On the microeconomic problems studied by portfolio theory

Science.gov (United States)

Nikonov, Oleg; Medvedeva, Marina

2012-09-01

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

Civil engineering firms and the nuclear programme

International Nuclear Information System (INIS)

Giral, J.L.

1988-01-01

Pointing out that the realization of the electronuclear programme accounted for just under 5 % of the annual turnover of civil engineering firms from 1975 to 1987, the author lists the main types of work entrusted to these firms for the bulding of the power stations: electrical work, structural work (civil engineering, metal structures. He then describes the two main problems which the profession has to face in the nuclear field: the management of final contract stages and adaptation to the slowing down in the rate of commitment of power plants [fr

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

International Nuclear Information System (INIS)

Keeney, R.L.

1987-01-01

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

Competencies matter: modeling effective entrepreneurship in northeast of Italy small firms

OpenAIRE

A. Camuffo; F. Gerli; P. Gubitta

2012-01-01

The purpose of this paper is to explore if and to what extent the competency portfolio of entrepreneurs affects firm's performance, controlling for a set of individual and organizational variables. Applying nonparametric statistical analysis on data from behavioral event interviews and survey questionnaires to a sample of 53 entrepreneurs (small firm owners), this study investigates: the type, scope and depth of the entrepreneurs' competence portfolio; and the relationship between the ent...

Application of Resource Portfolio Concept in Nuclear Regulatory Infrastructure Support

International Nuclear Information System (INIS)

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

2010-01-01

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

Optimizing Eco-Efficiency Across the Procurement Portfolio.

Science.gov (United States)

Pelton, Rylie E O; Li, Mo; Smith, Timothy M; Lyon, Thomas P

2016-06-07

Manufacturing organizations' environmental impacts are often attributable to processes in the firm's upstream supply chain. Environmentally preferable procurement (EPP) and the establishment of environmental purchasing criteria can potentially reduce these indirect impacts. Life-cycle assessment (LCA) can help identify the purchasing criteria that are most effective in reducing environmental impacts. However, the high costs of LCA and the problems associated with the comparability of results have limited efforts to integrate procurement performance with quantitative organizational environmental performance targets. Moreover, environmental purchasing criteria, when implemented, are often established on a product-by-product basis without consideration of other products in the procurement portfolio. We develop an approach that utilizes streamlined LCA methods, together with linear programming, to determine optimal portfolios of product impact-reduction opportunities under budget constraints. The approach is illustrated through a simulated breakfast cereal manufacturing firm procuring grain, containerboard boxes, plastic packaging, electricity, and industrial cleaning solutions. Results suggest that extending EPP decisions and resources to the portfolio level, recently made feasible through the methods illustrated herein, can provide substantially greater CO2e and water-depletion reductions per dollar spend than a product-by-product approach, creating opportunities for procurement organizations to participate in firm-wide environmental impact reduction targets.

Diversification patterns and survival as firms mature

DEFF Research Database (Denmark)

Coad, Alexander Jean-Luc; Guenther, C.

2013-01-01

We focus on the relationship between age and diversification patterns of German machine tool manufacturers in the post-war era. We distinguish between 'minor diversification' (adding a new product variation within a familiar submarket) and 'major diversification' (expanding the product portfolio...... lines). Second, we find that product portfolios of larger firms tend to be more diversified. Third, with respect to consecutive diversification activities, quantile autoregression plots show that firms experiencing diversification in one period are unlikely to repeat this behavior in the following year....... Fourth, survival estimations reveal that diversification activities reduce the risk of exit in general and to a varying degree at different ages. These results are interpreted using Penrosean growth theory....

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

International Nuclear Information System (INIS)

Zhu, Lei; Fan, Ying

2010-01-01

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

Can global warming save nuclear power?

International Nuclear Information System (INIS)

Pearce, D.

1994-01-01

Nuclear powered electricity generation in the United Kingdom has an uncertain future. The relative costs of generating electricity by nuclear fission compared to other means and the need for a desirable mixture or ''portfolio'' of energy sources in the electricity industry are identified as the key to this uncertainty. The author argues that Government commitments to reducing Carbon Monoxide (CO) emissions, and hence global warming, may strengthen arguments in favour of a firm commitment to nuclear power, as even modern fossil-fuelled power plants emit nearly 90 times as much CO as nuclear plants. (UK)

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

Machine-based mapping of innovation portfolios

NARCIS (Netherlands)

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

2017-01-01

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

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.

Learning-by-Licensing: How Chinese Firms Benefit From Licensing-In Technologies

DEFF Research Database (Denmark)

Wang, Yuandi; Roijakkers, N.; Vanhaverbeke, W.

2012-01-01

This paper explores how interfirm variations in their in-licensed technology portfolios influence subsequent innovation performance. Existing studies mainly assume licensed technologies are homogeneously accessible to firms, and a prevailing explanation as to why firms vary in their innovation pe...

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

OpenAIRE

Jun Masuyama; Makoto Abe

2007-01-01

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

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

Science.gov (United States)

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

2017-01-01

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

Banking Firm, Equity and Value at Risk

Directory of Open Access Journals (Sweden)

Udo Broll

2012-12-01

Full Text Available The paper focuses on the interaction between the solvency probability of a banking firm and the diversification potential of its asset portfolio when determining optimal equity capital. The purpose of this paper is to incorporate value at risk (VaR into the firm-theoretical model of a banking firm facing the risk of asset return. Given the necessity to achieve a confidence level for solvency, we demonstrate that diversification reduces the amount of equity. Notably, the VaR concept excludes a separation of equity policy and asset-liability management.

The Determinants of Venture Capital Portfolio Size: Empirical Evidence

OpenAIRE

Douglas J. Cumming

2006-01-01

This paper explores factors that affect portfolio size among a sample of venture capital financing data from 214 Canadian funds. Four categories of factors affect portfolio size: (1) the venture capital funds' characteristics, including the type of fund, fund duration, fund-raising, and the number of venture capital fund managers; (2) the entrepreneurial firms' characteristics, including stage of development, technology, and geographic location; (3) the nature of the financing transactions, i...

Extending Value Logic Thinking to Value Logic Portfolios

DEFF Research Database (Denmark)

Andersen, Poul Houman; Ritter, Thomas

2014-01-01

Based on value creation logic theory (Stabell & Fjeldstad, 1998), this paper suggests an extension of the original Stabell & Fjeldstad model by an additional fourth value logic, the value system logic. Furthermore, instead of only allowing one dominant value creation logic for a given firm...... or transaction, an understanding of firms and transactions as a portfolio of value logics (i.e. an interconnected coexistence of different value creation logics) is proposed. These additions to the original value creation logic theory imply interesting avenues for both, strategic decision making in firms...

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

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.

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

Innovation field orientation and its effect on innovativeness and firm performance

DEFF Research Database (Denmark)

Salomo, Søren; Talke, Katrin; Strecker, Nanja

2008-01-01

field orientation is a phenomenon that prevails in practice. In addition, all defining aspects of this orientation have either direct or indirect effects on firm performance. Hence, those firms that deliberately specify and manage innovation fields have a more innovative product portfolio and are more...

Determinants of alliance portfolio complexity and its effect on innovative performance of companies

NARCIS (Netherlands)

Duijsters, G.M.; Lokshin, B.

2011-01-01

Alliance formation is often described as a mechanism used by firms to increase voluntary knowledge transfers. Access to external knowledge has been increasingly recognized as a main source of a firm's innovativeness. A phenomenon that has recently emerged is alliance portfolio complexity. In line

Free Trade Agreements and Firm-Product Markups in Chilean Manufacturing

DEFF Research Database (Denmark)

Lamorgese, A.R.; Linarello, A.; Warzynski, Frederic Michel Patrick

In this paper, we use detailed information about firms' product portfolio to study how trade liberalization affects prices, markups and productivity. We document these effects using firm product level data in Chilean manufacturing following two major trade agreements with the EU and the US....... The dataset provides information about the value and quantity of each good produced by the firm, as well as the amount of exports. One additional and unique characteristic of our dataset is that it provides a firm-product level measure of the unit average cost. We use this information to compute a firm...

A study on relationship between the return of value/growth portfolio and market return: Evidence from Tehran Stock Exchange

Directory of Open Access Journals (Sweden)

Monireh Mashhadi Ramezanali

2014-07-01

Full Text Available This study examines the relationship between the returns of two value and growth portfolios and the return of market on 15 selected firms on Tehran Stock Exchange over the period 2008-2011. The study divides the firms into two groups in terms of the ratios of price on earning as well as price on book value into two groups of value and growth portfolios. Using some regression analysis, the study has determined a positive and meaningful relationship between value portfolio and market return when the market is on the upside but this relationship is not meaningful during the bear session. The results indicate that during the bull sessions, value portfolios provide better investment opportunities than growth ones do.

Adopting Advertising and Communication Innovations in Small Firms

Directory of Open Access Journals (Sweden)

Fabricia Durieux Zucco

2017-03-01

Full Text Available The adoption of innovation for market penetration of small firms tends to consider the effectiveness of communication channels. In this study we investigate the adoption of communication and advertising innovations, the use of virtual social networks, in a sample of 227 small firms in the Brazilian countryside. We analyse how distinct communication objectives of a firm influence the choice of using virtual social networks to build links between firms and customers.  We also look at the role of paid advertising in virtual social networks. Main results show a trend of such firms to engage in virtual social networks when they are targeting at stronger brand image and when building deeper links through brand information with their public. Firms also tend to use advertising in virtual social networks when intending to raise brand recall from their brand portfolio.

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."...

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

NARCIS (Netherlands)

Bos, Brenda

2016-01-01

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

Firm-specific information, analysts’ superiority and investment value

Institute of Scientific and Technical Information of China (English)

Lu; Li; Erjia; Yang; Tusheng; Xiao

2014-01-01

Using a sample of Chinese security analysts’recommendations from 2005 to2010,we examine the source of analysts’superiority and the investment value of their recommendations.Using a calendar-time portfolio approach,we find that,on average,analysts’recommendations are valuable and that analysts are better at analyzing and transferring firm-specific information than market-wide or industry-level information.In addition,we show that the investment value of recommendations increases as firm-specific information becomes more important in stock pricing.Our empirical results are useful in guiding investors and helping brokerage houses to evaluate the output of research departments.

Fuel mix diversification incentives in liberalized electricity markets: A Mean-Variance Portfolio theory approach

International Nuclear Information System (INIS)

Roques, Fabien A.; Newbery, David M.; Nuttall, William J.

2008-01-01

Monte Carlo simulations of gas, coal and nuclear plant investment returns are used as inputs of a Mean-Variance Portfolio optimization to identify optimal base load generation portfolios for large electricity generators in liberalized electricity markets. We study the impact of fuel, electricity, and CO 2 price risks and their degree of correlation on optimal plant portfolios. High degrees of correlation between gas and electricity prices - as observed in most European markets - reduce gas plant risks and make portfolios dominated by gas plant more attractive. Long-term power purchase contracts and/or a lower cost of capital can rebalance optimal portfolios towards more diversified portfolios with larger shares of nuclear and coal plants

Fuel mix diversification incentives in liberalized electricity markets: A Mean-Variance Portfolio theory approach

Energy Technology Data Exchange (ETDEWEB)

Roques, F.A.; Newbery, D.M.; Nuffall, W.J. [University of Cambridge, Cambridge (United Kingdom). Faculty of Economics

2008-07-15

Monte Carlo simulations of gas, coal and nuclear plant investment returns are used as inputs of a Mean-Variance Portfolio optimization to identify optimal base load generation portfolios for large electricity generators in liberalized electricity markets. We study the impact of fuel, electricity, and CO{sub 2} price risks and their degree of correlation on optimal plant portfolios. High degrees of correlation between gas and electricity prices - as observed in most European markets - reduce gas plant risks and make portfolios dominated by gas plant more attractive. Long-term power purchase contracts and/or a lower cost of capital can rebalance optimal portfolios towards more diversified portfolios with larger shares of nuclear and coal plants.

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

NARCIS (Netherlands)

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

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

Analysis of the energy portfolio for electricity generation

International Nuclear Information System (INIS)

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

2016-09-01

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

AREVA's nuclear reactors portfolio

International Nuclear Information System (INIS)

Marincic, A.

2009-01-01

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

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...

Power from Perspective: Potential future United States energy portfolios

International Nuclear Information System (INIS)

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

2009-01-01

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

Innovation and risk-averse firms: Options on carbon allowances as a hedging tool

International Nuclear Information System (INIS)

Szolgayová, Jana; Golub, Alexander; Fuss, Sabine

2014-01-01

In a regulated world where government seeks to decarbonize the energy sector, firms face both indirect and direct costs of emitting CO 2 . This study seeks to take the perspective of the firm, which needs to maximize profits implying minimization of (carbon) cost as well. In this study, the firm can compose the cost-optimal portfolio of (a) investing into carbon-saving technology, which is currently expensive, (b) investing into carbon-saving technology R and D and adopt this technology at a later point, (c) buying allowances per ton of emitted CO 2 in a carbon market (alternatively this could be formulated as a tax), and (d) buying offsets traded in the same market, which are based on reduced emissions from deforestation and degradation (REDD+). Uncertainties in the cost of carbon coming from a lack of commitment in policy-making leading to fluctuations in markets and uncertainty in the payoff of R and D activities could provide disincentives to incur large up-front sunk cost and raise the economic value of being flexible. We apply a real options approach with stochastic carbon-saving technology costs and stochastic CO 2 costs. Assuming that firms are risk-averse, they will not only value flexibility, but also risk reductions from diversification over the different (carbon mitigation) options. - Highlights: • We study the compliance problem of a private firm under both regulatory and technological uncertainty in an optimal control setting. • When firms are risk-averse, forest-backed offset options will be part of the compliance portfolio. • R and D creates valuable options on new technology

Multi-Period Portfolio Optimization of Power Generation Assets

Directory of Open Access Journals (Sweden)

Barbara Glensk

2013-01-01

Full Text Available The liberalization and deregulation of the energy industry in the past decades have been significantly affected by changes in the strategies of energy firms. The traditionally used approach of cost minimization was no longer sufficient, risk and market behavior could no longer be ignored and the need for more appropriate optimization methods for uncertain environments was increased. Meanvariance portfolio (MVP theory is one of the more advanced financial methods that has been successfully applied to the energy sector. Unfortunately, this static approach is inadequate for studying multi-stage investment decision problems. The methodology proposed in this paper considering power generation assets is based on the model introduced by Mulvey, who suggests a reallocation approach using the analysis of various scenarios. The adoption of this methodology to power generation assets allows us to capture the impact of variations in the economic and technical parameters considered. The results of our study show that the application of a model for selection of multi-period portfolio can indeed improve the decision making process. Especially for the case of adding new investments to the portfolio mix, this rebalancing model captures new entries very well. (original abstract

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.

Evaluation of a portfolio of electricity generation, using dynamics of systems

International Nuclear Information System (INIS)

Franco Barrera, Juan Felipe; Dyner R, Isaac

2004-01-01

The construction of a Technological Portfolio in charge of a firm of electricity generation in Colombia leads to its study; among other is the case of Empresas Publicas de Medellin (EEPPM.), because this company is nowadays-building new electricity projects in Colombia. EEPPM. will provide electricity using a new technology in Colombia, which is wind power, for the national grid joining hydraulic and thermal generation. A System Dynamics (SD) model was constructed to represent the national power system, specially the EEPPM. Generation facilities, combining both hydraulic and thermal plants along with the new wind farm of EEPPM, the new Technological Portfolio can be represented. SD is useful to learn about the different variables considered in the model, in order to represent interactions, delays and feedbacks that are present in the considered system. The study of the EEPPM portfolio performance allows to understand not only the impact of the high investment in wind power technology, but to study its possible benefits for the portfolio, like Risk and Value at Risk (VaR) reductions. Furthermore, the simulations show the advantage of wind power generation during dry seasons, as ENSO oscillation

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

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

International Nuclear Information System (INIS)

Lucheroni, Carlo; Mari, Carlo

2017-01-01

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

Asset correlations and credit portfolio risk: an empirical analysis

OpenAIRE

Düllmann, Klaus; Scheicher, Martin; Schmieder, Christian

2007-01-01

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

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

International Nuclear Information System (INIS)

2015-01-01

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

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

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

Energy Technology Data Exchange (ETDEWEB)

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

2013-08-15

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

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

International Nuclear Information System (INIS)

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

2013-08-01

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

CAPITAL STRUCTURE, COST OF DEBT AND DIVIDEND PAYOUT OF FIRMS IN NEW YORK AND SHANGHAI STOCK EXCHANGES

Directory of Open Access Journals (Sweden)

Jun Jiang

2013-01-01

Full Text Available The Study collects panel data of listed firms in New York Stock and Shanghai Stock Exchanges during 1992 to 2008. The data are used to perform panel regression estimates for firms in each stock market. The main purpose is to compare the decision on dividend payout of listed firms in the two stock markets. The results from fixed effect estimates show that factors that can explain dividend payout of firms in New York Stock Exchange poorly explain dividend payout of firms in Shanghai Stock Exchange. This paper adds to the literature in that it provides an evidence of difference in dividend policy of firms between advanced and emerging stock markets. For policymakers in the Chinese economy, implementation of measures to enhance the advancement of bond market is necessary. Additionally, firms in Shanghai Stock Exchange should adjust their capital structure to provide room for investors to diversify and adjust their portfolios of stocks and bonds.

More efficient optimization of long-term water supply portfolios

Science.gov (United States)

Kirsch, Brian R.; Characklis, Gregory W.; Dillard, Karen E. M.; Kelley, C. T.

2009-03-01

The use of temporary transfers, such as options and leases, has grown as utilities attempt to meet increases in demand while reducing dependence on the expansion of costly infrastructure capacity (e.g., reservoirs). Earlier work has been done to construct optimal portfolios comprising firm capacity and transfers, using decision rules that determine the timing and volume of transfers. However, such work has only focused on the short-term (e.g., 1-year scenarios), which limits the utility of these planning efforts. Developing multiyear portfolios can lead to the exploration of a wider range of alternatives but also increases the computational burden. This work utilizes a coupled hydrologic-economic model to simulate the long-term performance of a city's water supply portfolio. This stochastic model is linked with an optimization search algorithm that is designed to handle the high-frequency, low-amplitude noise inherent in many simulations, particularly those involving expected values. This noise is detrimental to the accuracy and precision of the optimized solution and has traditionally been controlled by investing greater computational effort in the simulation. However, the increased computational effort can be substantial. This work describes the integration of a variance reduction technique (control variate method) within the simulation/optimization as a means of more efficiently identifying minimum cost portfolios. Random variation in model output (i.e., noise) is moderated using knowledge of random variations in stochastic input variables (e.g., reservoir inflows, demand), thereby reducing the computing time by 50% or more. Using these efficiency gains, water supply portfolios are evaluated over a 10-year period in order to assess their ability to reduce costs and adapt to demand growth, while still meeting reliability goals. As a part of the evaluation, several multiyear option contract structures are explored and compared.

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...

A Framework for Assessing a Portfolio of Technologies for Licensing out

DEFF Research Database (Denmark)

Santiago, Leonardo; Martinelli, Marcela; Elói-Santos, Daniel T.

2015-01-01

to develop our approach, which we illustrate with an in-depth assessment of 50 technologies. We conclude by discussing the pros and cons of our approach and its potential generalization to other companies and considering how it can be used to indicate value drivers for R&D strategy.......Companies invest in R&D to create and exploit new opportunities. In recent years, leading innovative companies have attempted to establish a market for technologies and create leveraging opportunities through such markets. In this paper, we consider the question of how a firm can evaluate its...... patent portfolio for licensing purposes. To this end, we propose an approach that enables large corporations to scrutinize their portfolio of (patented) technologies and to subsequently set up royalty rate values to support the negotiation process of a particular technology. We use case-based research...

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...

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...

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.

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

International Nuclear Information System (INIS)

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

2014-10-01

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

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.

77 FR 55903 - Confirmation, Portfolio Reconciliation, Portfolio Compression, and Swap Trading Relationship...

Science.gov (United States)

2012-09-11

... Vol. 77 Tuesday, No. 176 September 11, 2012 Part II Commodity Futures Trading Commission 17 CFR Part 23 Confirmation, Portfolio Reconciliation, Portfolio Compression, and Swap Trading Relationship... FUTURES TRADING COMMISSION 17 CFR Part 23 RIN 3038-AC96 Confirmation, Portfolio Reconciliation, Portfolio...

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.

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.

VaR Methodology Application for Banking Currency Portfolios

Directory of Open Access Journals (Sweden)

Daniel Armeanu

2007-02-01

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

Forensic Service Supply by Audit Firms: Classification, Market, Methods, and Prior Research

OpenAIRE

Quick, Reiner

2017-01-01

Provision of non-audit services is of increasing economic importance for audit firms Especially provision to non-audit clients Wide range of offered services From detection to prevention, from bribery to fraud to violation of code of conduct Small, but growing market with Big 4 as clear leaders Wide variety of backgrounds of forensic services professionals Consequently, diverse portfolio of methods Most research focuses on fraud with some high-quality publications Miss...

Gauging a Firm's Innovative Performance Using an Integrated Structural Index for Patents

Directory of Open Access Journals (Sweden)

Xiaojun Hu

2016-03-01

Full Text Available Purpose: In this contribution we try to find new indicators to measure characteristics of a firm's patents and their influence on a company's profits. Design/methodology/approach: We realize that patent evaluation and influence on a company's profits is a complicated issue requiring different perspectives. For this reason we design two types of structural h-indices, derived from the International Patent Classification (IPC. In a case study we apply not only basic statistics but also a nested case-control methodology. Findings: The resulting indicator values based on a large dataset (19,080 patents in total from the pharmaceutical industry show that the new structural indices are significantly correlated with a firm's profits. Research limitations: The new structural index and the synthetic structural index have just been applied in one case study in the pharmaceutical industry. Practical implications: Our study suggests useful implications for patentometric studies and leads to suggestions for different sized firms to include a healthy research and development (R&D policy management. The structural h-index can be used to gauge the profits resulting from the innovative performance of a firm's patent portfolio. Originality/value: Traditionally, the breadth and depth of patents of a firm and their citations are considered separately. This approach, however, does not provide an integrated insight in the major characteristics of a firm's patents. The Sh(Y index, proposed in our investigation, can reflect a firm's innovation activities, its technological breadth, and its influence in an integrated way.

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

OpenAIRE

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

2015-01-01

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

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...

Comparison of Portfolio Selection and Performance: Shari’ah-Compliant and Socially Responsible Investment Portfolios

Directory of Open Access Journals (Sweden)

Mehmet Asutay

2015-04-01

Full Text Available This study examines the effect of Islamic screening criteria on Shari’ah-compliant portfolio selection and performance compared to Socially Responsible Investment (SRI portfolio. Each portfolio constructed from 15 stocks based on FTSE 100 using data from year 1997. Mean-variance portfolio optimization is employed with some financial ratios added as constraints for the Shari’ah portfolio. Annual expected return of each portfolio from 2008 to 2013 is used to calculate Sharpe’s ratio, Treynor ratio and Jensen’s alpha as the performance measurement tools. Macroeconomic variables are assessed using ordinary least square to examine whether they influence the portfolios’ expected returns or not. The result finds that Shari’ah portfolio has a better performance than SRI from year 2008 to 2010 shown by higher value of the measurement tools. However, from 2011 to 2013, SRI portfolio has better performance than Shari’ah portfolio. 

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.

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.

A portfolio risk analysis on electricity supply planning

International Nuclear Information System (INIS)

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

2008-01-01

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

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

Energy Technology Data Exchange (ETDEWEB)

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

2016-09-15

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

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

Science.gov (United States)

2013-04-09

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

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.

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.

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…

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.

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

International Nuclear Information System (INIS)

Locatelli, Giorgio; Mancini, Mauro

2011-01-01

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

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.

Financial and environmental behavior of the regulated firm: A case study of the US nuclear power industry, 1974-1984

International Nuclear Information System (INIS)

Mitchell, E.P.

1991-01-01

This study of the US commercial nuclear power industry from 1974-1984 covers the operations of 87 power plants. It seeks to help explain the actions of a regulated firm faced with environmental constraints from the Nuclear Regulatory Commission and financial constraints from State regulatory bodies. Theoretical and applied conceptions of the regulated monopoly are reviewed in a historical and integrated format using both the neoclassical and institutional positions. For the neoclassical approach, the author seeks empirical support for the Averch-Johnson hypothesis by including profit-maximizing and environmental constraints in his econometric model. For the institutionalist approach, he tries to look into the institutional reasons for the behavior exhibited by the firms. A date base which consists of financial, radioactive emissions, and technical operations information has been compiled in order to allow testing of various hypotheses drawn from theoretical and applied sources. The results of the analysis support five very clear conclusions which are presented

Portfolio langagier en francais (Language Portfolios in French).

Science.gov (United States)

Laplante, Bernard; Christiansen, Helen

2001-01-01

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

Do portfolios have a future?

Science.gov (United States)

Driessen, Erik

2017-03-01

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

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…

Evidence of mispricing for South African listed R&D firms contributed by accounting conservatism

Directory of Open Access Journals (Sweden)

Tai-Lin G. Chen

2017-02-01

Full Text Available Purpose: The purpose of this research is to investigate the impact of capitalization of research and development on the valuation of equities for listed firms in South Africa. Design/methodology/approach: 15 years of financial data (2000 to 2014 was collected, and portfolios with similar price-to-book and market size ratios were formed to find any evidence of any post-investment excess returns and the association to the level of research and development investment. Portfolios were re-formed and annually ranked by their research and development intensity relative to sales. In addition, we looked at the changes in excess returns after adjusting the book value as a result of capitalizing R&D expenditure, to see if the distortion imposed by expensing R&D contributed to the under-valuation of firms that invest in R&D. Findings: The results indicate that firms that invest in research and development are systematically under-valued. We found no evidence of any positive association between the returns and investment levels, but rather found evidence of the glamour stock phenomenon in highly intensive research and development firms. Research limitations/implications: The sample data is limited to listed firms in South Africa, and for firms with intermittently omitted R&D on their financial report, we have assumed that such expenditure is zero for the non-disclosed period for the purpose of capitalization and amortisation. Listed firms whose main focus is on building intangible assets, are relatively few, hence our research is descriptive in nature. Practical implications: This paper highlights the commercial significance of valuing the long-term benefits of research and development. Capitalizing the development phase as afforded by the IASB lacks standardization, and as such, inconsistencies arise in the earnings reflected on companies’ financial statements. For investors though, highly intensive R&D firms should be avoided as these earn negative

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...

Sparse and stable Markowitz portfolios.

Science.gov (United States)

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

2009-07-28

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

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.

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.

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.

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

Directory of Open Access Journals (Sweden)

Neslihan Fidan Keçeci

2016-10-01

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

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

Science.gov (United States)

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

2010-09-01

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

Post-modern portfolio theory supports diversification in an investment portfolio to measure investment's performance

OpenAIRE

Rasiah, Devinaga

2012-01-01

This study looks at the Post-Modern Portfolio Theory that maintains greater diversification in an investment portfolio by using the alpha and the beta coefficient to measure investment performance. Post-Modern Portfolio Theory appreciates that investment risk should be tied to each investor's goals and the outcome of this goal did not symbolize economic of the financial risk. Post-Modern Portfolio Theory's downside measure generated a noticeable distinction between downside and upside volatil...

Angels or demons? Evidence on the impact of private equity firms on employment

OpenAIRE

Nathusius, Eva; Achleitner, Ann-Kristin

2009-01-01

The impact of private equity firms on employment in their portfolio companies is a controversial topic widely discussed in academia and in practice in recent years. A large body of research has resulted from this debate. The studies are focused on different aspects of employment and are based on a variety of methodologies as well as samples representing e.g. different types of buyouts and geographies. The aim of this paper is to provide access to and enhance the understanding of the highly fr...

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....

Inter-firm and intra-firm efficiency measures

NARCIS (Netherlands)

Oude Lansink, A.G.J.M.; Silva, E.; Stefanou, S.

2001-01-01

Intra-firm efficiency involves computing a particular firm's efficiency degree over time relative to the firm-specific production frontier. Inter-firm efficiency reveals a particular firm's performance over time relative to the ``best practice frontier'' among the set of comparable firms. These

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.

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

Evaluation of an established learning portfolio.

Science.gov (United States)

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

2013-02-01

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

Portfolio assessments for future generation investment in newly industrializing countries – A case study of Thailand

International Nuclear Information System (INIS)

Vithayasrichareon, Peerapat; MacGill, Iain F.

2012-01-01

This paper assesses future electricity generation portfolios in Thailand in 2030 given uncertain future fossil-fuel prices, carbon pricing policies, electricity demand, and capital costs. Thailand faces challenges for generation investment given its rapid socio-economic progress and fast growing demand. A novel generation investment and planning decision-support tool which incorporates a Monte Carlo extension to conventional optimal generation mix methods combined with portfolio-based analysis techniques, is used. The tool can formally assess tradeoffs between expected future generation costs, cost uncertainties, and CO 2 emissions for the range of different generation portfolios. Results highlight that different levels of future carbon pricing will have significant impacts on the most appropriate generation portfolios. The impact of carbon pricing, however, is not on the appropriate proportion of combined cycle gas turbines (CCGT) in the mix but, instead, on the future role of coal versus nuclear in Thailand. Compared with the current proposed 2030 generation mix, it is possible that there are other generation portfolios that offer lower expected costs, cost uncertainty, and CO 2 emissions depending on future carbon pricing. Results suggest that this investment decision-support approach may have value for electric utilities and policy-makers contemplating significant generation investments under high future uncertainty and conflicting policy objectives. -- Highlights: ► Assess Thailand's future generation portfolios in 2030 under uncertainties. ► Future carbon prices have significant impacts on the appropriate generation mixes. ► Carbon pricing affects the future role of coal versus nuclear in Thailand. ► There may be more appropriate alternatives than the proposed 2030 generation mix. ► This decision-support approach has value for utility and policy decision-making.

Making sense with ePortfolios

DEFF Research Database (Denmark)

Poulsen, Bo Klindt; Dimsits, Miriam

2017-01-01

of the statements from the students concerning their understanding of ePortfolio processes are fundamentally questions of how to make sense of the ePortfolio tool, both in their professional and personal lives. This calls for a didactical stance with the teachers who use ePortfolios, based on empowerment through......This article discusses the question of making sense out of working with ePortfolio in adult education. The article presents the results of a small-scale survey among adults in continuing education who have worked with ePortfolio as the central didactic principle. It is argued that many...... meaning-making, in order for ePortfolios to make sense. It is suggested that two relevant didactic perspectives for making sense of the world can be found in theories of biographicity and metaphor work. Moreover, a strong didactic stance that supports sense-making must be based on a strong teacher role...

INTERNATIONAL BEHAVIOUR AND PERFORMANCE BASED ROMANIAN ENTREPRENEURIAL AND TRADITIONAL FIRM CLUSTERS

Directory of Open Access Journals (Sweden)

FEDER Emoke - Szidonia

2015-07-01

Full Text Available The micro, small and medium-sized firms (SMEs present a key interest at European level due to their potential positive influence on regional, national and firm level competitiveness. At a certain moment in time, internationalisation became an expected and even unavoidable strategy in firms’ future development, growth and evolution. From theoretical perspective, an integrative complementarily approach is adopted concerning the dominant paradigm of stage models from incremental internationalisation theory and the emergent paradigm of international entrepreneurship theory. Several researcher calls for empirical testing of different theoretical frameworks and international firms. Therefore, the first aim of the quantitative study is to empirically prove, the existence of various internationalisation behaviour configuration based clusters, like sporadic and traditional international firms, born-again global and born global firms, within the framework of Romanian SMEs. Secondly, within the research framework the study propose to assess different distinguishing internationalisation behavioural characteristics and patterns for the delimited clusters, in terms of foreign market scope, internationalisation pace and rhythm, initial and current entry modes, international product portfolio and commitment. Thirdly, internationalisation cluster membership and patterns differential influence and contribution is analysed on firm level international business performance, as internationalisation degree, financial and marketing measures. The framework was tested on a transversal sample consisting of 140 Romanian internationalised SMEs. Findings are especially useful for entrepreneurs and SME managers presenting various decisional possibilities and options on internationalisation behaviours and performance. These emphasize the importance of internationalisation scope, pace, object and opportunity seeking, along with positive influence on performance, indifferent

12 CFR 347.108 - Portfolio investments.

Science.gov (United States)

2010-01-01

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

Portfolios in Saudi medical colleges

Science.gov (United States)

Fida, Nadia M.; Shamim, Muhammad S.

2016-01-01

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

Portfolio Analysis for Vector Calculus

Science.gov (United States)

Kaplan, Samuel R.

2015-01-01

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

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.

Overview of Nuclear Reactor Technologies Portfolio

International Nuclear Information System (INIS)

O’Connor, Thomas J.

2012-01-01

Office of Nuclear Energy Roadmap R&D Objectives: • Develop technologies and other solutions that can improve the reliability, sustain the safety, and extend the life of current reactors; • Develop improvements in the affordability of new reactors to enable nuclear energy to help meet the Administration's energy security and climate change goals; • Develop sustainable nuclear fuel cycles; • Develop capabilities to reduce the risks of nuclear proliferation and terrorism

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,…

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

OpenAIRE

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

2016-01-01

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

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

OpenAIRE

Neslihan Fidan Keçeci; Viktor Kuzmenko; Stan Uryasev

2016-01-01

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

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...

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

New Firm Survival: Industry versus Firm Effects

NARCIS (Netherlands)

D.B. Audretsch (David); P. Houweling (Patrick); A.R. Thurik (Roy)

1997-01-01

textabstractRecent studies show that the likelihood of survival differs significantly across firms. Both firm and industry characteristics are hypothesized to account for this heterogenity. Using a longitudinal database of manufacturing firms we investigate whether firm or industry characteristics

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.

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

Science.gov (United States)

McKenna, Gary F.; Stansfield, Mark H.

2012-01-01

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

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

Science.gov (United States)

2010-01-01

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

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...

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.

Universal portfolios generated by the Bregman divergence

Science.gov (United States)

Tan, Choon Peng; Kuang, Kee Seng

2017-04-01

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

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.

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.

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.

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

Capital market financing, firm growth, and firm size distribution

OpenAIRE

Didier Brandao,Tatiana; Levine,Ross Eric; Schmukler,Sergio L.

2015-01-01

How many and which firms issue equity and bonds in domestic and international markets, how do these firms grow relative to non-issuing firms, and how does firm performance vary along the firm size distribution? To evaluate these questions, a new data set is constructed by matching data on firm-level capital raising activity with balance sheet data for 45,527 listed firms in 51 countries. T...

Household portfolios and implicit risk aversion

NARCIS (Netherlands)

Bucciol, A.; Miniaci, R.

2008-01-01

We derive from a sample of US households the distribution of the risk aversion implicit in their portfolio choice. Our estimate minimizes the distance between the certainty equivalent return generated with observed portfolios and portfolios that are optimal in a mean-variance framework. Taking into

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.

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

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

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

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

Portfolio insurance using traded options

OpenAIRE

Machado-Santos, Carlos

2001-01-01

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

LEGO firm devices for atomic industry

International Nuclear Information System (INIS)

Makarov, P.V.; Egunova, E.M.

2007-01-01

Analytical problems of atomic industry enterprises are considered. Possibilities of LECO firm devices for following analysis kinds: 1) ore materials under ore processing; 2) chemical composition analysis and properties of metals and oxides under implementation of production manufacturing for nuclear industry; 3) spectral analysis; 4) structure analysis and properties of metallic materials - are shown. All above-listed analysis methods are applying at quality control operation. Examples of LECO device application at different nuclear energy enterprises of Russia, Kazakhstan, and other CIS and Baltic countries are cited

NPD project portfolio selection using reinvestment strategy in competitive environment

Directory of Open Access Journals (Sweden)

Alireza Ghassemi

2018-01-01

Full Text Available This study aims to design a new model for selecting most fitting new product development projects in a pool of projects. To catch the best model, we assume new products will be introduced to the competitive markets. Also, we suppose the revenue yielded by completed projects can be reinvested on implementation of other projects. Other sources of financing are borrowing loans from banks and initial capital of the firm. These limited resources determine most evaluated projects to be performed. Several types of interactions among different projects are considered to make the chosen projects more like a portfolio. In addition, some numerical examples from the real world are provided to demonstrate the applicability of the proposed model. These examples show how the particular considerations in the suggested model affect the results.

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.

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...

Sygeplejestuderendes brug af portfolio i klinisk undervisning

DEFF Research Database (Denmark)

Hjorth, Anne Charlotte Overgaard; Bruhn, Helle

2014-01-01

Brugen af portfolio var mangelfuld, men et udviklingsprojekt i samarbejde med den kommunale sygepleje motiverede både sygeplejestuderende og kliniske vejledere til at anvende læringsdelen af portfolio aktivt.......Brugen af portfolio var mangelfuld, men et udviklingsprojekt i samarbejde med den kommunale sygepleje motiverede både sygeplejestuderende og kliniske vejledere til at anvende læringsdelen af portfolio aktivt....

High growth and rapid internationalisation of firms from emerging markets: the case of the Middle East and North Africa (MENA) Region

OpenAIRE

Hatem, Omaima

2012-01-01

The aim of this thesis is to understand the phenomena of the high growth and rapid internationalisation of firms from emerging markets. It explores the applicability of international entrepreneurship theory to the context of the emerging market enterprises in the Middle East and North Africa (MENA) region. It integrates the literature of strategic entrepreneurship and that of portfolio entrepreneurship with the literature of international entrepreneurship to provide a closer fi...

Cluster analysis for portfolio optimization

OpenAIRE

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

2005-01-01

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

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...

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

Science.gov (United States)

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

2015-01-01

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

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.

Æstetik og portfolio

DEFF Research Database (Denmark)

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

2017-01-01

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

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".

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

The Role of Agribusiness Assets in Investment Portfolios

OpenAIRE

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

2006-01-01

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

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

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

Ant colony algorithm for clustering in portfolio optimization

Science.gov (United States)

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

2018-03-01

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

Capital structure and value firm: an empirical analysis of abnormal returns

Directory of Open Access Journals (Sweden)

Faris Nasif AL-SHUBIRI

2010-12-01

Full Text Available This study investigates whether capital structure is value relevant for the equity investor. In this sense, the paper links empirical corporate finance issues with investment analysis. This study also integrates the Miller-Modigliani (MM framework (1958 into an investment approach by estimating abnormal returns on leverage portfolios in the time-series for different risk classes. For most risk classes, abnormal returns decline in firm leverage. Descriptive statistics, simple and multiple regressions are used to test the hold indicator significance. The results reflect that the designed measures are the negative relationship between returns and leverage could also be due to the market’s pricing of the firm’s ability to raise funds if need be. Further avenues for research in this area include examining the stock return performance of companies based on the changes in leverage of the firms relative to their risk classes. It would be particularly noteworthy to examine the rate at which the information content of said changes is incorporated in the share prices of companies as well as in their long run returns This study encompasses all non-financial firms across the five sectors that cover all the various classes of risk. This study investigates neither the determinants of multiple capital structure choices nor changes in capital structures over time. Our main goal is to explore the effect of capital structure on cumulative abnormal returns. This study also examine a firm’s cumulative average abnormal returns by measuring leverage at the firm level and at the average level for the firm’s industry. And also examine other factors, such as size, price earnings, market-to-book and betas.

Financial Advice and Individual Investor Portfolio Performance

NARCIS (Netherlands)

Kramer, M.M.

2012-01-01

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

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.

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...

Executive compensation and firm performance: Evidence from Indian firms

Directory of Open Access Journals (Sweden)

Mehul Raithatha

2016-09-01

Full Text Available The study examines the relationship between executive compensation and firm performance among Indian firms. The evidence suggests that firm performance measured by accounting, as well as market-based measures, significantly affects executive compensation. We also test for the presence of persistence in executive compensation by employing the system-generalised methods of moments (GMM estimator. We find significant persistence in executive compensation among the sample firms. Further, we report the absence of pay–performance relationship among the smaller sample firms and business group affiliated firms. Thus, our findings cast doubts over the performance-based executive compensation practices of Indian business group affiliated firms.

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...

The relationship between size, book-to-market equity ratio, earnings–price ratio, and return for the Tehran stock Exchange

Directory of Open Access Journals (Sweden)

Mohammad Ali Sadeghi Lafmejani

2016-01-01

Full Text Available This paper presents an empirical investigation to determine whether or there is any difference between the returns of two value and growth portfolios, sorted by price-to-earnings (P/E and price-to-book value (P/BV, in terms of the ratios of market sensitivity to index (β, firm size and market liquidity in listed firms in Tehran Stock Exchange (TSE over the period 2001-2008. The selected firms were collected from those with existing two-consecutive positive P/E and P/BV ratios and by excluding financial and holding firms. There were five independent variables for the proposed study of this paper including P/E, P/B, market size, market sensitivity beta (β and market liquidity. In each year, we first sort firms in non-decreasing order and setup four set of portfolios with equal firms. Therefore, the first portfolio with the lowest P/E ratio is called value portfolio and the last one with the highest P/E ratio is called growth portfolio. This process was repeated based on P/BV ratio to determine value and growth portfolios, accordingly. The study investigated the characteristics of two portfolios based on firm size, β and liquidity. The study has implemented t-student and Levin’s test to examine different hypotheses and the results have indicated mix effects of market sensitivity, firm size and market liquidity on returns of the firms in various periods.

12 CFR 1252.1 - Enterprise portfolio holding criteria.

Science.gov (United States)

2010-01-01

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

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

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

Mean-Reverting Portfolio With Budget Constraint

Science.gov (United States)

Zhao, Ziping; Palomar, Daniel P.

2018-05-01

This paper considers the mean-reverting portfolio design problem arising from statistical arbitrage in the financial markets. We first propose a general problem formulation aimed at finding a portfolio of underlying component assets by optimizing a mean-reversion criterion characterizing the mean-reversion strength, taking into consideration the variance of the portfolio and an investment budget constraint. Then several specific problems are considered based on the general formulation, and efficient algorithms are proposed. Numerical results on both synthetic and market data show that our proposed mean-reverting portfolio design methods can generate consistent profits and outperform the traditional design methods and the benchmark methods in the literature.

Reliability of Portfolio: A Closer Look at Findings from Recent Publications

Science.gov (United States)

Oskay, Ozge Ozyalcin; Schallies, Michael; Morgil, Inci

2008-01-01

In this review article, conventional portfolio assessment and new developments in portfolio assessment are investigated. The concept of portfolio, portfolio building steps, contents of portfolio, evaluation of portfolio, advantages, disadvantages and concerns in using portfolio as well as validity and reliability of portfolio assessment are…

Vast Portfolio Selection with Gross-exposure Constraints().

Science.gov (United States)

Fan, Jianqing; Zhang, Jingjin; Yu, Ke

2012-01-01

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

Decision Process Analysis on Project Priority Strategy: A Case Study of an ICT Design Firm

Directory of Open Access Journals (Sweden)

Vincent F. Yu

2014-01-01

Full Text Available Project priority strategy is the benchmarking of a corporate operation management strategy and in particular is used by a projects-based research and development firm in the complex competence environment of the information and communication technology (ICT industry. This research takes the variables of external environments and internal resources into account for a firm’s market, technology, and finance assets in order to present a decision process on a project priority strategy. This empirical study also addresses the key factors of the interaction between business on a project development’s supply chain: clients, the examined firm, and suppliers. The findings indicate that a profit-driven project can dominate the firm’s strategic operations and management from the resource-based view and analytic hierarchy process technique perspectives. At the same time, the analysis results contribute significant values to project decision management, which is highly recommended for small-medium enterprises conducting product/project development, project portfolio management, and strategic business management.

Designing Modern Equity Portfolios

OpenAIRE

Ronald Jean Degen

2011-01-01

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

Student evaluations of the portfolio process.

Science.gov (United States)

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

2011-09-10

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

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.

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...

The Finite and Moving Order Multinomial Universal Portfolio

International Nuclear Information System (INIS)

Tan, Choon Peng; Pang, Sook Theng

2013-01-01

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

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...

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...

Digital Portfolio: a Strategy for Teachers Professional Development

Directory of Open Access Journals (Sweden)

R. Jans

2008-03-01

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

Parametric Portfolio Policies with Common Volatility Dynamics

DEFF Research Database (Denmark)

Ergemen, Yunus Emre; Taamouti, Abderrahim

A parametric portfolio policy function is considered that incorporates common stock volatility dynamics to optimally determine portfolio weights. Reducing dimension of the traditional portfolio selection problem significantly, only a number of policy parameters corresponding to first- and second......-order characteristics are estimated based on a standard method-of-moments technique. The method, allowing for the calculation of portfolio weight and return statistics, is illustrated with an empirical application to 30 U.S. industries to study the economic activity before and after the recent financial crisis....

Vast Portfolio Selection with Gross-exposure Constraints*

Science.gov (United States)

Fan, Jianqing; Zhang, Jingjin; Yu, Ke

2012-01-01

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

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.

Portfolio optimization and performance evaluation

DEFF Research Database (Denmark)

Juhl, Hans Jørn; Christensen, Michael

2013-01-01

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

Using Electronic Portfolios for Second Language Assessment

Science.gov (United States)

Cummins, Patricia W.; Davesne, Celine

2009-01-01

Portfolio assessment as developed in Europe presents a learner-empowering alternative to computer-based testing. The authors present the European Language Portfolio (ELP) and its American adaptations, LinguaFolio and the Global Language Portfolio, as tools to be used with the Common European Framework of Reference for languages and the American…

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

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.

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.

The type k universal portfolio generated by the f-divergence

Science.gov (United States)

Tan, Choon Peng; Seng, Kuang Kee

2017-11-01

The logarithm of the estimated next-day wealth return is approximated by k terms of its Taylor series. The resulting Type k universal portfolio generated by the f -divergence is obtained. An implicit form of the portfolio is also obtained by exploiting the mean-value theorem. An empirical study of the performance of the portfolio is focused on the Type 2 Helmbold universal portfolio. A few generalizations of the Helmbold universal portfolio have recently been studied, namely the reverse Helmbold and the parametric Helmbold portfolios. This new type of portfolio can be regarded a contribution to the inventory of Helmbold related universal portfolios. It is verified experimentally that an investor's wealth can be significantly increased by using the Type 2 Helmbold portfolio in investment.

Nuclear Regulatory Commission directory of high-technology 8(a) firms. Revision 1

International Nuclear Information System (INIS)

1986-05-01

An overview is given for each of the high-technology small business firms qualifying under section 8(a) of the Small Business Act for consideration under Minority Business Development Plans. Each overview gives detailed profiles of relevant technical classification data, client contacts, and information on the professional personnel of each firm. In addition, the directory contains information about average gross receipts and facilities, including testing capabilities and computer availability

Informed public choices for low-carbon electricity portfolios using a computer decision tool.

Science.gov (United States)

Mayer, Lauren A Fleishman; Bruine de Bruin, Wändi; Morgan, M Granger

2014-04-01

Reducing CO2 emissions from the electricity sector will likely require policies that encourage the widespread deployment of a diverse mix of low-carbon electricity generation technologies. Public discourse informs such policies. To make informed decisions and to productively engage in public discourse, citizens need to understand the trade-offs between electricity technologies proposed for widespread deployment. Building on previous paper-and-pencil studies, we developed a computer tool that aimed to help nonexperts make informed decisions about the challenges faced in achieving a low-carbon energy future. We report on an initial usability study of this interactive computer tool. After providing participants with comparative and balanced information about 10 electricity technologies, we asked them to design a low-carbon electricity portfolio. Participants used the interactive computer tool, which constrained portfolio designs to be realistic and yield low CO2 emissions. As they changed their portfolios, the tool updated information about projected CO2 emissions, electricity costs, and specific environmental impacts. As in the previous paper-and-pencil studies, most participants designed diverse portfolios that included energy efficiency, nuclear, coal with carbon capture and sequestration, natural gas, and wind. Our results suggest that participants understood the tool and used it consistently. The tool may be downloaded from http://cedmcenter.org/tools-for-cedm/informing-the-public-about-low-carbon-technologies/ .

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.

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.

Portfolio Assessment: Production and Reduction of Complexity

DEFF Research Database (Denmark)

Keiding, Tina Bering; Qvortrup, Ane

2015-01-01

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

Performance of finite order distribution-generated universal portfolios

Science.gov (United States)

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

2017-04-01

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

Reflection during Portfolio-Based Conversations

Science.gov (United States)

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

2010-01-01

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

ePortfolio & learning styles in Nursing Education

DEFF Research Database (Denmark)

Nielsen, Kirsten; Helms, Niels Henrik; Pedersen, Birthe D.

2012-01-01

Background Examination of the literature shows both advantages and disadvantages in implementing ePortfolio and learning styles in Nursing Education. The students reflect on nursing practice as well as on their strengths and weaknesses, and reflecting in the portfolio increases self-awareness, pe......Background Examination of the literature shows both advantages and disadvantages in implementing ePortfolio and learning styles in Nursing Education. The students reflect on nursing practice as well as on their strengths and weaknesses, and reflecting in the portfolio increases self...... in clinical settings. Insight into preferred learning style can be an advantage to both students and preceptors in attempt to promote students´ learning potential, but there are quite many different theoretical approaches and definitions of the concept, and reviewers call attention to the risk that teachers...... to intensify the differentiated guidance of students, and developed an ePortfolio which aim to facilitate four learning styles as described by Honey and Mumford. It was tested in a pilot project and now, a qualitative study of how learning is mediated in clinical education through this ePortfolio is passing...

Beating the market with small portfolios: Evidence from Brazil

Directory of Open Access Journals (Sweden)

André A.P. Santos

2015-01-01

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

Construction of uncertainty sets for portfolio selection problems

OpenAIRE

Wiechers, Christof

2011-01-01

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

Formal Method of Description Supporting Portfolio Assessment

Science.gov (United States)

Morimoto, Yasuhiko; Ueno, Maomi; Kikukawa, Isao; Yokoyama, Setsuo; Miyadera, Youzou

2006-01-01

Teachers need to assess learner portfolios in the field of education. However, they need support in the process of designing and practicing what kind of portfolios are to be assessed. To solve the problem, a formal method of describing the relations between the lesson forms and portfolios that need to be collected and the relations between…

Do Peer Firms Affect Firm Corporate Social Responsibility?

OpenAIRE

Shenggang Yang; Heng Ye; Qi Zhu

2017-01-01

Peer-firm strategies are a critical factor for corporate finance, and corporate social responsibility (CSR) is the main trend for evaluating the behavior of firms. On the basis of the connection between peer strategy and CSR, this paper explores the CSR strategies employed by a sample of Chinese firms during the 2008–2015 period. Our two main empirical findings are as follows. First, the CSR strategies of firms have a positive effect on their CSR behavior. Second, when there is the CSR gap be...

7 CFR 4290.760 - How a change in size or activity of a Portfolio Concern affects the RBIC and the Portfolio Concern.

Science.gov (United States)

2010-01-01

... 7 Agriculture 15 2010-01-01 2010-01-01 false How a change in size or activity of a Portfolio Concern affects the RBIC and the Portfolio Concern. 4290.760 Section 4290.760 Agriculture Regulations of... size or activity of a Portfolio Concern affects the RBIC and the Portfolio Concern. (a) Effect on RBIC...

Making practice transparent through e-portfolio.

Science.gov (United States)

Stewart, Sarah M

2013-12-01

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

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…

Professionalism, Portfolios and the Development of School Leaders.

Science.gov (United States)

Wildy, Helen; Wallace, John

1998-01-01

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

Selection of a portfolio of R & D projects

NARCIS (Netherlands)

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

2013-01-01

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

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...

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.

German Federal spendings on nuclear energy in 1989

International Nuclear Information System (INIS)

Anon.

1988-01-01

The portfolio of the BMFT (Federal Ministry of Research and Technology) covers under the competence of the Federal Government all activities in the field of nuclear science and engineering for peaceful uses of nuclear energy, reactor safety research, and research on non-nuclear energy sources and technology. The draft budget for 1989 shows a total expenditure of DM 7.65 billions in the section 30, portfolio of the BMFT. This is about 1.2% more than in the draft budget of 1988. Broken down into programmes, DM 1.853 billions are earmarked for energy research and technology (1988: DM 1.854 billions), of these DM 398.5 millions for the promotion of non-nuclear energy research and technology. (orig./UA) [de

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

Technology Audit: Assessment of Innovative Portfolio

Directory of Open Access Journals (Sweden)

Kurushina Viktoria

2016-01-01

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

Validity of portfolio assessment: which qualities determine ratings?

NARCIS (Netherlands)

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

2006-01-01

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

Portfolio at Tertiary Level – Lifelong Learning Tool

Directory of Open Access Journals (Sweden)

Galina Kavaliauskienė

2011-04-01

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

Portfolios in Saudi medical colleges. Why and how?

Directory of Open Access Journals (Sweden)

Nadia M. Fida

2016-03-01

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

The Shapley decomposition for portfolio risk

OpenAIRE

Stéphane Mussard; Virginie Terraza

2006-01-01

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

Automatic Trading Agent. RMT Based Portfolio Theory and Portfolio Selection

Science.gov (United States)

Snarska, M.; Krzych, J.

2006-11-01

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

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

Directory of Open Access Journals (Sweden)

Ion STANCU

2010-04-01

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

Portfolio Development in Teacher Education and Educational Leadership.

Science.gov (United States)

Biddle, James

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

The true invariant of an arbitrage free portfolio

Science.gov (United States)

Schmidt, Anatoly B.

2003-03-01

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

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.

Linkage between company scores and stock returns

Directory of Open Access Journals (Sweden)

Saban Celik

2017-12-01

Full Text Available Previous studies on company scores conducted at firm-level, generally concluded that there exists a positive relation between company scores and stock returns. Motivated by these studies, this study examines the relationship between company scores (Corporate Governance Score, Economic Score, Environmental Score, and Social Score and stock returns, both at portfolio-level analysis and firm-level cross-sectional regressions. In portfolio-level analysis, stocks are sorted based on each company scores and quintile portfolio are formed with different levels of company scores. Then, existence and significance of raw returns and risk-adjusted returns difference between portfolios with the extreme company scores (portfolio 10 and portfolio 1 is tested. In addition, firm-level cross-sectional regression is performed to examine the significance of company scores effects with control variables. While portfolio-level analysis results indicate that there is no significant relation between company scores and stock returns; firm-level analysis indicates that economic, environmental, and social scores have effect on stock returns, however, significance and direction of these effects change, depending on the included control variables in the cross-sectional regression.

Estimating risk propagation between interacting firms on inter-firm complex network.

Science.gov (United States)

Goto, Hayato; Takayasu, Hideki; Takayasu, Misako

2017-01-01

We derive a stochastic function of risk propagation empirically from comprehensive data of chain-reaction bankruptcy events in Japan from 2006 to 2015 over 5,000 pairs of firms. The probability is formulated by firm interaction between the pair of firms; it is proportional to the product of α-th power of the size of the first bankrupt firm and β-th power of that of the chain-reaction bankrupt firm. We confirm that α is positive and β is negative throughout the observing period, meaning that the probability of cascading failure is higher between a larger first bankrupt firm and smaller trading firm. We additionally introduce a numerical model simulating the whole ecosystem of firms and show that the interaction kernel is a key factor to express complexities of spreading bankruptcy risks on real ecosystems.

Estimating risk propagation between interacting firms on inter-firm complex network.

Directory of Open Access Journals (Sweden)

Hayato Goto

Full Text Available We derive a stochastic function of risk propagation empirically from comprehensive data of chain-reaction bankruptcy events in Japan from 2006 to 2015 over 5,000 pairs of firms. The probability is formulated by firm interaction between the pair of firms; it is proportional to the product of α-th power of the size of the first bankrupt firm and β-th power of that of the chain-reaction bankrupt firm. We confirm that α is positive and β is negative throughout the observing period, meaning that the probability of cascading failure is higher between a larger first bankrupt firm and smaller trading firm. We additionally introduce a numerical model simulating the whole ecosystem of firms and show that the interaction kernel is a key factor to express complexities of spreading bankruptcy risks on real ecosystems.

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

OpenAIRE

Sarlita D. Matra

2017-01-01

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

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

Science.gov (United States)

Alotaibi, Fawaz S

2012-10-01

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

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.

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

Science.gov (United States)

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

2010-01-01

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

Portfolios with nonlinear constraints and spin glasses

Science.gov (United States)

Gábor, Adrienn; Kondor, I.

1999-12-01

In a recent paper Galluccio, Bouchaud and Potters demonstrated that a certain portfolio problem with a nonlinear constraint maps exactly onto finding the ground states of a long-range spin glass, with the concomitant nonuniqueness and instability of the optimal portfolios. Here we put forward geometric arguments that lead to qualitatively similar conclusions, without recourse to the methods of spin glass theory, and give two more examples of portfolio problems with convex nonlinear constraints.

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...

Optimal portfolio choice under loss aversion

NARCIS (Netherlands)

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

2000-01-01

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

Random matrix theory filters and currency portfolio optimisation

Science.gov (United States)

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

2010-04-01

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

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.

Transformation of Manufacturing Firms to Servitisation Firms

DEFF Research Database (Denmark)

Lin, Chih-Cheng; Ma, Zheng; Tanev, Stoyan

2014-01-01

It is crucial for the manufacturing SMEs to reconsider their business strategy in order to be able to launch customer-centric solutions. This ability is associated with a paradigm shift from a product-orientation to service-orientation. One of the major challenges to success in transforming...... a traditional manufacturing firm to service-oriented firms is the conspicuous lack of publications in this research stream. Applying a case study research approach, this study explores the transformation model for manufacturing SMEs to servitisation firms by adopting a network approach, and reveals...

Portfolio analysis of layered security measures.

Science.gov (United States)

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

2015-03-01

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

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.

On the economic risk capital of portfolio insurance

Directory of Open Access Journals (Sweden)

Werner Hürlimann

2004-09-01

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

Female Directors and Firm Performance: Evidence from UK Listed Firms

Directory of Open Access Journals (Sweden)

Pananda Pasaribu

2017-08-01

Full Text Available The impact of female directors on firm performance has lacked consistency in the previously conducted empirical studies, which may be due to the endogeneity problem, or certain characteristics (i.e. governance, industry, competition. This study examines the relationship between female directors and firm performance by addressing those problems. This study analyses all non-financial UK listed firms during the period 2004-2012 and employs several econometric models. The regression results indicate that there is little evidence that female directors have a positive and strong relationship with firm performance. But, further analysis reports that the UK’s small listed firms experience a positive significant effect, because small firms do not suffer from the problem of over-monitoring and they have more flexibility in composing their boards of directors.

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.

Firm Culture and Leadership as Firm Performance Predictors : a Resource-Based Perspective

NARCIS (Netherlands)

Wilderom, C.P.M.; van den Berg, P.

2000-01-01

In this study, we tested part of the resource-based view of the firm by examining two 'soft' resources, firm culture and top leadership, as predictors of 'hard' or bottom-line firm performance.Transformational top leadership was found to predict firm performance directly while the link between firm

Portfolios for Majors in Professional Communication.

Science.gov (United States)

Killingsworth, M. Jimmie; Sanders, Scott P.

1987-01-01

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

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

Credit Portfolio Selection According to Sectors in Risky Environments: Markowitz Practice

OpenAIRE

Halim Kazan; Kültigin Uludag

2014-01-01

In this study, it was researched that how the rate of repayment of loans will be increased and how the credit risk will be minimized in banking sector, by using Markowitz Portfolio Theory. Construction, textile and wholesale and retail sectors were examined under the central bank data. Portfolio groups were selected and risks( variances of Portfolio groups) were evaluated according to Markowitz portfolio theory. Markowitz portfolio theory is effective than the other portfolio selection instru...

Optimal wind power deployment in Europe. A portfolio approach

International Nuclear Information System (INIS)

Roques, Fabien; Hiroux, Celine; Saguan, Marcelo

2010-01-01

Geographic diversification of wind farms can smooth out the fluctuations in wind power generation and reduce the associated system balancing and reliability costs. The paper uses historical wind production data from five European countries (Austria, Denmark, France, Germany, and Spain) and applies the Mean-Variance Portfolio theory to identify cross-country portfolios that minimise the total variance of wind production for a given level of production. Theoretical unconstrained portfolios show that countries (Spain and Denmark) with the best wind resource or whose size contributes to smoothing out the country output variability dominate optimal portfolios. The methodology is then elaborated to derive optimal constrained portfolios taking into account national wind resource potential and transmission constraints and compare them with the projected portfolios for 2020. Such constraints limit the theoretical potential efficiency gains from geographical diversification, but there is still considerable room to improve performance from actual or projected portfolios. These results highlight the need for more cross-border interconnection capacity, for greater coordination of European renewable support policies, and for renewable support mechanisms and electricity market designs providing locational incentives. Under these conditions, a mechanism for renewables credits trading could help aligning wind power portfolios with the theoretically efficient geographic dispersion. (author)

Firm Innovation and the Ratchet Effect Among Consumer Packaged Goods Firms

OpenAIRE

Christine Moorman; Simone Wies; Natalie Mizik; Fredrika J. Spencer

2012-01-01

We consider how public firms influence their stock market valuations by timing the introduction of innovative new products. Our focus is on innovation ratchet strategy --firms timing the introduction of innovations in order to demonstrate an improvement in the number of introductions over time. We document that public firms use an innovation ratchet strategy more often than do private firms and that the stock market rewards public firms for doing so. These rewards from the stock market, howev...

On the Teaching of Portfolio Theory.

Science.gov (United States)

Biederman, Daniel K.

1992-01-01

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

Low volatility sector-based portfolios: a South African case

African Journals Online (AJOL)

Black pointed out that when investors are restricted from using leverage or bor- ..... takes into account the correlation between the sectors in a portfolio. ..... 3The information ratio of a portfolio is the active premium (portfolio annualised return ...

Portfolio Diversification with Commodity Futures: Properties of Levered Futures

NARCIS (Netherlands)

Woodard, J.D.; Egelkraut, T.M.; Garcia, P.; Pennings, J.M.E.

2005-01-01

Portfolio Diversification with Commodity Futures: Properties of Levered Futures This study extends previous work on the impact of commodity futures on portfolio performance by explicitly incorporating levered futures into the portfolio optimization problem. Using data on nine individual commodity

Log-Optimal Portfolio Selection Using the Blackwell Approachability Theorem

OpenAIRE

V'yugin, Vladimir

2014-01-01

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

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.

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.

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...

Natural gas contracts in efficient portfolios

Energy Technology Data Exchange (ETDEWEB)

Sutherland, R.J.

1994-12-01

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

Learning Styles and e-portfolio in Nursing Education

DEFF Research Database (Denmark)

Nielsen, Kirsten; Pedersen, Birthe D.; Helms, Niels Henrik

Purpose of the study Research from UK and USA indicates that an e-portfolio facilitates a stronger connection between theoretical and clinical studies in Nursing Education. It helps students reflect over practice and their own skills. Yet other results show that an e-portfolio is a time consumer....... Thus, the aim of this project is to examine the effects of an e-portfolio on nursing students learning of patients with chronic illness during their clinical practice, and to investigate if it makes any difference in facilitating four learning styles: the activist, the reflector, the theorist...... through observations in clinical settings, narrative interviews, and print-outs from the students e-portfolio. Findings So far a pilot project with a questionnaire shows that 84% of the students and nurses reported that the e-portfolio has a positive effect on students learning in clinical settings...

The effectiveness of Renewable Portfolio Standard banding and carve-outs in supporting high-cost types of renewable electricity

International Nuclear Information System (INIS)

Buckman, Greg

2011-01-01

Renewable Portfolio Standards (RPSs) are renewable electricity (RES-E) subsidy mechanisms in which governments mandate how much RES-E should be generated and markets determine the cost of the subsidy needed to generate the RES-E. Two modifications of the RPS that can help support high-cost types of RES-E are banding, where governments mandate higher multiples of RPS tradable certificates for high-cost types of RES-E, and carve-outs, where governments prescribe parts of a RPS target that can be met only by a particular type, or types, of RES-E. This paper analyses the design and generation performance of banding, as used in the UK, with some reference to Italy; and carve-outs, as used in the USA. To date, there is insufficient experience of either device to reach firm conclusions about their generation effectiveness. However, there is early, tentative evidence that banding is successful at supporting high-cost types of RES-E in the UK. Carve-outs are not being fully exploited in US states that use a RPS mechanism, and Italy is using banding in a fairly insignificant way. Though both devices have different design strengths and weaknesses, and either could be adapted to specific RPS markets, banding is probably the better device for supporting high-cost RES-E. - Highlights: → I analysed three countries that use either Renewable Portfolio Standards banding or carve-outs. → I assess whether banding or carve-outs have diversified renewable electricity generation. → There's insufficient banding/carve-out experience to reach firm diversification conclusions. → There's early evidence that the UK banding is diversifying its renewable electricity.

An Extensive Evaluation of Portfolio Approaches for Constraint Satisfaction Problems

Directory of Open Access Journals (Sweden)

Roberto Amadini

2016-06-01

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

Foreign Firms, Domestic Wages

DEFF Research Database (Denmark)

Malchow-Møller, Nikolaj; Markusen, James R.; Schjerning, Bertel

to the firm?s productivity. Foreign-owned firms have, on average, higher productivity in equilibrium due to entry costs, which means that low-productivity foreign firms cannot enter. Foreign firms have higher wage growth and, with some exceptions, pay higher average wages, but not when compared to similarly...... large domestic firms. The empirical implications of the model are tested on matched employer-employee data from Denmark. Consistent with the theory, we find considerable evidence of higher wages and wage growth in large and/or foreign-owned firms. These effects survive controlling for individual...... characteristics, but, as expected, are reduced significantly when controlling for unobservable firm heterogeneity. Furthermore, acquired skills in foreign-owned and large firms appear to be transferable to both subsequent wage work and self-employment...

Portfolio Optimization in a Semi-Markov Modulated Market

International Nuclear Information System (INIS)

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

2009-01-01

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

Student Chemical Engineering Reflective ePortfolios--ChE Student Perceptions of Learning from Reflective ePortfolio Creation

Science.gov (United States)

Cherrstrom, Catherine A.; Raisor, Cindy; Fowler, Debra

2015-01-01

Engineering educators and employers value and prioritize communication skills, but developing and assessing such skills in engineering programs is challenging. Reflective ePortfolios provide opportunities to enhance communication skills. The purpose of this three-­year qualitative case study was to investigate the use of reflective ePortfolios in…

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

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.

Portfolio use and practices in US colleges and schools of pharmacy.

Science.gov (United States)

Skrabal, Maryann Z; Turner, Paul D; Jones, Rhonda M; Tilleman, Jennifer A; Coover, Kelli L

2012-04-10

To identify the prevalence of portfolio use in US pharmacy programs, common components of portfolios, and advantages of and limitations to using portfolios. A cross-sectional electronic survey instrument was sent to experiential coordinators at US colleges and schools of pharmacy to collect data on portfolio content, methods, training and resource requirements, and benefits and challenges of portfolio use. Most colleges and schools of pharmacy (61.8%) use portfolios in experiential courses and the majority (67.1%) formally assess them, but there is wide variation regarding content and assessment. The majority of respondents used student portfolios as a formative evaluation primarily in the experiential curriculum. Although most colleges and schools of pharmacy have a portfolio system in place, few are using them to fulfill accreditation requirements. Colleges and schools need to carefully examine the intended purpose of their portfolio system and follow-through with implementation and maintenance of a system that meets their goals.

Do family CEOs impact firm value? An empirical analysis of Indian family firms

Directory of Open Access Journals (Sweden)

Lakshmi Kalyanaraman

2015-01-01

Full Text Available We study the association between family CEO and firm value on a sample of 288 family firms during the 6-year period, from 2009 to 2014. The sample is drawn from domestic private companies belonging to non-financial services sector included in the NSE CNX 500 index. We find that family CEO has no significant association with firm value, when the family is not the majority shareholder. Family shareholding has positive relationship with firm value, but does not moderate the relationship of family CEO with firm value. We show that family CEO and firm value are negatively related when the family does not hold majority equity stake in the family firm. While family shareholding has no significant relationship with firm value, it has a negative interaction effect on the relationship between family CEO and firm value. The research findings have important implications for family firms as well as the nonfamily investors in the family firms.

Portfolio selection between rational and behavioral theories emergent markets case

Directory of Open Access Journals (Sweden)

Bouri Abdelfatteh

2012-08-01

Full Text Available The aim of this paper is to explore the determinants of Portfolio Choice under the investors, professionals and academics’ perception. We introduce an approach based on cognitive mapping technique with a series of semi-directive interviews. Among a sample of 30 Tunisian individuals, we propose tow different frameworks: a mean-variance framework and a behavioral framework. Each framework is oriented to capture the effect of some concepts as proposed by the mean-variance portfolio theory and the behavioral portfolio theory on the portfolio choice decision. The originality of this research paper is guaranteed since it traits the behavioral portfolio choice in emergent markets. In the best of our knowledge this is the first study in the Tunisian context that explores such area of research. Ours results show that the Tunisian investors behave as it prescribed by the behavioral portfolio theory. They use some concepts proposed by the rational mean-variance theory of portfolio choice but they are affected by their emotions and some others cognitive bias when constructing and managing they portfolio of assets.

Twelve tips for successful e-tutoring using electronic portfolios.

Science.gov (United States)

Deketelaere, Ann; Degryse, Jan; De Munter, Agnes; De Leyn, Paul

2009-06-01

E-tutoring by means of a digital portfolio offers personal guidance in a context in which regular face-to-face contact between supervisor and student is difficult. However, implementing e-tutoring in practice is not always straightforward. This article investigates the conditions for successful e-tutoring of electronic portfolios. A combination of three methods is used: our own experience with e-tutoring, interviews with 14 tutors using an e-portfolio and the answers on questionnaires by 107 students. We present 12 tips to increase the chances of successful e-tutoring when using electronic portfolios. E-tutoring by means of electronic portfolios can be a feasible alternative in contexts in which face-to-face tutoring is difficult.

SunShot Initiative Portfolio Book 2014

Energy Technology Data Exchange (ETDEWEB)

Solar Energy Technologies Office

2014-05-01

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

Guidelines for Good Evaluation Practice with the ACUMEN portfolio

DEFF Research Database (Denmark)

Wildgaard, Lorna Elizabeth

2014-01-01

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

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.

Fault Tolerant Distributed Portfolio Optimization in Smart Grids

DEFF Research Database (Denmark)

Juelsgaard, Morten; Wisniewski, Rafal; Bendtsen, Jan Dimon

2014-01-01

optimization scheme for power balancing, where communication is allowed only between units that are linked in the graph. We include consumers with controllable consumption as an active part of the portfolio. We show that a suboptimal, but arbitrarily good power balancing can be obtained in an uncoordinated......, distributed optimization framework, and argue that the scheme will work even if the computation time is limited. We further show that our approach can tolerate changes in the portfolio, in the sense that increasing or reducing the number of units in the portfolio requires only local updates. This ensures......This work considers a portfolio of units for electrical power production and the problem of utilizing it to maintain power balance in the electrical grid. We treat the portfolio as a graph in which the nodes are distributed generators and the links are communication paths. We present a distributed...

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.

Quantitative Portfolio Optimization Techniques Applied to the Brazilian Stock Market

Directory of Open Access Journals (Sweden)

André Alves Portela Santos

2012-09-01

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

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.

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...

Mentoring portfolio use in undergraduate and postgraduate medical education

NARCIS (Netherlands)

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

2009-01-01

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

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

Household portfolios and risk taking over age and time

NARCIS (Netherlands)

Bucciol, A.; Miniaci, R.

2011-01-01

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

An application of Markowitz theorem on Tehran Stock Exchange

Directory of Open Access Journals (Sweden)

Hassan Ghodrati

2014-05-01

Full Text Available During the past 65 years, there have been tremendous efforts on portfolio selection problem. The standard Markowitz mean–variance model to portfolio selection includes tracing out an efficient frontier, a continuous curve demonstrating the tradeoff between return and risk. This frontier can be often detected via standard quadratic programming, categorized in convex optimization. Traditional Markowitz problem has been recently extended into a new form of mixed integer nonlinear problems by considering various constraints such as cardinality constraints, industry limitation, etc. This paper proposes a mixed integer nonlinear programming to determine optimal asset allocation on Tehran Stock Exchange. The results have indicated that a petrochemical firm named Farabi has gained 44% of the portfolio followed by a drug firm named Kosar Pharmacy gaining 28%. In addition, banking sector was the third winning firm where Eghtesad Novin bank gained nearly 10% of the portfolio. Minerals and mining firms were the next sector in our portfolio where Gol Gohar Iron Ore and Tehran Cement collected 0.73% and 0.57% of the portfolio, respectively. In our survey, auto industry gained only 0.26% of the portfolio, which belonged to Saipa group.

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

A Robust Statistics Approach to Minimum Variance Portfolio Optimization

Science.gov (United States)

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

2015-12-01

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

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.

Portfolio optimization using median-variance approach

Science.gov (United States)

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

2013-04-01

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

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).

Teaching ePortfolios in Teacher Education

Directory of Open Access Journals (Sweden)

Peter Groißböck

2012-11-01

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

Portfolio Selection Using Level Crossing Analysis

Science.gov (United States)

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

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

The Role of Learning- and Presentation- Portfolios in Design Educations

DEFF Research Database (Denmark)

Thomsen, Bente Dahl; Ovesen, Nis

2014-01-01

Students that primarily study design through team-based projects often struggle to develop presentation portfolios that differentiate from the ones of other students. In the industry, design managers experience this as a problem, as they often receive job applications with presentation portfolios...... resources from other activities, which is why the templates have to be carefully balanced in order to achieve the desired effect. The portfolio method proved to be especially good at illustrating process related competencies.......Students that primarily study design through team-based projects often struggle to develop presentation portfolios that differentiate from the ones of other students. In the industry, design managers experience this as a problem, as they often receive job applications with presentation portfolios...... of the portfolio method in engineering design educations, this research project has investigated the method as part of a course programme. The preliminary experiments and results show that learning portfolio templates are effective in strengthening certain activities. On the other hand, the method risks draining...

Pengaruh Family Control, Firm Size, Firm Risk, Dan Firm Life Cycle Terhadap Profitabilitas Dan Nilai Perusahaan Sektor Industri Barang Konsumsi

OpenAIRE

Servin, Servin

2014-01-01

This study aims to examine the effect of family control, firm size, firm risk, and firm lifecycle towards profitability and firm's value. Sampels were taken from 27 consumer goodscompanies, listed in Indonesia Stock Exchange, ranging from 2010 – 2012. The hypotheseswere tested using multiple regression analysis. In this study, profitability was measured byROA (Return on Asset) and firm's value was measured by Tobin's q. The result were, familycontrol and life cycle stage-growth had negative i...

PORTFOLIO COMPOSITION WITH MINIMUM VARIANCE: COMPARISON WITH MARKET BENCHMARKS

Directory of Open Access Journals (Sweden)

Daniel Menezes Cavalcante

2016-07-01

Full Text Available Portfolio optimization strategies are advocated as being able to allow the composition of stocks portfolios that provide returns above market benchmarks. This study aims to determine whether, in fact, portfolios based on the minimum variance strategy, optimized by the Modern Portfolio Theory, are able to achieve earnings above market benchmarks in Brazil. Time series of 36 securities traded on the BM&FBOVESPA have been analyzed in a long period of time (1999-2012, with sample windows of 12, 36, 60 and 120 monthly observations. The results indicated that the minimum variance portfolio performance is superior to market benchmarks (CDI and IBOVESPA in terms of return and risk-adjusted return, especially in medium and long-term investment horizons.

Spin glasses and nonlinear constraints in portfolio optimization

International Nuclear Information System (INIS)

Andrecut, M.

2014-01-01

We discuss the portfolio optimization problem with the obligatory deposits constraint. Recently it has been shown that as a consequence of this nonlinear constraint, the solution consists of an exponentially large number of optimal portfolios, completely different from each other, and extremely sensitive to any changes in the input parameters of the problem, making the concept of rational decision making questionable. Here we reformulate the problem using a quadratic obligatory deposits constraint, and we show that from the physics point of view, finding an optimal portfolio amounts to calculating the mean-field magnetizations of a random Ising model with the constraint of a constant magnetization norm. We show that the model reduces to an eigenproblem, with 2N solutions, where N is the number of assets defining the portfolio. Also, in order to illustrate our results, we present a detailed numerical example of a portfolio of several risky common stocks traded on the Nasdaq Market.

Spin glasses and nonlinear constraints in portfolio optimization

Energy Technology Data Exchange (ETDEWEB)

Andrecut, M., E-mail: mircea.andrecut@gmail.com

2014-01-17

We discuss the portfolio optimization problem with the obligatory deposits constraint. Recently it has been shown that as a consequence of this nonlinear constraint, the solution consists of an exponentially large number of optimal portfolios, completely different from each other, and extremely sensitive to any changes in the input parameters of the problem, making the concept of rational decision making questionable. Here we reformulate the problem using a quadratic obligatory deposits constraint, and we show that from the physics point of view, finding an optimal portfolio amounts to calculating the mean-field magnetizations of a random Ising model with the constraint of a constant magnetization norm. We show that the model reduces to an eigenproblem, with 2N solutions, where N is the number of assets defining the portfolio. Also, in order to illustrate our results, we present a detailed numerical example of a portfolio of several risky common stocks traded on the Nasdaq Market.

Robust portfolio selection under norm uncertainty

Directory of Open Access Journals (Sweden)

Lei Wang

2016-06-01

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

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

Directory of Open Access Journals (Sweden)

Wolf Hilzensauer

2009-03-01

Full Text Available E-portfolios are known as a technology- supported learning method for the documentation of competency development. In this article the didactic approach, the course design and the results of the Leonardo da Vinci project MOSEP (More self-esteem with my e-portfolio are described. The main objective of the project was to develop, test and evaluate a new e-portfolio training concept for teachers and tutors in order to support learners during their competence development phase.

The renewable and nuclear energies in the basquet of energy supply; Las energias nuclear y renovables en La cesta del suministro energetico

Energy Technology Data Exchange (ETDEWEB)

Martinez Corcoles, F.

2008-07-01

The share of nuclear and renewable sources in the energy portfolio yields great benefits to all stake holders and that both sources are not exclusive each other but offer multiple complementary features and synergy's, therefore both technologies should be part of the present and future energy mix. This portfolio should be enough and reliable all the time, guarantee the security of supply, protect the environment and give competitive prices. All these features are to a great extent met by nuclear and renewable technologies and therefore they should play an important role on world and national energy supply. (Author)

Transportation Accessibility and Location Choice of Japanese-Funded Electronic Information Manufacturing Firms in Shanghai

Directory of Open Access Journals (Sweden)

Haining Jiang

2018-02-01

Full Text Available With the rapid development of globalization, information communication and transportation, it is argued that the effect of transportation accessibility in the location choice of manufacturing firms has diminished. However, comprehensive and systematic research on the impact of transportation accessibility on firm location choice in cities remains scarce. Taking Shanghai as the research area, this paper uses a catalog of Japanese-funded electronic information manufacturing firms to explore the influence of transportation accessibility on their location choice. The paper first describes firm distribution using the nuclear density estimation method. The Poisson regression model is then used to estimate the significance of transportation accessibility in influencing firm location. The empirical results show that most of the firms are concentrated in the inner suburbs of Shanghai, with only a small number in the outer suburban areas. The spatial coupling relationship between firm distribution and transportation accessibility is significant. These firms tend to choose areas with good accessibility to transportation infrastructure, and, in particular, the effect of airport accessibility is significant. Compared with the joint venture enterprises, wholly-owned Japanese enterprises are more inclined to be in areas with better transportation accessibility.

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.

Portfolio optimization with structured products under return constraint

Directory of Open Access Journals (Sweden)

Baweja Meena

2015-01-01

Full Text Available A new approach for optimizing risk in a portfolio of financial instruments involving structured products is presented. This paper deals with a portfolio selection model which uses optimization methodology to minimize conditional Value-at-Risk (CVaR under return constraint. It focuses on minimizing CVaR rather than on minimizing value-at-Risk VaR, as portfolios with low CVaR necessarily have low VaR as well. We consider a simple investment problem where besides stocks and bonds, the investor can also include structured products into the investment portfolio. Due to possible intermediate payments from structured product, we have to deal with a re-investment problem modeled as a linear optimization problem.

Future Learning Strategy and ePortfolios in Education

Directory of Open Access Journals (Sweden)

C. Dorninger

2008-03-01

Full Text Available The rapid change of the information andknowledge Society does no stop at education:communication, teaching and learning are changing due todigital media. Therefore at Austrian schools a “FutureLearning”- strategy was started in October 2007, where newforms of learning are underlined by new media and socialsoftware. This strategy will be presented. An important partof the strategy is the introduction of electronic Portfolios forstudents. Portfolios could be powerful tools to realizeindividualisation in formal education. There are two maintypes, the process portfolio for learning, working andreflection and the application portfolio for assessmentpurposes and job application. It is now possible to collectformal and informal competences and skills-orientedknowledge for the later professional career.

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

Science.gov (United States)

Reyes Santos, Joost; Haimes, Yacov Y

2004-06-01

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

Selling an Energy Efficiency Loan Portfolio in Oregon: Resale of the Craft3 loan portfolio to Self-Help Credit Union

Energy Technology Data Exchange (ETDEWEB)

Thompson, Peter; Borgeson, Merrian; Kramer, Chris; Zimring, Mark; Goldman, Charles

2014-05-30

Under the Clean Energy Works (CEW) program, Craft3 developed a loan product that widened access to financing for homeowners, offered long term funding, and collected repayments through the customer?s utility bill. The program?s success led Craft3 to pursue the sale of the loan portfolio to both mitigate its own risks and replenish funds for lending. This sale breaks new ground for energy efficiency finance and is notable as it was completed even with many novel program design elements. It replenished Craft3?s program capital and uncovered some valuable lessons that may facilitate future transactions. However, the lack of data history and the unproven nature of the loan portfolio meant that Craft3 had to limit the risk of losses to Self-Help, the purchaser of the portfolio. It remains to be seen whether this experience will pave the way for more sales of on-bill energy efficiency loan portfolios. This case study illustrates how certain program design decisions can sometimes both facilitate programmatic objectives and possibly present challenges for the sale of a portfolio of energy efficiency loans.

Relative importance of moisture migration and amylopectin retrogradation for pound cake crumb firming.

Science.gov (United States)

Luyts, A; Wilderjans, E; Van Haesendonck, I; Brijs, K; Courtin, C M; Delcour, J A

2013-12-15

Moisture migration largely impacts cake crumb firmness during storage at ambient temperature. To study the importance of phenomena other than crumb to crust moisture migration and to exclude moisture and temperature gradients during baking, crustless cakes were baked using an electrical resistance oven (ERO). Cake crumb firming was evaluated by texture analysis. First, ERO cakes with properties similar to those baked conventionally were produced. Cake batter moisture content (MC) was adjusted to ensure complete starch gelatinisation in the baking process. In cakes baked conventionally, most of the increase in crumb firmness during storage was caused by moisture migration. Proton nuclear magnetic resonance ((1)H NMR) showed that the population containing protons of crystalline starch grew during cake storage. These and differential scanning calorimetry (DSC) data pointed to only limited amylopectin retrogradation. The limited increase in amylopectin retrogradation during cake storage cannot solely account for the significant firming of ERO cakes and, hence, other phenomena are involved in cake firming. Copyright © 2013 Elsevier Ltd. All rights reserved.

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...

Wavelet evolutionary network for complex-constrained portfolio rebalancing

Science.gov (United States)

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

2012-07-01

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

Division of Labor, Transaction Cost, Emergence of the Firm and Firm Size

OpenAIRE

Pak-Wai Liu; Xiaokai Yang

1999-01-01

In this paper a general equilibrium model is constructed to explain the emergence of firms and change in firm size by the tradeoff between economies of specialization and transaction cost. We show that firms emerge from the development of division of labor if the transaction efficiency for labor is smaller than that for intermediate goods. Given the emergence of firms, change in the average size of firms (average employment) will depend on the change in transaction efficiency for intermediate...

Implementation of Portfolio Assessment in a Competency-based Dental Hygiene Program.

Science.gov (United States)

Gadbury-Amyot, Cynthia C.; Holt, Lorie P.; Overman, Pamela R.; Schmidt, Colleen R.

2000-01-01

Describes the implementation of a portfolio assessment program in the dental hygiene program at the University of Missouri School of Dentistry. Tables provide examples of program competencies and related portfolio entries, the complete scoring rubric for portfolios, and the student portfolio evaluation survey. Concludes that although portfolio…

AN EXAMPLE FOR PORTFOLIO PREPARATION IN GERMAN TEACHER TRAINING

Directory of Open Access Journals (Sweden)

Hüseyin ARAK

2017-04-01

Full Text Available In this study we are trying with the help of portfolio in teacher training and the diagnosis of the learning group concerning their skills in translation from German to Turkish, to show the documentation of the learning process. The portfolio provides a good overview about the performance of the students and it also prepares a basis for assessment. A growing self-awareness of students can be achieved through implementing the portfolio-method. The students should collect and reflect the most important materials and practices leading to key terms of the seminar. It is more than an assessment method it is a surrounding of learning. The work with portfolio has an influence on teaching, learning and assessing. As in detail, this is dependent on the aims and other characteristics of the models which take the portfolio work as a basis. The portfolio provides us a big advantage for the support of the cultural reflection. We can observe the process of the growth of knowledge step by step, because the measurement of the development in a determined period allows us either a written work or a Multiple Choice Test. In this sense we can look at the portfolio as an assessment instrument of a process.

Emissions trading and firms' strategies. The case of power producers

International Nuclear Information System (INIS)

Rousse, O.

2005-11-01

This thesis deals with the impacts of a domestic emissions trading scheme on firms' strategies. As recent experiences of such programs (Acid Rain Program, RECLAIM Program, NOx Budget Program and the European Union Emissions Trading Scheme) concern mainly heat and power producers, we analyze especially strategies of these companies. In context of electricity market deregulation, our study takes two directions: uncertainty and competitive distortions. Concerning uncertainty, we are interested in portfolio management of emission permits, that is choice under uncertainty between buying, selling and banking permits. Concerning competitive distortions, we consider manipulations on the permits and/or products markets. Among others, we investigate interactions between a pollution market and the wholesale electricity market. From a general point of view, we show that a permits market, even competitive, gives to power producers more opportunities to act strategically on wholesale electricity markets. By this way, our study attempts to indicate when these market distortions are more likely to occur and to give some emissions market design instructions. (author)

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…

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...

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

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

Default Risk and Firm Value of Shipping & Logistics Firms in Korea

Directory of Open Access Journals (Sweden)

Hyun Jung Nam

2017-07-01

Full Text Available As shipping and logistics industry is one of the core industries in Korea, the volume was ranked in the fifth highest in the world. However, shipping and logistics industry of Korea has suffered from default risk since Global Financial Crisis in 2008. This study examines the relationship between the default risk, as measured by the Altman K-Score, and firm value, as measured by the Return on Assets (ROA, of shipping and logistics firms in Korea and compares the impact of default risk on firm value between good financial health firms and poor financial health firms. As the trends of KScores over a ten-year periods, shipping and logistics firms in Korea register weak-to-moderate financial healthy rage. We find that Altman K-Score is significantly linked with firm value and also higher performing firms as measured by the ROA exhibit higher financial health as measured by KScore. Although nine years have been passed since Global Financial Crisis 2008, Korean shipping and logistics industry is still under the financial depression. This study proposes that systematic financial alert system of Korean shipping and logistics industry should be required to decrease default risk reflecting significance of Korean economy.

ROMANIAN INVESTORS PORTFOLIO. ONLINE VERSUS ASSISTED TRADING

Directory of Open Access Journals (Sweden)

Ioana Ancuţa IANCU

2017-05-01

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

Three Essays on Robust Optimization of Efficient Portfolios

OpenAIRE

Liu, Hao

2013-01-01

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

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

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...

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.

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.

The current account as a dynamic portfolio choice problem

OpenAIRE

Didier, Tatiana; Lowenkron, Alexandre

2009-01-01

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

An Arbitrary Benchmark CAPM: One Additional Frontier Portfolio is Sufficient

OpenAIRE

Ekern, Steinar

2008-01-01

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

Continuous-Time Mean-Variance Portfolio Selection under the CEV Process

OpenAIRE

Ma, Hui-qiang

2014-01-01

We consider a continuous-time mean-variance portfolio selection model when stock price follows the constant elasticity of variance (CEV) process. The aim of this paper is to derive an optimal portfolio strategy and the efficient frontier. The mean-variance portfolio selection problem is formulated as a linearly constrained convex program problem. By employing the Lagrange multiplier method and stochastic optimal control theory, we obtain the optimal portfolio strategy and mean-variance effici...

Methods of Choosing an Optimal Portfolio of Projects

OpenAIRE

Yakovlev, A.; Chernenko, M.

2016-01-01

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

PORTFOLIO OPTIMIZATION ON CROATIAN CAPITAL MARKET

Directory of Open Access Journals (Sweden)

Sinisa Bogdan

2013-12-01

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

Thermodynamics of firms' growth

Science.gov (United States)

Zambrano, Eduardo; Hernando, Alberto; Hernando, Ricardo; Plastino, Angelo

2015-01-01

The distribution of firms' growth and firms' sizes is a topic under intense scrutiny. In this paper, we show that a thermodynamic model based on the maximum entropy principle, with dynamical prior information, can be constructed that adequately describes the dynamics and distribution of firms' growth. Our theoretical framework is tested against a comprehensive database of Spanish firms, which covers, to a very large extent, Spain's economic activity, with a total of 1 155 142 firms evolving along a full decade. We show that the empirical exponent of Pareto's law, a rule often observed in the rank distribution of large-size firms, is explained by the capacity of economic system for creating/destroying firms, and that can be used to measure the health of a capitalist-based economy. Indeed, our model predicts that when the exponent is larger than 1, creation of firms is favoured; when it is smaller than 1, destruction of firms is favoured instead; and when it equals 1 (matching Zipf's law), the system is in a full macroeconomic equilibrium, entailing ‘free’ creation and/or destruction of firms. For medium and smaller firm sizes, the dynamical regime changes, the whole distribution can no longer be fitted to a single simple analytical form and numerical prediction is required. Our model constitutes the basis for a full predictive framework regarding the economic evolution of an ensemble of firms. Such a structure can be potentially used to develop simulations and test hypothetical scenarios, such as economic crisis or the response to specific policy measures. PMID:26510828

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

African Journals Online (AJOL)

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

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...

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 ...

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.

Procurement with specialized firms

NARCIS (Netherlands)

Boone, Jan; Schottmuller, C.

2016-01-01

We analyze optimal procurement mechanisms when firms are specialized. The procurement agency has incomplete information concerning the firms' cost functions and values high quality as well as low price. Lower type firms are cheaper (more expensive) than higher type firms when providing low (high)

International nuclear energy guide

International Nuclear Information System (INIS)

Anon.

1983-01-01

Separate abstracts are included for each of the papers presented concerning current technical and economical events in the nuclear field. Twelve papers have been abstracted and input to the data base. The ''international nuclear energy guide'' gives a general directory of the name, the address and the telephone number of the companies and bodies quoted in this guide; a chronology of the main events 1982. The administrative and professional organization, the nuclear courses and research centers in France are presented, as also the organization of protection and safety, and of nuclear fuel cycle. The firms concerned by the design and the construction of NSSS and the allied nuclear firms are also presented. The last part of this guide deals with the nuclear energy in the world: descriptive list of international organizations, and, the nuclear activities throughout the world (alphabetical order by countries) [fr

Learning to Select Supplier Portfolios for Service Supply Chain.

Science.gov (United States)

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

2016-01-01

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

E-Portfolio Web-based for Students’ Internship Program Activities

Science.gov (United States)

Juhana, A.; Abdullah, A. G.; Somantri, M.; Aryadi, S.; Zakaria, D.; Amelia, N.; Arasid, W.

2018-02-01

Internship program is an important part in vocational education process to improve the quality of competent graduates. The complete work documentation process in electronic portfolio (e-Portfolio) platform will facilitate students in reporting the results of their work to both university and industry supervisor. The purpose of this research is to create a more easily accessed e-Portfolio which is appropriate for students and supervisors’ need in documenting their work and monitoring process. The method used in this research is fundamental research. This research is focused on the implementation of internship e-Portfolio features by demonstrating them to students who have conducted internship program. The result of this research is to create a proper web-based e-Portfolio which can be used to facilitate students in documenting the results of their work and aid supervisors in monitoring process during internship.

Founder Control, Ownership Structure and Firm Value: Evidence from Entrepreneurial Listed Firms in China

Directory of Open Access Journals (Sweden)

Lijun Xia

2008-06-01

Full Text Available In emerging markets, the deviation between the ultimate controlling shareholders' voting rights and their cash flow rights (hereafter “DVC” in the listed firms is quite prevalent. DVC could be introduced due to the ultimate controlling shareholders' opportunistic incentives, as well as by their incentives to improve firm efficiency. This study uses 229 listed firms ultimately controlled by individuals or families (hereafter “entrepreneurial firms” for 2004 in China, to investigate the effect of DVC on firm value and to determine whether it is different between founder and non-founder controlled firms. We find that DVC has a positive effect on firm value for founder controlled firms. This result implies that investors believe that their interests are better protected by founder controlled firms than by non-founder controlled firms.

Firm Traits and Web Based Disclosures in Top Nigerian Firms

Directory of Open Access Journals (Sweden)

Bello Ayuba

2016-02-01

Full Text Available The use of the internet as a medium of dissemination of information to stakeholders is increasingly gaining grounds. This study extends existing literature on web disclosures by investigating the characteristics that predict the extent of web-based disclosures. In this study, corporate websites of top Nigerian firms are used as sources of data, while a regression analysis is employed to examine the extent of prediction. Results indicate that the firm size and industry type are significant determinants of web disclosures. However, other firm traits such as ownership dispersion and financial performance do not significantly explain the extent of internet disclosures. The study recommends that a regulatory template for corporate web disclosures be put in place by government regardless of the size or industry classification of the firm. This is with a view to considerably reduce agency conflicts arising from information asymmetry in publicly listed firms in Nigeria.

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.

Optimal Energy Mix with Renewable Portfolio Standards in Korea

Directory of Open Access Journals (Sweden)

Zong Woo Geem

2016-05-01

Full Text Available Korea is a heavily energy-dependent country whose primary energy consumption ranks ninth in the world. However, at the same time, it promised to reduce carbon emission and planned to use more renewable energy. Thus, the objective of this study is to propose an optimal energy mix planning model in electricity generation from various energy sources, such as gas, coal, nuclear, hydro, wind, photovoltaic, and biomass, which considers more renewable and sustainable portions by imposing governmental regulation named renewable portfolio standard (RPS. This optimization model minimizes various costs such as construction cost, operation and management cost, fuel cost, and carbon emission cost while satisfying minimal demand requirement, maximal annual installation potential, and renewable portfolio standard constraints. Results showed that this optimization model could successfully generate energy mix plan from 2012 to 2030 while minimizing the objective costs and satisfying all the constraints. Therefore, this optimization model contributes more efficient and objective method to the complex decision-making process with a sustainability option. This proposed energy mix model is expected to be applied not only to Korea, but also to many other countries in the future for more economical planning of their electricity generation while affecting climate change less.

Status of portfolios in undergraduate medical education in the LCME accredited US medical school.

Science.gov (United States)

Chertoff, Jason; Wright, Ashleigh; Novak, Maureen; Fantone, Joseph; Fleming, Amy; Ahmed, Toufeeq; Green, Marianne M; Kalet, Adina; Linsenmeyer, Machelle; Jacobs, Joshua; Dokter, Christina; Zaidi, Zareen

2016-09-01

We sought to investigate the number of US medical schools utilizing portfolios, the format of portfolios, information technology (IT) innovations, purpose of portfolios and their ability to engage faculty and students. A 21-question survey regarding portfolios was sent to the 141 LCME-accredited, US medical schools. The response rate was 50% (71/141); 47% of respondents (33/71) reported that their medical school used portfolios in some form. Of those, 7% reported the use of paper-based portfolios and 76% use electronic portfolios. Forty-five percent reported portfolio use for formative evaluation only; 48% for both formative and summative evaluation, and 3% for summative evaluation alone. Seventy-two percent developed a longitudinal, competency-based portfolio. The most common feature of portfolios was reflective writing (79%). Seventy-three percent allow access to the portfolio off-campus, 58% allow usage of tablets and mobile devices, and 9% involve social media within the portfolio. Eighty percent and 69% agreed that the portfolio engaged students and faculty, respectively. Ninety-seven percent reported that the portfolios used at their institution have room for improvement. While there is significant variation in the purpose and structure of portfolios in the medical schools surveyed, most schools using portfolios reported a high level of engagement with students and faculty.

Portfolio Evaluation Based on Efficient Frontier Superiority Using Center of Gravity

Directory of Open Access Journals (Sweden)

Omar Samat

2010-01-01

Full Text Available Investing in portfolio of assets is the best way to reduce the investment risk. The most desired portfolio can be obtained when investors chose to invest in the portfolios that lay on the portfolio’s efficient frontier. However, the superiorities of the portfolios are difficult to differentiate especially when the efficient frontier curves are overlapping. This paper proposed the portfolio’s efficient frontier center of gravity (CoG and Euclidean distance to identify its superiority. A sample of 49 stocks of large-cap and small-cap were used to construct two hypothetical portfolios and its efficient frontiers. The Euclidean distance showed that the large-cap portfolio is superior and having wider feasible solutions compared to the small-cap portfolio. The results of new tool introduced are consistent with the conventional methods. Here the theoretical and practical implications are provided in light of the findings.

Robust Portfolio Optimization using CAPM Approach

Directory of Open Access Journals (Sweden)

mohsen gharakhani

2013-08-01

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

A ubiquitous reflective e-portfolio architecture.

Science.gov (United States)

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

2013-11-01

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

Firm size and taxes

OpenAIRE

Chongvilaivan, Aekapol; Jinjarak, Yothin

2010-01-01

The scale dependence in firm growth (smaller firms grow faster) is systematically reflected in the size distribution. This paper studies whether taxes affect the equilibrium firm size distribution in a cross-country context. The main finding is that the empirical association between firm growth and corporate tax (VAT) is positive (negative), with notable differences in the response of manufacturing firms and that of the others. We draw implications for recent debate on the impact of taxes and...

Electricity utilities: Nuclear sector

International Nuclear Information System (INIS)

Brosche, D.

1992-01-01

The safe and economic operation of nuclear power plants requires an appropriate infrastructure on the part of the operator as well as a high level of technical quality of the plants and of qualification of the personnel. Added to this are a variety of services rendered by specialist firms. The Bayernwerk utility, with plants of its own, has played a major role in the development of nuclear power in the Federal Republic of Germany. The importance of nuclear power to this firm is reflected in the pattern of its electricity sources and in the composition of its power plants. (orig.) [de

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

Energy Technology Data Exchange (ETDEWEB)

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

2014-10-15

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

Cyclicality and Firm Size in Private Firm Defaults

DEFF Research Database (Denmark)

Jensen, Thais Lærkholm; Lando, David; Medhat, Mamdouh

2017-01-01

The Basel II/III and CRD IV Accords reduce capital charges on bank loans to smaller firms by assuming that the default probabilities of smaller firms are less sensitive to macroeconomic cycles. We test this assumption in a default intensity framework using a large sample of bank loans to private...

On long-only information-based portfolio diversification framework

Science.gov (United States)

Santos, Raphael A.; Takada, Hellinton H.

2014-12-01

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

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

International Nuclear Information System (INIS)

Gould, J.

1999-01-01

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

Long-term portfolio investments: New insight into return and risk

Directory of Open Access Journals (Sweden)

Alexander Abramov

2015-09-01

Emphasis is placed on the need for regular adjustments to long-term investors’ portfolios. As portfolios get older, those investors see a reduction in the returns’ dispersion, while differences in risk between various portfolios increase. This means that to maintain a fixed risk–return ratio for a portfolio as the horizon increases, an investor needs to increase the share of lower-risk financial assets during asset allocation process. This thesis becomes especially relevant in the context of retirement savings management.

The Use of Portfolios in Leadership Education

Science.gov (United States)

Olsen, Paul E.

2009-01-01

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

Female Directors and Firm Performance: Evidence from UK Listed Firms

OpenAIRE

Pasaribu, Pananda

2017-01-01

The impact of female directors on firm performance has lacked consistency in the previously conducted empirical studies, which may be due to the endogeneity problem, or certain characteristics (i.e. governance, industry, competition). This study examines the relationship between female directors and firm performance by addressing those problems. This study analyses all non-financial UK listed firms during the period 2004-2012 and employs several econometric models. The regression results indi...

An application of almost marginal conditional stochastic dominance (AMCSD) on forming efficient portfolios

Science.gov (United States)

Slamet, Isnandar; Mardiana Putri Carissa, Siska; Pratiwi, Hasih

2017-10-01

Investors always seek an efficient portfolio which is a portfolio that has a maximum return on specific risk or minimal risk on specific return. Almost marginal conditional stochastic dominance (AMCSD) criteria can be used to form the efficient portfolio. The aim of this research is to apply the AMCSD criteria to form an efficient portfolio of bank shares listed in the LQ-45. This criteria is used when there are areas that do not meet the criteria of marginal conditional stochastic dominance (MCSD). On the other words, this criteria can be derived from quotient of areas that violate the MCSD criteria with the area that violate and not violate the MCSD criteria. Based on the data bank stocks listed on LQ-45, it can be stated that there are 38 efficient portfolios of 420 portfolios where each portfolio comprises of 4 stocks and 315 efficient portfolios of 1710 portfolios with each of portfolio has 3 stocks.

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...

Feature selection for portfolio optimization

DEFF Research Database (Denmark)

Bjerring, Thomas Trier; Ross, Omri; Weissensteiner, Alex

2016-01-01

Most portfolio selection rules based on the sample mean and covariance matrix perform poorly out-of-sample. Moreover, there is a growing body of evidence that such optimization rules are not able to beat simple rules of thumb, such as 1/N. Parameter uncertainty has been identified as one major....... While most of the diversification benefits are preserved, the parameter estimation problem is alleviated. We conduct out-of-sample back-tests to show that in most cases different well-established portfolio selection rules applied on the reduced asset universe are able to improve alpha relative...

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.

The Nuclear for Climate Initiative

International Nuclear Information System (INIS)

Faudon, V.

2015-01-01

At least 80% of the world’s electricity must be low carbon by 2050 to keep the world within 2°C of warming, according to the IPCC. This is a massive global challenge that requires the use of all available low-carbon energy technologies. Nuclear energy is recognized by the IPCC as “an effective greenhouse gas mitigation option” with life cycle emissions “comparable to most renewables”. We need to take immediate steps towards reducing greenhouse gas emissions, as the world has already used up most of its carbon budget. Nuclear energy is low-carbon, available and competitive in the time frame required. It has avoided the release of 56 gigatonnes of CO_2 since 1971, two years’ worth of emissions at current rates. Additional nuclear energy capacity can be built up in the world’s largest emitting countries: there are more reactors under construction today than at any time in the last 25 years, with BRICS countries leading the way. Existing nuclear power plants are the largest low-carbon electricity source in OECD countries. Operating them for longer is one of the most effective ways to keep greenhouse gas emissions down. Moreover, nuclear generation can operate with renewables energy in order to adapt generation to electricity demand, taking into account variability of certain renewable energy sources. As countries are pursuing different energy policy goals, with different constraints, they should be free to choose from the full portfolio of energy technologies, including renewable energies and nuclear energy, to reduce CO_2 and meet other energy objectives. Very few scenarios have been investigated with mitigation requirements to limit warming to 2°C and implementation of a nuclear phase out. While they need the largest portfolio now, countries will also need the largest portfolio tomorrow: nuclear research should receive support to develop future reactors (generation 4) that will make better use of the Uranium resources, will operate in a safer way, and

Leverage, Investment, and Firm Growth

OpenAIRE

Larry Lang; Eli Ofek; Rene M. Stulz

1995-01-01

We show that there is a negative relation between leverage and future growth at the firm level and, for diversified firms, at the segment level. Further, this negative relation between leverage and growth holds for firms with low Tobin's q, but not for high-q firms or firms in high-q industries. Therefore, leverage does not reduce growth for firms known to have good investment opportunities, but is negatively related to growth for firms whose growth opportunities are either not recognized by ...

Capstone Portfolios and Geography Student Learning Outcomes

Science.gov (United States)

Mossa, Joann

2014-01-01

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

2010-11 Research Portfolio: Research & Development Division

Science.gov (United States)

Educational Testing Service, 2010

2010-01-01

This document describes the breadth of the research that the ETS (Educational Testing Service) Research & Development division is conducting in 2010. This portfolio will be updated in early 2011 to reflect changes to existing projects and new projects that were added after this document was completed. The research described in this portfolio falls…

Applying Portfolio Theory to EU Electricity Planning and Policy-Making

Energy Technology Data Exchange (ETDEWEB)

Awerbuch, Shimon; Berger, Martin

2003-02-01

This study introduces mean-variance portfolio theory and evaluates its potential application to the development of efficient (optimal) European Union (EU-15) generating portfolios that enhance energy security and diversification objectives. The analysis extends to European countries the previous work done by Awerbuch in the US, and applies a significantly more detailed portfolio model that reflects the risk of the relevant generating cost streams: fuel, operation and maintenance and construction period costs. It illustrates the portfolio effects of different generating mixes. The study offers preliminary findings on the effects of including more renewable energy sources in the typical EU portfolio mix and suggests interesting directions for further study. The study arises from the perception that these standard, finance-oriented analyses may offer valuable enhancements to energy planning, and concepts of energy security and diversity. Clearly the combination of better portfolio construction and more accurate pricing should lead to more optimal decisions in the round. This study, therefore, represents an effort to complement traditional approaches and point researchers and planners into new territory. The results generally indicate that the existing and projected EU generating mixes are sub optimal - though slightly - from a risk-return perspective, which implies that feasible portfolios with lower cost and risk exist. These can be developed by adjusting the conventional mix and by including larger shares of wind or similar renewable technologies. The results of the portfolio analysis suggest that fixed cost technologies such as renewables must be a part of any efficient generating portfolio. Our assessment of all technologies is limited to risk and cost measures, although other benefits, including low externality costs and sustainability, are often cited for renewables.

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.

In the loop Large Hadron Collider project - UK engineering firms

CERN Document Server

Wilks, N

2004-01-01

This paper presents the latest measures being taken to boost the level of UK engineering firms' involvement in research at CERN (Centre for Nuclear Research), including its 27 km circular Large Hadron Collider (LHC) project. Virtually all of the components on this complex project have had to be custom-made, usually in the form of collaboration. It is part of these collaborations that some UK firms have proved they can shine. However, despite the proven capabilities, the financial return continues to be less than the government's funding. Each of the 20 CERN member states provides funds in proportion to its GDP and the UK is the second largest financial contributor. UK firms become price-competitive where a contract calls for a degree of customisation or product development, project management and tight quality control. Development of the Particle Physics Grid, for dissemination and analysis of data from the LHC, continues to provide major supply opportunities for UK manufacturers.

Optimal consumption—portfolio problem with CVaR constraints

International Nuclear Information System (INIS)

Zhang, Qingye; Gao, Yan

2016-01-01

The optimal portfolio selection is a fundamental issue in finance, and its two most important ingredients are risk and return. Merton's pioneering work in dynamic portfolio selection emphasized only the expected utility of the consumption and the terminal wealth. To make the optimal portfolio strategy be achievable, risk control over bankruptcy during the investment horizon is an indispensable ingredient. So, in this paper, we consider the consumption-portfolio problem coupled with a dynamic risk control. More specifically, different from the existing literature, we impose a dynamic relative CVaR constraint on it. By the stochastic dynamic programming techniques, we derive the corresponding Hamilton–Jacobi–Bellman (HJB) equation. Moreover, by the Lagrange multiplier method, the closed form solution is provided when the utility function is a logarithmic one. At last, an illustrative empirical study is given. The results show the distinct difference of the portfolio strategies with and without the CVaR constraints: the proportion invested in the risky assets is reduced over time with CVaR constraint instead of being constant without CVaR constraints. This can provide a good decision-making reference for the investors.

Applying Portfolio Selection: A Case of Indonesia Stock Exchange

Directory of Open Access Journals (Sweden)

Maria Praptiningsih

2012-01-01

Full Text Available This study has three objectives. First, we investigate whether Modern Portfolio Theory can be applied on the financial decisions that made by investors or individual in order to increase their wealth through investment activities. Second, we examine the real behavior of each asset in terms of capital assets pricing models. Third, we determine whether our portfolio is the best model to produce a higher return in a given level of risk or a lowest risk in a particular level of return. It is found that three different stocks listed in the Indonesia Stock Exchange have a positive relationship with market returns. The reactions of the investor regarding these stocks are not influenced by each other. Lastly, the minimum variance portfolio (MVP point which represents the single portfolio with the lowest possible level of standard deviation, occurs when the expected return of portfolio is approximately 2.2 percent at a standard deviation of 8.8 percent.

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.

The use of e-portfolio in a linear algebra course

Directory of Open Access Journals (Sweden)

María Isabel García-Planas

2016-03-01

Full Text Available The use of e-portfolio becomes more common learning and student assessment; and this is due to the need for teachers to enhance students’ autonomy. The use of e-portfolio helps students to reflect on their own learning process. Lectures to large groups should not be limited only to classes, but must foster active learning, and in this regard, the introduction of the e-portfolio is a good tool because it stimulates collaborative and cooperative work among students and in turn encourages feedback with the teacher. To apply active methodologies during 2014-15 has been introduced in the course of the preparation of Linear Algebra comprehensive e-portfolio. To prepare the work of the e-portfolio the teacher had to clearly define the objectives that must be achieved by the students, and has had to plan in an understandable manner the tasks that the students can work independently outside the classroom. For the realization of the e-portfolio have been used different platforms. Each third of the students worked with a different platform, through AteneaLabs that it has provided templates in order that each student make their own e-portfolio, as well as it provide all necessary manuals. The platforms used were: Mahara, Exabis, WordPress and Google Sites. Formative assessment of the e-portfolio has been made from different rubrics defined in in the course syllabus and known by students since the beginning of the course.

Performance of Patenting Firms

DEFF Research Database (Denmark)

Madsen, Erik Strøjer; Smith, Valdemar; Nielsen, Anders Østergaard

2000-01-01

Most countries focus on industries with high technology and the governments grant subsidies to innovating firms. However, there has been remarkable few studies of the performance of innovative firms or industries. This study examines the performance of patent active firms compared to the non-patenting...... firms within the manufacturing sector in Denmark. Performance is measured both by growth in employment as well as in the return on equity and profit share in turnover. The results suggest that differences in performance of patenting and non-patenting firms are very small, which questions the political...

The returns and risks of investment portfolio in a financial market

Science.gov (United States)

Li, Jiang-Cheng; Mei, Dong-Cheng

2014-07-01

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

[Portfolio in nursing school: myth or reality].

Science.gov (United States)

Garnier, Chantal; Marchand, Claire

2012-09-01

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

An Artificial Bee Colony Algorithm for Uncertain Portfolio Selection

OpenAIRE

Chen, Wei

2014-01-01

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

A portfolio evaluation framework for air transportation improvement projects

Science.gov (United States)

Baik, Hyeoncheol

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

Transparency in the ePortfolio Creation Process

Science.gov (United States)

Jones, Stephanie A.; Downs, Elizabeth; Jenkins, Stephen J.

2015-01-01

This paper presents the findings of a study examining the effect of transparency on the ePortfolio creation process. The purpose of the study was to examine whether increased awareness of other students' ePortfolios through the implementation of transparency and peer review would positively affect the quality of performance of school library media…

Using ePortfolios to Encourage Responsible Feedback

Science.gov (United States)

Morales, Lucia; Soler-Dominguez, Amparo

2015-01-01

This article aims to look at the value that ePortfolios can add to business studies, specifically in the financial field. In order to answer the question, "Do ePortfolios contribute to the development and enhancement of responsible feedback in the classroom?", the study analyzed the work done by postgraduate students pursuing a Master's…

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)

Multiperiod Mean-Variance Portfolio Optimization via Market Cloning

International Nuclear Information System (INIS)

Ankirchner, Stefan; Dermoune, Azzouz

2011-01-01

The problem of finding the mean variance optimal portfolio in a multiperiod model can not be solved directly by means of dynamic programming. In order to find a solution we therefore first introduce independent market clones having the same distributional properties as the original market, and we replace the portfolio mean and variance by their empirical counterparts. We then use dynamic programming to derive portfolios maximizing a weighted sum of the empirical mean and variance. By letting the number of market clones converge to infinity we are able to solve the original mean variance problem.

Multiperiod Mean-Variance Portfolio Optimization via Market Cloning

Energy Technology Data Exchange (ETDEWEB)

Ankirchner, Stefan, E-mail: ankirchner@hcm.uni-bonn.de [Rheinische Friedrich-Wilhelms-Universitaet Bonn, Institut fuer Angewandte Mathematik, Hausdorff Center for Mathematics (Germany); Dermoune, Azzouz, E-mail: Azzouz.Dermoune@math.univ-lille1.fr [Universite des Sciences et Technologies de Lille, Laboratoire Paul Painleve UMR CNRS 8524 (France)

2011-08-15

The problem of finding the mean variance optimal portfolio in a multiperiod model can not be solved directly by means of dynamic programming. In order to find a solution we therefore first introduce independent market clones having the same distributional properties as the original market, and we replace the portfolio mean and variance by their empirical counterparts. We then use dynamic programming to derive portfolios maximizing a weighted sum of the empirical mean and variance. By letting the number of market clones converge to infinity we are able to solve the original mean variance problem.

When Intra-Firm and Inter-Firm Collaborations Co-Occur

DEFF Research Database (Denmark)

Schleimer, Stephanie Christine; Sculman, Arthur D.

2011-01-01

There is evidence that intra-firm collaboration and inter-firm collaboration are important for new service development (NSD) and new product development (NPD) success. However, evidence of the contributions of each to innovative outcomes is inconsistent. This inconsistency is associated with the ...

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)

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....

Subjective Life Horizon and Portfolio Choice

OpenAIRE

Spaenjers , Christophe; Spira, Sven Michael

2013-01-01

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

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.

Alternative Investments: Valuation of Wine as a Means for Portfolio Diversification

Directory of Open Access Journals (Sweden)

Daiva Jurevičienė

2015-03-01

Full Text Available This article analyses wine as an alternative investment tool and its relevance for investment portfolio diversification. Advantages and disadvantages of alternatives, benefits and weakness and peculiarities of investing in wine are systemised. In addition, the article looks at statistical data analysis of fine wine market and compares wine with other investment tools. The examination is based on three investment instruments: US equities (using S&P 500 index, bonds (using US 20-Year treasury constant maturity rate/DGS20 and wine (based on Fine Wine Investable index using 1993–2012 (end of year data. The investment portfolios made with two and three above-mentioned investment tools basing on H. Markowitz’s investment portfolio theory and effective curves are presented. It was found that return on investments only from equities and bonds or wine and one of these traditional instruments are signally less than from the investment mix of all three tools. Furthermore, portfolios made only from equities and bonds provide the lowest return compared to others. Choosing from two investments portfolios, results of bond/wine portfolios propose higher return with the same risk level compared to equities/wine portfolio. Consequently, despite some slowdown of wine index during financial crises, wine relevance for portfolio diversification in post crises period was proved.

Choosing an Optimal e-Portfolio System for the Institution

OpenAIRE

YAMAMOTO, Toshiyuki

2010-01-01

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

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...

[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.

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…

ARE SMALL-FIRM CLUSTERS EMERGENT PHENOMENA? EVIDENCE FROM ZIMBABWE’S SMALL FURNITURE- MANUFACTURING FIRMS

Directory of Open Access Journals (Sweden)

Godfrey MUPONDA

2014-07-01

Full Text Available The purpose of this study was to explore the reasons behind the rapid growth and apparent dynamism of Zimbabwe’s small-firm industrial clusters. The hypothesis behind the study was that these small-firm clusters are emergent phenomena. The study analysed the capital utilisation techniques of small firms located in a large industrial cluster in order to determine the factors that lead to the collective efficiency of such firms. The study found that, in comparison with large, stock exchange-listed firms, the cluster environment enables the small firm to operate from a relatively small capital base and also to use its capital more efficiently in creating revenues and profits. The individual firm does not have to invest its capital in a large assets base as this is done by a specialised group of firms within the cluster. Thus, the cluster has the characteristics of an emergent phenomenon.

Aircraft technology portfolio optimization using ant colony optimization

Science.gov (United States)

Villeneuve, Frederic J.; Mavris, Dimitri N.

2012-11-01

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

A Firm-Specific Analysis of the Exchange-Rate Exposure of Dutch Firms

NARCIS (Netherlands)

A. de Jong (Abe); J. Ligterink; V. Macrae

2002-01-01

textabstractWe examine the relationship between exchange-rate changes and stock returns for a sample of Dutch firms over 1994-1998. We find that over 50% of the firms are significantly exposed to exchange-rate risk. Furthermore, all firms with significant exchange-rate exposure benefit from a

Nuclear weapons industry

International Nuclear Information System (INIS)

Bertsch, K.A.; Shaw, L.S.

1984-01-01

This unique study was written specifically as a reference source for institutional investors concerned about the threat posed to their stock portfolios by the debate over nuclear arms production. The authors focus their analysis on the 26 leading companies in the field. The perspective is neutral and refreshing. Background information on strategic policy, arms control and disarmament, and the influence of the industry on defense policy and the economy is presented rationally. The study also discusses the economic significance of both the conversion from military to civilian production and nuclear freeze initiatives. An appendix contains a fact-filled guide to nuclear weapon systems

Portfolios and the market geometry

Science.gov (United States)

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

2014-09-01

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

A long-term analysis of pumped hydro storage to firm wind power

International Nuclear Information System (INIS)

Foley, A.M.; Leahy, P.G.; Li, K.; McKeogh, E.J.; Morrison, A.P.

2015-01-01

Highlights: • This is a long term generation analysis of a high wind power system. • A high CO 2 and fossil fuel price is closest to Ireland’s EU ETS 2020 target. • New pumped storage to firm wind is limited unless strong market costs exist. • Reserve for wind power show that ancillary services are relevant for balancing. - Abstract: Although pumped hydro storage is seen as a strategic key asset by grid operators, financing it is complicated in new liberalised markets. It could be argued that the optimum generation portfolio is now determined by the economic viability of generators based on a short to medium term return on investment. This has meant that capital intensive projects such as pumped hydro storage are less attractive for wholesale electricity companies because the payback periods are too long. In tandem a significant amount of wind power has entered the generation mix, which has resulted in operating and planning integration issues due to wind’s inherent uncertain, varying spatial and temporal nature. These integration issues can be overcome using fast acting gas peaking plant or energy storage. Most analysis of wind power integration using storage to date has used stochastic optimisation for power system balancing or arbitrage modelling to examine techno-economic viability. In this research a deterministic dynamic programming long term generation expansion model is employed to optimise the generation mix, total system costs and total carbon dioxide emissions, and unlike other studies calculates reserve to firm wind power. The key finding of this study is that the incentive to build capital-intensive pumped hydro storage to firm wind power is limited unless exogenous market costs come very strongly into play. Furthermore it was demonstrated that reserve increases with increasing wind power showing the importance of ancillary services in future power systems

The renewable and nuclear energies in the basquet of energy supply

International Nuclear Information System (INIS)

Martinez Corcoles, F.

2008-01-01

The share of nuclear and renewable sources in the energy portfolio yields great benefits to all stake holders and that both sources are not exclusive each other but offer multiple complementary features and synergy's, therefore both technologies should be part of the present and future energy mix. This portfolio should be enough and reliable all the time, guarantee the security of supply, protect the environment and give competitive prices. All these features are to a great extent met by nuclear and renewable technologies and therefore they should play an important role on world and national energy supply. (Author)

Using Facebook-Based e-Portfolio in ESL Writing Classrooms: Impact and Challenges

Science.gov (United States)

Barrot, Jessie S.

2016-01-01

In English as a second language (ESL) writing pedagogy, much attention has been given to electronic portfolio (e-portfolio) assessment via social networking sites. However, little is known about how Facebook can be used as an e-portfolio platform. Hence, this paper describes the impact of Facebook-based e-portfolio on ESL students' writing…

Essays on Family Firms

OpenAIRE

Zhou, Haoyong

2012-01-01

The dissertation examines corporate performance and capital structure of family firms, contributing to the limited empirical research on family firms. Family firms are prevalent in national economies all over the world. It is the prevalence that makes family firms receive increasing attentions from academia. The dissertation consists of an introduction and three chapters. Each chapter is an independent paper. The first chapter is a joint work with Professor Morten Bennedsen and...

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.

Fifteen years of portfolio assessment of dental hygiene student competency: lessons learned.

Science.gov (United States)

Gadbury-Amyot, Cynthia C; Bray, Kimberly Krust; Austin, Kylie J

2014-10-01

Adoption of portfolio assessment in the educational environment is gaining attention as a means to incorporate self-assessment into the curriculum and to use evidence to support learning outcomes and to demonstrate competency. Portfolios provide a medium for students to demonstrate and document their personal and professional growth across the curriculum. The purpose of this literature review is to discuss the drivers for portfolio education, the benefits to both students and program faculty/administrators, the barriers associated with portfolio use, and suggested solutions that have been determined through several years of "lessons learned." The University of Missouri Kansas City School of Dentistry, Division of Dental Hygiene department has been utilizing portfolio assessment for over 15 years and has collected data related to portfolio performance since 2001. Results from correlational statistics calculated on the 312 dental hygiene students that graduated from 2001 to 2013 demonstrate a positive and significant relationship between portfolio performance and overall GPA as well as portfolio performance and NBDHE scores. Copyright © 2014 The American Dental Hygienists’ Association.

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

Capital Asset Pricing Model Testing at Warsaw Stock Exchange: Are Family Businesses the Remedy for Economic Recessions?

Directory of Open Access Journals (Sweden)

Jacek Lipiec

2014-07-01

Full Text Available In this article, we test the capital asset pricing model (CAPM on the Warsaw Stock Exchange (WSE by measuring the performance of two portfolios composed of construction firms: family-controlled and nonfamily controlled. These portfolios were selected from the WIG-Construction (WIG—Warszawski Indeks Giełdowy—Warsaw Stock Exchange Index. The performance of both portfolios was measured in the period from 2006 to 2012 with respect to three sub-periods: (1 pre-crisis period: 2006–2007; (2 crisis period: 2008–2009; and (3 post-crisis period: 2010–2012. This division was constructed in this way to find out how family firms performed in crisis times in relation to nonfamily firms. In addition, the construction portfolio was chosen due to its sensitivity to recessions. When an economy faces a downturn, construction firms are among the first to be exposed to risk. The performance was measured by using the capital asset pricing model with statistical inference. We find that public family firms significantly outperformed non-family peers in the crisis times.

Global Sourcing and Firm Selection

DEFF Research Database (Denmark)

Kohler, Wilhelm; Smolka, Marcel

2014-01-01

We analyze the sourcing strategies of firms active in the Spanish manufacturing sector. We show that firms that select strategies of vertical integration and of foreign sourcing ex post tend to have been more productive, ex ante, than other firms.......We analyze the sourcing strategies of firms active in the Spanish manufacturing sector. We show that firms that select strategies of vertical integration and of foreign sourcing ex post tend to have been more productive, ex ante, than other firms....

Whom do new firms hire?

DEFF Research Database (Denmark)

Dahl, Michael S.; Klepper, Steven

2015-01-01

Using the matched employer-employee data set for Denmark and information on the founders of new firms, we analyze the hiring choices of all new firms that entered from 2003 to 2010. We develop a theoretical model in which the quality of a firm’s employees determines its average cost, a firm......, and firm size influence the wages firms pay to their early hires. We find that beginning with the time of entry, larger firms consistently pay higher wages to their new hires. These are firms with greater survival prospects at the time of entry based on the pre-entry backgrounds of their founders...

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

Directory of Open Access Journals (Sweden)

Fathi Abid

2014-05-01

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

Twelve tips for creating an academic teaching portfolio.

Science.gov (United States)

Little-Wienert, Kim; Mazziotti, Mark

2018-01-01

An academic teaching portfolio is not only a requirement at many academic teaching institutions, but it is also important in a medical educator's growth and development through documentation, reflection, evaluation, and change. Creating an academic portfolio may appear daunting at first but with careful advanced preparation, organized evidence collection of your educational work, proof of scholarship, and thorough documentation of self-reflection and change, you can produce a successful product that accurately represents your educational beliefs, accomplishments, and growth throughout your career. This article provides medical educators with twelve steps for creating a successful academic teaching portfolio.

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...

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.

Extended Information Ratio for Portfolio Optimization Using Simulated Annealing with Constrained Neighborhood

Science.gov (United States)

Orito, Yukiko; Yamamoto, Hisashi; Tsujimura, Yasuhiro; Kambayashi, Yasushi

The portfolio optimizations are to determine the proportion-weighted combination in the portfolio in order to achieve investment targets. This optimization is one of the multi-dimensional combinatorial optimizations and it is difficult for the portfolio constructed in the past period to keep its performance in the future period. In order to keep the good performances of portfolios, we propose the extended information ratio as an objective function, using the information ratio, beta, prime beta, or correlation coefficient in this paper. We apply the simulated annealing (SA) to optimize the portfolio employing the proposed ratio. For the SA, we make the neighbor by the operation that changes the structure of the weights in the portfolio. In the numerical experiments, we show that our portfolios keep the good performances when the market trend of the future period becomes different from that of the past period.

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

Science.gov (United States)

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

2014-06-01

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

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.

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.

Do Private Firms Outperform SOE Firms after Going Public in China Given their Different Governance Characteristics?

Directory of Open Access Journals (Sweden)

Shenghui Tong

2013-06-01

Full Text Available This study examines the characteristics of board structure that affect Chinese public firm’s financial performance. Using a sample of 871 firms with 699 observations of previously private firms and 1,914 observations of previously state-owned enterprise (SOE firms, we investigate the differences in corporate governance between publicly listed firms that used to be pure private firms before going public and listed firms that used to be SOEs before their initial public offerings (IPOs. Our main finding is that previously private firms outperform previously SOE firms in China after IPOs. In the wake of becoming listed firms, previously SOE firms might be faced with difficulties adjusting to professional business practices to build and extend competitive advantages. In addition, favorable policies and assistance from the government to the SOE firms might have triggered complacency, especially in early years after getting listed. On the other hand, professional savvy and acumen, combined with efficiency and favorable business climate created by the government have probably led the previously private firms to improve their values stronger and faster.

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.

Portfolio i et lærings- og uddannelsesperspektiv

DEFF Research Database (Denmark)

adjunktpædagogikum og underviserkvalificeringsforløb ved andre uddannelser. Af Lone Krogh Indførelse af portfolio som pædagogisk redskab og som struktur for dokumentation af kompetence i kandidatuddannelse - potentialer og udfordringer. Af Annette Lorentsen og Birthe Lund. Et organisatorisk perspektiv på portfolio...

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

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

Firm-specific factors and financial performance of firms in the Czech Republic

Directory of Open Access Journals (Sweden)

Pathirawasam Chandrapala

2013-01-01

Full Text Available The objective of this study is to investigate the role of internal factors in generating financial performance of firms in the Czech Republic. The paper examines the impact of firm specific factors on company financial performance of 974 firms in the Czech Republic over the period 2005 to 2008, using data in the Albertina database. Pooled and panel cross-sectional time series techniques are used for the data analysis. Return on Assets (ROA is the dependent variable of the model and eight firm specific factors are introduced as the explanatory variables. Using Return on Assets as the dependent variable, it is established that the firm size, sales growth and capital turnover are having significant positive impact on financial performance of firms. At the same time, debt ratio and inventory reflect significant negative impact on financial performance of firms. Overall explanatory powers of the two models are low and further research is necessary to increase the statistical power of the model. The results from the present study may be very encouraging and useful for managers as well as investors to plan investment and operational activities to achieve profitability objectives more efficiently and effectively. The findings have important managerial implications.

Random Matrix Theory Approach to Indonesia Energy Portfolio Analysis

Science.gov (United States)

Mahardhika, Alifian; Purqon, Acep

2017-07-01

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

Mean-Coherent Risk and Mean-Variance Approaches in Portfolio Selection : An Empirical Comparison

NARCIS (Netherlands)

Polbennikov, S.Y.; Melenberg, B.

2005-01-01

We empirically analyze the implementation of coherent risk measures in portfolio selection.First, we compare optimal portfolios obtained through mean-coherent risk optimization with corresponding mean-variance portfolios.We find that, even for a typical portfolio of equities, the outcomes can be

Optimal annuity portfolio under inflation risk

DEFF Research Database (Denmark)

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

2015-01-01

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

Household Portfolios and Risk Bearing over Age and Time

OpenAIRE

Alessandro Bucciol; Raffaele Miniaci

2011-01-01

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

The Relationship between Offshoring Strategies and Firm Performance: Impact of innovation, absorptive capacity and firm size

NARCIS (Netherlands)

M.W. Roza-van Vuren (Marja)

2011-01-01

textabstractHow do offshoring strategies impact firm performance? And how are innovation, absorptive capacity and firm size influencing this relationship? This research investigates how firms of varying size, well-established firms and growing firms may profit from relocating business activities to

Annual Report: EPAct Complementary Program's Ultra-Deepwater R&D Portfolio and Unconventional Resources R&D Portfolio (30 September 2012)

Energy Technology Data Exchange (ETDEWEB)

none,; Rose, Kelly [NETL; Hakala, Alexandra [NETL; Guthrie, George [NETL

2012-09-30

This report summarizes FY13 research activities performed by the National Energy Technology Laboratory (NETL), Office of Research and Development (ORD), along with its partners in the Regional University Alliance (RUA) to fulfill research needs under the Energy Policy Act of 2005 (EPAct) Section 999's Complementary Program. Title IX, Subtitle J, Section 999A(d) of EPAct 2005 authorizes $50 million per year of federal oil and gas royalties, rents and bonus payments for an oil and natural gas research and development effort, the Ultra-Deepwater and Unconventional Natural Gas and Other Petroleum Resources Research Program. Section 999 further prescribes four program elements for the effort, one of which is the Complementary Research Program that is to be performed by NETL. This document lays out the plan for the research portfolio for the Complementary Research Program, with an emphasis on the 2013 funding. The Complementary Program consists of two research portfolios focused on domestic resources: (1) the Deepwater and Ultra-Deepwater Portfolio (UDW) (focused on hydrocarbons in reservoirs in extreme environments) and (2) the Unconventional Resources Portfolio (UCR) (focused on hydrocarbons in shale reservoirs). These two portfolios address the science base that enables these domestic resources to be produced responsibly, informing both regulators and operators. NETL is relying on a core Department of Energy-National Energy Technology Laboratory (DOE-NETL) competency in engineered-natural systems to develop this science base, allowing leveraging of decades of investment. NETL's Complementary Research Program research portfolios support the development of unbiased research and information for policymakers and the public, performing rapid predictions of possible outcomes associated with unexpected events, and carrying out quantitative assessments for energy policy stakeholders that accurately integrate the risks of safety and environmental impacts. The

Using the Teaching Portfolio to Anticipate Programmatic Assessment

Science.gov (United States)

Price, Kenneth R.

2013-01-01

Portfolios have long been a staple in professional writing courses: both in employment materials assignments and in entire classes that ask students to reflect on their experiential learning. Portfolios may also be used effectively in business communication teaching methods courses. This article details the justification and methodology for having…

Digital Portfolios: Powerful Marketing Tool for Communications Students

Science.gov (United States)

Nikirk, Martin

2008-01-01

A digital portfolio is a powerful marketing tool for young people searching for employment in the communication or interactive media fields. With a digital portfolio, students can demonstrate their skills at working with software tools, demonstrate appropriate use of materials, explain technical procedures, show an understanding of processes and…

A Bicriteria Approach Identifying Nondominated Portfolios

Directory of Open Access Journals (Sweden)

Javier Pereira

2014-01-01

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

An artificial bee colony algorithm for uncertain portfolio selection.

Science.gov (United States)

Chen, Wei

2014-01-01

Portfolio selection is an important issue for researchers and practitioners. In this paper, under the assumption that security returns are given by experts' evaluations rather than historical data, we discuss the portfolio adjusting problem which takes transaction costs and diversification degree of portfolio into consideration. Uncertain variables are employed to describe the security returns. In the proposed mean-variance-entropy model, the uncertain mean value of the return is used to measure investment return, the uncertain variance of the return is used to measure investment risk, and the entropy is used to measure diversification degree of portfolio. In order to solve the proposed model, a modified artificial bee colony (ABC) algorithm is designed. Finally, a numerical example is given to illustrate the modelling idea and the effectiveness of the proposed algorithm.

Use of Portfolios by Medical Students: Significance of Critical Thinking

Directory of Open Access Journals (Sweden)

Samy A. Azer

2008-07-01

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

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.

Portfolio of patents after the Brazilian Innovation Act: the case of the Comissao Nacional de Energia Nuclear - CNEN (Brazilian National Nuclear Energy Commission)

International Nuclear Information System (INIS)

Pereira, Gustavo Jose; Guimaraes, Regia Ruth Ramirez; Perry, Katia da Silva Peixoto; Teruya, Dirceu Yoshikazu

2013-01-01

The process of technological development is due to the need to promote a solution to a particular problem of agents, compete with products and/or processes on the international market and to promote scientific advancement. Thus, the patent system is a repository of knowledge for protection, for promotion of diffusion through licensing agreements and an indicator of technological development. In 2004, the Brazilian Government enacted the Brazilian Innovation Act and the mechanisms were improved for cooperation between firms and public education, science and technology organisations and also promoted the commercialisation of technology produced by public education, science and technology organisations and the mandatory establishment of Technology Transfer Offices. The Comissao Nacional de Energia Nuclear (CNEN) is a federal agency responsible for basic and applied research in the field of nuclear technology and has used the patent system since the 1980s to protect its knowledge. With the advent of the Innovation Act in 2004, there was a significant boost in requests for patents in CNEN which also established an internal set of normative acts and created a System of Innovation Management and Technology Innovation Offices in its research institutes to support management and dissemination of knowledge. The aim of this case study is to present the profile of the requests for patents by CNEN before and after the enactment of the Brazilian Innovation Act covering the period of time between 1980 and 2010. (author)

Firm-Specific Learning and the Nature of the Firm

DEFF Research Database (Denmark)

Knudsen, Thorbjørn

2007-01-01

that a conjoint research program, encompassing both transaction costs and capabilities, must be developed and tested empirically. Cet article discute les limites d'une explication de l'existence de la firme fondée exclusivement sur les coûts de transaction en indiquant quelques facteurs additionnels susceptibles...... d'intervenir. Un modèle heuristique simple montre que les effets d'apprentissage spécifiques à la firme peuvent surmonter les coûts de surveillance des employés et expliquer l'existence de la firme même en l'absence de coûts de transaction liés au mode d'organisation de marché. Une comparaison de l......'importance relative des explications fondées sur les coûts de transaction et celles fondées sur les compétences en ce qui concerne l'existence de la firme montre qu'il n'y a aucune raison a priori de supposer la suprématie d'un type d'explication à l'autre. Nous soutenons qu'un programme de recherche conjoint...

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...

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.

Statistically Efficient Construction of α-Risk-Minimizing Portfolio

Directory of Open Access Journals (Sweden)

Hiroyuki Taniai

2012-01-01

Full Text Available We propose a semiparametrically efficient estimator for α-risk-minimizing portfolio weights. Based on the work of Bassett et al. (2004, an α-risk-minimizing portfolio optimization is formulated as a linear quantile regression problem. The quantile regression method uses a pseudolikelihood based on an asymmetric Laplace reference density, and asymptotic properties such as consistency and asymptotic normality are obtained. We apply the results of Hallin et al. (2008 to the problem of constructing α-risk-minimizing portfolios using residual signs and ranks and a general reference density. Monte Carlo simulations assess the performance of the proposed method. Empirical applications are also investigated.

Mean-Gini Portfolio Analysis: A Pedagogic Illustration

Directory of Open Access Journals (Sweden)

C. Sherman Cheung

2007-05-01

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

Stakeholder Governance, Competition and Firm Value

OpenAIRE

Allen, Franklin; Carletti, Elena; Marquez, Robert

2014-01-01

In many countries, the legal system or social norms ensure that firms are stakeholder oriented. We analyze the advantages and disadvantages of stakeholder-oriented firms that are concerned with employees and suppliers compared to shareholder-oriented firms in a model of imperfect competition. Stakeholder firms are more (less) valuable than shareholder firms when marginal cost uncertainty is greater (less) than demand uncertainty. With globalization shareholder firms and stakeholder firms ofte...

Portfolio optimization using fuzzy linear programming

Science.gov (United States)

Pandit, Purnima K.

2013-09-01

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

French nuclear organization

International Nuclear Information System (INIS)

Naudet, G.

1993-01-01

The French nuclear organization is characterized by two main features: the small number of firms involved and the role of the Government. In this text we give the French organization for nuclear industry and the role of Government and public authorities. 7 figs

Firm Exit, Technological Progress and Trade

DEFF Research Database (Denmark)

Schröder, Philipp; Sørensen, Allan

The dynamics of export market exit and firm closure have found limited attention in the new heterogeneous-firms trade literature. In fact, several of the predictions on firm survival and exit stemming from this new class of models are at odds with the stylized facts. Empirically, higher productiv......The dynamics of export market exit and firm closure have found limited attention in the new heterogeneous-firms trade literature. In fact, several of the predictions on firm survival and exit stemming from this new class of models are at odds with the stylized facts. Empirically, higher...... productivity firms survive longer, most firm closures are young firms, higher productivity exporters are more likely to continue to export compared to less productive exporters and market exits as well as firm closures are typically preceded by periods of contracting market shares. The present paper shows...... liberalization on export market exit and firm closure....

Corporate Governance Provisions, Family Involvement, and Firm Performance in Publicly Traded Family Firms

Directory of Open Access Journals (Sweden)

Esra Memili

2015-07-01

Full Text Available This study examines the moderation effects of corporate governance provisions on the link between family involvement (i.e., family ownership and family management in publicly-traded firms and firm performance by drawing upon agency theory, with a focus on principal-principal agency issues, and the extant family governance literature. We develop and test the hypotheses on 386 of the S&P 500 firms longitudinally. Findings support the hypotheses suggesting the moderation effects of the use of provisions (a protecting controlling owners in terms of their sustainability of controlling status, and (b protecting management legally on the inverted U-shaped relationship between family ownership and firm performance. We also found support for the moderation effects of provisions (c protecting controlling owners in terms of their voting rights, (d protecting noncontrolling owners, and (e protecting management monetarily on the inverted U-shaped relationship between family management and firm performance. By this, our study provides empirical support for the principal-principal agency perspective on the corporate governance in publicly-traded family firms. As such, it suggests new avenues of research for both the corporate governance literature, as well as for the theory of the family firm. Our study also offers insights to policy directed toward monitoring the actions of large shareholders such as family and enhancing the overall shareholder value in publicly-traded family firms.

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...

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.

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.

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.

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.

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.

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

Science.gov (United States)

George, Edmund D; Farid, Suzanne S

2008-01-01

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

Digital portfolio som metode og pædagogik

DEFF Research Database (Denmark)

Toft, Hanne; Luplau Schnefeld, Mette

2004-01-01

Artiklen præsenterer erfaringer med digital portfolio som didaktik og metode. Fokus er på kobling mellem didaktiske læreprocesser på en grunduddannelse og så understøttelse af disse via brug af en digital portfolio. Portfolioen adskiller en række forskellige dokumentsamlinger i privat og offentlig...

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.

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....

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,...

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.

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

Science.gov (United States)

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

2014-12-17

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

Firming Up Inequality

OpenAIRE

Jae Song; David J. Price; Fatih Guvenen; Nicholas Bloom; Till von Wachter

2015-01-01

Earnings inequality in the United States has increased rapidly over the last three decades, but little is known about the role of firms in this trend. For example, how much of the rise in earnings inequality can be attributed to rising dispersion between firms in the average wages they pay, and how much is due to rising wage dispersion among workers within firms? Similarly, how did rising inequality affect the wage earnings of different types of workers working for the same employer—men vs. w...

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.

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)

The feasibility and acceptability of using a portfolio to assess professional competence.

Science.gov (United States)

Miller, Patricia A; Tuekam, Rosine

2011-01-01

Little is known about physical therapists' views on the use of portfolios to evaluate professional competence. The purpose of this study was to gather the opinions of physical therapists on the feasibility and acceptability of a portfolio prepared to demonstrate evidence of clinical specialization through reported activities and accomplishments related to professional development, leadership, and research. Twenty-nine Canadian physical therapists practising in the neurosciences area were given 8 weeks to prepare a professional portfolio. Participants submitted the portfolio along with a survey addressing the preparation of the portfolio and its role as an assessment tool. Qualitative content analysis was used to interpret the participants' comments. Participants reported that maintaining organized records facilitated the preparation of their portfolio. They experienced pride when reviewing their completed portfolios, which summarized their professional activities and highlighted their achievements. Concerns were noted about the veracity of self-reported records and the ability of the documentation to provide a comprehensive view of the full scope of the professional competencies required for clinical specialization (e.g., clinical skills). The study's findings support the feasibility and acceptability of a portfolio review to assess professional competence and clinical specialization in physical therapy and have implications for both physical therapists and professional agencies.

The Use of Academic Portfolio in the Learning and Assessment of Physics Students

Directory of Open Access Journals (Sweden)

Meng Kay Ling

2016-05-01

Full Text Available The purpose of this research paper is to examine the use of portfolios in the teaching and learning of physics at a Singapore private college. The paper starts with a short introduction of the types of students and the purpose of using academic portfolios in their learning and assessment. Some ideas of how portfolios can be used in the local context will also be discussed. It is necessary for teachers to know how to incorporate portfolio assessment in their daily lesson plans. At the same time, students who are studying physics at the college should also know how to use portfolios to their academic advantage. The paper also highlights three of the relevant work artifacts that can be included into the physics portfolios. The three work samples are concept-maps, internet research reports and newspaper articles reports. Concept-maps are useful tools to help students establish the connections between concepts. Internet research reports serve as important means for students to know more about how some scientific devices or technology use physics in the operations. Newspaper articles reports allow students to understand the real impact of physics on the lives of people. Subsequent sections of the paper discuss about the organizational flow of the portfolio, the timeline, the selection process, the portfolio checklist and assessment rubrics, the positive influences of using portfolios, the issues to consider and also the potential problems that physics teachers may face in implementing portfolios. These sections present the important framework which teachers can use as references for their portfolio initiatives in schools.

A firm-specific exposure analyis of the exchange-rate exposure of Dutch firms

NARCIS (Netherlands)

de Jong, A.; Ligterink, J.; Macrae, V.

2006-01-01

We examine the relationship between exchange-rate changes and stock returns for a sample of Dutch firms over 1994-1998. We find that over 50 per cent of the firms are significantly exposed to exchange-rate risk. Furthermore, all firms with significant exchange-rate exposure benefit from a

COEXISTENCE OF PRIVATE FIRMS AND OPEN SOURCE FIRMS UNDER SPILLOVERS AND CONSUMER BIAS

Directory of Open Access Journals (Sweden)

Murat YILMAZ

2017-12-01

Full Text Available Open source technologies have been an important divergence from the private produc- tion, and some markets have accommodated both open source firms and private firms. We explore the conditions under which such a coexistence of both type of firms can be seen. Through a simple and tractable game theoretical model, with spillovers on the open source production and positive consumer bias for the privately produced good, we analyze the conditions for which, in the equilibrium, a private firm and an open source firm share the market. We find that for large enough consumer bias, the two types cannot coexist, however when the consumer bias is relatively low and the spillover effect is not too strong, then we get a coexistence result.

Using portfolios to introduce the clinical nurse leader to the job market.

Science.gov (United States)

Norris, Tommie L; Webb, Sherry S; McKeon, Leslie M; Jacob, Susan R; Herrin-Griffith, Donna

2012-01-01

Development of a portfolio is an effective strategy used by clinical nurse leaders (CNLs) to inform prospective employers of their specialized skills in quality improvement, patient safety, error prevention, and teamwork. The portfolio provides evidence of competence relative to the role of clinician, outcomes manager, client advocate, educator, information manager, systems analyst/risk anticipator, team manager, healthcare professional, and lifelong learner. This article describes the CNL portfolio developed by experts from the University of Tennessee Health Science Center and Methodist LeBonheur Healthcare. Examples of portfolio documents generated throughout the master's entry CNL curriculum are provided, along with student experiences using the portfolio in the employment interview process.

Developing a Template for Electronic Portfolios in Career and Technical Education

Science.gov (United States)

Fowler, Matthew

2012-01-01

The purposes of this multiple case study were to determine if manufacturing and services sector employers found value in the use of an ePortfolio in the hiring process, and to develop a suggested template for an ePortfolio format to be used within career and technical education. Electronic portfolios "allow students to showcase their…

E-Portfolios in Teacher Development: The Better Option?

Science.gov (United States)

Xerri, Daniel; Campbell, Caroline

2016-01-01

Following the introduction of print portfolios for teacher development in the ELT sector in Malta, this article discusses the findings of a small-scale study that highlighted teachers' views in relation to the possible future implementation of e-portfolios. It shows that while aware of the benefits of this tool, teachers have concerns about their…

A Holocaust Exhibit ePortfolio: Actively Engaging Students