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

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.

Strategic innovation portfolio management

Directory of Open Access Journals (Sweden)

Stanković Ljiljana

2015-01-01

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

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...

Strategic Context of Project Portfolio Management

Directory of Open Access Journals (Sweden)

Nedka Nikolova

2016-06-01

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

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.

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.

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.

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

Science.gov (United States)

Fiedler, John L; Lividini, Keith

2014-03-01

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

Portfolio Management Decision Support Tools Analysis Relating to Management Value Metrics

National Research Council Canada - National Science Library

Goodson, Christopher J; Knutson, Richard D

2007-01-01

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

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...

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...

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

Science.gov (United States)

Neitzke, Kurt W.; Hartman, Christopher L.

2012-01-01

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

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

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

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.

Managing sovereign credit risk in bond portfolios

OpenAIRE

Bruder, Benjamin; Hereil, Pierre; Roncalli, Thierry

2011-01-01

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

IT Portfolio Management

DEFF Research Database (Denmark)

Hansen, Lars Kristian; Kræmmergaard, Pernille

2012-01-01

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

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...

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...

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...

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...

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.

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

National Research Council Canada - National Science Library

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

2006-01-01

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

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 ...

Portfolio optimization in enhanced index tracking with goal programming approach

Science.gov (United States)

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

2014-09-01

Enhanced index tracking is a popular form of passive fund management in stock market. Enhanced index tracking aims to generate excess return over the return achieved by the market index without purchasing all of the stocks that make up the index. This can be done by establishing an optimal portfolio to maximize the mean return and minimize the risk. The objective of this paper is to determine the portfolio composition and performance using goal programming approach in enhanced index tracking and comparing it to the market index. Goal programming is a branch of multi-objective optimization which can handle decision problems that involve two different goals in enhanced index tracking, a trade-off between maximizing the mean return and minimizing the risk. The results of this study show that the optimal portfolio with goal programming approach is able to outperform the Malaysia market index which is FTSE Bursa Malaysia Kuala Lumpur Composite Index because of higher mean return and lower risk without purchasing all the stocks in the market index.

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

Science.gov (United States)

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

2014-09-01

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

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.

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.

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…

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.

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

Directory of Open Access Journals (Sweden)

Aline Arruda Milani

2015-04-01

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

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.

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

Science.gov (United States)

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

2012-06-01

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

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.

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.

Portfolio selection theory and wildlife management | Hearne | ORiON

African Journals Online (AJOL)

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

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

DEFF Research Database (Denmark)

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

2016-01-01

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

The standard for program management

CERN Document Server

2017-01-01

The Standard for Program Management – Fourth Edition differs from prior editions by focusing on the principles of good program management. Program activities have been realigned to program lifecycle phases rather than topics, and the first section was expanded to address the key roles of program manager, program sponsor and program management office. It has also been updated to better align with PMI’s Governance of Portfolios, Programs, and Projects: A Practice Guide.

MANAGING THE USE OF DERIVATIVE INSTRUMENTS FOR PORTFOLIO RISK PURPOSES

Directory of Open Access Journals (Sweden)

Mădălina Antoaneta RĂDOI

2017-05-01

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

Portfolio Implementation Risk Management Using Evolutionary Multiobjective Optimization

Directory of Open Access Journals (Sweden)

David Quintana

2017-10-01

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

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."...

Commands for financial data management and portfolio optimization

OpenAIRE

C. Alberto Dorantes

2013-01-01

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

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

Science.gov (United States)

Nunstedt, Håkan; Nilsson, Kerstin; Skärsäter, Ingela

2014-06-01

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

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)

Discourses and Theoretical Assumptions in IT Project Portfolio Management

DEFF Research Database (Denmark)

Hansen, Lars Kristian; Kræmmergaard, Pernille

2014-01-01

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

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.

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...

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.

Information Systems’ Portfolio: Contributions of Enterprise and Process Architecture

Directory of Open Access Journals (Sweden)

Silvia Fernandes

2017-09-01

Full Text Available We are witnessing a need for a quick and intelligent reaction from organizations to the level and speed of change in business processes.New information technologies and systems (IT/IS are challenging business models and products. One of the great shakes comes from the online and/or mobile apps and platforms.These are having a tremendous impact in launching innovative and competitive services through the combination of digital and physical features. This leads to actively rethink enterprise information systems’ portfolio, its management and suitability. One relevant way for enterprises to manage their IT/IS in order to cope with those challenges is enterprise and process architecture. A decision-making culture based on processes helps to understand and define the different elements that shape an organization and how those elements inter-relate inside and outside it. IT/IS portfolio management requires an increasing need of modeling data and process flows for better discerning and acting at its selection and alignment with business goals. The new generation of enterprise architecture (NGEA helps to design intelligent processes that answer quickly and creatively to new and challenging trends. This has to be open, agile and context-aware to allow well-designed services that match users’ expectations. This study includes two real cases/problems to solve quickly in companies and solutions are presented in line with this architectural approach.

IT Portfolio Management

DEFF Research Database (Denmark)

Hansen, Lars Kristian; Kræmmergaard, Pernille

2012-01-01

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

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

Directory of Open Access Journals (Sweden)

Hui-qiang Ma

2014-01-01

Full Text Available 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 efficient frontier analytically. The results show that the mean-variance efficient frontier is still a parabola in the mean-variance plane, and the optimal strategies depend not only on the total wealth but also on the stock price. Moreover, some numerical examples are given to analyze the sensitivity of the efficient frontier with respect to the elasticity parameter and to illustrate the results presented in this paper. The numerical results show that the price of risk decreases as the elasticity coefficient increases.

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.

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

Science.gov (United States)

2016-09-01

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

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

Directory of Open Access Journals (Sweden)

Karoline Doro Alves Carneiro

2012-04-01

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

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.

Teaching empirical finance courses: A project on portfolio management

Directory of Open Access Journals (Sweden)

Bruce Morley

2016-12-01

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

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

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

Science.gov (United States)

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

2010-01-01

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

Managing a "N" Securities Portfolio

Directory of Open Access Journals (Sweden)

Costică Vlad

2016-01-01

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

Portfolio selection problem: a comparison of fuzzy goal programming and linear physical programming

Directory of Open Access Journals (Sweden)

Fusun Kucukbay

2016-04-01

Full Text Available Investors have limited budget and they try to maximize their return with minimum risk. Therefore this study aims to deal with the portfolio selection problem. In the study two criteria are considered which are expected return, and risk. In this respect, linear physical programming (LPP technique is applied on Bist 100 stocks to be able to find out the optimum portfolio. The analysis covers the period April 2009- March 2015. This period is divided into two; April 2009-March 2014 and April 2014 – March 2015. April 2009-March 2014 period is used as data to find an optimal solution. April 2014-March 2015 period is used to test the real performance of portfolios. The performance of the obtained portfolio is compared with that obtained from fuzzy goal programming (FGP. Then the performances of both method, LPP and FGP are compared with BIST 100 in terms of their Sharpe Indexes. The findings reveal that LPP for portfolio selection problem is a good alternative to FGP.

Product Portfolio Management: An Important Business Strategy

Directory of Open Access Journals (Sweden)

Doorasamy Mishelle

2015-06-01

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

METHODS OF PORTFOLIO MANAGEMENT - A REVIEW OF LITERATURE -

OpenAIRE

CRISTINA CURUTIU

2008-01-01

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

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

National Research Council Canada - National Science Library

Edmunds, Bryan D

2005-01-01

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

Portfolio Decision Analysis Framework for Value-Focused Ecosystem Management.

Science.gov (United States)

Convertino, Matteo; Valverde, L James

2013-01-01

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

Portfolio Decision Analysis Framework for Value-Focused Ecosystem Management.

Directory of Open Access Journals (Sweden)

Matteo Convertino

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

Portfolio Decision Analysis Framework for Value-Focused Ecosystem Management

Science.gov (United States)

Convertino, Matteo; Valverde, L. James

2013-01-01

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

Adaptation portfolios in water management

NARCIS (Netherlands)

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

2015-01-01

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

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....

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

OpenAIRE

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

2014-01-01

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

Assessing the Value of Information for Identifying Optimal Floodplain Management Portfolios

Science.gov (United States)

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

2014-12-01

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

Managing Uncertainty and Conflict in IT Project Portfolio Management

DEFF Research Database (Denmark)

Pedersen, Keld; Agger Nielsen, Jeppe

2011-01-01

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

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

Directory of Open Access Journals (Sweden)

Cláudia Olímpia Neves Mamede Maestri

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

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.

Improving Project Portfolio Management (PPM) for Improvement Projects

DEFF Research Database (Denmark)

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

2017-01-01

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

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

OpenAIRE

Ribeiro, Alexandra João Santana

2011-01-01

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

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.

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…

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.

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

OpenAIRE

Liu, Daobai

2006-01-01

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

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

DEFF Research Database (Denmark)

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

2004-01-01

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

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

Science.gov (United States)

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

2008-01-01

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

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

Portfolios with fuzzy returns: Selection strategies based on semi-infinite programming

Science.gov (United States)

Vercher, Enriqueta

2008-08-01

This paper provides new models for portfolio selection in which the returns on securities are considered fuzzy numbers rather than random variables. The investor's problem is to find the portfolio that minimizes the risk of achieving a return that is not less than the return of a riskless asset. The corresponding optimal portfolio is derived using semi-infinite programming in a soft framework. The return on each asset and their membership functions are described using historical data. The investment risk is approximated by mean intervals which evaluate the downside risk for a given fuzzy portfolio. This approach is illustrated with a numerical example.

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

Portfolio selection theory and wildlife management

Directory of Open Access Journals (Sweden)

JW Hearne

2008-12-01

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

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

Science.gov (United States)

2010-04-01

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

Assessment and Planning Using Portfolio Analysis

Science.gov (United States)

Roberts, Laura B.

2010-01-01

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

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

Science.gov (United States)

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

2003-01-01

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

Mature Basin Development Portfolio Management in a Resource Constrained Environment

International Nuclear Information System (INIS)

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

2002-01-01

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

Electricity Portfolio Management: Optimal Peak / Off-Peak Allocations

OpenAIRE

Huisman, Ronald; Mahieu, Ronald; Schlichter, Felix

2007-01-01

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

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

Directory of Open Access Journals (Sweden)

Konstantinos Kiriakopoulos

2014-10-01

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

USEFULNESS OF BOOTSTRAPPING IN PORTFOLIO MANAGEMENT

Directory of Open Access Journals (Sweden)

Boris Radovanov

2012-12-01

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

A Dynamic Programming Approach to Constrained Portfolios

DEFF Research Database (Denmark)

Kraft, Holger; Steffensen, Mogens

2013-01-01

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

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

Science.gov (United States)

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

2018-01-01

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

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

DEFF Research Database (Denmark)

Hansen, Lars; Kræmmergaard, Pernille

2011-01-01

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

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

OpenAIRE

Cristina Geambaşu; Liviu Geambaşu; Iulia Jianu

2013-01-01

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

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

Science.gov (United States)

Lievens, Ronald

2015-01-01

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

IT Portfolio Management: A Holistic Approach to Outsourcing Decisions

OpenAIRE

Ho, Luke; ATKINS, Anthony

2009-01-01

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

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

Science.gov (United States)

Sachs, Michael

2017-11-01

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

Portfolios of adaptation investments in water management

NARCIS (Netherlands)

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

2015-01-01

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

Equity Portfolio Management Using Option Price Information

DEFF Research Database (Denmark)

Christoffersen, Peter; Pan, Xuhui (Nick)

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

Large Portfolio Risk Management and Optimal Portfolio Allocation with Dynamic Copulas

OpenAIRE

Thorsten Lehnert; Xisong Jin

2011-01-01

Previous research focuses on the importance of modeling the multivariate distribution for optimal portfolio allocation and active risk management. However, available dynamic models are not easily applied for high-dimensional problems due to the curse of dimensionality. In this paper, we extend the framework of the Dynamic Conditional Correlation/Equicorrelation and an extreme value approach into a series of Dynamic Conditional Elliptical Copulas. We investigate risk measures like Value at Ris...

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

Science.gov (United States)

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

2017-08-01

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

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

Science.gov (United States)

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

2017-08-01

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

The development of the portfolio management for the unit investment funds

OpenAIRE

Sergeeva, Irina; Nikiforova, Vera

2012-01-01

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

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

Energy Technology Data Exchange (ETDEWEB)

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

2017-09-01

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

The Scientific Context of Product Portfolio Management at Manufacturing Firms

Directory of Open Access Journals (Sweden)

Alvaro Luiz Neuenfeldt Júnior

2014-12-01

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

LINKING PROJECTS TO BUSINESS STRATEGY THROUGH PROJECT PORTFOLIO MANAGEMENT

Directory of Open Access Journals (Sweden)

A.J. Buys

2012-01-01

Full Text Available

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

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

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

National Research Council Canada - National Science Library

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

2006-01-01

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

Management of Service and R&D Portfolios

DEFF Research Database (Denmark)

Basner, Kai; Frandsen, Thomas; Raja, Jawwad

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

Decentralised Portfolio Management: Analysis of Australian Accumulation Funds

OpenAIRE

Hazel Bateman; Susan Thorp

2005-01-01

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

Navigating financial and supply reliability tradeoffs in regional drought management portfolios

Science.gov (United States)

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

2014-06-01

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

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

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

Science.gov (United States)

McAliney, Peter J.

2009-01-01

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

Using Project Portfolio Management in a Junior Enterprise Technology

Directory of Open Access Journals (Sweden)

RIBEIRO, D. M.

2011-06-01

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

The effect of state renewable portfolio standards on consumer participation in green pricing programs

Science.gov (United States)

Maltese, James L.

In the last several years, two mechanisms for increasing the supply of renewable electricity have become increasingly popular: renewable portfolio standards, a state policy of mandating increased production of green power; and green pricing programs, which allow customers to purchase green power through their utilities. These mechanisms have been effective in increasing the adoption of renewable energy; however, it is unclear whether they interact in a way that is mutually beneficial or counterproductive. It is important to understand the effect of renewable portfolio standards on the voluntary market for green energy, especially as Congress considers a nationwide portfolio standard. The effectiveness of a renewable portfolio standard may be undercut if it leads customers to purchase less green power. This study analyzes the relationship between the passage and implementation of a renewable portfolio standard and two measures of enrollment in utility green pricing programs. Using eight years of data for all fifty states, the study utilizes multiple regression analysis with fixed-effects estimation. The results indicate that the passage of a renewable portfolio standard has a positive and statistically significant effect on green pricing enrollment within the state. At the same time, the rate at which states increase the stringency of the renewable portfolio standard is found to have no effect on enrollment. Although further study is needed to determine if additional factors are responsible for the observed increase in green pricing enrollment, this study provides evidence that such programs do not harm, and may in fact encourage, voluntary purchases of green power.

Realistic Goals and Processes for Future Space Astronomy Portfolio Planning

Science.gov (United States)

Morse, Jon

2015-08-01

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

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

Directory of Open Access Journals (Sweden)

Mohsen Gharakhani

2013-01-01

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

Functions of the learning portfolio in student teachers' learning process

NARCIS (Netherlands)

Mansvelder-Longayroux, D.D.; Beijaard, D.; Verloop, N.; Vermunt, J.D.

2007-01-01

In this study, we aimed to develop a framework that could be used to describe the value of the learning portfolio for the learning process of individual student teachers. Retrospective interviews with 21 student teachers were used, as were their portfolio-evaluation reports on their experiences of

Functions of the learning portfolio in student teachers' learning process

NARCIS (Netherlands)

Mansvelder-Longayroux, Desiree D.; Beijaard, Douwe; Verloop, Nico; Vermunt, Jan D.

In this study, we aimed to develop a framework that could be used to describe the value of the learning portfolio for the learning process of individual student teachers. Retrospective interviews with 21 student teachers were used, as were their portfolio-evaluation reports on their experiences Of

Strategic leadership of portfolio and project management

CERN Document Server

Kloppenborg, Timothy J

2014-01-01

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

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

Science.gov (United States)

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

2016-01-01

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

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.

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

Directory of Open Access Journals (Sweden)

Liu Qiong

2014-01-01

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

An Assessment of Air Force Development Portfolio Management Practices

National Research Council Canada - National Science Library

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

2002-01-01

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

Optimization Stock Portfolio With Mean-Variance and Linear Programming: Case In Indonesia Stock Market

Directory of Open Access Journals (Sweden)

Yen Sun

2010-05-01

Full Text Available It is observed that the number of Indonesia’s domestic investor who involved in the stock exchange is very less compare to its total number of population (only about 0.1%. As a result, Indonesia Stock Exchange (IDX is highly affected by foreign investor that can threat the economy. Domestic investor tends to invest in risk-free asset such as deposit in the bank since they are not familiar yet with the stock market and anxious about the risk (risk-averse type of investor. Therefore, it is important to educate domestic investor to involve in the stock exchange. Investing in portfolio of stock is one of the best choices for risk-averse investor (such as Indonesia domestic investor since it offers lower risk for a given level of return. This paper studies the optimization of Indonesian stock portfolio. The data is the historical return of 10 stocks of LQ 45 for 5 time series (January 2004 – December 2008. It will be focus on selecting stocks into a portfolio, setting 10 of stock portfolios using mean variance method combining with the linear programming (solver. Furthermore, based on Efficient Frontier concept and Sharpe measurement, there will be one stock portfolio picked as an optimum Portfolio (Namely Portfolio G. Then, Performance of portfolio G will be evaluated by using Sharpe, Treynor and Jensen Measurement to show whether the return of Portfolio G exceeds the market return. This paper also illustrates how the stock composition of the Optimum Portfolio (G succeeds to predict the portfolio return in the future (5th January – 3rd April 2009. The result of the study observed that optimization portfolio using Mean-Variance (consistent with Markowitz theory combine with linear programming can be applied into Indonesia stock’s portfolio. All the measurements (Sharpe, Jensen, and Treynor show that the portfolio G is a superior portfolio. It is also been found that the composition (weights stocks of optimum portfolio (G can be used to

A portfolio management system in the strategic management process

Directory of Open Access Journals (Sweden)

Qifan Huang

2017-02-01

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

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.

THE MAIN PROBLEMS OF THE STUDENTS’ ELECTRONIC PORTFOLIO FORMATION IN TERMS OF THE HIGHER EDUCATIONAL PROGRAMS

Directory of Open Access Journals (Sweden)

Yulia V. Dementieva

2016-01-01

Full Text Available The aim of the study is the description of the main problems of formation of the student’s electronic portfolio in the conditions of realization of Federal State Educational Standards of the Higher Education (FSES of HE.Methods.Theoretical analysis of scientific literature concerning the subject under discussion; monitoring of existing practices in modern Russian Universities procedures for the formation and maintenance of students electronic portfolio.Results. The author describes the main problems of the electronic students’ portfolio formation; some ways of solving described problems are offered.Scientific novelty concludes in the formation of key ideas of the electronic students’ portfolio based on the understanding of requirements of Federal State Educational Standards of Higher Education for the results of mastering educational programs. They are the formation of general cultural, general professional and professional competences.Practical significance. The researching results will become the theoretical basis for the systematic organization of the process of creating and maintaining an electronic students’ portfolio during the whole period of their studying at the university; the researching results can become a basis for methodological developments.

The Development of an ePortfolio as a Capstone in a Holistic Health Minor

Science.gov (United States)

Perks, Joan M.; Galantino, Mary Lou

2013-01-01

Use of electronic portfolios (ePortfolios) has been advocated to highlight student accomplishments as well as to document program and course outcomes. This use of ePortfolios incorporates information technology, thus aligning the educational process in degree programs to twenty-first-century teaching, learning, and information literacy. Here we…

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

Science.gov (United States)

Landmesser, John Andrew

2014-01-01

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

A mentor-based portfolio program to evaluate pharmacy students' self-assessment skills.

Science.gov (United States)

Kalata, Lindsay R; Abate, Marie A

2013-05-13

Objective. To evaluate pharmacy students' self-assessment skills with an electronic portfolio program using mentor evaluators. Design. First-year (P1) and second-year (P2) pharmacy students used online portfolios that required self-assessments of specific graded class assignments. Using a rubric, faculty and alumni mentors evaluated students' self-assessments and provided feedback. Assessment. Eighty-four P1 students, 74 P2 students, and 59 mentors participated in the portfolio program during 2010-2011. Both student groups performed well overall, with only a small number of resubmissions required. P1 students showed significant improvements across semesters for 2 of the self-assessment questions; P2 students' scores did not differ significantly. The P1 scores were significantly higher than P2 scores for 3 questions during spring 2011. Mentors and students had similar levels of agreement with the extent to which students put forth their best effort on the self-assessments. Conclusion. An electronic portfolio using mentors based inside and outside the school provided students with many opportunities to practice their self-assessment skills. This system represents a useful method of incorporating self-assessments into the curriculum that allows for feedback to be provided to the students.

Strategy and Portfolio Management Aspects of Integrated Business Planning

Directory of Open Access Journals (Sweden)

Peter Jurečka

2013-03-01

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

IT PROJECT PORTFOLIO MANAGEMENT: MODULARITY PROBLEMS IN A PUBLIC ORGANIZATION

DEFF Research Database (Denmark)

Hansen, Lars Kristian; Mengiste, Shegaw Anagaw

2012-01-01

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

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.

Effects of utility demand-side management programs on uncertainty

International Nuclear Information System (INIS)

Hirst, E.

1994-01-01

Electric utilities face a variety of uncertainties that complicate their long-term resource planning. These uncertainties include future economic and load growths, fuel prices, environmental and economic regulations, performance of existing power plants, cost and availability of purchased power, and the costs and performance of new demand and supply resources. As utilities increasingly turn to demand-side management (DSM) programs to provide resources, it becomes more important to analyze the interactions between these programs and the uncertainties facing utilities. This paper uses a dynamic planning model to quantify the uncertainty effects of supply-only vs DSM + supply resource portfolios. The analysis considers four sets of uncertainties: economic growth, fuel prices, the costs to build new power plants, and the costs to operate DSM programs. The two types of portfolios are tested against these four sets of uncertainties for the period 1990 to 2010. Sensitivity, scenario, and worst-case analysis methods are used. The sensitivity analyses show that the DSM + supply resource portfolio is less sensitive to unanticipated changes in economic growth, fuel prices, and power-plant construction costs than is the supply-only portfolio. The supply-only resource mix is better only with respect to uncertainties about the costs of DSM programs. The base-case analysis shows that including DSM programs in the utility's resource portfolio reduces the net present value of revenue requirements (NPV-RR) by 490 million dollars. The scenario-analysis results show an additional 30 million dollars (6%) in benefits associated with reduction in these uncertainties. In the worst-case analysis, the DSM + supply portfolio again reduces the cost penalty associated with guessing wrong for both cases, when the utility plans for high needs and learns it has low needs and vice versa. 20 refs

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

Application of Complex Adaptive Systems in Portfolio Management

Science.gov (United States)

Su, Zheyuan

2017-01-01

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

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

Directory of Open Access Journals (Sweden)

Wang YaLin

2009-01-01

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

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...

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

Science.gov (United States)

2010-04-01

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

Portfolio management fees: assets or profits based compensation?

OpenAIRE

Gil-Bazo, Javier

2001-01-01

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

A Mentor-Based Portfolio Program to Evaluate Pharmacy Students’ Self-Assessment Skills

Science.gov (United States)

Kalata, Lindsay R.

2013-01-01

Objective. To evaluate pharmacy students' self-assessment skills with an electronic portfolio program using mentor evaluators. Design. First-year (P1) and second-year (P2) pharmacy students used online portfolios that required self-assessments of specific graded class assignments. Using a rubric, faculty and alumni mentors evaluated students' self-assessments and provided feedback. Assessment. Eighty-four P1 students, 74 P2 students, and 59 mentors participated in the portfolio program during 2010-2011. Both student groups performed well overall, with only a small number of resubmissions required. P1 students showed significant improvements across semesters for 2 of the self-assessment questions; P2 students' scores did not differ significantly. The P1 scores were significantly higher than P2 scores for 3 questions during spring 2011. Mentors and students had similar levels of agreement with the extent to which students put forth their best effort on the self-assessments. Conclusion. An electronic portfolio using mentors based inside and outside the school provided students with many opportunities to practice their self-assessment skills. This system represents a useful method of incorporating self-assessments into the curriculum that allows for feedback to be provided to the students. PMID:23716749

A Framework for Assessment of Aviation Safety Technology Portfolios

Science.gov (United States)

Jones, Sharon M.; Reveley, Mary S.

2014-01-01

The programs within NASA's Aeronautics Research Mission Directorate (ARMD) conduct research and development to improve the national air transportation system so that Americans can travel as safely as possible. NASA aviation safety systems analysis personnel support various levels of ARMD management in their fulfillment of system analysis and technology prioritization as defined in the agency's program and project requirements. This paper provides a framework for the assessment of aviation safety research and technology portfolios that includes metrics such as projected impact on current and future safety, technical development risk and implementation risk. The paper also contains methods for presenting portfolio analysis and aviation safety Bayesian Belief Network (BBN) output results to management using bubble charts and quantitative decision analysis techniques.

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.

EV Portfolio Management and Grid Impact Study

DEFF Research Database (Denmark)

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

2009-01-01

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

Strategic management of government-sponsored R&D portfolios

OpenAIRE

Barry Bozeman; Juan Rogers

2001-01-01

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

Global Security Program Management Plan

Energy Technology Data Exchange (ETDEWEB)

Bretzke, John C. [Los Alamos National Lab. (LANL), Los Alamos, NM (United States)

2014-03-25

The Global Security Directorate mission is to protect against proliferant and unconventional nuclear threats –regardless of origin - and emerging new threats. This mission is accomplished as the Los Alamos National Laboratory staff completes projects for our numerous sponsors. The purpose of this Program Management Plan is to establish and clearly describe the GS program management requirements including instructions that are essential for the successful management of projects in accordance with our sponsor requirements. The detailed information provided in this document applies to all LANL staff and their subcontractors that are performing GS portfolio work. GS management is committed to a culture that ensures effective planning, execution, and achievement of measurable results in accordance with the GS mission. Outcomes of such a culture result in better communication, delegated authority, accountability, and increased emphasis on safely and securely achieving GS objectives.

A Quantitative Optimization Framework for Market-Driven Academic Program Portfolios

NARCIS (Netherlands)

Burgher, Joshua; Hamers, Herbert

2017-01-01

We introduce a quantitative model that can be used for decision support for planning and optimizing the composition of portfolios of market-driven academic programs within the context of higher education. This model is intended to enable leaders in colleges and universities to maximize financial

Portfolio Analysis and Management for Naval Research and Development

National Research Council Canada - National Science Library

Silberglitt, Richard

2004-01-01

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

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.

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

Science.gov (United States)

Ancel, Ersin; Shih, Ann T.

2014-01-01

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

Assessing the Development of Medical Students' Personal and Professional Skills by Portfolio.

Science.gov (United States)

Yielder, Jill; Moir, Fiona

2016-01-01

The introduction of a new domain of learning for Personal and Professional Skills in the medical program at the University of Auckland in New Zealand has involved the compilation of a portfolio for assessment. This departure from the traditional assessment methods predominantly used in the past has been challenging to design, introduce, and maintain as a relevant and authentic assessment method. We present the portfolio format along with the process for its introduction and appraise the challenges, strengths, and limitations of the approach within the context of the current literature. We then outline a cyclical model of evaluation used to monitor and fine-tune the portfolio tasks and implementation process, in response to student and assessor feedback. The portfolios have illustrated the level of insight, maturity, and synthesis of personal and professional qualities that students are capable of achieving. The Auckland medical program strives to foster these qualities in its students, and the portfolio provides an opportunity for students to demonstrate their reflective abilities. Moreover, the creation of a Personal and Professional Skills domain with the portfolio as its key assessment emphasizes the importance of reflective practice and personal and professional development and gives a clear message that these are fundamental longitudinal elements of the program.

Assessing the Development of Medical Students’ Personal and Professional Skills by Portfolio

Science.gov (United States)

Yielder, Jill; Moir, Fiona

2016-01-01

The introduction of a new domain of learning for Personal and Professional Skills in the medical program at the University of Auckland in New Zealand has involved the compilation of a portfolio for assessment. This departure from the traditional assessment methods predominantly used in the past has been challenging to design, introduce, and maintain as a relevant and authentic assessment method. We present the portfolio format along with the process for its introduction and appraise the challenges, strengths, and limitations of the approach within the context of the current literature. We then outline a cyclical model of evaluation used to monitor and fine-tune the portfolio tasks and implementation process, in response to student and assessor feedback. The portfolios have illustrated the level of insight, maturity, and synthesis of personal and professional qualities that students are capable of achieving. The Auckland medical program strives to foster these qualities in its students, and the portfolio provides an opportunity for students to demonstrate their reflective abilities. Moreover, the creation of a Personal and Professional Skills domain with the portfolio as its key assessment emphasizes the importance of reflective practice and personal and professional development and gives a clear message that these are fundamental longitudinal elements of the program. PMID:29349315

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.

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

Science.gov (United States)

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

2013-01-01

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

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

Science.gov (United States)

Bozhalkina, Yana

2017-12-01

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

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

OpenAIRE

Oswari, Teddy; Kowanda, Dionysia

2007-01-01

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

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

International Nuclear Information System (INIS)

Deng, Shi-Jie; Xu, Li

2009-01-01

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

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

Mean-Variance stochastic goal programming for sustainable mutual funds' portfolio selection.

Directory of Open Access Journals (Sweden)

García-Bernabeu, Ana

2015-11-01

Full Text Available Mean-Variance Stochastic Goal Programming models (MV-SGP provide satisficing investment solutions in uncertain contexts. In this work, an MV-SGP model is proposed for portfolio selection which includes goals with regards to traditional and sustainable assets. The proposed approach is based on a two-step procedure. In the first step, sustainability and/or financial screens are applied to a set of assets (mutual funds previously evaluated with TOPSIS to determine the opportunity set. In a second step, satisficing portfolios of assets are obtained using a Goal Programming approach. Two different goals are considered. The first goal reflects only the purely financial side of the target while the second goal is referred to the sustainable side. Aversion to Risk Absolute (ARA coefficients are estimated and incorporated in our investment decision making approach using two different approaches.

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

Visuals Matter! Designing and using effective visual representations to support project and portfolio decisions

DEFF Research Database (Denmark)

Geraldi, Joana; Arlt, Mario

. They can help managers to be sharper and quicker, especially if visuals are used in a mindful manner. The intent of this book is to increase the awareness of project, program and portfolio practitioners and scholars about the importance of visuals and to provide practical recommendations on how they can......This book is the result of a two-year research project, funded by Project Management Institute and University College London on data visualization in the project and portfolio management contexts. Visuals are powerful and constitute an integral part of analyzing problems and making decisions...... be used and designed mindfully. The research, which underpins this book, focuses on the impact of visuals on cognition of data in project portfolio decisions. The complexity of portfolio problems often exceed human cognitive limitations as a result of a number of factors, such as the large number...

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

NARCIS (Netherlands)

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

2009-01-01

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

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

International Nuclear Information System (INIS)

Bistline, John E.

2016-01-01

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

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

DEFF Research Database (Denmark)

Hansen, Lars Kristian

2013-01-01

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

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

International Nuclear Information System (INIS)

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

2004-01-01

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

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.

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.

[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.

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

Directory of Open Access Journals (Sweden)

Dmitrii S. Melnyk

2013-01-01

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

The portfolio approach to competency-based assessment at the Cleveland Clinic Lerner College of Medicine.

Science.gov (United States)

Dannefer, Elaine F; Henson, Lindsey C

2007-05-01

Despite the rapid expansion of interest in competency-based assessment, few descriptions of assessment systems specifically designed for a competency-based curriculum have been reported. The purpose of this article is to describe the design of a portfolio approach to a comprehensive, competency-based assessment system that is fully integrated with the curriculum to foster an educational environment focused on learning. The educational design goal of the Cleveland Clinic Lerner College of Medicine of Case Western Reserve University was to create an integrated educational program-curriculum and instructional methods, student assessment processes, and learning environment-to prepare medical students for success in careers as physician investigators. The first class in the five-year program matriculated in 2004. To graduate, a student must demonstrate mastery of nine competencies: research, medical knowledge, communication, professionalism, clinical skills, clinical reasoning, health care systems, personal development, and reflective practice. The portfolio provides a tool for collecting and managing multiple types of assessment evidence from multiple contexts and sources within the curriculum to document competence and promote reflective practice skills. This article describes how the portfolio was developed to provide both formative and summative assessment of student achievement in relation to the program's nine competencies.

Coaching the Coach: A Program for Development of Faculty Portfolio Coaches.

Science.gov (United States)

Kopechek, Jack; Bardales, Cheryl; Lash, A Todd; Walker, Curtis; Pfeil, Sheryl; Ledford, Cynthia H

2017-01-01

Faculty coaching is recognized as an essential element for effective use of portfolios in undergraduate medical education, yet best practices for training these coaches are uncertain. New portfolio coaches participated in a multifaceted training program that included orienting modules, a 7.5-hr training workshop featuring analysis of reflective writing, an Observed Structured Teaching Exercise (OSTE), and subsequent longitudinal coaches' meetings for timely task training. Four desired coaching skills were emphasized in the initial training: creating a safe environment, explicitly using performance data, asking questions that elicit reflection, and guiding the student to develop future goals and plans. We collected and analyzed several outcomes: (a) coaches' self-assessment at key intervals, (b) open-ended written responses to three coaching vignettes, (c) video recordings of the OSTE, and (d) subsequent student evaluation of the coach. In an attempt to capture learning from the workshop, both the responses to written vignettes and the video-recorded encounters were coded for presence or absence of the four desired skills. Our portfolio and coaching program was instituted as part of a major undergraduate medical education reform. A new cohort of 25 coaches is enrolled with each matriculating student class, and each coach is assigned to work individually with 8-10 students, forming a coaching relationship that continues over 4 years. Coaches are compensated at 5% full-time equivalent. On coach self-assessment, the majority of coaches reported significant improvement in their perceived ability to assess a student's level of reflection, enhance reflection, use performance data, and guide a student to develop goals and plans. After two semesters, coach perception of improved abilities persisted. Students rated coaches as excellent (82%), reporting that coaches created safe environments (99%), promoted insight (92%), and aided in goal setting (97%). Written responses to

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

Directory of Open Access Journals (Sweden)

Doorasamy Mishelle

2017-02-01

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

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

Directory of Open Access Journals (Sweden)

Agustini Hamid

2016-09-01

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

[Learning Portfolio: A New Strategy in Health Education].

Science.gov (United States)

Cheng, Yi-Chuan; Chen, Ching-Ju; Chang, Yu-Shan; Huang, Li-Chi

2015-12-01

Health education is the teaching by healthcare professionals of healthcare-related knowledge and skills to students in order that these students learn to help patients self-manage their disease and maintain health. This article introduces a new strategy in health education known as the learning portfolio and presents the theoretical basis and function of the learning portfolio and the current application of this approach in academic and health education. The learning portfolio is a learner-centric approach that collects evidence related to an individual's learning process systematically. This approach helps educators understand learner needs and conditions, while allowing the learner to observe his / her learning process in a manner that promotes self-reflection, continual inspection, and behavioral modification throughout the learning process. The results enhance the motivation of learners and strengthen their care confidence in accomplishing learning tasks.

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...

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

Directory of Open Access Journals (Sweden)

Aifan Ling

2014-01-01

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

Applying Monte Carlo Concept and Linear Programming in Modern Portfolio Theory to Obtain Best Weighting Structure

Directory of Open Access Journals (Sweden)

Tumpal Sihombing

2013-01-01

Full Text Available The world is entering the era of recession when the trend is bearish and market is not so favorable. The capital markets in every major country were experiencing great amount of loss and people suffered in their investment. The Jakarta Composite Index (JCI has shown a great downturn for the past one year but the trend bearish year of the JCI. Therefore, rational investors should consider restructuring their portfolio to set bigger proportion in bonds and cash instead of stocks. Investors can apply modern portfolio theory by Harry Markowitz to find the optimum asset allocation for their portfolio. Higher return is always associated with higher risk. This study shows investors how to find out the lowest risk of a portfolio investment by providing them with several structures of portfolio weighting. By this way, investor can compare and make the decision based on risk-return consideration and opportunity cost as well. Keywords: Modern portfolio theory, Monte Carlo, linear programming

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.

A Framework for Managing a Portfolio of Socially Responsible Investments

NARCIS (Netherlands)

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

2002-01-01

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

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

Science.gov (United States)

Bulkley, Katrina E.; Henig, Jeffrey R.

2015-01-01

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

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

OpenAIRE

Dan ARMEANU; Andreea NEGRU

2011-01-01

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

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.

The rule of nuclear power in the base-load portfolio optimization process

International Nuclear Information System (INIS)

Desiata, L.; D'Alberti, F.

2007-01-01

The pursuit of optimal portfolios, maximizing long-term profitability, is the main strategic challenge faced by electricity producers nowadays. Investment decisions, worth billions of euros, are affected by spot factors (such as current fuel prices volatility) that often lead to unbalanced generation mixes. Our analysis presents a statistical-financial approach that highlights the role of nuclear within the base-load portfolio optimisation process [it

Uncertain programming models for portfolio selection with uncertain returns

Science.gov (United States)

Zhang, Bo; Peng, Jin; Li, Shengguo

2015-10-01

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

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.

Accumulating project management knowledge through process theory

NARCIS (Netherlands)

Niederman, Fred; March, Salvatore T.; Mueller, Benjamin

2014-01-01

This paper describes how the general notion of process theory can provide a foundational component in a portfolio of project management theories. The paper begins by outlining a variety of views pertaining to the nature of theory and theory development. This forms a basis for understanding how

portfolio optimization based on nonparametric estimation methods

Directory of Open Access Journals (Sweden)

mahsa ghandehari

2017-03-01

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

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.

PORTFOLIO INSURANCE INVESTMENT STRATEGIES: A RISK-MANAGEMENT TOOL

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Elma Agic-Sabeta

2017-06-01

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

Accurate and Robust Numerical Methods for the Dynamic Portfolio Management Problem

NARCIS (Netherlands)

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

2017-01-01

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

Accurate and Robust Numerical Methods for the Dynamic Portfolio Management Problem

NARCIS (Netherlands)

Cong, F.; Oosterlee, C.W.

2016-01-01

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

Building uncertainty into cost-effectiveness rankings: portfolio risk-return tradeoffs and implications for decision rules.

Science.gov (United States)

O'Brien, B J; Sculpher, M J

2000-05-01

Current principles of cost-effectiveness analysis emphasize the rank ordering of programs by expected economic return (eg, quality-adjusted life-years gained per dollar expended). This criterion ignores the variance associated with the cost-effectiveness of a program, yet variance is a common measure of risk when financial investment options are appraised. Variation in health care program return is likely to be a criterion of program selection for health care managers with fixed budgets and outcome performance targets. Characterizing health care resource allocation as a risky investment problem, we show how concepts of portfolio analysis from financial economics can be adopted as a conceptual framework for presenting cost-effectiveness data from multiple programs as mean-variance data. Two specific propositions emerge: (1) the current convention of ranking programs by expected return is a special case of the portfolio selection problem in which the decision maker is assumed to be indifferent to risk, and (2) for risk-averse decision makers, the degree of joint risk or covariation in cost-effectiveness between programs will create incentives to diversify an investment portfolio. The conventional normative assumption of risk neutrality for social-level public investment decisions does not apply to a large number of health care resource allocation decisions in which health care managers seek to maximize returns subject to budget constraints and performance targets. Portfolio theory offers a useful framework for studying mean-variance tradeoffs in cost-effectiveness and offers some positive predictions (and explanations) of actual decision making in the health care sector.

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

Science.gov (United States)

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

2015-01-01

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

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

International Nuclear Information System (INIS)

Charwand, Mansour; Gitizadeh, Mohsen; Siano, Pierluigi

2017-01-01

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

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

Accurate and Robust Numerical Methods for the Dynamic Portfolio Management Problem

NARCIS (Netherlands)

Cong, F.; Oosterlee, C.W.

2016-01-01

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

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

Science.gov (United States)

Xu, Jun

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

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

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P.J. Viljoen

2012-01-01

Full Text Available

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

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

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.

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

Science.gov (United States)

Zhao, Erdong; Li, Shangqi

2017-08-01

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

Digital portfolio for learning: A new communication channel for education

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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

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

Science.gov (United States)

2010-01-01

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

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

Balancing energy strategies in electricity portfolio management

International Nuclear Information System (INIS)

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

2011-01-01

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

Decision Gate Process for Assessment of a Technology Development Portfolio

Science.gov (United States)

Kohli, Rajiv; Fishman, Julianna; Hyatt, Mark

2012-01-01

The NASA Dust Management Project (DMP) was established to provide technologies (to TRL 6 development level) required to address adverse effects of lunar dust to humans and to exploration systems and equipment, which will reduce life cycle cost and risk, and will increase the probability of sustainable and successful lunar missions. The technology portfolio of DMP consisted of different categories of technologies whose final product is either a technology solution in itself, or one that contributes toward a dust mitigation strategy for a particular application. A Decision Gate Process (DGP) was developed to assess and validate the achievement and priority of the dust mitigation technologies as the technologies progress through the development cycle. The DGP was part of continuous technology assessment and was a critical element of DMP risk management. At the core of the process were technology-specific criteria developed to measure the success of each DMP technology in attaining the technology readiness levels assigned to each decision gate. The DGP accounts for both categories of technologies and qualifies the technology progression from technology development tasks to application areas. The process provided opportunities to validate performance, as well as to identify non-performance in time to adjust resources and direction. This paper describes the overall philosophy of the DGP and the methodology for implementation for DMP, and describes the method for defining the technology evaluation criteria. The process is illustrated by example of an application to a specific DMP technology.

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

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A.M. Gerasimovich

2015-03-01

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

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.

The lessons of the crisis on pension funds portfolio management

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Dan CONSTANTINESCU

2012-12-01

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

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.

Dilemmas Faced Establishing Portfolio Assessment of Pre-Service Teachers in the Southeastern United States

Science.gov (United States)

Van Sickle, Meta; Bogan, Margaret B.; Kamen, Michael; Baird, William; Butcher, Carolyn

2005-01-01

There is increasing pressure to evaluate and document the capabilities of students exiting teacher education programs. A professional portfolio can serve as an effective tool for documenting this process. Faculty wishing to institute portfolios in pre-service teacher assessment should be aware of the difficulties that arise during discourse and…

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

Science.gov (United States)

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

2004-01-01

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

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...

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…

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

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Aldrin Herwany

2008-09-01

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

E-learning best practice: case study of e-portfolio

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Antonio Sánchez-Bayón

2016-05-01

Full Text Available Under the globalization, the world and it study have changed, requiring new contributions for better treatment. This paper responds the demands about the current paradigm in process, in its overall dimension (new approach and management in the globalization, and training of its agents and particular on education (technological and pro-acting learning, with tools like e-portfolio. This paper offers a set of tips for better results in the sessions (real or virtual, thanks to progressive and programmatic materials into an e-portfolio.

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.

FINANCIAL RISKS ASSOCIATED WITH THE GOVERNMENTAL PUBLIC DEBT’S PORTFOLIO

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MARIANA MAN

2010-01-01

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

Teaching empirical finance courses: A project on portfolio management

OpenAIRE

Morley, Bruce

2016-01-01

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

Using Multiple and Logistic Regression to Estimate the Median WillCost and Probability of Cost and Schedule Overrun for Program Managers

Science.gov (United States)

2017-03-23

Logistic Regression to Estimate the Median Will-Cost and Probability of Cost and Schedule Overrun for Program Managers Ryan C. Trudelle, B.S...not the other. We are able to give logistic regression models to program managers that identify several program characteristics for either...considered acceptable. We recommend the use of our logistic models as a tool to manage a portfolio of programs in order to gain potential elusive

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…

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

Science.gov (United States)

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

2013-06-01

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

TASKS OF INNOVATION PROCESSES PROGRAM-TARGET MANAGEMENT AT REGIONAL LEVEL

Directory of Open Access Journals (Sweden)

Mikhail Shchepakin

2015-09-01

Full Text Available The article analyzes the regional system of innovation management, discussed the existing problems of program-oriented management of innovative processes at the regional level, as well as possible solutions to improve the efficiency of the regional innovation system.

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

Directory of Open Access Journals (Sweden)

Roque Rabechini Jr.

2017-06-01

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

Decision Gate Process for Assessment of a NASA Technology Development Portfolio

Science.gov (United States)

Kohli, Rajiv; Fishman, Julianna L.; Hyatt, Mark J.

2012-01-01

The NASA Dust Management Project (DMP) was established to provide technologies (to Technology Readiness Level (TRL) 6) required to address adverse effects of lunar dust to humans and to exploration systems and equipment, to reduce life cycle cost and risk, and to increase the probability of sustainable and successful lunar missions. The technology portfolio of DMP consisted of different categories of technologies whose final product was either a technology solution in itself, or one that contributes toward a dust mitigation strategy for a particular application. A Decision Gate Process (DGP) was developed to assess and validate the achievement and priority of the dust mitigation technologies as the technologies progress through the development cycle. The DGP was part of continuous technology assessment and was a critical element of DMP risk management. At the core of the process were technology-specific criteria developed to measure the success of each DMP technology in attaining the technology readiness levels assigned to each decision gate. The DGP accounts for both categories of technologies and qualifies the technology progression from technology development tasks to application areas. The process provided opportunities to validate performance, as well as to identify non-performance in time to adjust resources and direction. This paper describes the overall philosophy of the DGP and the methodology for implementation for DMP, and describes the method for defining the technology evaluation criteria. The process is illustrated by example of an application to a specific DMP technology.

Portfolio selection problem with liquidity constraints under non-extensive statistical mechanics

International Nuclear Information System (INIS)

Zhao, Pan; Xiao, Qingxian

2016-01-01

In this study, we consider the optimal portfolio selection problem with liquidity limits. A portfolio selection model is proposed in which the risky asset price is driven by the process based on non-extensive statistical mechanics instead of the classic Wiener process. Using dynamic programming and Lagrange multiplier methods, we obtain the optimal policy and value function. Moreover, the numerical results indicate that this model is considerably different from the model based on the classic Wiener process, the optimal strategy is affected by the non-extensive parameter q, the increase in the investment in the risky asset is faster at a larger parameter q and the increase in wealth is similar.

Information technology portfolio in supply chain management using factor analysis

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Ahmad Jaafarnejad

2013-11-01

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

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

Directory of Open Access Journals (Sweden)

Florin Aliu

2017-12-01

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

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...

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

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...

Shedding New Light on Project Portfolio Risk Management

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Mariusz Hofman

2017-10-01

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

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.

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.

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

International Nuclear Information System (INIS)

Gampert, Markus; Madlener, Reinhard

2011-01-01

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

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.

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…

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 Evaluation for Professional Competence: Credentialing in Genetics for Nurses.

Science.gov (United States)

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

2003-01-01

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

Portfolio Management with Stochastic Interest Rates and Inflation Ambiguity

DEFF Research Database (Denmark)

Munk, Claus; Rubtsov, Alexey Vladimirovich

2014-01-01

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

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.

IT Portfolio Selection and IT Synergy

Science.gov (United States)

Cho, Woo Je

2010-01-01

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

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...

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

DEFF Research Database (Denmark)

Hansen, Lars Kristian

2014-01-01

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

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

Science.gov (United States)

Dexter, Franklin; Ledolter, Johannes

2003-07-01

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

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

DEFF Research Database (Denmark)

Hansen, Lars Kristian

2013-01-01

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

Influence of portofolio management in decision-making

Directory of Open Access Journals (Sweden)

Rolney Baptestone

2018-05-01

Full Text Available This research aims to demonstrate how portfolio management influences the decision-making process in the projects of a financial organization. And to achieve this goal was used the single case study method. In order to reach this goal, the study began by means of bibliometric research on the subject of portfolio management and subsequent bibliographic research on the theme, decision making. Next, the relationships between portfolio management and decision making were studied. The results of the data collected confirmed the relationship between "the use of the project identification process in portfolio management to influence decision making" in order to add value to the business. It is also possible to demonstrate moderately that "the use of criteria for project selection influences the consequences of decision making", helping in the strategic management of the organization. One of the academic contributions was to note a migration of the portfolio management process, such as a tool that only controls the projects that will compose the portfolio of an organization, for a process that aims at a direct alignment with the strategic management of the organization. Regarding the practical implications, it was verified the importance of portfolio analysis for decision making, to the detriment of the evaluation of only one project. Taking into account the profitability and the return on investment of the projects, as the most important aspects for a decision making.

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

Science.gov (United States)

2010-04-01

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

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

Science.gov (United States)

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

2013-01-01

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

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

Science.gov (United States)

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

2013-01-01

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

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

Science.gov (United States)

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

2012-01-01

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

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.

Using E-Learning Portfolio Technology To Support Visual Art Learning

Directory of Open Access Journals (Sweden)

Greer Jones-Woodham

2009-08-01

Full Text Available Inspired by self-directed learning (SDL theories, this paper uses learning portfolios as a reflective practice to improve student learning and develop personal responsibility, growth and autonomy in learning in a Visual Arts course. Students use PowerPoint presentations to demonstrate their concepts by creating folders that are linked to e-portfolios on the University website. This paper establishes the role of learning e-portfolios to improve teaching and learning as a model of reflection, collaboration and documentation in the making of art as a self-directed process. These portfolios link students' creative thinking to their conceptual frameworks. They also establish a process of inquiry using journals to map students' processes through their reflections and peer feedback. This practice argues that learning e-portfolios in studio art not only depends on a set of objectives whose means are justified by an agreed end but also depends on a practice that engages students' reflection about their actions while in their art- making practice. Using the principles of the maker as the intuitive and reflective practitioner, the making as the process in which the learning e-portfolios communicate the process and conceptual frameworks of learning and the eventual product, and the made as evidence of that learning in light of progress made, this paper demonstrates that learning-in-action and reflecting-in and-on-action are driven by self-direction. With technology, students bring their learning context to bear with the use of SDL. Students' use of PowerPoint program technology in making their portfolios is systematic and builds on students' competencies as this process guides students' beliefs and actions about their work that is based on theory and concepts in response to a visual culture that is Trinidad and Tobago. Students' self–directed art-making process as a self directed learning, models the process of articulated learning. Communicating about

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

Science.gov (United States)

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

2015-01-01

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

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

Science.gov (United States)

Yan, Wei; Chang, Yuwen

2016-12-01

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

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...

Predictive Ability from ePortfolios of Student Achievement Associated with Professional Teaching Standards: An Exploratory Case Study

Science.gov (United States)

Payne, Phillip; Burrack, Frederick

2017-01-01

This exploratory case study, focused on a music teacher preparation program, examined the coursework ePortfolios of pre-service music teachers to determine if any parts of the ePortfolio process predicted teaching effectiveness in the classroom during the student teaching semester. Sixty-five undergraduate pre-service music teachers made up the…

Strategic management of the licence portfolio

International Nuclear Information System (INIS)

Killingland, Arild

1998-01-01

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

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.

Portfolio selection theory and wildlife management

African Journals Online (AJOL)

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

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.

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

Science.gov (United States)

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

2017-08-01

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

Portfolio evaluation of health programs: a reply to Sendi et al.

Science.gov (United States)

Bridges, John F P; Terris, Darcey D

2004-05-01

Sendi et al. (Soc. Sci. Med. 57 (2003) 2207) extend previous research on cost-effectiveness analysis to the evaluation of a portfolio of interventions with risky outcomes using a "second best" approach that can identify improvements in efficiency in the allocation of resources. This method, however, cannot be used to directly identify the optimal solution to the resource allocation problem. Theoretically, a stricter adherence to the foundations of portfolio theory would permit direct optimization in portfolio selection, however, when we include uncertainty in our analysis in addition to the traditional concept of risk (which is often mislabelled uncertainty) complexities are introduced that create significant hurdles in the development of practical applications of portfolio theory for health care policy decision making.

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...

From Process to Outcome: The Effect of Portfolio Assessment on Student Learning.

Science.gov (United States)

Tiwari, Agnes; Tang, Catherine

2003-01-01

Three findings emerged from 12 Hong Kong student nurses' descriptions of their experiences of portfolio assessment: (1) despite initial anxiety, all favored portfolio use; (2) portfolios had positive academic and affective outcomes; and (3) unexpectedly, spontaneous collaborative learning and increased motivation resulted. (Contains 35…

Relationships Between Risks in an IT Project Development Portfolio

NARCIS (Netherlands)

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

2013-01-01

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

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.

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...

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.

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

DEFF Research Database (Denmark)

Hansen, Lars Kristian

2016-01-01

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

Augmenting Space Technology Program Management with Secure Cloud & Mobile Services

Science.gov (United States)

Hodson, Robert F.; Munk, Christopher; Helble, Adelle; Press, Martin T.; George, Cory; Johnson, David

2017-01-01

The National Aeronautics and Space Administration (NASA) Game Changing Development (GCD) program manages technology projects across all NASA centers and reports to NASA headquarters regularly on progress. Program stakeholders expect an up-to-date, accurate status and often have questions about the program's portfolio that requires a timely response. Historically, reporting, data collection, and analysis were done with manual processes that were inefficient and prone to error. To address these issues, GCD set out to develop a new business automation solution. In doing this, the program wanted to leverage the latest information technology platforms and decided to utilize traditional systems along with new cloud-based web services and gaming technology for a novel and interactive user environment. The team also set out to develop a mobile solution for anytime information access. This paper discusses a solution to these challenging goals and how the GCD team succeeded in developing and deploying such a system. The architecture and approach taken has proven to be effective and robust and can serve as a model for others looking to develop secure interactive mobile business solutions for government or enterprise business automation.

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.

Repository-Based Software Engineering Program: Working Program Management Plan

Science.gov (United States)

1993-01-01

Repository-Based Software Engineering Program (RBSE) is a National Aeronautics and Space Administration (NASA) sponsored program dedicated to introducing and supporting common, effective approaches to software engineering practices. The process of conceiving, designing, building, and maintaining software systems by using existing software assets that are stored in a specialized operational reuse library or repository, accessible to system designers, is the foundation of the program. In addition to operating a software repository, RBSE promotes (1) software engineering technology transfer, (2) academic and instructional support of reuse programs, (3) the use of common software engineering standards and practices, (4) software reuse technology research, and (5) interoperability between reuse libraries. This Program Management Plan (PMP) is intended to communicate program goals and objectives, describe major work areas, and define a management report and control process. This process will assist the Program Manager, University of Houston at Clear Lake (UHCL) in tracking work progress and describing major program activities to NASA management. The goal of this PMP is to make managing the RBSE program a relatively easy process that improves the work of all team members. The PMP describes work areas addressed and work efforts being accomplished by the program; however, it is not intended as a complete description of the program. Its focus is on providing management tools and management processes for monitoring, evaluating, and administering the program; and it includes schedules for charting milestones and deliveries of program products. The PMP was developed by soliciting and obtaining guidance from appropriate program participants, analyzing program management guidance, and reviewing related program management documents.

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

Directory of Open Access Journals (Sweden)

Salvatore J. Terregrossa

2016-12-01

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

Portfolio management under sudden changes in volatility and heterogeneous investment horizons

Science.gov (United States)

Fernandez, Viviana; Lucey, Brian M.

2007-03-01

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

NEURO-FUZZY MODELING APPLIED IN PROGRAM MANAGEMENT TO INCREASE LOCAL PUBLIC ADMINISTRATION PERFORMANCE

Directory of Open Access Journals (Sweden)

Adrian-Mihai Zaharia-Radulescu

2016-07-01

Full Text Available One of the challenges in local public administration is dealing with an increasing number of competing requests coming from the communities they serve. The traditional approach would be to handle each request as a standalone project and be prioritized according to benefits and budget available. More and more nowadays program management is becoming a standard approach in managing the initiatives of local public administration. Program management approach is itself an enabler for performance in public sector organizations by allowing an organization to better coordinate its efforts and resources in managing a portfolio of projects. This paper aims to present how neuro-fuzzy modeling applied in program management can help an organization to increase its performance. Neuro-fuzzy modeling would lead organizations one step further by allowing them to simulate different scenarios and manage better the risks accompanying their initiatives. The research done by the authors is theoretical and combines knowledge from different areas and a neuro-fuzzy model is proposed and discussed.

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

Directory of Open Access Journals (Sweden)

Branka Marasović

2009-03-01

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

The Research Portfolio: Educating Teacher Researchers in Data Analysis

Science.gov (United States)

Bates, Alisa J.; Bryant, Jill D.

2013-01-01

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

Tank waste remediation system privatization infrastructure program requirements and document management process guide

International Nuclear Information System (INIS)

ROOT, R.W.

1999-01-01

This guide provides the Tank Waste Remediation System Privatization Infrastructure Program management with processes and requirements to appropriately control information and documents in accordance with the Tank Waste Remediation System Configuration Management Plan (Vann 1998b). This includes documents and information created by the program, as well as non-program generated materials submitted to the project. It provides appropriate approval/control, distribution and filing systems

1998 Environmental Management Science Program Annual Report

International Nuclear Information System (INIS)

1999-01-01

The Environmental Management Science Program (EMSP) is a collaborative partnership between the DOE Office of Environmental Management (EM), Office of Science (DOE-SC), and the Idaho Operations Office (DOE-ID) to sponsor basic environmental and waste management related research. Results are expected to lead to reduction of the costs, schedule, and risks associated with cleaning up the nation's nuclear complex. The EMSP research portfolio addresses the most challenging technical problems of the EM program related to high level waste, spent nuclear fuel, mixed waste, nuclear materials, remedial action, decontamination and decommissioning, and health, ecology, or risk. The EMSP was established in response to a mandate from Congress in the fiscal year 1996 Energy and Water Development Appropriations Act. Congress directed the Department to ''provide sufficient attention and resources to longer-term basic science research which needs to be done to ultimately reduce cleanup costs, develop a program that takes advantage of laboratory and university expertise, and seek new and innovative cleanup methods to replace current conventional approaches which are often costly and ineffective''. This mandate followed similar recommendations from the Galvin Commission to the Secretary of Energy Advisory Board. The EMSP also responds to needs identified by National Academy of Sciences experts, regulators, citizen advisory groups, and other stakeholders

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

Science.gov (United States)

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

2009-01-01

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

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

NARCIS (Netherlands)

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

2012-01-01

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

The implementation of portfolio assessment by the educators on the mathematics learning process in senior high school

Science.gov (United States)

Lestariani, Ida; Sujadi, Imam; Pramudya, Ikrar

2018-05-01

Portfolio assessment can shows the development of the ability of learners in a period through the work so that can be seen progress monitored learning of each learner. The purpose of research to describe and know the implementation of portfolio assessment on the mathematics learning process with the Senior High school math teacher class X as the subject because of the importance of applying the assessment for the progress of learning outcomes of learners. This research includes descriptive qualitative research type. Techniques of data collecting is done by observation method, interview and documentation. Data collection then validated using triangulation technique that is observation technique, interview and documentation. Data analysis technique is done by data reduction, data presentation and conclusion. The results showed that the steps taken by teachers in applying portfolio assessment obtained focused on learning outcomes. Student learning outcomes include homework and daily tests. Based on the results of research can be concluded that the implementation of portfolio assessment is the form of learning results are scored. Teachers have not yet implemented other portfolio assessment techniques such as student work.

NHDOT : process for municipally managed state aid highway program projects

Science.gov (United States)

2006-05-23

The design and construction of Municipally Managed State Aid Highway Program projects must comply with the requirements in this guideline in order to receive State Aid under the applicable provisions of RSA 235. Under this process, State Aid Construc...

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

International Nuclear Information System (INIS)

Glinsky, M.E.

1994-12-01

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

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.

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.

How banking sanctions influence on performance of foreign currency portfolio management

Directory of Open Access Journals (Sweden)

Mohammad Khodaei Valahzaghard

2013-02-01

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

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…

Feedback using an ePortfolio for medicine long cases: quality not quantity.

Science.gov (United States)

Bleasel, Jane; Burgess, Annette; Weeks, Ruth; Haq, Inam

2016-10-21

The evidence for the positive impact of an electronic Portfolio (ePortfolio) on feedback in medicine is mixed. An ePortfolio for medical long cases in a Graduate Medical Program was developed. The purpose of this study was to explore the perceptions of medical students and faculty of the impact of the ePortfolio on the feedback process. In total, 130 Year 3 medical students, and six faculty participated in the study. This is a mixed methods study, using a combination of both quantitative and qualitative approaches. Quantitative methods were used to quantify the number of long cases performed. Qualitative methods were used to explore the relationship between quantity and quality of feedback, and provide a rich understanding of both students' and faculty's experience and perceptions of the ePortfolio. Students received a variable quantity of feedback at each of the three studied clinical schools, with an average of between 4 - 5.4 feedback episodes per student. Feedback that was constructive, specific and timely and delivered by a senior academic was important. Quantity was not an essential factor, with two episodes of detailed feedback reported to be adequate. The barriers to the use of the ePortfolio were technical aspects of the platform that interfered with student engagement. Feedback using the ePortfolio for medical long cases is a valuable tool providing a senior clinician delivers detailed, constructive and personalized feedback in a timely fashion. The ePortfolio system needs to be user-friendly to engage students.

A Hybrid MCDM Approach for Strategic Project Portfolio Selection of Agro By-Products

Directory of Open Access Journals (Sweden)

Animesh Debnath

2017-07-01

Full Text Available Due to the increasing size of the population, society faces several challenges for sustainable and adequate agricultural production, quality, distribution, and food safety in the strategic project portfolio selection (SPPS. The initial adaptation of strategic portfolio management of genetically modified (GM Agro by-products (Ab-Ps is a huge challenge in terms of processing the agro food product supply-chain practices in an environmentally nonthreatening way. As a solution to the challenges, the socio-economic characteristics for SPPS of GM food purchasing scenarios are studied. Evaluation and selection of the GM agro portfolio management are the dynamic issues due to physical and immaterial criteria involving a hybrid multiple criteria decision making (MCDM approach, combining modified grey Decision-Making Trial and Evaluation Laboratory (DEMATEL, Multi-Attributive Border Approximation area Comparison (MABAC and sensitivity analysis. Evaluation criteria are grouped into social, differential and beneficial clusters, and the modified DEMATEL procedure is used to derive the criteria weights. The MABAC method is applied to rank the strategic project portfolios according to the aggregated preferences of decision makers (DMs. The usefulness of the proposed research framework is validated with a case study. The GM by-products are found to be the best portfolio. Moreover, this framework can unify the policies of agro technological improvement, corporate social responsibility (CSR and agro export promotion.

Sensitivity-Informed De Novo Programming for Many-Objective Water Portfolio Planning Under Uncertainty

Science.gov (United States)

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

2009-12-01

Risk-based water supply management presents severe cognitive, computational, and social challenges to planning in a changing world. Decision aiding frameworks must confront the cognitive biases implicit to risk, the severe uncertainties associated with long term planning horizons, and the consequent ambiguities that shape how we define and solve water resources planning and management problems. This paper proposes and demonstrates a new interactive framework for sensitivity informed de novo programming. The theoretical focus of our many-objective de novo programming is to promote learning and evolving problem formulations to enhance risk-based decision making. We have demonstrated our proposed de novo programming framework using a case study for a single city’s water supply in the Lower Rio Grande Valley (LRGV) in Texas. Key decisions in this case study include the purchase of permanent rights to reservoir inflows and anticipatory thresholds for acquiring transfers of water through optioning and spot leases. A 10-year Monte Carlo simulation driven by historical data is used to provide performance metrics for the supply portfolios. The three major components of our methodology include Sobol globoal sensitivity analysis, many-objective evolutionary optimization and interactive tradeoff visualization. The interplay between these components allows us to evaluate alternative design metrics, their decision variable controls and the consequent system vulnerabilities. Our LRGV case study measures water supply portfolios’ efficiency, reliability, and utilization of transfers in the water supply market. The sensitivity analysis is used interactively over interannual, annual, and monthly time scales to indicate how the problem controls change as a function of the timescale of interest. These results have been used then to improve our exploration and understanding of LRGV costs, vulnerabilities, and the water portfolios’ critical reliability constraints. These results

IT portfolio decision-making in local governments

DEFF Research Database (Denmark)

Agger Nielsen, Jeppe; Pedersen, Keld

2014-01-01

by the IT PPM literature) plays a minor role. Our account also reveals how the decision-making practices create IT portfolio problems and in some aspects is considered to have a negative impact on the outcome of e-government investments. Our analysis and previous research into decision-making allows us to argue......IT project portfolio management (IT PPM) has evolved into a significant area of research interest, but we know little about IT PPM practices in public sector organizations. Therefore this article investigates decision-making processes in the IT PPM practices of local governments, and discusses how...... these practices match the normative advice proposed by the IT PPMliterature.We rely on decision-making theories togetherwith case-studies of four Danish local governments.We find that politics, intuition and coincidence play a crucial role in IT PPM decisionmaking, while technical rationality (as proposed...

‘Value for Whom, by Whom’: Investigating Value Constructs in Non-Profit Project Portfolios

Directory of Open Access Journals (Sweden)

Karyne Cheng Siew Ang

2016-11-01

Full Text Available In most non-profit organisations (NPOs, there are multiple programs, projects or initiatives running simultaneously. The management of multiple projects in organisations can be coined as project portfolio management (PPM (Archer & Ghasemzadeh 1999; Pennypacker & Dye 2002.  In any project-based organisation, it is critical that selected projects align with and deliver the organisation’s strategy or mission. Decisions about project funding are strategic decisions, particularly when there are resource limitations. In PPM decision making, the allocation of resources to projects requires a clear judgement of value across multiple perspectives. Value has often been expressed in financial terms, however increasingly research indicates that non-financial considerations are equally important in evaluating value. A key task in project portfolio management is to maximise value across the portfolio.  However, value can be a subjective notion, as each person may have different expectations of what is valuable. The involvement of diverse stakeholder interests could create complexities in decision making in non-profit organisations due to value being interpreted in different ways by the stakeholders. Furthermore in order to achieve its purpose, non-profits depend heavily on donors, patrons and sponsors - stakeholders who contribute to the portfolio but are often not the direct recipients of the services provided by the non-profit organisation (Kaplan 2012. Non-profit portfolios often compete with other initiatives for resources and attention from the same donors and sponsors, and may need to constantly justify the value they provide to these stakeholders. Most research about value in PPM has been conducted in the ‘for-profit’ sector. Recent value-based studies in the project portfolio field stress the importance of considering both commercial and non-commercial value in portfolio decision making (Killen, du Plessis & Young 2012; Kopman 2013; Martinsuo

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.

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

Directory of Open Access Journals (Sweden)

I. I. Hasanshin

2018-01-01

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

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 ...

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

NARCIS (Netherlands)

B.E. Depecik (Baris)

2016-01-01

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

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...

Program Management at the National Nuclear Security Administration Office of Defense Nuclear Security: A Review of Program Management Documents and Underlying Processes

International Nuclear Information System (INIS)

Madden, Michael S.

2010-01-01

The scope of this paper is to review the National Nuclear Security Administration Office of Defense Nuclear Security (DNS) program management documents and to examine the underlying processes. The purpose is to identify recommendations for improvement and to influence the rewrite of the DNS Program Management Plan (PMP) and the documentation supporting it. As a part of this process, over 40 documents required by DNS or its stakeholders were reviewed. In addition, approximately 12 other documents produced outside of DNS and its stakeholders were reviewed in an effort to identify best practices. The complete list of documents reviewed is provided as an attachment to this paper.

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

Science.gov (United States)

Gadbury-Amyot, Cynthia C.

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

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

Science.gov (United States)

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

2012-11-01

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

77 FR 77005 - Subsistence Management Program for Public Lands in Alaska; Rural Determination Process

Science.gov (United States)

2012-12-31

...-R7-SM-2012-N248;FXFR13350700640-134-FF07J00000] Subsistence Management Program for Public Lands in Alaska; Rural Determination Process AGENCIES: Forest Service, Agriculture; Fish and Wildlife Service... the Interior initiated a review of the Federal Subsistence Management Program. An ensuing directive...

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...

Can One Portfolio Measure the Six ACGME General Competencies?

Science.gov (United States)

Jarvis, Robert M.; O'Sullivan, Patricia S.; McClain, Tina; Clardy, James A.

2004-01-01

Objective: To determine that portfolios, useable by any program, can provide needed evidence of resident performance within the ACGME general competencies. Methods: Eighteen residents constructed portfolios with selected entries from thirteen psychiatric skills. Two raters assessed whether entries reflected resident performance within the general…

Program Management Tool

Science.gov (United States)

Gawadiak, Yuri; Wong, Alan; Maluf, David; Bell, David; Gurram, Mohana; Tran, Khai Peter; Hsu, Jennifer; Yagi, Kenji; Patel, Hemil

2007-01-01

The Program Management Tool (PMT) is a comprehensive, Web-enabled business intelligence software tool for assisting program and project managers within NASA enterprises in gathering, comprehending, and disseminating information on the progress of their programs and projects. The PMT provides planning and management support for implementing NASA programmatic and project management processes and requirements. It provides an online environment for program and line management to develop, communicate, and manage their programs, projects, and tasks in a comprehensive tool suite. The information managed by use of the PMT can include monthly reports as well as data on goals, deliverables, milestones, business processes, personnel, task plans, monthly reports, and budgetary allocations. The PMT provides an intuitive and enhanced Web interface to automate the tedious process of gathering and sharing monthly progress reports, task plans, financial data, and other information on project resources based on technical, schedule, budget, and management criteria and merits. The PMT is consistent with the latest Web standards and software practices, including the use of Extensible Markup Language (XML) for exchanging data and the WebDAV (Web Distributed Authoring and Versioning) protocol for collaborative management of documents. The PMT provides graphical displays of resource allocations in the form of bar and pie charts using Microsoft Excel Visual Basic for Application (VBA) libraries. The PMT has an extensible architecture that enables integration of PMT with other strategic-information software systems, including, for example, the Erasmus reporting system, now part of the NASA Integrated Enterprise Management Program (IEMP) tool suite, at NASA Marshall Space Flight Center (MSFC). The PMT data architecture provides automated and extensive software interfaces and reports to various strategic information systems to eliminate duplicative human entries and minimize data integrity

Acceptability of a reflective e-portfolio instituted in an orthodontic specialist programme: a pilot study.

Science.gov (United States)

Tonni, I; Oliver, R G

2013-08-01

The purpose of the study was to highlight students' and mentors' acceptability of a reflective e-portfolio instituted in a postgraduate orthodontic programme in the UK. A reflective e-portfolio was developed on the basis of principles provided by a literature search and was piloted for 2 months with six students and seven mentors. At the end of the experience, mentors' and students' acceptability of the e-portfolio with a reflective component was studied using questionnaires. The data were analysed using basic quantitative and qualitative methods. Students' response highlighted acceptability issues related to each aspect of the e-portfolio derived from the literature: relevance of the e-portfolio reflective part; time required for the process; support and mentoring; the implementation method; and the electronic medium. Mentors showed a more positive attitude towards the e-portfolio, expressing only some concerns about the time involved in using it. Furthermore, the analysis of the data highlighted some other acceptability matters: the specificity of the e-portfolio, the communication amongst students and the relationship between students and mentors. The future successful implementation of the reflective e-portfolio will depend on the productive management of the acceptability issues identified by students and mentors, in particular:(i)the specificity of the e-portfolio that would avoid its overlapping with other part of the programme;(ii)the increasing communication amongst students to improve their knowledge of the reflective writing process; and (iii)the development of a relationship between students and mentors helping to create the appropriate environment for reflection. © 2013 John Wiley & Sons A/S. Published by John Wiley & Sons Ltd.

Feedback using an ePortfolio for medicine long cases: quality not quantity

Directory of Open Access Journals (Sweden)

Jane Bleasel

2016-10-01

Full Text Available Abstract Background The evidence for the positive impact of an electronic Portfolio (ePortfolio on feedback in medicine is mixed. An ePortfolio for medical long cases in a Graduate Medical Program was developed. The purpose of this study was to explore the perceptions of medical students and faculty of the impact of the ePortfolio on the feedback process. Methods In total, 130 Year 3 medical students, and six faculty participated in the study. This is a mixed methods study, using a combination of both quantitative and qualitative approaches. Quantitative methods were used to quantify the number of long cases performed. Qualitative methods were used to explore the relationship between quantity and quality of feedback, and provide a rich understanding of both students’ and faculty’s experience and perceptions of the ePortfolio. Results Students received a variable quantity of feedback at each of the three studied clinical schools, with an average of between 4 – 5.4 feedback episodes per student. Feedback that was constructive, specific and timely and delivered by a senior academic was important. Quantity was not an essential factor, with two episodes of detailed feedback reported to be adequate. The barriers to the use of the ePortfolio were technical aspects of the platform that interfered with student engagement. Conclusions Feedback using the ePortfolio for medical long cases is a valuable tool providing a senior clinician delivers detailed, constructive and personalized feedback in a timely fashion. The ePortfolio system needs to be user-friendly to engage students.

PSA Duration: Conquering the Prepayment Risk of Mortgage Portfolios

OpenAIRE

Boleslav Gulko

1996-01-01

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

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

NARCIS (Netherlands)

T.C. Dyakov (Teodor)

2014-01-01

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

Laboratory Directed Research and Development Program Assessment for FY 2015

Energy Technology Data Exchange (ETDEWEB)

Hatton, Diane [Brookhaven National Lab. (BNL), Upton, NY (United States); Barkigia, K. [Brookhaven National Lab. (BNL), Upton, NY (United States); Giacalone, P. [Brookhaven National Lab. (BNL), Upton, NY (United States)

2016-03-01

This report provides an overview of the BNL LDRD program and a summary of the management processes, project peer review, a financial overview, and the relation of the portfolio of LDRD projects to BNL's mission, initiatives, and strategic plan. Also included are a summary of success indicators and a self-assessment.

Demand-side management process evaluations - the management perspective

International Nuclear Information System (INIS)

Perrault, G.A.; Barrett, L.B.

1993-01-01

A demand-side management (DSM) process evaluation is a qualitative, expert assessment of how a utility marketing program is being conducted. It reviews the efficiency and effectiveness in which a utility plans, manages, executes, and monitors the delivery of DSM programs to its marketplace. Process evaluations,which includes load impact, customer satisfaction and cost-effectiveness analysis, are becoming an increasingly significant component. The process evaluation focus is on the program planning and delivery process as opposed to the energy impacts resulting from the specific measures or products of the program. Because of this process-oriented focus, such evaluations can identify important opportunities for improving the cost-effectiveness of a program without significantly changing product lines. The evaluation may identify administrative or delivery process improvements. In addition, the evaluation may identify ways of improving the degree to which the customer is satisfied with the program or the utility. Since process evaluations are usually conducted as part of a utility's mandated DSM measurement and evaluation plan, they tend to focus mainly on the stated needs of the regulator as opposed to company management. This can be a problem. Although the regulatory perspective is important, in an increasingly competitive business environment, utilities must not overlook management's business and operational needs for specific information regarding DSM program planning, control, execution, and evaluation. This paper discusses some of the conflicts that exist between the regulator's and management's needs for DSM program evaluation results and presents some approaches for assuring that both needs are met. It is organized to first discuss the scope of a process evaluation, then the evaluation issues, the management concerns, and finally reporting of results

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.

[A structured ePortfolio to handle a programme of professional competences assessment in the area of transfusion medicine].

Science.gov (United States)

Staccini, P; Hergon, E; Bordonado, C; Jullien, S; Quaranta, J-F

2007-08-01

In order to organize a nationwide program for the evaluation of professional practices in the area of blood transfusion, the French National Blood Transfusion Institute and the Nice-Sophia Antipolis University designed and implemented a web based service aimed at following-up and guiding the physicians involved in such an assessment program. The core component is a structured electronic portfolio (ePortfolio), the implementation of which was based on an object-oriented environment combined with a content management system. The modelling of the global evaluation system makes it possible to describe this type of portfolio according to six axes: an axis "objectives" (competencies accreditation); an axis "target" (heath care professionals); an axis "content" (numerical documents); an axis "structure" (matrix of answer defined in space and time); an axis "source" (single source peer-reviewed); an axis "level of evidence" (validation of the proof after its deposit by an identified and authenticated peer user, whole tracking of the exchanges and interactions between users and device).

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.

Functional process descriptions for the program to develop the Nuclear Waste Management System

International Nuclear Information System (INIS)

Woods, T.W.

1991-09-01

The Office of Civilian Radioactive Waste Management (OCRWM) is executing a plan for improvement of the systems implemented to carry out its responsibilities under the Nuclear Waste Policy Act of 1982 (NWPA). As part of the plan, OCRWM is performing a systems engineering analysis of both the physical system, i.e., the Nuclear Waste Management System (NWMS), and the programmatic functions that must be accomplished to bring the physical system into being. The purpose of the program analysis is to provide a systematic identification and definition of all program functions, functional process flows, and function products necessary and sufficient to provide the physical system. The analysis resulting from this approach provides a basis for development of a comprehensive and integrated set of policies, standard practices, and procedures for the effective and efficient execution of the program. Thus, this analysis will form a basis for revising current OCRWM policies and procedures, or developing new ones is necessary. The primary purposes of this report are as follows: (1) summarizes the major functional processes and process flows that have been developed as a part of the program analysis, and (2) provide an introduction and assistance in understanding the detailed analysis information contained in the three volume report titled The Analysis of the Program to Develop the Nuclear Waste Management System (Woods 1991a)

Functional process descriptions for the program to develop the Nuclear Waste Management System

Energy Technology Data Exchange (ETDEWEB)

Woods, T.W.

1991-09-01

The Office of Civilian Radioactive Waste Management (OCRWM) is executing a plan for improvement of the systems implemented to carry out its responsibilities under the Nuclear Waste Policy Act of 1982 (NWPA). As part of the plan, OCRWM is performing a systems engineering analysis of both the physical system, i.e., the Nuclear Waste Management System (NWMS), and the programmatic functions that must be accomplished to bring the physical system into being. The purpose of the program analysis is to provide a systematic identification and definition of all program functions, functional process flows, and function products necessary and sufficient to provide the physical system. The analysis resulting from this approach provides a basis for development of a comprehensive and integrated set of policies, standard practices, and procedures for the effective and efficient execution of the program. Thus, this analysis will form a basis for revising current OCRWM policies and procedures, or developing new ones is necessary. The primary purposes of this report are as follows: (1) summarizes the major functional processes and process flows that have been developed as a part of the program analysis, and (2) provide an introduction and assistance in understanding the detailed analysis information contained in the three volume report titled The Analysis of the Program to Develop the Nuclear Waste Management System (Woods 1991a).

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

Directory of Open Access Journals (Sweden)

Livia Alice Mozsar Kovacsne

2017-05-01

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

RISK LOAN PORTFOLIO OPTIMIZATION MODEL BASED ON CVAR RISK MEASURE

Directory of Open Access Journals (Sweden)

Ming-Chang LEE

2015-07-01

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

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.

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

Science.gov (United States)

Bozhalkina, Yana; Timofeeva, Galina

2016-12-01

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

Integrating Project Portfolio With Business Strategy: Imagineering

Directory of Open Access Journals (Sweden)

Cesar Buaes Dal Maso

2015-12-01

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

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

Science.gov (United States)

Hsu, Chih-Ming

2014-12-01

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

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...

The Wound CARE Instrument: the process for developing standards for wound management education and programming.

Science.gov (United States)

Orsted, Heather L; Woodbury, M Gail; Stevenson, Kimberly

2012-06-01

This article describes the collaborative process undertaken by the Canadian Association for Enterostomal Therapy and the Canadian Association of Wound Care in an effort to improve the quality of wound prevention and management education and programming. The end result of this process is the Wound CARE Instrument which promotes an interprofessional, collaborative appraisal process to support the development, adoption or adaption of wound management educational events and programs. © 2011 The Authors. © 2011 Blackwell Publishing Ltd and Medicalhelplines.com Inc.

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...

Asset liability management modeling using multi-stage mixed-integer stochastic programming

NARCIS (Netherlands)

Drijver, S.J.; Klein Haneveld, W.K.; van der Vlerk, Maarten H.

2000-01-01

A pension fund has to match the portfolio of long-term liabilities with the portfolio of assets. Key instruments in strategic Asset Liability Management (ALM) are the adjustments of the contribution rate of the sponsor and the reallocation of the investments in several asset classes at various

INVESTMENT PORTFOLIO MANAGEMENT PECULIARITIES OF NON-STATE PENSION FUNDS

Directory of Open Access Journals (Sweden)

Ivan LUCHIAN

2015-07-01

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

System Architecture Modeling for Technology Portfolio Management using ATLAS

Science.gov (United States)

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

2006-01-01

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

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

Science.gov (United States)

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

2017-04-01

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

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.

Forecast Correlation Coefficient Matrix of Stock Returns in Portfolio Analysis

OpenAIRE

Zhao, Feng

2013-01-01

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

Robust and Reliable Portfolio Optimization Formulation of a Chance Constrained Problem

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Sengupta Raghu Nandan

2017-02-01

Full Text Available We solve a linear chance constrained portfolio optimization problem using Robust Optimization (RO method wherein financial script/asset loss return distributions are considered as extreme valued. The objective function is a convex combination of portfolio’s CVaR and expected value of loss return, subject to a set of randomly perturbed chance constraints with specified probability values. The robust deterministic counterpart of the model takes the form of Second Order Cone Programming (SOCP problem. Results from extensive simulation runs show the efficacy of our proposed models, as it helps the investor to (i utilize extensive simulation studies to draw insights into the effect of randomness in portfolio decision making process, (ii incorporate different risk appetite scenarios to find the optimal solutions for the financial portfolio allocation problem and (iii compare the risk and return profiles of the investments made in both deterministic as well as in uncertain and highly volatile financial markets.

Human Health Countermeasures (HHC) Element Management Plan: Human Research Program. Revision B

Science.gov (United States)

Norsk, Peter; Baumann, David

2012-01-01

NASA s Human Research Program (HRP) is an applied research and technology program within the Human Exploration and Operations Mission Directorate (HEOMD) that addresses human health and performance risk mitigation strategies in support of exploration missions. The HRP research and technology development is focused on the highest priority risks to crew health and safety with the goal of ensuring mission success and maintaining long-term crew health. Crew health and performance standards, defined by the NASA Chief Health and Medical Officer (CHMO), set the acceptable risk level for exploration missions. The HRP conducts research to inform these standards as well as provide deliverables, such as countermeasures, that ensure standards can be met to maximize human performance and mission success. The Human Health Countermeasures (HHC) Element was formed as part of the HRP to develop a scientifically-based, integrated approach to understanding and mitigating the health risks associated with human spaceflight. These health risks have been organized into four research portfolios that group similar or related risks. A fifth portfolio exists for managing technology developments and infrastructure projects. The HHC Element portfolios consist of: a) Vision and Cardiovascular; b) Exercise and Performance; c) Multisystem; d) Bone; and e) Technology and Infrastructure. The HHC identifies gaps associated with the health risks and plans human physiology research that will result in knowledge required to more fully understand risks and will result in validated countermeasures to mitigate risks.

Portfolio of automated trading systems: complexity and learning set size issues.

Science.gov (United States)

Raudys, Sarunas

2013-03-01

In this paper, we consider using profit/loss histories of multiple automated trading systems (ATSs) as N input variables in portfolio management. By means of multivariate statistical analysis and simulation studies, we analyze the influences of sample size (L) and input dimensionality on the accuracy of determining the portfolio weights. We find that degradation in portfolio performance due to inexact estimation of N means and N(N - 1)/2 correlations is proportional to N/L; however, estimation of N variances does not worsen the result. To reduce unhelpful sample size/dimensionality effects, we perform a clustering of N time series and split them into a small number of blocks. Each block is composed of mutually correlated ATSs. It generates an expert trading agent based on a nontrainable 1/N portfolio rule. To increase the diversity of the expert agents, we use training sets of different lengths for clustering. In the output of the portfolio management system, the regularized mean-variance framework-based fusion agent is developed in each walk-forward step of an out-of-sample portfolio validation experiment. Experiments with the real financial data (2003-2012) confirm the effectiveness of the suggested approach.

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

Science.gov (United States)

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

2017-08-01

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

Portfolio Management with Stochastic Interest Rates and Inflation Ambiguity

DEFF Research Database (Denmark)

Munk, Claus; Rubtsov, Alexey Vladimirovich

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

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.

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

Directory of Open Access Journals (Sweden)

Jack Kopechek

2016-01-01

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

Modern management positions

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Jovanović Petar M.

2015-01-01

Full Text Available In this paper we analyze contemporary managerial positions such as program manager, project portfolio manager, crisis manager and others. The idea is to promote managerial positions in Serbia, which is quite unjustifiably undervalued, primarily because of the lack of knowledge in the field of management and other issues related to management education.

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

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Abdallah Tubaishat

2015-06-01

Full Text Available An E-Portfolio Assessment Management System (EAMS can be an innovative tool that provides students with flexible opportunities to demonstrate the acquisition of skills and abilities in an outcome-based institution. The system has been developed and used for the past ten years to create, reflect, revise, and structure students’ work. It is a repository management system that facilitates collecting, sharing, and presenting artifacts of student learning outcomes via a digital medium. Therefore, it provides students with flexible opportunities to demonstrate the acquisition of skills and abilities to demonstrate growth of achieving learning outcomes. The rationale of the EAMS is to allow students to demonstrate competences and reflect upon experiences to improve their learning and career readiness; hence, they are accountable for their learning. The system was built around two defined set of learning outcomes: institutionally agreed upon set of learning outcomes, and learning objectives that are related to major requirements. The purpose of this study is to analyze students’ perceptions and attitudes when using an e-portfolio to support their employment opportunities. The participants were 217 students in the College of Technological Innovation. The students reported that the developing of e-portfolios was extremely helpful. The results showed that students have positive opinions about using e-portfolios as a beneficial tool to support their readiness for employment; they believe an e-portfolio increases their confidence to find a job in the IT field because it can allow them to showcase artifacts that demonstrate competencies and reflect upon experiences, and they can provide their supervisors during their industrial training with an e-resume that includes views of their actual work of what they have learned and are able to do when they complete their degree. Employers then can review e-portfolios to select prospective employees work readiness

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

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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.

Parametric Immunization in Bond Portfolio Management

OpenAIRE

Bravo, Jorge; Fonseca, José

2012-01-01

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

Institutional Power: Identity, Politics, and Lived Experiences in the Dance License via Portfolio Process

Science.gov (United States)

Maloney, Betsy

2015-01-01

In this research study, I examined how institutional power affected the experiences of two dance educators attempting to gain their K-12 dance teaching license in Minnesota. My research analyzed the ways in which candidates applying for the portfolio review process constructed, amended, or abandoned their identities as teachers/artists/individuals…

Information Content of Mutual Fund Portfolio Disclosure

NARCIS (Netherlands)

Y. Wang (Yu)

2011-01-01

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

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

International Nuclear Information System (INIS)

Agbonyeme, C.

2003-01-01

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

The Practical Application of E-Portfolios in K-12 Classrooms: An Exploration of Three Web 2.0 Tools by Three Teachers

Science.gov (United States)

Karlin, Michael; Ozogul, Gamze; Miles, Stacy; Heide, Saul

2016-01-01

Portfolios used in K-12 classrooms give students the opportunity to collect, showcase, and reflect upon the work they have completed throughout a class or program. With the advent of the digital age, e-portfolios have allowed for this process to be conducted online through the use of Web 2.0 tools, offering a number of advantages and features that…

IT Project Portfolio Management; Challenges faced by Danish municipalities

DEFF Research Database (Denmark)

Hansen, Lars Kristian

2010-01-01

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

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...

A Post-Modern Portfolio Management Approach on CEE Markets

Directory of Open Access Journals (Sweden)

Marcela-Daniela Todoni

2015-01-01

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

On the Benefits of Equicorrelation for Portfolio Allocation

OpenAIRE

Adam Clements; Ayesha Scott; Annastiina Silvennoinen

2013-01-01

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

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.

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.

BBN-Based Portfolio Risk Assessment for NASA Technology R&D Outcome

Science.gov (United States)

Geuther, Steven C.; Shih, Ann T.

2016-01-01

The NASA Aeronautics Research Mission Directorate (ARMD) vision falls into six strategic thrusts that are aimed to support the challenges of the Next Generation Air Transportation System (NextGen). In order to achieve the goals of the ARMD vision, the Airspace Operations and Safety Program (AOSP) is committed to developing and delivering new technologies. To meet the dual challenges of constrained resources and timely technology delivery, program portfolio risk assessment is critical for communication and decision-making. This paper describes how Bayesian Belief Network (BBN) is applied to assess the probability of a technology meeting the expected outcome. The network takes into account the different risk factors of technology development and implementation phases. The use of BBNs allows for all technologies of projects in a program portfolio to be separately examined and compared. In addition, the technology interaction effects are modeled through the application of object-oriented BBNs. The paper discusses the development of simplified project risk BBNs and presents various risk results. The results presented include the probability of project risks not meeting success criteria, the risk drivers under uncertainty via sensitivity analysis, and what-if analysis. Finally, the paper shows how program portfolio risk can be assessed using risk results from BBNs of projects in the portfolio.

Effect of portfolio assessment on student learning in prenatal training for midwives.

Science.gov (United States)

Kariman, Nourossadat; Moafi, Farnoosh

2011-01-01

The tendency to use portfolios for evaluation has been developed with the aim of optimizing the culture of assessment. The present study was carried out to determine the effect of using portfolios as an evaluation method on midwifery students' learning and satisfaction in prenatal practical training. In this prospective cohort study, all midwifery students in semester four (n=40), were randomly allocated to portfolio and routine evaluation groups. Based on their educational goals, the portfolio groups prepared packages which consisted of a complete report of the history, physical examinations, and methods of patient management (as evaluated by a checklist) for women who visited a prenatal clinic. During the last day of their course, a posttest, clinical exam, and student satisfaction form were completed. The two groups' mean age, mean pretest scores, and their prerequisite course that they should have taken in the previous semester were similar. The mean difference in the pre and post test scores for the two groups' knowledge and comprehension levels did not differ significantly (P>0.05). The average scores on questions in Bloom's taxonomy 2 and 3 of the portfolio group were significantly greater than those of the routine evaluation group (P=0.002, P=0.03, respectively). The mean of the two groups' clinical exam scores was significantly different. The portfolio group's mean scores on generating diagnostic and therapeutic solutions and the ability to apply theory in practice were higher than those of the routine group. Overall, students' satisfaction scores in the two evaluation methods were relatively similar. Portfolio evaluation provides the opportunity for more learning by increasing the student's participation in the learning process and helping them to apply theory in practice.

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.

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

Science.gov (United States)

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

2009-01-01

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

New Method of Selecting Efficient Project Portfolios in the Presence of Hybrid Uncertainty

Directory of Open Access Journals (Sweden)

Bogdan Rębiasz

2016-01-01

Full Text Available A new methods of selecting efficient project portfolios in the presence of hybrid uncertainty has been presented. Pareto optimal solutions have been defined by an algorithm for generating project portfolios. The method presented allows us to select efficient project portfolios taking into account statistical and economic dependencies between projects when some of the parameters used in the calculation of effectiveness can be expressed in the form of an interactive possibility distribution and some in the form of a probability distribution. The procedure for processing such hybrid data combines stochastic simulation with nonlinear programming. The interaction between data are modeled by correlation matrices and the interval regression. Economic dependences are taken into account by the equations balancing the production capacity of the company. The practical example presented indicates that an interaction between projects has a significant impact on the results of calculations. (original abstract

Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function

OpenAIRE

Kerstens, Kristiaan; Mounier, Amine; Van de Woestyne, Ignace

2008-01-01

The literature suggests that investors prefer portfolios based on mean, variance and skewness rather than portfolios based on mean-variance (MV) criteria solely. Furthermore, a small variety of methods have been proposed to determine mean-variance-skewness (MVS) optimal portfolios. Recently, the shortage function has been introduced as a measure of efficiency, allowing to characterize MVS optimalportfolios using non-parametric mathematical programming tools. While tracing the MV portfolio fro...

A One-Layer Recurrent Neural Network for Real-Time Portfolio Optimization With Probability Criterion.

Science.gov (United States)

Liu, Qingshan; Dang, Chuangyin; Huang, Tingwen

2013-02-01

This paper presents a decision-making model described by a recurrent neural network for dynamic portfolio optimization. The portfolio-optimization problem is first converted into a constrained fractional programming problem. Since the objective function in the programming problem is not convex, the traditional optimization techniques are no longer applicable for solving this problem. Fortunately, the objective function in the fractional programming is pseudoconvex on the feasible region. It leads to a one-layer recurrent neural network modeled by means of a discontinuous dynamic system. To ensure the optimal solutions for portfolio optimization, the convergence of the proposed neural network is analyzed and proved. In fact, the neural network guarantees to get the optimal solutions for portfolio-investment advice if some mild conditions are satisfied. A numerical example with simulation results substantiates the effectiveness and illustrates the characteristics of the proposed neural network.

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

Science.gov (United States)

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

2009-01-01

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

Finding the Beta for a Portfolio Isn't Obvious: An Educational Example

Science.gov (United States)

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

2018-01-01

When a portfolio is not actively managed to maintain a fixed investment percentage in each asset but rather maintains a fixed number of shares for each asset, the portfolio weights will change over time because the market returns of the different assets will not be the same. Consequently, portfolio betas computed as a linear combination of asset…

Supply contract and portfolio insurance

Science.gov (United States)

Runsheng Yin; Bob Izlar

2001-01-01

The long-term growth of institutional timberland investments depends on the ability of timberland investment management organizations (TIMO) to deal effectively with securitization, leveraging, arbitraging, supply contracting, portfolio insurance, tax efficiency enhancement, and other issues. Financial engineering holds great promise for many of these issues. This...

NASA's Physics of the Cosmos and Cosmic Origins programs manage Strategic Astrophysics Technology (SAT) development

Science.gov (United States)

Pham, Thai; Thronson, Harley; Seery, Bernard; Ganel, Opher

2016-07-01

The strategic astrophysics missions of the coming decades will help answer the questions "How did our universe begin and evolve?" "How did galaxies, stars, and planets come to be?" and "Are we alone?" Enabling these missions requires advances in key technologies far beyond the current state of the art. NASA's Physics of the Cosmos2 (PCOS), Cosmic Origins3 (COR), and Exoplanet Exploration Program4 (ExEP) Program Offices manage technology maturation projects funded through the Strategic Astrophysics Technology (SAT) program to accomplish such advances. The PCOS and COR Program Offices, residing at the NASA Goddard Space Flight Center (GSFC), were established in 2011, and serve as the implementation arm for the Astrophysics Division at NASA Headquarters. We present an overview of the Programs' technology development activities and the current technology investment portfolio of 23 technology advancements. We discuss the process for addressing community-provided technology gaps and Technology Management Board (TMB)-vetted prioritization and investment recommendations that inform the SAT program. The process improves the transparency and relevance of our technology investments, provides the community a voice in the process, and promotes targeted external technology investments by defining needs and identifying customers. The Programs' priorities are driven by strategic direction from the Astrophysics Division, which is informed by the National Research Council's (NRC) "New Worlds, New Horizons in Astronomy and Astrophysics" (NWNH) 2010 Decadal Survey report [1], the Astrophysics Implementation Plan (AIP) [2] as updated, and the Astrophysics Roadmap "Enduring Quests, Daring Visions" [3]. These priorities include technology development for missions to study dark energy, gravitational waves, X-ray and inflation probe science, and large far-infrared (IR) and ultraviolet (UV)/optical/IR telescopes to conduct imaging and spectroscopy studies. The SAT program is the

E-portfolios in university and blended learning settings

DEFF Research Database (Denmark)

Ørngreen, Rikke

2009-01-01

or case work, if the process of and interaction between the students are prioritised. The paper adds to the existing findings within ePortfolio and their application to formal learning settings. It discusses both the planning of and running the process, psychological barriers, students' motivation as well...... as more technological practical aspects of ePortfolio use, that are relevant for people engaged in IT and learning....

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.

Improvement of Iranian nurses' competence through professional portfolio: a quasi-experimental study.

Science.gov (United States)

Bahreini, Masoud; Moattari, Marzieh; Shahamat, Shohreh; Dobaradaran, Sina; Ravanipour, Mariam

2013-03-01

The aim of the study was to determine the effect of a portfolio-based professional development program on nurses' competence in a university hospital in Iran. A pre-test/post-test, controlled, quasi-experimental design was used. From the university hospital's 18 general wards, four wards were randomly selected. Two wards were randomly allocated as the experimental group (35 subjects) and two wards as the control group (38 subjects). Nurses in the experimental group participated in a 12-month portfolio-based professional development program and nurses in the control group participated in the routine professional development programs of their wards. The data were collected by the Nurse Competence Scale and were analyzed using descriptive statistics and independent and paired t-tests. After intervention, the average nurses' competence in the experimental group increased significantly (P professional portfolio is an effective tool for improving nurses' competence. The professional portfolios help nurses update their knowledge, skills, and competence towards their full role as nurses. © 2012 Wiley Publishing Asia Pty Ltd.

NONPERFORMING LOANS PORTFOLIO AND ITS EFFECT ON BANK PROFITABILITY IN NIGERIA

Directory of Open Access Journals (Sweden)

John N. N. Ugoani

2016-05-01

Full Text Available Huge nonperforming loans portfolio erodes the ability of banks to make profits. In the 1990s and beyond many Nigerian banks became weak and highly unprofitable due to excessive nonperforming loans portfolio accumulated by bank promoters and management that led to their demise. Insider dealing was the major cause of large nonperforming loan portfolio in Nigeria, involving over-extension of loans to promoters, directors and significant others that became bad and irrecoverable. To clean up the mess in the banking sector and return the banks to the paths of sound management and profitability, the CBN had to inject about N700bn in a bailout exercise while purging the system of bad and irresponsible management teams .The exploratory research design was adopted. Data generated were organized and coded before they were classified. To achieve the objective of the study data analyses were done through descriptive and regression analyses using the statistical package for the social sciences for the regression. With the regression result of Y = 78.353 – 4.04x it was found that nonperforming loans portfolio has negative effect on bank profitability.

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...

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

OpenAIRE

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

2018-01-01

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

Managing complex processing of medical image sequences by program supervision techniques

Science.gov (United States)

Crubezy, Monica; Aubry, Florent; Moisan, Sabine; Chameroy, Virginie; Thonnat, Monique; Di Paola, Robert

1997-05-01

Our objective is to offer clinicians wider access to evolving medical image processing (MIP) techniques, crucial to improve assessment and quantification of physiological processes, but difficult to handle for non-specialists in MIP. Based on artificial intelligence techniques, our approach consists in the development of a knowledge-based program supervision system, automating the management of MIP libraries. It comprises a library of programs, a knowledge base capturing the expertise about programs and data and a supervision engine. It selects, organizes and executes the appropriate MIP programs given a goal to achieve and a data set, with dynamic feedback based on the results obtained. It also advises users in the development of new procedures chaining MIP programs.. We have experimented the approach for an application of factor analysis of medical image sequences as a means of predicting the response of osteosarcoma to chemotherapy, with both MRI and NM dynamic image sequences. As a result our program supervision system frees clinical end-users from performing tasks outside their competence, permitting them to concentrate on clinical issues. Therefore our approach enables a better exploitation of possibilities offered by MIP and higher quality results, both in terms of robustness and reliability.

A quality assurance program for environmental data operations involving waste management processes

International Nuclear Information System (INIS)

Johnson, G.L.; Blacker, S.M.

1990-01-01

This paper describes the 'core' elements needed in an effective Quality Program for environmental data operations involving nuclear, mixed, or non-nuclear wastes. For each core element, this paper examines the minimum components needed for an effective Quality Program for EDOs, and compares approaches to Quality Programs currently required by the U.S. DOE and the U.S. EPA. The comparison suggests how the Quality Program requirements used at DOE, and defined by NQA-1 and its supplements, and those used by EPA through its QAMS program guidance, may provide a basis for developing a harmonized Quality Program for EDOs involving any waste management processes, nuclear, non-nuclear, or mixed. (orig./DG)

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.

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.

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.

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.

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

International Nuclear Information System (INIS)

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

1998-01-01

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

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...

Alternatives: the right medicine for your portfolio?

Science.gov (United States)

Doody, Dennis

2006-01-01

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

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. 

Results of a Technical Review of the U.S. Climate Change Technology Program's R&D Portfolio

Energy Technology Data Exchange (ETDEWEB)

Brown, Marilyn A [ORNL

2006-07-01

The U.S. Climate Change Technology Program (CCTP) is a multi-agency planning and coordinating entity, led by the U.S. Department of Energy that aims to accelerate the development and facilitate the adoption of technologies to address climate change. In late 2005, CCTP asked Oak Ridge National Laboratory and Energetics Incorporated to organize and coordinate a review of the CCTP R&D portfolio using structured workshops. Each workshop focused on one of CCTP's six strategic goals: 1.Reduce emissions from energy end-use and infrastructure 2.Reduce emissions from energy supply 3.Capture and sequester carbon dioxide 4.Reduce emissions of non-CO2 greenhouse gases (GHG) 5.Improve capabilities to measure and monitor GHG emissions 6.Bolster basic science contributions to technology development To promote meaningful dialogue while ensuring broad coverage, a group of broadly experienced professionals with expertise in fields relevant to each CCTP goal were asked to participate in the portfolio reviews and associated workshops. A total of 75 experts participated in the workshops; 60 of these participants represented non-Federal organizations. This report summarizes the findings of the workshops and the results of the Delphi assessment of the CCTP R&D portfolio.

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.

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.

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…

Leptokurtic portfolio theory

Science.gov (United States)

Kitt, R.; Kalda, J.