio Disclosure

    NARCIS (Netherlands)

    Y. Wang (Yu)

    2011-01-01

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

  17. 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)

  18. 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...

  19. 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.

  20. Research on regularized mean-variance portfolio selection strategy with modified Roy safety-first principle.

    Science.gov (United States)

    Atta Mills, Ebenezer Fiifi Emire; Yan, Dawen; Yu, Bo; Wei, Xinyuan

    2016-01-01

    We propose a consolidated risk measure based on variance and the safety-first principle in a mean-risk portfolio optimization framework. The safety-first principle to financial portfolio selection strategy is modified and improved. Our proposed models are subjected to norm regularization to seek near-optimal stable and sparse portfolios. We compare the cumulative wealth of our preferred proposed model to a benchmark, S&P 500 index for the same period. Our proposed portfolio strategies have better out-of-sample performance than the selected alternative portfolio rules in literature and control the downside risk of the portfolio returns.