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.

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

Identification of platform levels

DEFF Research Database (Denmark)

Mortensen, Niels Henrik

2005-01-01

reduction, ability to launch a wider product portfolio without increasing resources and reduction of complexity within the whole company. To support the multiple product development process, platform based product development has in many companies such as Philips, VW, Ford etc. proven to be a very effective...... product development in one step and therefore the objective of this paper is to identify levels of platform based product development. The structure of this paper is as follows. First the applied terminology for platforms will be briefly explained and then characteristics between single and multi product...... development will be examined. Based on the identification of the above characteristics five platform levels are described. The research presented in this paper is a result of MSc, Ph.D projects at the Technical University of Denmark and consultancy projects within the organisation of Institute of Product...

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

Directory of Open Access Journals (Sweden)

Srečko Devjak

2004-01-01

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

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.

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

Science.gov (United States)

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

2015-02-01

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

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.

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...

Project Portfolio Management Applications Testing

OpenAIRE

Paul POCATILU

2006-01-01

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

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...

Project Portfolio Management Applications Testing

Directory of Open Access Journals (Sweden)

Paul POCATILU

2006-01-01

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

Portfolio 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.

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

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…

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...

Using Google Docs to Enhance the Teacher Work Sample: Building e-Portfolios for Learning and Practice

Science.gov (United States)

Gugino, Jessica

2018-01-01

The use of teaching portfolios in teacher education programs is a widely accepted practice. This article describes how a traditional teacher work sample was transformed using the online platform, Google Docs. The use of online digital portfolios may help to satisfy both the need to evaluate teacher candidates' performance in special education…

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.

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.

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…

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 ...

Acreage portfolio management

International Nuclear Information System (INIS)

Schneider, G.M.

1992-01-01

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

The business impact of an integrated continuous biomanufacturing platform for recombinant protein production.

Science.gov (United States)

Walther, Jason; Godawat, Rahul; Hwang, Chris; Abe, Yuki; Sinclair, Andrew; Konstantinov, Konstantin

2015-11-10

The biotechnology industry primarily uses batch technologies to manufacture recombinant proteins. The natural evolution of other industries has shown that transitioning from batch to continuous processing can yield significant benefits. A quantitative understanding of these benefits is critical to guide the implementation of continuous processing. In this manuscript, we use process economic modeling and Monte Carlo simulations to evaluate an integrated continuous biomanufacturing (ICB) platform and conduct risk-based valuation to generate a probabilistic range of net-present values (NPVs). For a specific ten-year product portfolio, the ICB platform reduces average cost by 55% compared to conventional batch processing, considering both capital and operating expenses. The model predicts that these savings can further increase by an additional 25% in situations with higher-than-expected product demand showing the upward potential of the ICB platform. The ICB platform achieves these savings and corresponding flexibility mainly due to process intensification in both upstream and downstream unit operations. This study demonstrates the promise of continuous bioprocessing while also establishing a novel framework to quantify financial benefits of other platform process technologies. Copyright © 2015 Elsevier B.V. All rights reserved.

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.

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...

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

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...

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.

Portfolio Manager Selection – A Case Study

DEFF Research Database (Denmark)

Christensen, Michael

2017-01-01

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

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

African Journals Online (AJOL)

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

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.

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.

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…

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

Science.gov (United States)

2012-09-11

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

Risk modelling in portfolio optimization

Science.gov (United States)

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

2013-09-01

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

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

Directory of Open Access Journals (Sweden)

Martin Širůček

2015-01-01

Full Text Available This paper is focused on building investment portfolios by using the Markowitz Portfolio Theory (MPT. Derivation based on the Capital Asset Pricing Model (CAPM is used to calculate the weights of individual securities in portfolios. The calculated portfolios include a portfolio copying the benchmark made using the CAPM model, portfolio with low and high beta coefficients, and a random portfolio. Only stocks were selected for the examined sample from all the asset classes. Stocks in each portfolio are put together according to predefined criteria. All stocks were selected from Dow Jones Industrial Average (DJIA index which serves as a benchmark, too. Portfolios were compared based on their risk and return profiles. The results of this work will provide general recommendations on the optimal approach to choose securities for an investor’s portfolio.

Acreage portfolio management

International Nuclear Information System (INIS)

Schneider, Georges

1994-01-01

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

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.

Portfolio management for investment projects in the construction industry

Directory of Open Access Journals (Sweden)

Kozlov Alexander

2017-01-01

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

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.

Digital portfolio for learning: A new communication channel for education

Directory of Open Access Journals (Sweden)

Judit Coromina

2011-04-01

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

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.

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...

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

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.

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

Directory of Open Access Journals (Sweden)

Alexander Abramov

2015-09-01

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

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

OpenAIRE

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

2015-01-01

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

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

OpenAIRE

Širůček, Martin; Křen, Lukáš

2015-01-01

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

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

Directory of Open Access Journals (Sweden)

Mehmet Asutay

2015-04-01

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

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.

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.

2006-03-01

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

Concurrent credit portfolio losses.

Science.gov (United States)

Sicking, Joachim; Guhr, Thomas; Schäfer, Rudi

2018-01-01

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

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

NARCIS (Netherlands)

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

2014-01-01

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

[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.

The electricity portfolio simulation model (EPSim) technical description.

Energy Technology Data Exchange (ETDEWEB)

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

2005-09-01

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

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

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

Science.gov (United States)

2013-04-09

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

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

Towards a reference model for portfolio management for product development

DEFF Research Database (Denmark)

Larsson, Flemming

2006-01-01

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

University, e-portfolio and students: perpetuating a sense of failure?

OpenAIRE

Bardy, Helen; Loveland-Armour, Lorraine; Parkes, Sarah

2016-01-01

Newman University embraces partnership work according to the principles of a pedagogy of partnership, evidenced through development of Student Academic Partnership, Student Research Partnership and Student Community Partnership projects.\\ud \\ud Driving enhancement of digital literacy in its graduates, the Youth and Community Work programme embraced the open source e-portfolio platform Mahara for use on study skills and placement modules. Staff, however, became aware of the difficulties encoun...

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 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...

Parametric Portfolio Selection: Evaluating and Comparing to Markowitz Portfolios

Directory of Open Access Journals (Sweden)

Marcelo C. Medeiros

2014-10-01

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

Developing a Template for Electronic Portfolios in Career and Technical Education

Science.gov (United States)

Fowler, Matthew

2012-01-01

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

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.

Comprehensive Education Portfolio with a Career Focus

Science.gov (United States)

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

2013-01-01

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

A diversified portfolio model of adaptability.

Science.gov (United States)

Chandra, Siddharth; Leong, Frederick T L

2016-12-01

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

Switching portfolios.

Science.gov (United States)

Singer, Y

1997-08-01

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

The Role of e-Portfolios in Supporting Productive Learning

Science.gov (United States)

Yang, Min; Tai, Mui; Lim, Cher Ping

2016-01-01

e-Portfolios are a form of authentic assessment with formative functions that include showcasing and sharing learning artifacts, documenting reflective learning processes, connecting learning across various stages and enabling frequent feedback for improvements. This paper examines how e-portfolios take up these formative roles to support…

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.

Portfolio langagier en francais (Language Portfolios in French).

Science.gov (United States)

Laplante, Bernard; Christiansen, Helen

2001-01-01

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

Portfolio Selection with Jumps under Regime Switching

Directory of Open Access Journals (Sweden)

Lin Zhao

2010-01-01

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

Essays on portfolio choice with Bayesian methods

OpenAIRE

Kebabci, Deniz

2007-01-01

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

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.

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

What Counts as Writing? An Examination of Students' Use of Social Media Platforms as Alternative Authoring Paths

Science.gov (United States)

Stewart, Olivia Grace

2017-01-01

In this article-style dissertation, I explore how students used digital technologies, specifically three social media platforms, as multimodal writing platforms while creating a digital portfolio in a senior English class. These platforms are 1) Weebly pages: a website building platform, 2) Weebly Blogs: a feature of Weebly, and 3) Instagram: a…

Do portfolios have a future?

Science.gov (United States)

Driessen, Erik

2017-03-01

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

Teacher Portfolios.

Science.gov (United States)

Wolfe-Quintero, Kate; Brown, James Dean

1998-01-01

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

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.

Graphalytics: A Big Data Benchmark for Graph-Processing Platforms

NARCIS (Netherlands)

M. Capotă (Mihai); T. Hegeman (Tim); A. Iosup (Alexandru); A. Prat; O. Erling (Orri); P.A. Boncz (Peter)

2015-01-01

htmlabstractGraphs are increasingly used in industry, governance, and science. This has stimulated the appearance of many and diverse graph-processing platforms. Although platform diversity is beneficial, it also makes it very challenging to select the best platform for an application domain or one

Graph processing platforms at scale: practices and experiences

Energy Technology Data Exchange (ETDEWEB)

Lim, Seung-Hwan [ORNL; Lee, Sangkeun (Matt) [ORNL; Brown, Tyler C [ORNL; Sukumar, Sreenivas R [ORNL; Ganesh, Gautam [ORNL

2015-01-01

Graph analysis unveils hidden associations of data in many phenomena and artifacts, such as road network, social networks, genomic information, and scientific collaboration. Unfortunately, a wide diversity in the characteristics of graphs and graph operations make it challenging to find a right combination of tools and implementation of algorithms to discover desired knowledge from the target data set. This study presents an extensive empirical study of three representative graph processing platforms: Pegasus, GraphX, and Urika. Each system represents a combination of options in data model, processing paradigm, and infrastructure. We benchmarked each platform using three popular graph operations, degree distribution, connected components, and PageRank over a variety of real-world graphs. Our experiments show that each graph processing platform shows different strength, depending the type of graph operations. While Urika performs the best in non-iterative operations like degree distribution, GraphX outputforms iterative operations like connected components and PageRank. In addition, we discuss challenges to optimize the performance of each platform over large scale real world graphs.

gProcess and ESIP Platforms for Satellite Imagery Processing over the Grid

Science.gov (United States)

Bacu, Victor; Gorgan, Dorian; Rodila, Denisa; Pop, Florin; Neagu, Gabriel; Petcu, Dana

2010-05-01

The Environment oriented Satellite Data Processing Platform (ESIP) is developed through the SEE-GRID-SCI (SEE-GRID eInfrastructure for regional eScience) co-funded by the European Commission through FP7 [1]. The gProcess Platform [2] is a set of tools and services supporting the development and the execution over the Grid of the workflow based processing, and particularly the satelite imagery processing. The ESIP [3], [4] is build on top of the gProcess platform by adding a set of satellite image processing software modules and meteorological algorithms. The satellite images can reveal and supply important information on earth surface parameters, climate data, pollution level, weather conditions that can be used in different research areas. Generally, the processing algorithms of the satellite images can be decomposed in a set of modules that forms a graph representation of the processing workflow. Two types of workflows can be defined in the gProcess platform: abstract workflow (PDG - Process Description Graph), in which the user defines conceptually the algorithm, and instantiated workflow (iPDG - instantiated PDG), which is the mapping of the PDG pattern on particular satellite image and meteorological data [5]. The gProcess platform allows the definition of complex workflows by combining data resources, operators, services and sub-graphs. The gProcess platform is developed for the gLite middleware that is available in EGEE and SEE-GRID infrastructures [6]. gProcess exposes the specific functionality through web services [7]. The Editor Web Service retrieves information on available resources that are used to develop complex workflows (available operators, sub-graphs, services, supported resources, etc.). The Manager Web Service deals with resources management (uploading new resources such as workflows, operators, services, data, etc.) and in addition retrieves information on workflows. The Executor Web Service manages the execution of the instantiated workflows

Graphalytics : A big data benchmark for graph-processing platforms

NARCIS (Netherlands)

Capota, Mihai; Hegeman, Tim; Iosup, Alexandru; Prat-Pérez, Arnau; Erling, Orri; Boncz, Peter

2015-01-01

Graphs are increasingly used in industry, governance, and science. This has stimulated the appearance of many and diverse graph-processing platforms. Although platform di- versity is beneficial, it also makes it very challenging to select the best platform for an application domain or one of its im-

Decentralized portfolio management

OpenAIRE

Coutinho, Paulo; Tabak, Benjamin Miranda

2003-01-01

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

Sparse and stable Markowitz portfolios.

Science.gov (United States)

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

2009-07-28

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

Dynamic Portfolio Strategy Using Clustering Approach.

Science.gov (United States)

Ren, Fei; Lu, Ya-Nan; Li, Sai-Ping; Jiang, Xiong-Fei; Zhong, Li-Xin; Qiu, Tian

2017-01-01

The problem of portfolio optimization is one of the most important issues in asset management. We here propose a new dynamic portfolio strategy based on the time-varying structures of MST networks in Chinese stock markets, where the market condition is further considered when using the optimal portfolios for investment. A portfolio strategy comprises two stages: First, select the portfolios by choosing central and peripheral stocks in the selection horizon using five topological parameters, namely degree, betweenness centrality, distance on degree criterion, distance on correlation criterion and distance on distance criterion. Second, use the portfolios for investment in the investment horizon. The optimal portfolio is chosen by comparing central and peripheral portfolios under different combinations of market conditions in the selection and investment horizons. Market conditions in our paper are identified by the ratios of the number of trading days with rising index to the total number of trading days, or the sum of the amplitudes of the trading days with rising index to the sum of the amplitudes of the total trading days. We find that central portfolios outperform peripheral portfolios when the market is under a drawup condition, or when the market is stable or drawup in the selection horizon and is under a stable condition in the investment horizon. We also find that peripheral portfolios gain more than central portfolios when the market is stable in the selection horizon and is drawdown in the investment horizon. Empirical tests are carried out based on the optimal portfolio strategy. Among all possible optimal portfolio strategies based on different parameters to select portfolios and different criteria to identify market conditions, 65% of our optimal portfolio strategies outperform the random strategy for the Shanghai A-Share market while the proportion is 70% for the Shenzhen A-Share market.

Dynamic Portfolio Strategy Using Clustering Approach.

Directory of Open Access Journals (Sweden)

Fei Ren

Full Text Available The problem of portfolio optimization is one of the most important issues in asset management. We here propose a new dynamic portfolio strategy based on the time-varying structures of MST networks in Chinese stock markets, where the market condition is further considered when using the optimal portfolios for investment. A portfolio strategy comprises two stages: First, select the portfolios by choosing central and peripheral stocks in the selection horizon using five topological parameters, namely degree, betweenness centrality, distance on degree criterion, distance on correlation criterion and distance on distance criterion. Second, use the portfolios for investment in the investment horizon. The optimal portfolio is chosen by comparing central and peripheral portfolios under different combinations of market conditions in the selection and investment horizons. Market conditions in our paper are identified by the ratios of the number of trading days with rising index to the total number of trading days, or the sum of the amplitudes of the trading days with rising index to the sum of the amplitudes of the total trading days. We find that central portfolios outperform peripheral portfolios when the market is under a drawup condition, or when the market is stable or drawup in the selection horizon and is under a stable condition in the investment horizon. We also find that peripheral portfolios gain more than central portfolios when the market is stable in the selection horizon and is drawdown in the investment horizon. Empirical tests are carried out based on the optimal portfolio strategy. Among all possible optimal portfolio strategies based on different parameters to select portfolios and different criteria to identify market conditions, 65% of our optimal portfolio strategies outperform the random strategy for the Shanghai A-Share market while the proportion is 70% for the Shenzhen A-Share market.

The standard for portfolio management

CERN Document Server

2017-01-01

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

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.

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

Directory of Open Access Journals (Sweden)

Neslihan Fidan Keçeci

2016-10-01

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

Introducing E-Portfolio Use to Primary School Pupils: Response, Benefits and Challenges

Science.gov (United States)

Theodosiadou, Dimitra; Konstantinidis, Angelos

2015-01-01

Electronic portfolios (e-portfolios) have a positive impact on the learning process in a broad range of educational sectors and on learners of all ages. Yet because most e-portfolio-related studies are about their implementation in higher education, this type of research is less usual in the early childhood context, and there is no available…

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.

Process technology for the application of d-amino acid oxidases in pharmaceutical intermediate manufacturing

DEFF Research Database (Denmark)

Tindal, Stuart; Carr, Reuben; Archer, Ian V. J.

2011-01-01

Recent advances in biocatalysis have seen increased interest in the use of D-amino acid oxidase to synthesize optically pure amino acids. However, the creation of a genuine oxidase based platform technology will require suitable process technology as well as an understanding of the challenges...... and opportunities of a wider portfolio of synthetic targets. In this article we address some of the recent progress in process technology to enable the future development of a generic platform technology....

Enhancing Geographic and Digital Literacy with a Student-Generated Course Portfolio in Google Earth

Science.gov (United States)

Guertin, Laura; Stubbs, Christopher; Millet, Christopher; Lee, Tsan-Kuang; Bodek, Matthew

2012-01-01

Google Earth can serve as a platform for students to construct a course ePortfolio. By having students construct their own placemarks in a customized Google Earth file, students document their learning in a geospatial context, learn an innovative use of Google Earth, and have the opportunity for creativity and flexibility with disseminating their…

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

OpenAIRE

Rasiah, Devinaga

2012-01-01

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

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.

Utility portfolio diversification

International Nuclear Information System (INIS)

Griffes, P.H.

1990-01-01

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

A Simulation Approach to Statistical Estimation of Multiperiod Optimal Portfolios

Directory of Open Access Journals (Sweden)

Hiroshi Shiraishi

2012-01-01

Full Text Available This paper discusses a simulation-based method for solving discrete-time multiperiod portfolio choice problems under AR(1 process. The method is applicable even if the distributions of return processes are unknown. We first generate simulation sample paths of the random returns by using AR bootstrap. Then, for each sample path and each investment time, we obtain an optimal portfolio estimator, which optimizes a constant relative risk aversion (CRRA utility function. When an investor considers an optimal investment strategy with portfolio rebalancing, it is convenient to introduce a value function. The most important difference between single-period portfolio choice problems and multiperiod ones is that the value function is time dependent. Our method takes care of the time dependency by using bootstrapped sample paths. Numerical studies are provided to examine the validity of our method. The result shows the necessity to take care of the time dependency of the value function.

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.

Teaching Portfolio

DEFF Research Database (Denmark)

Pedersen, Christian Fischer

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

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...

A MODEL OF HETEROGENEOUS DISTRIBUTED SYSTEM FOR FOREIGN EXCHANGE PORTFOLIO ANALYSIS

Directory of Open Access Journals (Sweden)

Dragutin Kermek

2006-06-01

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

Portfolio optimization with mean-variance model

Science.gov (United States)

Hoe, Lam Weng; Siew, Lam Weng

2016-06-01

Investors wish to achieve the target rate of return at the minimum level of risk in their investment. Portfolio optimization is an investment strategy that can be used to minimize the portfolio risk and can achieve the target rate of return. The mean-variance model has been proposed in portfolio optimization. The mean-variance model is an optimization model that aims to minimize the portfolio risk which is the portfolio variance. The objective of this study is to construct the optimal portfolio using the mean-variance model. The data of this study consists of weekly returns of 20 component stocks of FTSE Bursa Malaysia Kuala Lumpur Composite Index (FBMKLCI). The results of this study show that the portfolio composition of the stocks is different. Moreover, investors can get the return at minimum level of risk with the constructed optimal mean-variance portfolio.

Households' portfolio choices

NARCIS (Netherlands)

Hochgürtel, S.

1998-01-01

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

Research of Snow-Melt Process on a Heated Platform

Directory of Open Access Journals (Sweden)

Vasilyev Gregory P.

2016-01-01

Full Text Available The article has shown the results of experimental researches of the snow-melt on a heated platform-near building heat-pump snow-melt platform. The near-building (yard heat pump platforms for snow melt with the area up to 10-15 m2 are a basis of the new ideology of organization of the street cleaning of Moscow from snow in the winter period which supposes the creation in the megalopolis of the «distributed snow-melt system» (DSMS using non-traditional energy sources. The results of natural experimental researches are presented for the estimation of efficiency of application in the climatic conditions of Moscow of heat pumps in the snow-melt systems. The researches were conducted on a model sample of the near-building heat-pump platform which uses the low-potential thermal energy of atmospheric air. The conducted researches have confirmed experimentally in the natural conditions the possibility and efficiency of using of atmospheric air as a source of low-potential thermal energy for evaporation of the snow-melt heat pump systems in the climatic conditions of Moscow. The results of laboratory researches of snow-melt process on a heated horizontal platform are presented. The researches have revealed a considerable dependence of efficiency of the snow-melt process on its piling mode (form-building and the organization of the process of its piling mode (form-building and the organization of the process of its (snow mass heat exchange with the surface of the heated platform. In the process of researches the effect of formation of an «ice dome» under the melting snow mass called by the fact that in case of the thickness of snow loaded on the platform more than 10 cm the water formed from the melting snow while the contact with the heating surface don’t spread on it, but soaks into the snow, wets it due to capillary effect and freezes. The formation of «ice dome» leads to a sharp increase of snow-melt period and decreases the operating

Acreage portfolio management

International Nuclear Information System (INIS)

Schneider

1992-01-01

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

Parent-Child Portfolios: "Look--This Book Is All about Us!"

Science.gov (United States)

Appl, Dolores J.; Leavitt, Jessica E.; Ryan, Melissa A.

2014-01-01

A team of facilitators describe the process and content of portfolios they create for families attending weekly playgroup sessions based on the philosophy and practices of the Parents Interacting with Infants (PIWI) model. The parent-child portfolios are a form of authentic assessment and highlight children's development within the context of…

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…

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

Directory of Open Access Journals (Sweden)

Abdou Ndoye

2012-09-01

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

12 CFR 347.108 - Portfolio investments.

Science.gov (United States)

2010-01-01

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

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

Science.gov (United States)

Omar, Mayeh Abu

2006-01-01

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

Particle Swarm Optimization of Electricity Market Negotiating Players Portfolio

DEFF Research Database (Denmark)

Pinto, Tiago; Vale, Zita; Sousa, Tiago

2014-01-01

Energy systems worldwide are complex and challenging environments. Multi-agent based simulation platforms are increasing at a high rate, as they show to be a good option to study many issues related to these systems, as well as the involved players at act in this domain. In this scope the authors......, the type of day (business day, weekend, holiday, etc.) and most important, the renewable based distributed generation forecast. The proposed approach is tested and validated using real electricity markets data from the Iberian operator – MIBEL.......’ research group has developed a multi-agent system: MASCEM (Multi- Agent System for Competitive Electricity Markets), which performs realistic simulations of the electricity markets. MASCEM is integrated with ALBidS (Adaptive Learning Strategic Bidding System) that works as a decision support system...... for market players. The ALBidS system allows MASCEM market negotiating players to take the best possible advantages from each market context. However, it is still necessary to adequately optimize the players’ portfolio investment. For this purpose, this paper proposes a market portfolio optimization method...

Portfolio Analysis for Vector Calculus

Science.gov (United States)

Kaplan, Samuel R.

2015-01-01

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

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

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

OpenAIRE

Li, Zejing

2012-01-01

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

The Use of E-Portfolio in a Linear Algebra Course

Science.gov (United States)

Torres, Judit Taberna; García-Planas, María Isabel; Domínguez-García, Santiago

2016-01-01

The use of e-portfolio becomes a standard tool when it comes to learning and student's assessment. This is due to the teachers need for enhancing their students' autonomy. The use of e-portfolio helps students to focus on their own learning process. Lectures should not be limited only to classes, but must foster active learning, and in this…

Biomass Program 2007 Program Peer Review - Feedstock Platform Summary

Energy Technology Data Exchange (ETDEWEB)

none,

2009-10-27

This document discloses the comments provided by a review panel at the U.S. Department of Energy Office of the Biomass Program Peer Review held on November 15-16, 2007 in Baltimore, MD and the Feedstock Platform Portfolio Peer Review held on August 21st through 23rd in Washington D.C.

Using Electronic Portfolios

Science.gov (United States)

Page, Deb

2012-01-01

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

Land-Use Portfolio Modeler, Version 1.0

Science.gov (United States)

Taketa, Richard; Hong, Makiko

2010-01-01

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

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

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

OpenAIRE

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

2016-01-01

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

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

OpenAIRE

Neslihan Fidan Keçeci; Viktor Kuzmenko; Stan Uryasev

2016-01-01

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

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

Science.gov (United States)

Nguyen, Lap Trung; Ikeda, Mitsuru

2015-01-01

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

Portfolio i erhvervsuddannelserne

DEFF Research Database (Denmark)

2008-01-01

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

Portfolio Management

Science.gov (United States)

Duncan, Sharon L.

2011-01-01

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

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.

Structured Strategy for Implementation of the Teaching Portfolio Concept in Japan

Science.gov (United States)

Kurita, Kayoko

2013-01-01

This paper describes a strategy for successfully implementing the teaching portfolio in higher education institutions in Japan. The teaching portfolio has gained recognition in Japan in the last few years as an effective instrument for improving and showcasing teaching performance. It is well known that the implementation process is very important…

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.

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

Directory of Open Access Journals (Sweden)

Gemma TUR

2015-05-01

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

Using a blog as an integrated eLearning tool and platform.

Science.gov (United States)

Goh, Poh Sun

2016-06-01

Technology enhanced learning or eLearning allows educators to expand access to educational content, promotes engagement with students and makes it easier for students to access educational material at a time, place and pace which suits them. The challenge for educators beginning their eLearning journey is to decide where to start, which includes the choice of an eLearning tool and platform. This article will share one educator's decision making process, and experience using blogs as a flexible and versatile integrated eLearning tool and platform. Apart from being a cost effective/free tool and platform, blogs offer the possibility of creating a hyperlinked indexed content repository, for both created and curated educational material; as well as a distribution and engagement tool and platform. Incorporating pedagogically sound activities and educational practices into a blog promote a structured templated teaching process, which can be reproduced. Moving from undergraduate to postgraduate training, educational blogs supported by a comprehensive online case-based repository offer the possibility of training beyond competency towards proficiency and expert level performance through a process of deliberate practice. By documenting educational content and the student engagement and learning process, as well as feedback and personal reflection of educational sessions, blogs can also form the basis for a teaching portfolio, and provide evidence and data of scholarly teaching and educational scholarship. Looking into the future, having a collection of readily accessible indexed hyperlinked teaching material offers the potential to do on the spot teaching with illustrative material called up onto smart surfaces, and displayed on holographic interfaces.

Worst-Case Portfolio Optimization under Stochastic Interest Rate Risk

Directory of Open Access Journals (Sweden)

Tina Engler

2014-12-01

Full Text Available We investigate a portfolio optimization problem under the threat of a market crash, where the interest rate of the bond is modeled as a Vasicek process, which is correlated with the stock price process. We adopt a non-probabilistic worst-case approach for the height and time of the market crash. On a given time horizon [0; T], we then maximize the investor’s expected utility of terminal wealth in the worst-case crash scenario. Our main result is an explicit characterization of the worst-case optimal portfolio strategy for the class of HARA (hyperbolic absolute risk aversion utility functions.

Who’s who in Business Portfolio Restructuring Research: The intellectual structure

Directory of Open Access Journals (Sweden)

Angélica María Sánchez-Riofrío

2017-03-01

Full Text Available There are few studies applying extensive qualitative and quantitative methods for addressing the research into Business Portfolio Restructuring (BPR. The aim of this paper is to identify the main authors, journals and studies that have informed the intellectual platform underpinning BPR as well as identifying the topics that have had the greatest impact. In this study, bibliographic references cited between 1959 and 2012, are analyzed using different bibliometric techniques. Three main results are found: first, the intellectual basis for this field involves a multidisciplinary and multifaceted literature, although the disciplines of finance and management are the principal contributors to research into BPR. Second, authors, journals and papers are identified to track the main framework of portfolio restructuring. Finally, the main forerunners of this study area are corporate strategy, divestitures, diversification and corporate governance. This is a study that contributes not only to the field of strategic management but also to information management.

Noise sensitivity of portfolio selection in constant conditional correlation GARCH models

Science.gov (United States)

Varga-Haszonits, I.; Kondor, I.

2007-11-01

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

Nested MC-Based Risk Measurement of Complex Portfolios: Acceleration and Energy Efficiency

Directory of Open Access Journals (Sweden)

Sascha Desmettre

2016-10-01

Full Text Available Risk analysis and management currently have a strong presence in financial institutions, where high performance and energy efficiency are key requirements for acceleration systems, especially when it comes to intraday analysis. In this regard, we approach the estimation of the widely-employed portfolio risk metrics value-at-risk (VaR and conditional value-at-risk (cVaR by means of nested Monte Carlo (MC simulations. We do so by combining theory and software/hardware implementation. This allows us for the first time to investigate their performance on heterogeneous compute systems and across different compute platforms, namely central processing unit (CPU, many integrated core (MIC architecture XeonPhi, graphics processing unit (GPU, and field-programmable gate array (FPGA. To this end, the OpenCL framework is employed to generate portable code, and the size of the simulations is scaled in order to evaluate variations in performance. Furthermore, we assess different parallelization schemes, and the targeted platforms are evaluated and compared in terms of runtime and energy efficiency. Our implementation also allowed us to derive a new algorithmic optimization regarding the generation of the required random number sequences. Moreover, we provide specific guidelines on how to properly handle these sequences in portable code, and on how to efficiently implement nested MC-based VaR and cVaR simulations on heterogeneous compute systems.

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

Directory of Open Access Journals (Sweden)

Jin Xisong

2018-02-01

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

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

Science.gov (United States)

McKenna, Gary F.; Stansfield, Mark H.

2012-01-01

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

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

Science.gov (United States)

2010-01-01

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

Robust Active Portfolio Management

National Research Council Canada - National Science Library

Erdogan, E; Goldfarb, D; Iyengar, G

2006-01-01

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

Distributed Processing of Sentinel-2 Products using the BIGEARTH Platform

Science.gov (United States)

Bacu, Victor; Stefanut, Teodor; Nandra, Constantin; Mihon, Danut; Gorgan, Dorian

2017-04-01

The constellation of observational satellites orbiting around Earth is constantly increasing, providing more data that need to be processed in order to extract meaningful information and knowledge from it. Sentinel-2 satellites, part of the Copernicus Earth Observation program, aim to be used in agriculture, forestry and many other land management applications. ESA's SNAP toolbox can be used to process data gathered by Sentinel-2 satellites but is limited to the resources provided by a stand-alone computer. In this paper we present a cloud based software platform that makes use of this toolbox together with other remote sensing software applications to process Sentinel-2 products. The BIGEARTH software platform [1] offers an integrated solution for processing Earth Observation data coming from different sources (such as satellites or on-site sensors). The flow of processing is defined as a chain of tasks based on the WorDeL description language [2]. Each task could rely on a different software technology (such as Grass GIS and ESA's SNAP) in order to process the input data. One important feature of the BIGEARTH platform comes from this possibility of interconnection and integration, throughout the same flow of processing, of the various well known software technologies. All this integration is transparent from the user perspective. The proposed platform extends the SNAP capabilities by enabling specialists to easily scale the processing over distributed architectures, according to their specific needs and resources. The software platform [3] can be used in multiple configurations. In the basic one the software platform runs as a standalone application inside a virtual machine. Obviously in this case the computational resources are limited but it will give an overview of the functionalities of the software platform, and also the possibility to define the flow of processing and later on to execute it on a more complex infrastructure. The most complex and robust

Universal portfolios generated by the Bregman divergence

Science.gov (United States)

Tan, Choon Peng; Kuang, Kee Seng

2017-04-01

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

Dynamic Portfolio Optimization with Transaction Costs and State-Dependent Drift

DEFF Research Database (Denmark)

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

2015-01-01

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

Different Variants of Fundamental Portfolio

Directory of Open Access Journals (Sweden)

Tarczyński Waldemar

2014-06-01

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

A Mean variance analysis of arbitrage portfolios

Science.gov (United States)

Fang, Shuhong

2007-03-01

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

Patent portfolio management: literature review and a proposed model.

Science.gov (United States)

Conegundes De Jesus, Camila Kiyomi; Salerno, Mario Sergio

2018-05-09

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

Adaptive Soa Stack-Based Business Process Monitoring Platform

Directory of Open Access Journals (Sweden)

Przemysław Dadel

2014-01-01

Full Text Available Executable business processes that formally describe company activities are well placed in the SOA environment as they allow for declarative organization of high-level system logic.However, for both technical and non-technical users, to fully benet from that element of abstractionappropriate business process monitoring systems are required and existing solutions remain unsatisfactory.The paper discusses the problem of business process monitoring in the context of the service orientation paradigm in order to propose an architectural solution and provide implementation of a system for business process monitoring that alleviates the shortcomings of the existing solutions.Various platforms are investigated to obtain a broader view of the monitoring problem and to gather functional and non-functional requirements. These requirements constitute input forthe further analysis and the system design. The monitoring software is then implemented and evaluated according to the specied criteria.An extensible business process monitoring system was designed and built on top of OSGiMM - a dynamic, event-driven, congurable communications layer that provides real-time monitoring capabilities for various types of resources. The system was tested against the stated functional requirements and its implementation provides a starting point for the further work.It is concluded that providing a uniform business process monitoring solution that satises a wide range of users and business process platform vendors is a dicult endeavor. It is furthermore reasoned that only an extensible, open-source, monitoring platform built on top of a scalablecommunication core has a chance to address all the stated and future requirements.

E-Portfolio improving learning in methematics pre-service teacher

Directory of Open Access Journals (Sweden)

Marcelo Almeida

2012-06-01

Full Text Available This research is focused on dimensions of mathematical thinking among preservice teachers learning through the use of e-Portfolios. The data came from portfolios created and reconstructed by future mathematics teachers. Their process of reviewing and republishing pages through the Internet was constantly saved and reviewed in turn by the researchers. Seven case studies were conducted. Results stress the importance of the use of ICT by pre-service teachers as an interface to become more reflective about their learning and to improve their knowledge. Besides being a tool to recognize different dimensions (technological, conceptual and communicative the e-Portfolios were a powerful resource for creating, publicizing ideas, and learning mathematics in different ways. The article also presents some methodological issues

[Development and validation of a questionnaire on perception of portfolio by undergraduate medical students].

Science.gov (United States)

Riquelme, Arnoldo; Méndez, Benjamín; de la Fuente, Paloma; Padilla, Oslando; Benaglio, Carla; Sirhan, Marisol; Labarca, Jaime

2011-01-01

Portfolio is an innovative instrument that promotes reflection, creativity and professionalism among students. To describe the development and validation process of a questionnaire to evaluate the use of portfolio in undergraduate medical students. Focus groups with students and teachers were employed to identify aspects related with portfolio in undergraduate teaching. The Delphi technique was used to prioritize relevant aspects and construct the questionnaire. The validated questionnaire, consisting of 43 items and 6 factors, was applied to 97 students (response rote of 99.9%) in 2007 and 100 students (99.2%) in 2008. Each question had to be answered using a Likert scale, from 0 (completely disagree) to 4 (completely agree) The validity and reliability of the questionnaire was evaluated. The questionnaire showed a high reliability (Cronbach alpha = 0.9). The mean total scores obtained in 2007 and 2008 were 106.2 ± 21.2 (61.7% of the maximal obtainable score) and 104.6 ± 34.0 (60.8% of the maximal obtainable score), respectively No significant differences were seen in the analysis by factors. Changes in portfolio during 2008 showed differences in items related with organization, evaluation and regulation. The questionnaire is a valid and highly reliable instrument, measuring perceptions about the portfolio by undergraduate medical students. The students perceived an improvement in their creativity and professionalism as one of the strengths of portfolio. The weaknesses identified during the implementation process helped us to focus changes in organization and evaluation to improve the portfolio as a dynamic process.

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.

Purchasing portfolio usage and purchasing sophistication

NARCIS (Netherlands)

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

2005-01-01

Purchasing portfolio models have caused considerable controversy in literature. Many advantages and disadvantages have been put forward, revealing a strong disagreement on the merits of portfolio models. This study addresses the question whether or not the use of purchasing portfolio models should

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.

Household portfolios and implicit risk aversion

NARCIS (Netherlands)

Bucciol, A.; Miniaci, R.

2008-01-01

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

Hierarchical Portfolio Management: Theory and Applications

NARCIS (Netherlands)

H. Ning (Haikun)

2007-01-01

textabstractUnder his own preference, how should an investor coordinate the asset managers such that his aggregated portfolio is optimized? The efficiency of each managed sub portfolio and the aggregation of all the sub portfolios are the 2 main underlying problems considered in this dissertation.

Quantitative investment strategies and portfolio management

NARCIS (Netherlands)

Guo, J.

2012-01-01

This book contains three essays on alternative investments and portfolio management. Taking from a portfolio investor’s perspective, the first essay analyzes the portfolio implication of investing in hedge funds when there is a hedge fund lockup period. The second essay studies the investment

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

Directory of Open Access Journals (Sweden)

Meng Kay Ling

2016-05-01

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

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

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.

Transaction fees and optimal rebalancing in the growth-optimal portfolio

Science.gov (United States)

Feng, Yu; Medo, Matúš; Zhang, Liang; Zhang, Yi-Cheng

2011-05-01

The growth-optimal portfolio optimization strategy pioneered by Kelly is based on constant portfolio rebalancing which makes it sensitive to transaction fees. We examine the effect of fees on an example of a risky asset with a binary return distribution and show that the fees may give rise to an optimal period of portfolio rebalancing. The optimal period is found analytically in the case of lognormal returns. This result is consequently generalized and numerically verified for broad return distributions and returns generated by a GARCH process. Finally we study the case when investment is rebalanced only partially and show that this strategy can improve the investment long-term growth rate more than optimization of the rebalancing period.

Optimal Investment Under Transaction Costs: A Threshold Rebalanced Portfolio Approach

Science.gov (United States)

Tunc, Sait; Donmez, Mehmet Ali; Kozat, Suleyman Serdar

2013-06-01

We study optimal investment in a financial market having a finite number of assets from a signal processing perspective. We investigate how an investor should distribute capital over these assets and when he should reallocate the distribution of the funds over these assets to maximize the cumulative wealth over any investment period. In particular, we introduce a portfolio selection algorithm that maximizes the expected cumulative wealth in i.i.d. two-asset discrete-time markets where the market levies proportional transaction costs in buying and selling stocks. We achieve this using "threshold rebalanced portfolios", where trading occurs only if the portfolio breaches certain thresholds. Under the assumption that the relative price sequences have log-normal distribution from the Black-Scholes model, we evaluate the expected wealth under proportional transaction costs and find the threshold rebalanced portfolio that achieves the maximal expected cumulative wealth over any investment period. Our derivations can be readily extended to markets having more than two stocks, where these extensions are pointed out in the paper. As predicted from our derivations, we significantly improve the achieved wealth over portfolio selection algorithms from the literature on historical data sets.

Portfolio insurance using traded options

OpenAIRE

Machado-Santos, Carlos

2001-01-01

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

Minimum Variance Portfolios in the Brazilian Equity Market

Directory of Open Access Journals (Sweden)

Alexandre Rubesam

2013-03-01

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

PSN: Portfolio Social Network

DEFF Research Database (Denmark)

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

2014-01-01

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

Sygeplejestuderendes brug af portfolio i klinisk undervisning

DEFF Research Database (Denmark)

Hjorth, Anne Charlotte Overgaard; Bruhn, Helle

2014-01-01

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

An Asset Protection Scheme for Banks Exposed to Troubled Loan Portfolios

DEFF Research Database (Denmark)

Grosen, Anders; Jessen, Pernille; Kokholm, Thomas

2014-01-01

We examine a specific portfolio credit derivative, an Asset Protection Scheme (APS), and its applicability as a discretionary regulatory tool to reduce asymmetric information and help restore the capital base of troubled banks. The APS can be a fair-valued contract with an appropriate structure...... of incentives. We apply two alternative multivariate structural default risk models: the classical Gaussian Merton model and a model based on Normal Inverse Gaussian processes. Using a data set on annual farm level data from 1996 to 2009, we use the Danish agricultural sector as a case study and price an APS...... on an agricultural loan portfolio. We compute the economic capital for this loan portfolio with and without an APS. Moreover, we illustrate how model risk in the form of parameter uncertainty is reduced when an APS is attached to the loan portfolio....

Cluster analysis for portfolio optimization

OpenAIRE

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

2005-01-01

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

Constant Proportion Portfolio Insurance

DEFF Research Database (Denmark)

Jessen, Cathrine

2014-01-01

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

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.

THE USE OF E-PORTFOLIO TO DEVELOP ENGLISH LANGUAGE LEARNERS' AUTONOMY AND INDEPENDENCE

Directory of Open Access Journals (Sweden)

Oksana I. Ivanova

2017-09-01

Full Text Available This paper discusses the findings of a research study concerning the use of e-portfolios to develop learners' autonomy and independence, from the perspectives of teachers and students participating in this study. The findings demonstrate many of the benefits of e-portfolio practice regarding learners’ increased sense of ownership, teacher and peer feedback, enriched learning experience at both individual and technological levels, enhanced opportunity for self-improvement and increased awareness of the learning process. Despite many positive aspects of e-portfolios use, the study reveals some challenges facing students, teachers and support staff, mainly connected with technical problems and Internet access, and the necessity for teachers and learners to change their roles to become more independent in the learning process. The author concludes that e-portfolio is a promising tool to stimulate and challenge students to become independent and self-regulated learners that should be implemented in English language learning at higher educational institutions.

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

Science.gov (United States)

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

2015-01-01

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

Performance of the reverse Helmbold universal portfolio

Science.gov (United States)

Tan, Choon Peng; Kuang, Kee Seng; Lee, Yap Jia

2017-04-01

The universal portfolio is an important investment strategy in a stock market where no stochastic model is assumed for the stock prices. The zero-gradient set of the objective function estimating the next-day portfolio which contains the reverse Kullback-Leibler order-alpha divergence is considered. From the zero-gradient set, the explicit, reverse Helmbold universal portfolio is obtained. The performance of the explicit, reverse Helmbold universal portfolio is studied by running them on some stock-price data sets from the local stock exchange. It is possible to increase the wealth of the investor by using these portfolios in investment.

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

Directory of Open Access Journals (Sweden)

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.

Æstetik og portfolio

DEFF Research Database (Denmark)

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

2017-01-01

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

Specific patterns in portfolio analysis

Directory of Open Access Journals (Sweden)

Gabriela Victoria ANGHELACHE

2013-11-01

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

Modern Portfolio Theory: Some Main Results

OpenAIRE

Müller, Heinz H.

2017-01-01

This article summarizes some main results in modern portfolio theory. First, the Markowitz approach is presented. Then the capital asset pricing model is derived and its empirical testability is discussed. Afterwards Neumann-Morgenstern utility theory is applied to the portfolio problem. Finally, it is shown how optimal risk allocation in an economy may lead to portfolio insurance

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.

The Role of Agribusiness Assets in Investment Portfolios

OpenAIRE

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

2006-01-01

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

An ultra-efficient nonlinear planar integrated platform for optical signal processing and generation

DEFF Research Database (Denmark)

Pu, Minhao; Ottaviano, Luisa; Semenova, Elizaveta

2017-01-01

This paper will discuss the recently developed integrated platform: AlGaAs-oninsulator and its broad range of nonlinear applications. Recent demonstrations of broadband optical signal processing and efficient frequency comb generations in this platform will be reviewed.......This paper will discuss the recently developed integrated platform: AlGaAs-oninsulator and its broad range of nonlinear applications. Recent demonstrations of broadband optical signal processing and efficient frequency comb generations in this platform will be reviewed....

Modeling process platforms based on an object-oriented visual diagrammatic modeling language

NARCIS (Netherlands)

Zhang, L.

2009-01-01

Process platforms have been recognised as a promising means of dealing with product variety while achieving a near mass production efficiency. To assist practitioners to better understand, implement and use process platforms, this study addresses the underlying logic for coping with the challenges

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.

Ant colony algorithm for clustering in portfolio optimization

Science.gov (United States)

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

2018-03-01

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

Financial Advice and Individual Investor Portfolio Performance

NARCIS (Netherlands)

Kramer, M.M.

2012-01-01

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

Decentralized Portfolio Management

Directory of Open Access Journals (Sweden)

Benjamin Miranda Tabak

2003-12-01

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

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.

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

International Nuclear Information System (INIS)

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

2014-10-01

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

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...

Optimal Premium Pricing for a Heterogeneous Portfolio of Insurance Risks

OpenAIRE

Pantelous, Athanasios A.; Frangos, Nicholas E.; Zimbidis, Alexandros A.

2009-01-01

The paper revisits the classical problem of premium rating within a heterogeneous portfolio of insurance risks using a continuous stochastic control framework. The portfolio is divided into several classes where each class interacts with the others. The risks are modelled dynamically by the means of a Brownian motion. This dynamic approach is also transferred to the design of the premium process. The premium is not constant but equals the drift of the Brownian motion plus a controlled percent...

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...

12 CFR 1252.1 - Enterprise portfolio holding criteria.

Science.gov (United States)

2010-01-01

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

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

The big data processing platform for intelligent agriculture

Science.gov (United States)

Huang, Jintao; Zhang, Lichen

2017-08-01

Big data technology is another popular technology after the Internet of Things and cloud computing. Big data is widely used in many fields such as social platform, e-commerce, and financial analysis and so on. Intelligent agriculture in the course of the operation will produce large amounts of data of complex structure, fully mining the value of these data for the development of agriculture will be very meaningful. This paper proposes an intelligent data processing platform based on Storm and Cassandra to realize the storage and management of big data of intelligent agriculture.

Mean-Reverting Portfolio With Budget Constraint

Science.gov (United States)

Zhao, Ziping; Palomar, Daniel P.

2018-05-01

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

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

Science.gov (United States)

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

2008-01-01

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

Vast Portfolio Selection with Gross-exposure Constraints().

Science.gov (United States)

Fan, Jianqing; Zhang, Jingjin; Yu, Ke

2012-01-01

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

Designing Modern Equity Portfolios

OpenAIRE

Ronald Jean Degen

2011-01-01

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

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.

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

Directory of Open Access Journals (Sweden)

Chaoqun Ma

2015-01-01

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

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

Directory of Open Access Journals (Sweden)

Bijan Beheshti

2018-05-01

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

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.

Digital portfolio in building teaching efficacy of pre-service teachers

Directory of Open Access Journals (Sweden)

Cimermanová Ivana

2015-01-01

Full Text Available The paper discusses the role of e-portfolio in the development of reflective thinking in a group of pre-service English as a foreign language teachers. It stresses the benefits it can bring (e.g. autonomous learning, cooperative learning - the author highlights the social context of e-portfolio as well as presents the threats and risks it might bring based on the own experience of the author. The results of this case study showed that the process of e-portfolio building can enhance professional development, self-confidence and the ability to self-reflect own work and progress. The author indicates also the possibilities of its use not only in the groups of pre-service teacher trainers but also in the groups of in-service teachers.

Managing R&D Alliance Portfolios

DEFF Research Database (Denmark)

Engel Nielsen, Lars; Mahnke, Volker

2003-01-01

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

The 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.

The Finite and Moving Order Multinomial Universal Portfolio

International Nuclear Information System (INIS)

Tan, Choon Peng; Pang, Sook Theng

2013-01-01

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

Correlation risk and optimal portfolio choice

OpenAIRE

Buraschi, Andrea; Porchia, Paolo; Trojani, Fabio

2010-01-01

We develop a new framework for multivariate intertemporal portfolio choice that allows us to derive optimal portfolio implications for economies in which the degree of correlation across industries, countries, or asset classes is stochastic. Optimal portfolios include distinct hedging components against both stochastic volatility and correlation risk. We find that the hedging demand is typically larger than in univariate models, and it includes an economically significant covariance hedging...

Essays on Rational Portfolio Theory

DEFF Research Database (Denmark)

Nielsen, Simon Ellersgaard

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

Digital Portfolio: a Strategy for Teachers Professional Development

Directory of Open Access Journals (Sweden)

R. Jans

2008-03-01

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

Parametric Portfolio Policies with Common Volatility Dynamics

DEFF Research Database (Denmark)

Ergemen, Yunus Emre; Taamouti, Abderrahim

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

Vast Portfolio Selection with Gross-exposure Constraints*

Science.gov (United States)

Fan, Jianqing; Zhang, Jingjin; Yu, Ke

2012-01-01

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

Portfolio optimization retail investor

Directory of Open Access Journals (Sweden)

I. А. Kiseleva

2016-01-01

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

Portfolio optimization and performance evaluation

DEFF Research Database (Denmark)

Juhl, Hans Jørn; Christensen, Michael

2013-01-01

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

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

Directory of Open Access Journals (Sweden)

Дмитро Сергійович Богач

2016-03-01

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

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.

Using Electronic Portfolios for Second Language Assessment

Science.gov (United States)

Cummins, Patricia W.; Davesne, Celine

2009-01-01

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

Decision-support tool for assessing future nuclear reactor generation portfolios

International Nuclear Information System (INIS)

Jain, Shashi; Roelofs, Ferry; Oosterlee, Cornelis W.

2014-01-01

Capital costs, fuel, operation and maintenance (O and M) costs, and electricity prices play a key role in the economics of nuclear power plants. Often standardized reactor designs are required to be locally adapted, which often impacts the project plans and the supply chain. It then becomes difficult to ascertain how these changes will eventually reflect in costs, which makes the capital costs component of nuclear power plants uncertain. Different nuclear reactor types compete economically by having either lower and less uncertain construction costs, increased efficiencies, lower and less uncertain fuel cycles and O and M costs etc. The decision making process related to nuclear power plants requires a holistic approach that takes into account the key economic factors and their uncertainties. We here present a decision-support tool that satisfactorily takes into account the major uncertainties in the cost elements of a nuclear power plant, to provide an optimal portfolio of nuclear reactors. The portfolio so obtained, under our model assumptions and the constraints considered, maximizes the combined returns for a given level of risk or uncertainty. These decisions are made using a combination of real option theory and mean–variance portfolio optimization. - Highlights: • Decisions to continue or abandon the construction of NPPs • Mean–variance portfolio of nuclear reactors • Sensitivity study of mean–variance portfolio of nuclear reactors

Robust Portfolio Optimization Using Pseudodistances

Science.gov (United States)

2015-01-01

The presence of outliers in financial asset returns is a frequently occurring phenomenon which may lead to unreliable mean-variance optimized portfolios. This fact is due to the unbounded influence that outliers can have on the mean returns and covariance estimators that are inputs in the optimization procedure. In this paper we present robust estimators of mean and covariance matrix obtained by minimizing an empirical version of a pseudodistance between the assumed model and the true model underlying the data. We prove and discuss theoretical properties of these estimators, such as affine equivariance, B-robustness, asymptotic normality and asymptotic relative efficiency. These estimators can be easily used in place of the classical estimators, thereby providing robust optimized portfolios. A Monte Carlo simulation study and applications to real data show the advantages of the proposed approach. We study both in-sample and out-of-sample performance of the proposed robust portfolios comparing them with some other portfolios known in literature. PMID:26468948

Does health affect portfolio choice?

Science.gov (United States)

Love, David A; Smith, Paul A

2010-12-01

A number of recent studies find that poor health is empirically associated with a safer portfolio allocation. It is difficult to say, however, whether this relationship is truly causal. Both health status and portfolio choice are influenced by unobserved characteristics such as risk attitudes, impatience, information, and motivation, and these unobserved factors, if not adequately controlled for, can induce significant bias in the estimates of asset demand equations. Using the 1992-2006 waves of the Health and Retirement Study, we investigate how much of the connection between health and portfolio choice is causal and how much is due to the effects of unobserved heterogeneity. Accounting for unobserved heterogeneity with fixed effects and correlated random effects models, we find that health does not appear to significantly affect portfolio choice among single households. For married households, we find a small effect (about 2-3 percentage points) from being in the lowest of five self-reported health categories. Copyright © 2009 John Wiley & Sons, Ltd.

Robust Portfolio Optimization Using Pseudodistances.

Science.gov (United States)

Toma, Aida; Leoni-Aubin, Samuela

2015-01-01

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

The type k universal portfolio generated by the f-divergence

Science.gov (United States)

Tan, Choon Peng; Seng, Kuang Kee

2017-11-01

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

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.

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…

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.

Performance of finite order distribution-generated universal portfolios

Science.gov (United States)

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

2017-04-01

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

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.

Reflection during Portfolio-Based Conversations

Science.gov (United States)

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

2010-01-01

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

Portfolio optimisation for hydropower producers that balances riverine ecosystem protection and producer needs

Science.gov (United States)

Yin, X. A.; Yang, Z. F.; Liu, C. L.

2014-04-01

In deregulated electricity markets, hydropower portfolio design has become an essential task for producers. The previous research on hydropower portfolio optimisation focused mainly on the maximisation of profits but did not take into account riverine ecosystem protection. Although profit maximisation is the major objective for producers in deregulated markets, protection of riverine ecosystems must be incorporated into the process of hydropower portfolio optimisation, especially against a background of increasing attention to environmental protection and stronger opposition to hydropower generation. This research seeks mainly to remind hydropower producers of the requirement of river protection when they design portfolios and help shift portfolio optimisation from economically oriented to ecologically friendly. We establish a framework to determine the optimal portfolio for a hydropower reservoir, accounting for both economic benefits and ecological needs. In this framework, the degree of natural flow regime alteration is adopted as a constraint on hydropower generation to protect riverine ecosystems, and the maximisation of mean annual revenue is set as the optimisation objective. The electricity volumes assigned in different electricity submarkets are optimised by the noisy genetic algorithm. The proposed framework is applied to China's Wangkuai Reservoir to test its effectiveness. The results show that the new framework could help to design eco-friendly portfolios that can ensure a planned profit and reduce alteration of the natural flow regime.

ePortfolio & learning styles in Nursing Education

DEFF Research Database (Denmark)

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

2012-01-01

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

Beating the market with small portfolios: Evidence from Brazil

Directory of Open Access Journals (Sweden)

André A.P. Santos

2015-01-01

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

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

Science.gov (United States)

2010-01-01

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

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.

Analysis of the energy portfolio for electricity generation

International Nuclear Information System (INIS)

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

2016-09-01

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

Issues in the determination of the optimal portfolio of electricity supply options

International Nuclear Information System (INIS)

Hickey, Emily A.; Lon Carlson, J.; Loomis, David

2010-01-01

In recent years a growing amount of attention has been focused on the need to develop a cost-effective portfolio of electricity supply options that provides society with a measure of protection from such factors as fuel price volatility and supply interruptions. A number of strategies, including portfolio theory, real options theory, and different measures of diversity have been suggested. In this paper we begin by first considering how we might characterize an optimal portfolio of supply options and identify a number of constraints that must be satisfied as part of the optimization process. We then review the strengths and limitations of each approach listed above. The results of our review lead us to conclude that, of the strategies we consider, using the concept of diversity to assess the viability of an electricity supply portfolio is most appropriate. We then provide an example of how a particular measure of diversity, the Shannon-Weiner Index, can be used to assess the diversity of the electricity supply portfolio in the state of Illinois, the region served by the Midwest Independent System Operator (MISO), and the continental United States.

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

Science.gov (United States)

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

2014-12-01

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

Growth Optimal Portfolio Selection Under Proportional Transaction Costs with Obligatory Diversification

International Nuclear Information System (INIS)

Duncan, T.; Pasik Duncan, B.; Stettner, L.

2011-01-01

A continuous time long run growth optimal or optimal logarithmic utility portfolio with proportional transaction costs consisting of a fixed proportional cost and a cost proportional to the volume of transaction is considered. The asset prices are modeled as exponent of diffusion with jumps whose parameters depend on a finite state Markov process of economic factors. An obligatory portfolio diversification is introduced, accordingly to which it is required to invest at least a fixed small portion of our wealth in each asset.

An integrated biotechnology platform for developing sustainable chemical processes.

Science.gov (United States)

Barton, Nelson R; Burgard, Anthony P; Burk, Mark J; Crater, Jason S; Osterhout, Robin E; Pharkya, Priti; Steer, Brian A; Sun, Jun; Trawick, John D; Van Dien, Stephen J; Yang, Tae Hoon; Yim, Harry

2015-03-01

Genomatica has established an integrated computational/experimental metabolic engineering platform to design, create, and optimize novel high performance organisms and bioprocesses. Here we present our platform and its use to develop E. coli strains for production of the industrial chemical 1,4-butanediol (BDO) from sugars. A series of examples are given to demonstrate how a rational approach to strain engineering, including carefully designed diagnostic experiments, provided critical insights about pathway bottlenecks, byproducts, expression balancing, and commercial robustness, leading to a superior BDO production strain and process.

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…

Large deviations and portfolio optimization

Science.gov (United States)

Sornette, Didier

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

Professionalism, Portfolios and the Development of School Leaders.

Science.gov (United States)

Wildy, Helen; Wallace, John

1998-01-01

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

Selection of a portfolio of R & D projects

NARCIS (Netherlands)

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

2013-01-01

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

ALPHA-BETA SEPARATION PORTFOLIO STRATEGIES FOR ISLAMIC FINANCE

OpenAIRE

Valentyn Khokhlov

2016-01-01

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

[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.

Deformed exponentials and portfolio selection

Science.gov (United States)

Rodrigues, Ana Flávia P.; Guerreiro, Igor M.; Cavalcante, Charles Casimiro

In this paper, we present a method for portfolio selection based on the consideration on deformed exponentials in order to generalize the methods based on the gaussianity of the returns in portfolio, such as the Markowitz model. The proposed method generalizes the idea of optimizing mean-variance and mean-divergence models and allows a more accurate behavior for situations where heavy-tails distributions are necessary to describe the returns in a given time instant, such as those observed in economic crises. Numerical results show the proposed method outperforms the Markowitz portfolio for the cumulated returns with a good convergence rate of the weights for the assets which are searched by means of a natural gradient algorithm.

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

Science.gov (United States)

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

2018-05-01

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

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.

Optimal diversification of the securities portfolio

Directory of Open Access Journals (Sweden)

Валентина Михайловна Андриенко

2016-09-01

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

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.

Technology Audit: Assessment of Innovative Portfolio

Directory of Open Access Journals (Sweden)

Kurushina Viktoria

2016-01-01

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

Validity of portfolio assessment: which qualities determine ratings?

NARCIS (Netherlands)

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

2006-01-01

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

Portfolio at Tertiary Level – Lifelong Learning Tool

Directory of Open Access Journals (Sweden)

Galina Kavaliauskienė

2011-04-01

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

The Shapley decomposition for portfolio risk

OpenAIRE

Stéphane Mussard; Virginie Terraza

2006-01-01

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

Automatic Trading Agent. RMT Based Portfolio Theory and Portfolio Selection

Science.gov (United States)

Snarska, M.; Krzych, J.

2006-11-01

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

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

Directory of Open Access Journals (Sweden)

Ion STANCU

2010-04-01

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

Portfolio Development in Teacher Education and Educational Leadership.

Science.gov (United States)

Biddle, James

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

The true invariant of an arbitrage free portfolio

Science.gov (United States)

Schmidt, Anatoly B.

2003-03-01

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

Examining portfolio-based assessment in an upper-level biology course

Science.gov (United States)

Ziegler, Brittany Ann

Historically, students have been viewed as empty vessels and passive participants in the learning process but students actually are active forming their own conceptions. One way student learning is impacted is through assessment. Alternative assessment, which contrasts traditional assessment methods, takes into account how students learn by promoting engagement and construction of knowledge This dissertation explores portfolio-based assessment, a method of alternative assessment, which requires students to compose a purposeful collection of work demonstrating their knowledge in an upper-level biology course. The research objectives include characterizing and contributing to the understanding of portfolio-based assessment in higher education, examining reflection and inquiry portfolio components, determining student knowledge of biological concepts, and investigating student integrative thinking through the transformation of reflections into concept webs One main finding includes the majority of reflections categorized as naive or novice in quality. There was no difference in quality of reflections among biological topic. There was a relatively equal amount of high and low cognitive level questions. Students' knowledge of biological concepts significantly increased from the beginning to end of the course. Student written reflections were transformed into concept webs to allow for examination of student integrative thinking. Concepts, relationships, and interconnections in concept webs showed variation but declined by the end of the semester This study is one of the first examining portfolio-based assessment in an upper-level biology course We do not contend that this method of assessment is the only way to promote student learning but portfolio-based assessment may be a tool that can transform science education but currently the role of portfolio-based assessment in science education remains unclear. Additional research needs to be conducted before we will fully

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...

An electronic portfolio for quantitative assessment of surgical skills in undergraduate medical education.

Science.gov (United States)

Sánchez Gómez, Serafín; Ostos, Elisa María Cabot; Solano, Juan Manuel Maza; Salado, Tomás Francisco Herrero

2013-05-06

the maximum scores for participation as an observer or assistant. Medical students reported that use of an electronic portfolio that provided quantitative feedback on their progress was useful when the number and complexity of targets were appropriate, but not when the portfolio offered only formative evaluations based on reflection. Students felt that use of the e-Portfolio guided their learning process by indicating knowledge gaps to themselves and teachers.

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.

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...

Multi-Period Portfolio Optimization of Power Generation Assets

Directory of Open Access Journals (Sweden)

Barbara Glensk

2013-01-01

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

Real-Time Audio Processing on the T-CREST Multicore Platform

DEFF Research Database (Denmark)

Ausin, Daniel Sanz; Pezzarossa, Luca; Schoeberl, Martin

2017-01-01

of the audio signal. This paper presents a real-time multicore audio processing system based on the T-CREST platform. T-CREST is a time-predictable multicore processor for real-time embedded systems. Multiple audio effect tasks have been implemented, which can be connected together in different configurations...... forming sequential and parallel effect chains, and using a network-onchip for intercommunication between processors. The evaluation of the system shows that real-time processing of multiple effect configurations is possible, and that the estimation and control of latency ensures real-time behavior.......Multicore platforms are nowadays widely used for audio processing applications, due to the improvement of computational power that they provide. However, some of these systems are not optimized for temporally constrained environments, which often leads to an undesired increase in the latency...

Portfolio Αssessment of Speaking Skills in English as a Foreign Language in Primary Education

Directory of Open Access Journals (Sweden)

Georgia Efthymiou

2012-02-01

Full Text Available This study focuses on the assessment of speaking skills with reference to young learners. This is achieved by using an alternative method of assessment, namely portfolios. The general aim is to introduce learners’ to portfolio assessment of their speaking skills and to promote further learning and autonomy making, thus, learning and assessment coexist in a non-threatening mode. Three methodological tools are used for this research; a needs analysis questionnaire addressing the pupils��� needs of the fifth grade of a Greek primary school, the European Portfolio of Languages (ELP - used in tandem with the oral portfolio Dossier - and a final evaluation questionnaire given to the pupils after the completion of the oral portfolio project. Based on the statistical analysis of pupils’ evaluation results and the teacher’s observation throughout the school year, it is evident that the oral portfolio denotes a time-consuming and laborious assessment process. Nevertheless, the pupils see it as an interesting experience and are willing to use it again in the future. In conclusion, students’ portfolios are an innovative method of assessment that can actually promote the development of speaking skills and young learners’ metacognitive strategies in the EFL classroom, and raise their interest in learning.

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...

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.

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.

On the microeconomic problems studied by portfolio theory

Science.gov (United States)

Nikonov, Oleg; Medvedeva, Marina

2012-09-01

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

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

Science.gov (United States)

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

2010-01-01

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

Portfolios with nonlinear constraints and spin glasses

Science.gov (United States)

Gábor, Adrienn; Kondor, I.

1999-12-01

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

R functions development for stockPortfolio package

OpenAIRE

Luo, Rui

2013-01-01

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

Optimal portfolio choice under loss aversion

NARCIS (Netherlands)

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

2000-01-01

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

Random matrix theory filters and currency portfolio optimisation

Science.gov (United States)

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

2010-04-01

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

RISK MANAGEMENT OF INVESTMENT PORTFOLIO BY FUTURE

Directory of Open Access Journals (Sweden)

K. Kerimov Alexandr

2017-01-01

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

Portfolio analysis of layered security measures.

Science.gov (United States)

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

2015-03-01

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

Does asymmetric correlation affect portfolio optimization?

Science.gov (United States)

Fryd, Lukas

2017-07-01

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

Mean-variance portfolio optimization by using time series approaches based on logarithmic utility function

Science.gov (United States)

Soeryana, E.; Fadhlina, N.; Sukono; Rusyaman, E.; Supian, S.

2017-01-01

Investments in stocks investors are also faced with the issue of risk, due to daily price of stock also fluctuate. For minimize the level of risk, investors usually forming an investment portfolio. Establishment of a portfolio consisting of several stocks are intended to get the optimal composition of the investment portfolio. This paper discussed about optimizing investment portfolio of Mean-Variance to stocks by using mean and volatility is not constant based on logarithmic utility function. Non constant mean analysed using models Autoregressive Moving Average (ARMA), while non constant volatility models are analysed using the Generalized Autoregressive Conditional heteroscedastic (GARCH). Optimization process is performed by using the Lagrangian multiplier technique. As a numerical illustration, the method is used to analyse some Islamic stocks in Indonesia. The expected result is to get the proportion of investment in each Islamic stock analysed.

On the economic risk capital of portfolio insurance

Directory of Open Access Journals (Sweden)

Werner Hürlimann

2004-09-01

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

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...

Portfolios for Majors in Professional Communication.

Science.gov (United States)

Killingsworth, M. Jimmie; Sanders, Scott P.

1987-01-01

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

Portfolio Diversification Effects of Downside Risk

NARCIS (Netherlands)

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

2004-01-01

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

Project portfolio selection of banking services using COPRAS and Fuzzy-TOPSIS

Directory of Open Access Journals (Sweden)

C.O. Anyaeche

2017-04-01

Full Text Available Portfolio selection is a business process which has helped organisations identify an area of com-petitive advantage and it is a major concern to industrial players in the banking sectors. In order to enhance bank portfolio selection, cost, profitability, time and location are important parameters that decision-makers often consider. This study implements a fuzzy-TOPSIS (Technique for Or-der Preference by Similarity to Ideal Solution framework to evaluate three potential portfolios (automated teller machine gallery, quick service point and branch for a bank using the infor-mation from three decision-makers. An illustrative example of real bank information is used to demonstrate the proposed framework applicability. The complex proportional assessment of al-ternatives (COPRAS method is also used as an evaluation technique and the results are com-pared, which yields that the results from the ranking order of fuzzy-TOPSIS and COPRAS were different. However, there is a consistency between the aggregation of intuition-based, fuzzy-TOPSIS and COPRAS ranks and fuzzy-TOPSIS ranking results. The presented framework is an easy-to-apply tool that improves portfolio selection decision in the banking system.

Fostering EFL learners’ autonomy in light of portfolio assessment: Exploring the potential impact of gender

Directory of Open Access Journals (Sweden)

Mahmood Hashemian

2013-07-01

Full Text Available The purpose of this study was to investigate the impact of portfolio assessment as a process-oriented mechanism on the autonomy of Iranian advanced EFL learners. A particular concern was to examine the potential effect of gender on portfolio assessment by taking the learners’ writing ability into account. The participants were 80 male and female advanced EFL learners to whom the Learner Autonomy Questionnaire (Kashefian, 2002 was administered to check their homogeneity prior to the study in terms of autonomy; a truncated form of a TOEFL test was also given to the participants to assess their language proficiency. The participants were then randomly divided into 4 groups: 2 experimental groups (20 females in class A and 20 males in class B and 2 control groups (20 females in class C and 20 males in class D. The portfolio assessment was integrated into the experimental groups to explore whether and to what extent their autonomy might enhance and also to investigate the possible effect of gender on portfolio assessment in writing ability. The portfolio assessment was based on the classroom portfolio model adopted from Hamp-Lyons and Condon (2000, consisting of 3 procedures: collection, selection, and reflection. In contrast, the control groups received the traditional assessment of writing. The data were analyzed using 2 independent samples t tests, mean, and the effect size. The results showed that the portfolio procedures considerably improved the autonomy of the participants. Also, gender had no impact on portfolio assessment.

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

OpenAIRE

Halim Kazan; Kültigin Uludag

2014-01-01

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

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

Analysis of scalability of high-performance 3D image processing platform for virtual colonoscopy.

Science.gov (United States)

Yoshida, Hiroyuki; Wu, Yin; Cai, Wenli

2014-03-19

One of the key challenges in three-dimensional (3D) medical imaging is to enable the fast turn-around time, which is often required for interactive or real-time response. This inevitably requires not only high computational power but also high memory bandwidth due to the massive amount of data that need to be processed. For this purpose, we previously developed a software platform for high-performance 3D medical image processing, called HPC 3D-MIP platform, which employs increasingly available and affordable commodity computing systems such as the multicore, cluster, and cloud computing systems. To achieve scalable high-performance computing, the platform employed size-adaptive, distributable block volumes as a core data structure for efficient parallelization of a wide range of 3D-MIP algorithms, supported task scheduling for efficient load distribution and balancing, and consisted of a layered parallel software libraries that allow image processing applications to share the common functionalities. We evaluated the performance of the HPC 3D-MIP platform by applying it to computationally intensive processes in virtual colonoscopy. Experimental results showed a 12-fold performance improvement on a workstation with 12-core CPUs over the original sequential implementation of the processes, indicating the efficiency of the platform. Analysis of performance scalability based on the Amdahl's law for symmetric multicore chips showed the potential of a high performance scalability of the HPC 3D-MIP platform when a larger number of cores is available.

Optimal wind power deployment in Europe. A portfolio approach

International Nuclear Information System (INIS)

Roques, Fabien; Hiroux, Celine; Saguan, Marcelo

2010-01-01

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

From a social digital identity to an academic digital identity: Introducing ePortfolios in English language enhancement courses

Directory of Open Access Journals (Sweden)

Preet Hiradhar

2009-04-01

Full Text Available Abstract: Social digital networking is a facet of living that recognizes no national borders or social boundaries and has become a way of life. This paper investigates the social networking habits of students at Lingnan University and considers how these habits can be channelled for academic purposes by introducing an ePortfolio system into their language enhancement courses. The investigation analyzed the purpose and usage of these social profiles thus forming the basis of the need for academic profiles. After considering the attitudes and motivations of students, this paper reports on the adoption of an ePortfolio platform which best suits the academic needs of students by introducing it into two important language enhancement courses. The paper thus explores students’ attitudes towards two forms of digital identities: social and academic. This process has led to arriving at an ePortfolio system that is in synch with the other digitized aspects of students’ lives. Résumé : Le réseautage social numérique est l’une des facettes de la vie qui ne connaît ni les frontières nationales, ni les démarcations sociales; cette pratique est devenue un mode de vie. Le présent article examine les habitudes de réseautage social des étudiants de l’Université Lingnan et étudie la façon dont ces habitudes peuvent être canalisées à des fins universitaires par l’introduction d’un système de portfolios électroniques dans les cours de perfectionnement des langues. L’enquête a analysé quelles fonctions ces profils sociaux remplissent et quelle est l’utilisation qui en est faite, ce qui constitue la base du besoin de profils universitaires. Après avoir examiné la réponse et la motivation des étudiants, cet article présente les résultats de l’adoption d’une plateforme de portfolios électroniques qui répond bien aux besoins des étudiants universitaires à la suite de son introduction dans deux cours importants de

Power from Perspective: Potential future United States energy portfolios

International Nuclear Information System (INIS)

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

2009-01-01

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

On the Teaching of Portfolio Theory.

Science.gov (United States)

Biederman, Daniel K.

1992-01-01

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

Low volatility sector-based portfolios: a South African case

African Journals Online (AJOL)

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

Portfolio Diversification with Commodity Futures: Properties of Levered Futures

NARCIS (Netherlands)

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

2005-01-01

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

Estimation of influence of banks' recourse potential upon their credit and investment portfolio

OpenAIRE

Petro Karas'; Nataliya Prykhod'ko

2015-01-01

In the article the negative trends of the Ukrainian banking system functioning caused by the crisis phenomena are considered. The analysis of credit and investment portfolio and resource potential of Ukrainian banks is carried out. Main problems of this process are identified. Influence of the banks' resource potential upon credit and investment portfolio is estimated by constructing multivariate correlation-regression models. The proposals for the government regulation of the bank's credit a...

Log-Optimal Portfolio Selection Using the Blackwell Approachability Theorem

OpenAIRE

V'yugin, Vladimir

2014-01-01

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

Linearly Adjustable International Portfolios

International Nuclear Information System (INIS)

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

2010-01-01

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

Linearly Adjustable International Portfolios

Science.gov (United States)

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

2010-09-01

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

Agile Project Portfolio Management

DEFF Research Database (Denmark)

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

2005-01-01

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

Natural gas contracts in efficient portfolios

Energy Technology Data Exchange (ETDEWEB)

Sutherland, R.J.

1994-12-01

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

Learning Styles and e-portfolio in Nursing Education

DEFF Research Database (Denmark)

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

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

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.

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…

Longitudinal evaluation of a pilot e-portfolio-based supervision programme for final year medical students: views of students, supervisors and new graduates.

Science.gov (United States)

Vance, Gillian H S; Burford, Bryan; Shapiro, Ethan; Price, Richard

2017-08-22

Little is known about how best to implement portfolio-based learning in medical school. We evaluated the introduction of a formative e-portfolio-based supervision pilot for final year medical students by seeking views of students, supervisors and graduates on use and educational effects. Students and supervisors were surveyed by questionnaire, with free text comments invited. Interviews were held with new graduates in their first Foundation Programme placement. Most students used the e-portfolio (54%) and met with their supervisor (62%) 'once or twice' only. Students had more negative views: 22% agreed that the pilot was beneficial, while most supervisors thought that e-portfolio (72%) and supervision (86%) were a 'good idea'. More students reported supervision meetings benefited learning (49%) and professional development (55%) than the e-portfolio did (16%; 28%). Only 47% of students felt 'prepared' for future educational processes, though graduates noted benefits for navigating and understanding e-portfolio building and supervision. Factors limiting engagement reflected 'burden', while supervision meetings and early experience of postgraduate processes offered educational value. Final year students have negative attitudes to a formative e-portfolio, though benefits for easing the educational transition are recognised by graduates. Measures to minimize time, repetition and redundancy of processes may encourage use. Engagement is influenced by the supervisor relationship and educational value may be best achieved by supporting supervisors to develop strategies to facilitate, and motivate self-directed learning processes in undergraduates.

Portfolio Optimization in a Semi-Markov Modulated Market

International Nuclear Information System (INIS)

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

2009-01-01

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

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

Science.gov (United States)

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

2015-01-01

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

A Risk-Sensitive Portfolio Optimization Problem with Fixed Incomes Securities

OpenAIRE

Goel, Mayank; Kumar, K. Suresh

2007-01-01

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

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

Science.gov (United States)

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

2012-04-10

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

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.

Development of the operational information processing platform

International Nuclear Information System (INIS)

Shin, Hyun Kook; Park, Jeong Seok; Baek, Seung Min; Kim, Young Jin; Joo, Jae Yoon; Lee, Sang Mok; Jeong, Young Woo; Seo, Ho Jun; Kim, Do Youn; Lee, Tae Hoon

1996-02-01

The Operational Information Processing Platform(OIPP) is platform system which was designed to provide the development and operation environments for plant operation and plant monitoring. It is based on the Plant Computer Systems (PCS) of Yonggwang 3 and 4, Ulchin 3 and 4, and Yonggwang 5 and 6 Nuclear Power Plants (NPP). The UNIX based workstation, real time kernel and graphics design tool are selected and installed through the reviewing the function of PCS. In order to construct the development environment for open system architecture and distributed computer system, open computer system architecture was adapted both in hardware and software. For verification of system design and evaluation of technical methodologies, the PCS running under the OIPP is being designed and implemented. In this system, the man-machine interface and system functions are being designed and implemented to evaluate the differences between the UCN 3, 4 PCS and OIPP. 15 tabs., 32 figs., 11 refs. (Author)

Programming signal processing applications on heterogeneous wireless sensor platforms

NARCIS (Netherlands)

Buondonno, L.; Fortino, G.; Galzarano, S.; Giannantonio, R.; Giordano, A.; Gravina, R.; Guerrieri, A.

2009-01-01

This paper proposes the SPINE frameworks (SPINE1.x and SPINE2) for the programming of signal processing applications on heterogeneous wireless sensor platforms. In particular, two integrable approaches based on the proposed frameworks are described that allow to develop applications for wireless

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

Science.gov (United States)

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

2017-03-01

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

Twelve tips for successful e-tutoring using electronic portfolios.

Science.gov (United States)

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

2009-06-01

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

SunShot Initiative Portfolio Book 2014

Energy Technology Data Exchange (ETDEWEB)

Solar Energy Technologies Office

2014-05-01

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

Guidelines for Good Evaluation Practice with the ACUMEN portfolio

DEFF Research Database (Denmark)

Wildgaard, Lorna Elizabeth

2014-01-01

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

Selection of risk reduction portfolios under interval-valued probabilities

International Nuclear Information System (INIS)

Toppila, Antti; Salo, Ahti

2017-01-01

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

Fault Tolerant Distributed Portfolio Optimization in Smart Grids

DEFF Research Database (Denmark)

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

2014-01-01

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

Real Time Investments with Adequate Portfolio Theory

Directory of Open Access Journals (Sweden)

Alina Kvietkauskienė

2015-02-01

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

Quantitative Portfolio Optimization Techniques Applied to the Brazilian Stock Market

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André Alves Portela Santos

2012-09-01

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

Portfolio optimization by using linear programing models based on genetic algorithm

Science.gov (United States)

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

2018-01-01

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

Information Acquisition and Portfolio Performance

OpenAIRE

Guiso, Luigi; Jappelli, Tullio

2006-01-01

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

Mentoring portfolio use in undergraduate and postgraduate medical education

NARCIS (Netherlands)

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

2009-01-01

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

Household portfolios and risk taking over age and time

NARCIS (Netherlands)

Bucciol, A.; Miniaci, R.

2011-01-01

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

A Robust Statistics Approach to Minimum Variance Portfolio Optimization

Science.gov (United States)

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

2015-12-01

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

Optimization of the bank's operating portfolio

Science.gov (United States)

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

2016-06-01

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

Portfolio optimization using median-variance approach

Science.gov (United States)

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

2013-04-01

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

The Use of Academic Portfolio in the Learning and Assessment of Physics Students from a Singapore Private College

Directory of Open Access Journals (Sweden)

Meng Kay Ling

2016-07-01

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

Portfolio Selection Using Level Crossing Analysis

Science.gov (United States)

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

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

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)

Using David Kolb's Experiential Learning Theory in Portfolio Development Courses.

Science.gov (United States)

Mark, Michael; Menson, Betty

1982-01-01

As personal portfolio assessment matures, practitioners continue to look for techniques that enhance both personal development and the process of seeking academic credit through assessment. Kolb's experiential learning theory and learning style inventory may have applications in this search. (Author)

PORTFOLIO COMPOSITION WITH MINIMUM VARIANCE: COMPARISON WITH MARKET BENCHMARKS

Directory of Open Access Journals (Sweden)

Daniel Menezes Cavalcante

2016-07-01

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

Spin glasses and nonlinear constraints in portfolio optimization

International Nuclear Information System (INIS)

Andrecut, M.

2014-01-01

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

Spin glasses and nonlinear constraints in portfolio optimization

Energy Technology Data Exchange (ETDEWEB)

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

2014-01-17

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

Robust portfolio selection under norm uncertainty

Directory of Open Access Journals (Sweden)

Lei Wang

2016-06-01

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

Using fuzzy analytical hierarchy process (AHP to evaluate web development platform

Directory of Open Access Journals (Sweden)

Ahmad Sarfaraz

2012-01-01

Full Text Available Web development is plays an important role on business plans and people's lives. One of the key decisions in which both short-term and long-term success of the project depends is choosing the right development platform. Its criticality can be judged by the fact that once a platform is chosen, one has to live with it throughout the software development life cycle. The entire shape of the project depends on the language, operating system, tools, frameworks etc., in short the web development platform chosen. In addition, choosing the right platform is a multi criteria decision making (MCDM problem. We propose a fuzzy analytical hierarchy process model to solve the MCDM problem. We try to tap the real-life modeling potential of fuzzy logic and conjugate it with the commonly used powerful AHP modeling method.

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.

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

International Nuclear Information System (INIS)

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

2009-01-01

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

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

Directory of Open Access Journals (Sweden)

Wolf Hilzensauer

2009-03-01

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

Software Development Process Improvement in Datacom Platform

OpenAIRE

Trabelsi, Walid

2008-01-01

Masteroppgave i Informasjons- og Kommunikasjonsteknologi 2008, Universitetet i Agder, Grimstad Ericsson Mobile Platform (EMP) is responsible of the development of a software platform and also to some extend responsible for related hardware parts. EMP is developing the data communication parts of the platform which is used by EMP customers. The platform development is done in large development programs and each program span over a quite a long time period. However, as we see eve...

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

DEFF Research Database (Denmark)

Dolin, Jens; Kobayashi, Sofie

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

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

Directory of Open Access Journals (Sweden)

Елена Борисовна ДАНЧЕНКО

2017-03-01

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

Portfolio optimization with structured products under return constraint

Directory of Open Access Journals (Sweden)

Baweja Meena

2015-01-01

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

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

Science.gov (United States)

Reyes Santos, Joost; Haimes, Yacov Y

2004-06-01

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

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.

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.

Portfolio Management System

Data.gov (United States)

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

Wavelet evolutionary network for complex-constrained portfolio rebalancing

Science.gov (United States)

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

2012-07-01

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

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…

Asset Attribution Stability and Portfolio Construction: An Educational Example

Science.gov (United States)

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

2014-01-01

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

Predictors and Portfolios Over the Life Cycle

DEFF Research Database (Denmark)

Kraft, Holger; Munk, Claus; Weiss, Farina

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

Purchasing portfolio models: a critique and update

NARCIS (Netherlands)

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

2005-01-01

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

Essays on intertemporal consumption and portfolio choice

NARCIS (Netherlands)

van Bilsen, Servaas

2015-01-01

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

ROMANIAN INVESTORS PORTFOLIO. ONLINE VERSUS ASSISTED TRADING

Directory of Open Access Journals (Sweden)

Ioana Ancuţa IANCU

2017-05-01

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

Three Essays on Robust Optimization of Efficient Portfolios

OpenAIRE

Liu, Hao

2013-01-01

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

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

Directory of Open Access Journals (Sweden)

Daniel Friedrich

2016-06-01

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

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…

Processing-Efficient Distributed Adaptive RLS Filtering for Computationally Constrained Platforms

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Noor M. Khan

2017-01-01

Full Text Available In this paper, a novel processing-efficient architecture of a group of inexpensive and computationally incapable small platforms is proposed for a parallely distributed adaptive signal processing (PDASP operation. The proposed architecture runs computationally expensive procedures like complex adaptive recursive least square (RLS algorithm cooperatively. The proposed PDASP architecture operates properly even if perfect time alignment among the participating platforms is not available. An RLS algorithm with the application of MIMO channel estimation is deployed on the proposed architecture. Complexity and processing time of the PDASP scheme with MIMO RLS algorithm are compared with sequentially operated MIMO RLS algorithm and liner Kalman filter. It is observed that PDASP scheme exhibits much lesser computational complexity parallely than the sequential MIMO RLS algorithm as well as Kalman filter. Moreover, the proposed architecture provides an improvement of 95.83% and 82.29% decreased processing time parallely compared to the sequentially operated Kalman filter and MIMO RLS algorithm for low doppler rate, respectively. Likewise, for high doppler rate, the proposed architecture entails an improvement of 94.12% and 77.28% decreased processing time compared to the Kalman and RLS algorithms, respectively.

Optimal Premium Pricing for a Heterogeneous Portfolio of Insurance Risks

Directory of Open Access Journals (Sweden)

Athanasios A. Pantelous

2009-01-01

Full Text Available The paper revisits the classical problem of premium rating within a heterogeneous portfolio of insurance risks using a continuous stochastic control framework. The portfolio is divided into several classes where each class interacts with the others. The risks are modelled dynamically by the means of a Brownian motion. This dynamic approach is also transferred to the design of the premium process. The premium is not constant but equals the drift of the Brownian motion plus a controlled percentage of the respective volatility. The optimal controller for the premium is obtained using advanced optimization techniques, and it is finally shown that the respective pricing strategy follows a more balanced development compared with the traditional premium approaches.

Embedded-Based Graphics Processing Unit Cluster Platform for Multiple Sequence Alignments

Directory of Open Access Journals (Sweden)

Jyh-Da Wei

2017-08-01

Full Text Available High-end graphics processing units (GPUs, such as NVIDIA Tesla/Fermi/Kepler series cards with thousands of cores per chip, are widely applied to high-performance computing fields in a decade. These desktop GPU cards should be installed in personal computers/servers with desktop CPUs, and the cost and power consumption of constructing a GPU cluster platform are very high. In recent years, NVIDIA releases an embedded board, called Jetson Tegra K1 (TK1, which contains 4 ARM Cortex-A15 CPUs and 192 Compute Unified Device Architecture cores (belong to Kepler GPUs. Jetson Tegra K1 has several advantages, such as the low cost, low power consumption, and high applicability, and it has been applied into several specific applications. In our previous work, a bioinformatics platform with a single TK1 (STK platform was constructed, and this previous work is also used to prove that the Web and mobile services can be implemented in the STK platform with a good cost-performance ratio by comparing a STK platform with the desktop CPU and GPU. In this work, an embedded-based GPU cluster platform will be constructed with multiple TK1s (MTK platform. Complex system installation and setup are necessary procedures at first. Then, 2 job assignment modes are designed for the MTK platform to provide services for users. Finally, ClustalW v2.0.11 and ClustalWtk will be ported to the MTK platform. The experimental results showed that the speedup ratios achieved 5.5 and 4.8 times for ClustalW v2.0.11 and ClustalWtk, respectively, by comparing 6 TK1s with a single TK1. The MTK platform is proven to be useful for multiple sequence alignments.

Embedded-Based Graphics Processing Unit Cluster Platform for Multiple Sequence Alignments.

Science.gov (United States)

Wei, Jyh-Da; Cheng, Hui-Jun; Lin, Chun-Yuan; Ye, Jin; Yeh, Kuan-Yu

2017-01-01

High-end graphics processing units (GPUs), such as NVIDIA Tesla/Fermi/Kepler series cards with thousands of cores per chip, are widely applied to high-performance computing fields in a decade. These desktop GPU cards should be installed in personal computers/servers with desktop CPUs, and the cost and power consumption of constructing a GPU cluster platform are very high. In recent years, NVIDIA releases an embedded board, called Jetson Tegra K1 (TK1), which contains 4 ARM Cortex-A15 CPUs and 192 Compute Unified Device Architecture cores (belong to Kepler GPUs). Jetson Tegra K1 has several advantages, such as the low cost, low power consumption, and high applicability, and it has been applied into several specific applications. In our previous work, a bioinformatics platform with a single TK1 (STK platform) was constructed, and this previous work is also used to prove that the Web and mobile services can be implemented in the STK platform with a good cost-performance ratio by comparing a STK platform with the desktop CPU and GPU. In this work, an embedded-based GPU cluster platform will be constructed with multiple TK1s (MTK platform). Complex system installation and setup are necessary procedures at first. Then, 2 job assignment modes are designed for the MTK platform to provide services for users. Finally, ClustalW v2.0.11 and ClustalWtk will be ported to the MTK platform. The experimental results showed that the speedup ratios achieved 5.5 and 4.8 times for ClustalW v2.0.11 and ClustalWtk, respectively, by comparing 6 TK1s with a single TK1. The MTK platform is proven to be useful for multiple sequence alignments.

Contract portfolio optimization for a gasoline supply chain

Science.gov (United States)

Wang, Shanshan

Major oil companies sell gasoline through three channels of trade: branded (associated with long-term contracts), unbranded (associated with short-term contracts), and spot market. The branded channel provides them with a long-term secured and sustainable demand source, but requires an inflexible long-term commitment with demand and price risks. The unbranded channel provides a medium level of allocation flexibility. The spot market provides them with the greatest allocation flexibility to the changing market conditions, but the spot market's illiquidity mitigates this benefit. In order to sell the product in a profitable and sustainable way, they need an optimal contract portfolio. This dissertation addresses the contract portfolio optimization problem from different perspectives (retrospective view and forward-looking view) at different levels (strategic level, tactical level and operational level). The objective of the retrospective operational model is to develop a financial case to estimate the business value of having a dynamic optimization model and quantify the opportunity values missed in the past. This model proves the financial significance of the problem and provides top management valuable insights into the business. BP has applied the insights and principles gained from this work and implemented the model to the entire Midwest gasoline supply chain to retrospectively review optimization opportunities. The strategic model is the most parsimonious model that captures the essential economic tradeoffs among different contract types, to demonstrate the need for a contract portfolio and what drives the portfolio. We examine the properties of the optimal contract portfolio and provide a comparative statics analysis by changing the model parameters. As the strategic model encapsulates the business problem at the macroscopic level, the tactical model resolves lower level issues. It considers the time dynamics, the information flow and contracting flow. Using

Optimization of image processing algorithms on mobile platforms

Science.gov (United States)

Poudel, Pramod; Shirvaikar, Mukul

2011-03-01

This work presents a technique to optimize popular image processing algorithms on mobile platforms such as cell phones, net-books and personal digital assistants (PDAs). The increasing demand for video applications like context-aware computing on mobile embedded systems requires the use of computationally intensive image processing algorithms. The system engineer has a mandate to optimize them so as to meet real-time deadlines. A methodology to take advantage of the asymmetric dual-core processor, which includes an ARM and a DSP core supported by shared memory, is presented with implementation details. The target platform chosen is the popular OMAP 3530 processor for embedded media systems. It has an asymmetric dual-core architecture with an ARM Cortex-A8 and a TMS320C64x Digital Signal Processor (DSP). The development platform was the BeagleBoard with 256 MB of NAND RAM and 256 MB SDRAM memory. The basic image correlation algorithm is chosen for benchmarking as it finds widespread application for various template matching tasks such as face-recognition. The basic algorithm prototypes conform to OpenCV, a popular computer vision library. OpenCV algorithms can be easily ported to the ARM core which runs a popular operating system such as Linux or Windows CE. However, the DSP is architecturally more efficient at handling DFT algorithms. The algorithms are tested on a variety of images and performance results are presented measuring the speedup obtained due to dual-core implementation. A major advantage of this approach is that it allows the ARM processor to perform important real-time tasks, while the DSP addresses performance-hungry algorithms.

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

Directory of Open Access Journals (Sweden)

Abdallah Tubaishat

2015-06-01

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

Declarative Modeling for Production Order Portfolio Scheduling

Directory of Open Access Journals (Sweden)

Banaszak Zbigniew

2014-12-01

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

Management of Portfolio Investment Held by Pension Funds

Directory of Open Access Journals (Sweden)

Dan Armeanu

2008-09-01

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

The current account as a dynamic portfolio choice problem

OpenAIRE

Didier, Tatiana; Lowenkron, Alexandre

2009-01-01

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

An Arbitrary Benchmark CAPM: One Additional Frontier Portfolio is Sufficient

OpenAIRE

Ekern, Steinar

2008-01-01

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

Methods of Choosing an Optimal Portfolio of Projects

OpenAIRE

Yakovlev, A.; Chernenko, M.

2016-01-01

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

PORTFOLIO OPTIMIZATION ON CROATIAN CAPITAL MARKET

Directory of Open Access Journals (Sweden)

Sinisa Bogdan

2013-12-01

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

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

African Journals Online (AJOL)

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

Optimal Portfolio Choice with Wash Sale Constraints

DEFF Research Database (Denmark)

Astrup Jensen, Bjarne; Marekwica, Marcel

2011-01-01

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

Delegated Portfolio Management and Optimal Allocation of Portfolio Managers

DEFF Research Database (Denmark)

Christensen, Michael; Vangsgaard Christensen, Michael; Gamskjaer, Ken

2015-01-01

In this article, we investigate whether the application of the mean-variance framework on portfolio manager allocation offers any out-of-sample benefits compared to a naïve strategy of equal weighting. Based on an exclusive data-set of high-net-worth (HNW) investors, we utilize a wide variety of ...

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

Directory of Open Access Journals (Sweden)

André Heymans

2015-05-01

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

Toward a virtual platform for materials processing

Science.gov (United States)

Schmitz, G. J.; Prahl, U.

2009-05-01

Any production is based on materials eventually becoming components of a final product. Material properties being determined by the microstructure of the material thus are of utmost importance both for productivity and reliability of processing during production and for application and reliability of the product components. A sound prediction of materials properties therefore is highly important. Such a prediction requires tracking of microstructure and properties evolution along the entire component life cycle starting from a homogeneous, isotropic and stress-free melt and eventually ending in failure under operational load. This article will outline ongoing activities at the RWTH Aachen University aiming at establishing a virtual platform for materials processing comprising a virtual, integrative numerical description of processes and of the microstructure evolution along the entire production chain and even extending further toward microstructure and properties evolution under operational conditions.

Learning to Select Supplier Portfolios for Service Supply Chain.

Science.gov (United States)

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

2016-01-01

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

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.

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.

Providing Memory Management Abstraction for Self-Reconfigurable Video Processing Platforms

Directory of Open Access Journals (Sweden)

Kurt Franz Ackermann

2009-01-01

Full Text Available This paper presents a concept for an SDRAM controller targeting video processing platforms with dynamically reconfigurable processing units (RPUs. A priority-arbitration algorithm provides the required QoS and supports high bit-rate data streaming of multiple clients. Conforming to common video data structures the controller organizes the memory in partitions, frames, lines, and pixels. The raised level of abstraction drastically reduces the complexity of clients' addressing logic. Its uniform interface structure facilitates instantiations in systems with various clients. In addition to SDRAM controllers for regular applications, special demands of reconfigurable platforms have to be satisfied. The aim of this work is to minimize the number of required bus macros leading to relaxed place and route constraints and reducing the number of critical design paths. A suitable interface protocol is presented, and fundamental implementation issues are outlined.

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

Science.gov (United States)

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

2016-09-01

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

The Effect of Portfolio Assessment on Learning Idioms in Writing

Directory of Open Access Journals (Sweden)

Abdorreza Tahriri

2014-04-01

Full Text Available The present study sought to investigate the effect of portfolio assessment on idiom competence of Iranian EFL learners. For the purpose of this study, 30 students from upper-intermediate level of English proficiency took part in this study. They were chosen through convenience sampling from a language institute in Rasht, Iran. They were randomly divided into experimental and control groups. A TOEFL test and a test of idioms were given to the students to ensure their homogeneity in terms of language proficiency and knowledge of idioms, respectively. The experimental group was intended to create a portfolio and put their writing samples, in which idioms were used, in the portfolio. They were involved in the process of self-and-peer assessment. The teacher also provided them with feedback and comments. However, the control group received a kind of traditional instruction. In other words, the control group used the idioms in their writing without receiving any comments and delivered it to their teacher to be scored. The treatment lasted for 10 sessions and a post-test was administered in the end. Independent samples t-tests were used to analyze the data gathered from the pretests and the posttest. The findings indicated that there was a statistically significant difference between the two groups in terms of idioms and portfolio was found to be able to improve students’ knowledge of idioms. The results of this study have some implications for teaching and learning idioms.

Portfolio Evaluation Based on Efficient Frontier Superiority Using Center of Gravity

Directory of Open Access Journals (Sweden)

Omar Samat

2010-01-01

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

Robust Portfolio Optimization using CAPM Approach

Directory of Open Access Journals (Sweden)

mohsen gharakhani

2013-08-01

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

A ubiquitous reflective e-portfolio architecture.

Science.gov (United States)

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

2013-11-01

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

A new advanced software platform for nuclear power plant process information systems

International Nuclear Information System (INIS)

Sorsa, A.

1993-01-01

In the late 80s, ABB Stromberg Power Ltd. started the development of a new generation software platform for the power plant Process Information System (PIS). This development resulted in a software platform called Procontrol PMS. Procontrol PMS is a platform for fully distributed systems which provides the following features: distributed data processing, non-stop architecture, low-cost incremental expansion path, open network architecture, high functionality, effective application development environment, and advanced user interface services. A description of the structure of the Procontrol PMS software is given. ABB has received by May 1992 six orders for nuclear power plant PISs based on Procontrol PMS (4 for PWR plants, 2 for BWRs). The first Procontrol PMS based nuclear power plant PIS was commissioned in 1989 at the Loviisa nuclear power plant and has been running with 100% availability since the commissioning. (Z.S.) 2 figs

On long-only information-based portfolio diversification framework

Science.gov (United States)

Santos, Raphael A.; Takada, Hellinton H.

2014-12-01

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

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

International Nuclear Information System (INIS)

Gould, J.

1999-01-01

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

The Use of Portfolios in Leadership Education

Science.gov (United States)

Olsen, Paul E.

2009-01-01

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

The good, the bad, and the ambivalent: A qualitative study of public perceptions towards energy technologies and portfolios in Germany

International Nuclear Information System (INIS)

Scheer, Dirk; Konrad, Wilfried; Wassermann, Sandra

2017-01-01

This paper investigates informed public preferences about electricity technologies and portfolios in Germany, qualitatively analyzing opinions, reasoning patterns and judgments of perceived risks and benefits among lay people. The authors developed and applied a ‘mixed-method’ focus group approach involving 130 participants in 15 focus groups throughout Germany. This research aimed to specify participants’ attitudes and preferences regarding electricity technologies and portfolios (evaluation categories); comparatively assess these preferences (technology/portfolio acceptance profiles); and identify participants’ decision-making strategies and processes (decision rule typology). The evaluation basis of people's preferences comprises nine evaluation categories including, among others, trust, national and household economics, and environmental and health impacts. When assessing preferences regarding electricity technologies and portfolios, two overriding results need to be emphasized: first, that selective evaluation patterns produce unique acceptance profiles, and second, that a shift occurs from heterogeneous towards homogeneous evaluation patterns. In relation to decision rules guiding people's preference-making, the research reveals multiple mechanisms are at work when people express preferences about electricity portfolios. Five decision rules were identified regarding how participants dealt with complex portfolio information processing and preference building. - Highlights: • The evaluation basis of people's preferences comprises nine evaluation categories. • Evaluation patterns produce unique technology and portfolio acceptance profiles. • Five generic decision rules guide people's preference-making. • People make decisions in multiple ways using a variety of evaluation strategies. • No ‘one-size-fits-all’ approach for creating insights into the public's approval or rejection of technologies.

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

Science.gov (United States)

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

2017-10-01

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

Feature selection for portfolio optimization

DEFF Research Database (Denmark)

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

2016-01-01

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

270GHz SiGe BiCMOS manufacturing process platform for mmWave applications

Science.gov (United States)

Kar-Roy, Arjun; Preisler, Edward J.; Talor, George; Yan, Zhixin; Booth, Roger; Zheng, Jie; Chaudhry, Samir; Howard, David; Racanelli, Marco

2011-11-01

TowerJazz has been offering the high volume commercial SiGe BiCMOS process technology platform, SBC18, for more than a decade. In this paper, we describe the TowerJazz SBC18H3 SiGe BiCMOS process which integrates a production ready 240GHz FT / 270 GHz FMAX SiGe HBT on a 1.8V/3.3V dual gate oxide CMOS process in the SBC18 technology platform. The high-speed NPNs in SBC18H3 process have demonstrated NFMIN of ~2dB at 40GHz, a BVceo of 1.6V and a dc current gain of 1200. This state-of-the-art process also comes with P-I-N diodes with high isolation and low insertion losses, Schottky diodes capable of exceeding cut-off frequencies of 1THz, high density stacked MIM capacitors, MOS and high performance junction varactors characterized up to 50GHz, thick upper metal layers for inductors, and various resistors such as low value and high value unsilicided poly resistors, metal and nwell resistors. Applications of the SBC18H3 platform for millimeter-wave products for automotive radars, phased array radars and Wband imaging are presented.

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.

FINANCIAL RISKS ASSOCIATED WITH THE GOVERNMENTAL PUBLIC DEBT’S PORTFOLIO

Directory of Open Access Journals (Sweden)

MARIANA MAN

2010-01-01

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

Earth Observation-Supported Service Platform for the Development and Provision of Thematic Information on the Built Environment - the Tep-Urban Project

Science.gov (United States)

Esch, T.; Asamer, H.; Boettcher, M.; Brito, F.; Hirner, A.; Marconcini, M.; Mathot, E.; Metz, A.; Permana, H.; Soukop, T.; Stanek, F.; Kuchar, S.; Zeidler, J.; Balhar, J.

2016-06-01

The Sentinel fleet will provide a so-far unique coverage with Earth observation data and therewith new opportunities for the implementation of methodologies to generate innovative geo-information products and services. It is here where the TEP Urban project is supposed to initiate a step change by providing an open and participatory platform based on modern ICT technologies and services that enables any interested user to easily exploit Earth observation data pools, in particular those of the Sentinel missions, and derive thematic information on the status and development of the built environment from these data. Key component of TEP Urban project is the implementation of a web-based platform employing distributed high-level computing infrastructures and providing key functionalities for i) high-performance access to satellite imagery and derived thematic data, ii) modular and generic state-of-the art pre-processing, analysis, and visualization techniques, iii) customized development and dissemination of algorithms, products and services, and iv) networking and communication. This contribution introduces the main facts about the TEP Urban project, including a description of the general objectives, the platform systems design and functionalities, and the preliminary portfolio products and services available at the TEP Urban platform.

Capstone Portfolios and Geography Student Learning Outcomes

Science.gov (United States)

Mossa, Joann

2014-01-01

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

2010-11 Research Portfolio: Research & Development Division

Science.gov (United States)

Educational Testing Service, 2010

2010-01-01

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

Applying Portfolio Theory to EU Electricity Planning and Policy-Making

Energy Technology Data Exchange (ETDEWEB)

Awerbuch, Shimon; Berger, Martin

2003-02-01

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

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.

Continuous-time mean-variance portfolio selection with value-at-risk and no-shorting constraints

Science.gov (United States)

Yan, Wei

2012-01-01

An investment problem is considered with dynamic mean-variance(M-V) portfolio criterion under discontinuous prices which follow jump-diffusion processes according to the actual prices of stocks and the normality and stability of the financial market. The short-selling of stocks is prohibited in this mathematical model. Then, the corresponding stochastic Hamilton-Jacobi-Bellman(HJB) equation of the problem is presented and the solution of the stochastic HJB equation based on the theory of stochastic LQ control and viscosity solution is obtained. The efficient frontier and optimal strategies of the original dynamic M-V portfolio selection problem are also provided. And then, the effects on efficient frontier under the value-at-risk constraint are illustrated. Finally, an example illustrating the discontinuous prices based on M-V portfolio selection is presented.

Applying Portfolio Selection: A Case of Indonesia Stock Exchange

Directory of Open Access Journals (Sweden)

Maria Praptiningsih

2012-01-01

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

The returns and risks of investment portfolio in a financial market

Science.gov (United States)

Li, Jiang-Cheng; Mei, Dong-Cheng

2014-07-01

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

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…

[Portfolio in nursing school: myth or reality].

Science.gov (United States)

Garnier, Chantal; Marchand, Claire

2012-09-01

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

An Artificial Bee Colony Algorithm for Uncertain Portfolio Selection

OpenAIRE

Chen, Wei

2014-01-01

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

A portfolio evaluation framework for air transportation improvement projects

Science.gov (United States)

Baik, Hyeoncheol

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

Using ePortfolios to Encourage Responsible Feedback

Science.gov (United States)

Morales, Lucia; Soler-Dominguez, Amparo

2015-01-01

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

Portfolio management of hydropower producer via stochastic programming

International Nuclear Information System (INIS)

Liu, Hongling; Jiang, Chuanwen; Zhang, Yan

2009-01-01

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

Multiperiod Mean-Variance Portfolio Optimization via Market Cloning

International Nuclear Information System (INIS)

Ankirchner, Stefan; Dermoune, Azzouz

2011-01-01

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

Multiperiod Mean-Variance Portfolio Optimization via Market Cloning

Energy Technology Data Exchange (ETDEWEB)

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

2011-08-15

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

Subjective Life Horizon and Portfolio Choice

OpenAIRE

Spaenjers , Christophe; Spira, Sven Michael

2013-01-01

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

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

Directory of Open Access Journals (Sweden)

E.A. Wagenaar

2014-01-01

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

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

Directory of Open Access Journals (Sweden)

Daiva Jurevičienė

2015-03-01

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

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

Portfolio Diversification in the South-East European Equity Markets

OpenAIRE

Zaimovic Azra; Arnaut-Berilo Almira; Mustafic Arnela

2017-01-01

Diversification potential enables investors to manage their risk and decrease risk exposure. Good diversification policy is a safety net that prevents a portfolio from losing its value. A well-diversified portfolio consists of different categories of property with low correlations, while highly correlated markets have the feature of low possibilities for diversification. The biggest riddle in the world of investments is to find the optimal portfolio within a set of available assets with limit...

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

Science.gov (United States)

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

2015-12-01

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

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

Science.gov (United States)

Balaban, Igor; Mu, Enrique; Divjak, Blazenka

2013-01-01

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

Towards Polarization Diversity on the SOI Platform With Simple Fabrication Process

DEFF Research Database (Denmark)

Ding, Yunhong; Liu, Liu; Peucheret, Christophe

2011-01-01

We present a polarization diversity circuit built on the silicon-on-insulator (SOI) platform, which can be fabricated by a simple process. The polarization diversity is based on two identical air-clad asymmetrical directional couplers, which simultaneously play the roles of polarization splitter...... and rotator. A silicon polarization diversity circuit with a single microring resonator is fabricated on the SOI platform. Only ${1-dB polarization-dependent loss is demonstrated. A significant improvement of the polarization dependence is obtained for 20-Gb/s nonreturn-to-zero differential phase-shift keying...

Aircraft technology portfolio optimization using ant colony optimization

Science.gov (United States)

Villeneuve, Frederic J.; Mavris, Dimitri N.

2012-11-01

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

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.

Portfolios and the market geometry

Science.gov (United States)

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

2014-09-01

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

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

Directory of Open Access Journals (Sweden)

Hamid Reza Vakili Fard

2014-10-01

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

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

Science.gov (United States)

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

2014-10-01

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

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

Directory of Open Access Journals (Sweden)

Fathi Abid

2014-05-01

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

Twelve tips for creating an academic teaching portfolio.

Science.gov (United States)

Little-Wienert, Kim; Mazziotti, Mark

2018-01-01

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

Current industrial practice of managing risks in product development project portfolios

DEFF Research Database (Denmark)

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

2013-01-01

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

Markowitz portfolio optimization model employing fuzzy measure

Science.gov (United States)

Ramli, Suhailywati; Jaaman, Saiful Hafizah

2017-04-01

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

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

Science.gov (United States)

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

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

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

Science.gov (United States)

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

2014-06-01

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

The use of portfolios for continuing assessment of physiotherapy students in clinical practice settings

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N. Naidoo

2004-01-01

Full Text Available Many and varied methods of assessment are used to evaluate undergraduate physiotherapy students. Different modes of assessment occur as a result of contrasting educational theories and because the purpose of assessment is variable. In this era of performance assessment related to  the students’ mastery of the core curriculum, portfolios can enhance the assessment process by revealing a range of skills and understandings. This fits snugly into the physiotherapy curriculum for undergraduate continuous assessment purposes. Portfolio assessment can facilitate more reflection on students’ learning, more ownership of learning and more awareness of self-development. This supports the South African Qualifications Authority’s objective for higher education of reflection and life-long learning in our students. This article presents discussion on the use of portfolios in physiotherapy student learning and assessment in clinical practice.

Linear versus quadratic portfolio optimization model with transaction cost

Science.gov (United States)

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

2014-06-01

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

An unbalanced portfolio.

Science.gov (United States)

Federsel, Hans-Jurgen

2009-06-01

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

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

International Nuclear Information System (INIS)

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

2010-12-01

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

Portfolio i et lærings- og uddannelsesperspektiv

DEFF Research Database (Denmark)

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

Electricity portfolio management : optimal peak/off-peak allocations

NARCIS (Netherlands)

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

2009-01-01

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

Electricity Portfolio Management: Optimal Peak / Off-Peak Allocations

NARCIS (Netherlands)

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

2007-01-01

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

Random Matrix Theory Approach to Indonesia Energy Portfolio Analysis

Science.gov (United States)

Mahardhika, Alifian; Purqon, Acep

2017-07-01

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

PERCEPTION OF ACADEMIC COURSE OF DENTISTRY ON THE USE OF PORTFOLIO AS A METHOD EVALUATIVE

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Jacques Antonio Cavalcante Maciel

2014-05-01

Full Text Available The portfolio is targeted as an innovative method of learning that allows you to record the reflections and impressions on the subject or course, promoting effective learning from experiences. This present study has aimed to describe the experience of the use of portfolios as a method of assessing learning in dental students and assess students' perceptions about the method. The research was quantitative, descriptive. The survey was conducted in dentistry course at Sobral UFC. We used a questionnaire containing ten questions to 23 students of the seventh semester of Dentistry, who attended Sobral UFC-modules of Community Health III between 2011.2 and had as one of evaluative methods to build the Portfolio. The portfolio was defined by students as a reflective report of the activities developed in theory and practice, and an evaluation method well accepted by academics. You can see that the evaluation method was efficient in its purpose, leading academics to develop a critical view on the theme developed in the classroom and that proved a facilitator in the process of teaching and learning for students.

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

NARCIS (Netherlands)

Polbennikov, S.Y.; Melenberg, B.

2005-01-01

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

Optimal annuity portfolio under inflation risk

DEFF Research Database (Denmark)

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

2015-01-01

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

Household Portfolios and Risk Bearing over Age and Time

OpenAIRE

Alessandro Bucciol; Raffaele Miniaci

2011-01-01

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