WorldWideScience

Sample records for project portfolio and-with

  1. 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...

  2. 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

  3. 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

  4. Application of Project Portfolio Management

    Science.gov (United States)

    Pankowska, Malgorzata

    The main goal of the chapter is the presentation of the application project portfolio management approach to support development of e-Municipality and public administration information systems. The models of how people publish and utilize information on the web have been transformed continually. Instead of simply viewing on static web pages, users publish their own content through blogs and photo- and video-sharing slides. Analysed in this chapter, ICT (Information Communication Technology) projects for municipalities cover the mixture of the static web pages, e-Government information systems, and Wikis. So, for the management of the ICT projects' mixtures the portfolio project management approach is proposed.

  5. Strategic leadership of portfolio and project management

    CERN Document Server

    Kloppenborg, Timothy J

    2014-01-01

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

  6. Integrating Project Portfolio With Business Strategy: Imagineering

    Directory of Open Access Journals (Sweden)

    Cesar Buaes Dal Maso

    2015-12-01

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

  7. LINKING PROJECTS TO BUSINESS STRATEGY THROUGH PROJECT PORTFOLIO MANAGEMENT

    Directory of Open Access Journals (Sweden)

    A.J. Buys

    2012-01-01

    Full Text Available

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

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

  8. 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

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

    DEFF Research Database (Denmark)

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

    2017-01-01

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

  10. Cosmic Visions Dark Energy: Small Projects Portfolio

    Energy Technology Data Exchange (ETDEWEB)

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

    2018-02-20

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

  11. Towards rethinking Project portfolio management

    DEFF Research Database (Denmark)

    Hansen, Lars Kristian; Svejvig, Per

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

  12. Strategic Context of Project Portfolio Management

    Directory of Open Access Journals (Sweden)

    Nedka Nikolova

    2016-06-01

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

  13. 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...

  14. Relationships Between Risks in an IT Project Development Portfolio

    NARCIS (Netherlands)

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

    2013-01-01

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

  15. Discourses and Theoretical Assumptions in IT Project Portfolio Management

    DEFF Research Database (Denmark)

    Hansen, Lars Kristian; Kræmmergaard, Pernille

    2014-01-01

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

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

    Science.gov (United States)

    Pickens, Scott; Solak, Jamie

    2005-01-01

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

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

    Directory of Open Access Journals (Sweden)

    Foroogh Ghasemi

    2018-05-01

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

  18. 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.

  19. 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

  20. PROJECT PORTFOLIO SELECTION COMPETENCES RESEARCH INUNIVERSITIES OF LITHUANIA

    OpenAIRE

    R #363;ta #268;iutien #279;; Evelina Meilien #279;; Bronius Neverauskas

    2011-01-01

    As a result of the theoretical findings, the paperdemonstrates that projectportfolio selection is crucial project management problem. Successful ProjectPortfolio management requires specific competences.Every project of projectportfolio must be evaluated according to the basedcriteria and parameters.Empirical study was based on framework matrix withfour parameters of projectportfolio selection and only two phases of projectportfolio formation. The r...

  1. Managing Uncertainty and Conflict in IT Project Portfolio Management

    DEFF Research Database (Denmark)

    Pedersen, Keld; Agger Nielsen, Jeppe

    2011-01-01

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

  2. 2018 DOE Solid-State Lighting Project Portfolio

    Energy Technology Data Exchange (ETDEWEB)

    None

    2018-01-31

    The 2018 Solid-State Lighting Project Portfolio provides an overview of all SSL projects that have been funded by DOE since 2000. Projects that were active during 2017 are found in the main body of this report, and all historic projects can be found in the appendix. Within these sections, project profiles are sorted by technology type (i.e., LED or OLED) and then by performer name. A profile is provided on each project. Each profile includes a brief technical description, as well as information about project partners, funding, and the research period. This report is updated annually, although the research described in the Portfolio changes periodically as new projects are initiated and existing ones are concluded.

  3. Shedding New Light on Project Portfolio Risk Management

    Directory of Open Access Journals (Sweden)

    Mariusz Hofman

    2017-10-01

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

  4. Using Project Portfolio Management in a Junior Enterprise Technology

    Directory of Open Access Journals (Sweden)

    RIBEIRO, D. M.

    2011-06-01

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

  5. Exploring International Investment through a Classroom Portfolio Simulation Project

    Science.gov (United States)

    Chen, Xiaoying; Yur-Austin, Jasmine

    2013-01-01

    A rapid integration of financial markets has prevailed during the last three decades. Investors are able to diversify investment beyond national markets to mitigate return volatility of a "pure domestic portfolio." This article discusses a simulation project through which students learn the role of international investment by managing…

  6. 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.

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

    Directory of Open Access Journals (Sweden)

    Bruce Morley

    2016-12-01

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

  8. Selecting Large Portfolios of Social Projects in Public Organizations

    Directory of Open Access Journals (Sweden)

    Igor Litvinchev

    2014-01-01

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

  9. 2015 Project Portfolio: Solid-State Lighting

    Energy Technology Data Exchange (ETDEWEB)

    none,

    2015-01-30

    Overview of SSL projects currently funded by DOE, and those previously funded but since completed. Each profile includes a brief technical description, as well as information about project partners, funding, and the research period. This report is updated annually.

  10. 2017 Project Portfolio: Solid-State Lighting

    Energy Technology Data Exchange (ETDEWEB)

    None

    2017-01-02

    Overview of SSL projects currently funded by DOE, and those previously funded but since completed. Each profile includes a brief technical description, as well as information about project partners, funding, and the research period. This report is updated annually.

  11. PORTFOLIO COMMUNICATION BASE OF PROJECT ORIENTED ORGANIZATION

    Directory of Open Access Journals (Sweden)

    Тетяна Віталіївна РОМАНІВ

    2015-06-01

    Full Text Available It is proposed a tool for overcoming communication barriers that arise between all stakeholders in the implementation of complex projects where the company understands the limits and properties of own resources as well as the construction of communication noise to a minimum, taking into account the plans, performance indicators and received projections in fact the project.

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

    Directory of Open Access Journals (Sweden)

    Karoline Doro Alves Carneiro

    2012-04-01

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

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

    National Research Council Canada - National Science Library

    Edmunds, Bryan D

    2005-01-01

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

  14. Portfolio Assessment of an Undergraduate Group Project

    Science.gov (United States)

    Kuisma, Raija

    2007-01-01

    Students in the Physiotherapy Programme carried out a group project in their final year of studies. The objectives of the project were that the students learn and appreciate the process and activities involved in research, acquire deeper understanding of a topic in their professional interest, learn to work as a team, manage their own time,…

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

    DEFF Research Database (Denmark)

    Hansen, Lars Kristian; Mengiste, Shegaw Anagaw

    2012-01-01

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

  16. Clean development mechanism projects and portfolio risks

    International Nuclear Information System (INIS)

    Matsuhashi, Ryuji; Fujisawa, Sei; Mitamura, Wataru; Momobayashi, Yutaka; Yoshida, Yoshikuni

    2004-01-01

    Clean development mechanism (CDM) is expected to facilitate technology transfer from developed to developing countries as well as to economically reduce greenhouse gas emissions. In this article, we explore effective institutions to activate CDM projects. For this purpose, we have estimated internal rate of return (IRR) and other indicators on profitability for 42 CDM or JI projects, taking account of volatilities in the price of certified emission reductions (CER). As a result of Monte Carlo simulations, expected values and standard deviations in the IRR of the projects were quantitatively shown. Then we evaluated various risks in CDM, concluding that diversification of investment is an effective way to suppress these risks. Therefore securitization of CDM finance is proposed as a means of facilitating the diversification of investment. Namely, we present the concept of a CDM bond, which is a project bond with CER. We also investigated the role of governments to suppress risks in CDM. Referring to CERUPT, initiated by the Netherlands' government, the institution of 'insured CERUPT' is proposed to suppress downside risks in the IRR of the projects. We concluded that it is possible to make CDM projects viable by the 'insured CERUPT' and CDM bond

  17. NPD project portfolio selection using reinvestment strategy in competitive environment

    Directory of Open Access Journals (Sweden)

    Alireza Ghassemi

    2018-01-01

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

  18. Public Project Portfolio Optimization under a Participatory Paradigm

    Directory of Open Access Journals (Sweden)

    Eduardo Fernandez

    2013-01-01

    Full Text Available A new democracy paradigm is emerging through participatory budgeting exercises, which can be defined as a public space in which the government and the society agree on how to adapt the priorities of the citizenship to the public policy agenda. Although these priorities have been identified and they are likely to be reflected in a ranking of public policy actions, there is still a challenge of solving a portfolio problem of public projects that should implement the agreed agenda. This work proposes two procedures for optimizing the portfolio of public actions with the information stemming from the citizen participatory exercise. The selection of the method depends on the information about preferences collected from the participatory group. When the information is sufficient, the method behaves as an instrument of legitimate democracy. The proposal performs very well in solving two real-size examples.

  19. 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...

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

    OpenAIRE

    Morley, Bruce

    2016-01-01

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

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

    DEFF Research Database (Denmark)

    Hansen, Lars Kristian

    2010-01-01

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

  2. A Multiagent Evolutionary Algorithm for the Resource-Constrained Project Portfolio Selection and Scheduling Problem

    Directory of Open Access Journals (Sweden)

    Yongyi Shou

    2014-01-01

    Full Text Available A multiagent evolutionary algorithm is proposed to solve the resource-constrained project portfolio selection and scheduling problem. The proposed algorithm has a dual level structure. In the upper level a set of agents make decisions to select appropriate project portfolios. Each agent selects its project portfolio independently. The neighborhood competition operator and self-learning operator are designed to improve the agent’s energy, that is, the portfolio profit. In the lower level the selected projects are scheduled simultaneously and completion times are computed to estimate the expected portfolio profit. A priority rule-based heuristic is used by each agent to solve the multiproject scheduling problem. A set of instances were generated systematically from the widely used Patterson set. Computational experiments confirmed that the proposed evolutionary algorithm is effective for the resource-constrained project portfolio selection and scheduling problem.

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

    Directory of Open Access Journals (Sweden)

    Jemy Vestius Confido

    2018-05-01

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

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

    DEFF Research Database (Denmark)

    Geraldi, Joana; Arlt, Mario

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

  5. Confident and "wrong"? Towards a mindful use of visuals in project portfolio decisions

    DEFF Research Database (Denmark)

    Geraldi, Joana; Arlt, Mario

    Portfolios exhibit a degree of complexity that easily exceeds the human ability to achieve optimal decisions through mere intuition. Making sense of this complexity involves a wise use of larger quantity of data. Visuals can help the analysis of more data through different perspectives. Yet......, visuals can also aggravate the challenges involved in portfolio decisions. Inspired by Weick and Sufcliffe’s concept of mindfulness, we conducted an experiment with 204 participants to explore how to use visual mindfully in project portfolio context. The results suggest that use of purposeful and familiar...

  6. Learning through a portfolio of carbon capture and storage demonstration projects

    Science.gov (United States)

    Reiner, David M.

    2016-01-01

    Carbon dioxide capture and storage (CCS) technology is considered by many to be an essential route to meet climate mitigation targets in the power and industrial sectors. Deploying CCS technologies globally will first require a portfolio of large-scale demonstration projects. These first projects should assist learning by diversity, learning by replication, de-risking the technologies and developing viable business models. From 2005 to 2009, optimism about the pace of CCS rollout led to mutually independent efforts in the European Union, North America and Australia to assemble portfolios of projects. Since 2009, only a few of these many project proposals remain viable, but the initial rationales for demonstration have not been revisited in the face of changing circumstances. Here I argue that learning is now both more difficult and more important given the slow pace of deployment. Developing a more coordinated global portfolio will facilitate learning across projects and may determine whether CCS ever emerges from the demonstration phase.

  7. 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

  8. 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.

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

    Directory of Open Access Journals (Sweden)

    Anita V. Sotnikova

    2015-01-01

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

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

    Directory of Open Access Journals (Sweden)

    Camila Costa Dutra

    2016-12-01

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

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

    Directory of Open Access Journals (Sweden)

    Maria Auxiliadora Cannarozzo Tinoco

    2016-12-01

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

  12. Higher order thinking skills: using e-portfolio in project-based learning

    Science.gov (United States)

    Lukitasari, M.; Handhika, J.; Murtafiah, W.

    2018-03-01

    The purpose of this research is to describe students' higher-order thinking skills through project-based learning using e-portfolio. The method used in this research is descriptive qualitative method. The research instruments used were test, unstructured interview, and documentation. Research subjects were students of mathematics, physics and biology education department who take the Basics Physics course. The result shows that through project-based learning using e-portfolio the students’ ability to: analyze (medium category, N-Gain 0.67), evaluate (medium category, N-Gain 0.51), and create (medium Category, N-Gain 0.44) are improved.

  13. PORTFOLIO SELECTION OF INFORMATION SYSTEMS PROJECTS USING PROMETHEE V WITH C-OPTIMAL CONCEPT

    Directory of Open Access Journals (Sweden)

    Jonatas A. de Almeida

    2014-05-01

    Full Text Available This paper presents a multicriteria decision model for selecting a portfolio of information system (IS projects, which integrates strategic and organizational view within a multicriteria decision structure. The PROMETHEE V method, based on outranking relations is applied, considering the c-optimal concept in order to overcome some scaling problems found in the classical PROMETHEE V approach. Then, a procedure is proposed in order to make a final analysis of the c-optimal portfolios found as a result of using PROMETHEE V. Also, the organizational view is discussed, including some factors that may influence decision making on IS projects to be included in the portfolio, such as adding the company's strategic vision and technical aspects that demonstrate how IS contributes value to a company's business.

  14. 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.

  15. Enhancing Project-Based Learning in Software Engineering Lab Teaching through an E-Portfolio Approach

    Science.gov (United States)

    Macias, J. A.

    2012-01-01

    Project-based learning is one of the main successful student-centered pedagogies broadly used in computing science courses. However, this approach can be insufficient when dealing with practical subjects that implicitly require many deliverables and a great deal of feedback and organizational resources. In this paper, a worked e-portfolio is…

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

    DEFF Research Database (Denmark)

    Hansen, Lars Kristian

    2014-01-01

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

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

    Science.gov (United States)

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

    2003-01-01

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

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

    DEFF Research Database (Denmark)

    Hansen, Lars Kristian

    2016-01-01

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

  19. Computer Assisted Project-Based Instruction: The Effects on Science Achievement, Computer Achievement and Portfolio Assessment

    Science.gov (United States)

    Erdogan, Yavuz; Dede, Dinçer

    2015-01-01

    The purpose of this study is to compare the effects of computer assisted project-based instruction on learners' achievement in a science and technology course, in a computer course and in portfolio development. With this aim in mind, a quasi-experimental design was used and a sample of 70 seventh grade secondary school students from Org. Esref…

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

    Directory of Open Access Journals (Sweden)

    Karyne Cheng Siew Ang

    2016-11-01

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

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

    Science.gov (United States)

    Zhao, Erdong; Li, Shangqi

    2017-08-01

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

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

    CERN Document Server

    Frey, Thorsten

    2014-01-01

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

  3. Information Technology Project Portfolio and Strategy Alignment Assessment Based on Data Envelopment Analysis

    Directory of Open Access Journals (Sweden)

    Marisa Analía Sánchez

    2012-11-01

    Full Text Available Recent researches have shown that companies face considerable difficulties in assessing the strategy value contribution of Information Technology (IT investments. One of the major obstacles to achieving strategy alignment is that organizations find extremely difficult to link and quantify the IT investments benefits with strategic goals. The aim of this paper is to define an approach to assess portfolio-strategy alignment. To this end a formal specification of Kaplan and Norton Strategy Map is developed utilizing Unified Modeling Language (UML. The approach uses the Strategy Map as a framework for defining the portfolio value contribution and Data Envelopment Analysis (DEA is used as the methodology for measuring efficiency of project portfolios.DOI:10.5585/gep.v3i2.66

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

    Science.gov (United States)

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

    2013-01-01

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

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

    Science.gov (United States)

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

    2013-01-01

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

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

    Directory of Open Access Journals (Sweden)

    Nomeda Dobrovolskienė

    2016-05-01

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

  7. A PERSPECTIVE ON PRIORITIZATION IN PROJECT PORTFOLIO ENVIRONMENT

    OpenAIRE

    Eberhardt, Henrik; Lindblom, David

    2011-01-01

    The overbridging aspect of this interpretative master thesis is the implementation of a project prioritizing strategy. The concept is subdivided into three processes and entities, which could be seen as tools; project management office(PMO), project evaluation and project selection, which in turn are discussed separately. The thesis investigates how the tools impact the prioritizing strategy and why a company must follow a certain prioritizing strategy. The primary focus has been an IS/IT dep...

  8. Formation of the portfolio of high-rise construction projects on the basis of optimization of «risk-return» rate

    Science.gov (United States)

    Uvarova, Svetlana; Kutsygina, Olga; Smorodina, Elena; Gumba, Khuta

    2018-03-01

    The effectiveness and sustainability of an enterprise are based on the effectiveness and sustainability of its portfolio of projects. When creating a production program for a construction company based on a portfolio of projects and related to the planning and implementation of initiated organizational and economic changes, the problem of finding the optimal "risk-return" ratio of the program (portfolio of projects) is solved. The article proposes and approves the methodology of forming a portfolio of enterprise projects on the basis of the correspondence principle. Optimization of the portfolio of projects on the criterion of "risk-return" also contributes to the company's sustainability.

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

    DEFF Research Database (Denmark)

    Hansen, Lars Kristian

    2013-01-01

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

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

    Science.gov (United States)

    Vinopal, Jennifer

    2012-01-01

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

  11. Formation of the portfolio of projects for informatization programs

    Directory of Open Access Journals (Sweden)

    Ion Bolun

    2009-12-01

    Full Text Available in informatization programs are approached: criteria of efficiency, general problem, aggregate problem in continuous form, general problem in discrete form and solving of problems. As criterion of informatization projects' economic efficiency, the total profit maximization due to investments is used. In preliminary calculations, the opportunity of considering continuous dependences of profit on the volume of investments by domain activities is grounded. Eleven classes of such dependences are investigated and analytical solutions and algorithms for solving formulated problems are described.

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

    Directory of Open Access Journals (Sweden)

    P.J. Viljoen

    2012-01-01

    Full Text Available

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

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

  13. 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

  14. Formation of the portfolio of high-rise construction projects on the basis of optimization of «risk-return» rate

    OpenAIRE

    Uvarova Svetlana; Kutsygina Olga; Smorodina Elena; Gumba Khuta

    2018-01-01

    The effectiveness and sustainability of an enterprise are based on the effectiveness and sustainability of its portfolio of projects. When creating a production program for a construction company based on a portfolio of projects and related to the planning and implementation of initiated organizational and economic changes, the problem of finding the optimal "risk-return" ratio of the program (portfolio of projects) is solved. The article proposes and approves the methodology of forming a por...

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

    Science.gov (United States)

    Byon, Andrew Sangpil

    2007-01-01

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

  16. Multi-period project portfolio selection under risk considerations and stochastic income

    Science.gov (United States)

    Tofighian, Ali Asghar; Moezzi, Hamid; Khakzar Barfuei, Morteza; Shafiee, Mahmood

    2018-02-01

    This paper deals with multi-period project portfolio selection problem. In this problem, the available budget is invested on the best portfolio of projects in each period such that the net profit is maximized. We also consider more realistic assumptions to cover wider range of applications than those reported in previous studies. A novel mathematical model is presented to solve the problem, considering risks, stochastic incomes, and possibility of investing extra budget in each time period. Due to the complexity of the problem, an effective meta-heuristic method hybridized with a local search procedure is presented to solve the problem. The algorithm is based on genetic algorithm (GA), which is a prominent method to solve this type of problems. The GA is enhanced by a new solution representation and well selected operators. It also is hybridized with a local search mechanism to gain better solution in shorter time. The performance of the proposed algorithm is then compared with well-known algorithms, like basic genetic algorithm (GA), particle swarm optimization (PSO), and electromagnetism-like algorithm (EM-like) by means of some prominent indicators. The computation results show the superiority of the proposed algorithm in terms of accuracy, robustness and computation time. At last, the proposed algorithm is wisely combined with PSO to improve the computing time considerably.

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

    DEFF Research Database (Denmark)

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

    2016-01-01

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

  18. Using a portfolio of evidence in a community-based project module: reflection in perspective

    Directory of Open Access Journals (Sweden)

    PH van der Westhuizen

    2014-01-01

    Full Text Available Community-based learning is a relatively new field in South Africa. It has only been extensively included in academic programmes at universities for about fifteen years.Students have to make a positive contribution to individuals in their communities (Dukhan 2008:21 and develop a combination of knowledge, skills, values and motivation in order to make a difference, and to promote the quality of life in a community (O Connor 2006: 52.Too often assessment reflects on a single quantitative measure or symbol to indicate a level of achievement. This aggregate does not, however, indicate the student‟s particular weaknesses and strengths, and whether or not he or she possesses competencies in a specific aspect. A more objective method/procedure of reporting assessment on levels of achievement and competency obtained is the compilation of a portfolio. The main aim of this paper is to provide some guidelines for the compilation and implementation of portfolios as a tool in authentic assessment for the student, but also acts as a document that would guide a community into the sustainability of the project.

  19. 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.

  20. Overview of the NASA Environmentally Responsible Aviation Project's Propulsion Technology Portfolio

    Science.gov (United States)

    Suder, Kenneth L.

    2012-01-01

    The NASA Environmentally Responsible Aviation (ERA) Project is focused on developing and demonstrating integrated systems technologies to TRL 4-6 by 2020 that enable reduced fuel burn, emissions, and noise for futuristic air vehicles. The specific goals aim to simultaneously reduce fuel burn by 50%, reduce Landing and Take-off Nitrous Oxides emissions by 75% relative to the CAEP 6 guidelines, and reduce cumulative noise by 42 Decibels relative to the Stage 4 guidelines. These goals apply to the integrated vehicle and propulsion system and are based on a reference mission of 3000nm flight of a Boeing 777-200 with GE90 engines. This paper will focus primarily on the ERA propulsion technology portfolio, which consists of advanced combustion, propulsor, and core technologies to enable these integrated air vehicle systems goals. An overview of the ERA propulsion technologies will be described and the status and results to date will be presented.

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

    DEFF Research Database (Denmark)

    Hansen, Lars Kristian

    2013-01-01

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

  2. The Economic Viability of Renewable Portfolio Standard Support for Offshore Wind Farm Projects in Korea

    Directory of Open Access Journals (Sweden)

    Chang-Gi Min

    2015-09-01

    Full Text Available Offshore wind farm (WF projects have been promoted by support schemes as part of the expansion of renewable energy resources in Korea. This paper examines in detail how the Renewable Portfolio Standard (RPS, which was adopted post the Feed-in-Tariff scheme in 2012, has had a profound impact on the economic benefits of offshore WFs in Korea. A framework for analyzing the economic viability of RPS is presented and applied to the sixth basic plan for long-term electricity supply and demand in Korea. The electricity market price is forecast using a reformulated probabilistic production cost (PPC model, and the renewable energy certificate (REC price is calculated using its determination rule. The results show that the existing RPS will be ineffective in increasing the penetration of offshore WFs in Korea; however, they also indicate that the economic viability of offshore WFs could be improved by adjusting the existing RPS.

  3. Critical chain construction with multi-resource constraints based on portfolio technology in South-to-North Water Diversion Project

    Directory of Open Access Journals (Sweden)

    Jing-chun Feng

    2011-06-01

    Full Text Available Recently, the critical chain study has become a hot issue in the project management research field. The construction of the critical chain with multi-resource constraints is a new research subject. According to the system analysis theory and project portfolio theory, this paper discusses the creation of project portfolios based on the similarity principle and gives the definition of priority in multi-resource allocation based on quantitative analysis. A model with multi-resource constraints, which can be applied to the critical chain construction of the A-bid section in the South-to-North Water Diversion Project, was proposed. Contrast analysis with the comprehensive treatment construction method and aggressive treatment construction method was carried out. This paper also makes suggestions for further research directions and subjects, which will be useful in improving the theories in relevant research fields.

  4. I Thought This Was Going to Be a Waste of Time: How Portfolio Construction Can Support Student Learning from Project-Based Experiences

    Science.gov (United States)

    Turns, Jennifer; Cuddihy, Elisabeth; Guan, Zhiwei

    2010-01-01

    In this work, we sought to understand ways that students experienced a small-scale portfolio assignment provided to them as an opportunity reflect on their experiences in a project-based class. This work was motivated by research in various instructional contexts showing that portfolio construction results in important learning outcomes. We wanted…

  5. The Web-based CanMEDS Resident Learning Portfolio Project (WEBCAM): how we got started.

    Science.gov (United States)

    Glen, Peter; Balaa, Fady; Momoli, Franco; Martin, Louise; Found, Dorothy; Arnaout, Angel

    2016-12-01

    The CanMEDS framework is ubiquitous in Canadian postgraduate medical education; however, training programs do not have a universal method of assessing competence. We set out to develop a novel portfolio that allowed trainees to generate a longitudinal record of their training and development within the framework. The portfolio provided an objective means for the residency program director to document and evaluate resident progress within the CanMEDS roles.

  6. 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.

  7. 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.

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

    Science.gov (United States)

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

    2009-01-01

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

  9. Environmental evaluation Methodology as part, of the project multi-aspect evaluation of the portfolio of ISAGEN options

    International Nuclear Information System (INIS)

    Ayala R, Ana Victoria

    2001-01-01

    ISAGEN designed and applied a multi-aspect methodology to classify and compare projects of the company's electricity generation options portfolio. It was developed from a holistic vision, integrating multidisciplinary information from the economic, environmental and technical aspects. This helped to classify the alternatives based on the sum of the values obtained for the different considered aspects. This document presents, in general form, the procedure adopted for the index formulation and selection of factors including the variables corresponding to the sub-aspects (or environmental dimensions) physical, biotic and social. The investigation's work, selection and classification of the variables were developed by an interdisciplinary group of experimented professionals in the environmental evaluation of projects. The integration of the three sub-aspects (physical, biotic and social) resulted in a hierarchy of projects based on environmental considerations, which were finally articulated with the respective values obtained from the technical and economical aspects. In general, the results obtained in each sub-aspect agreed with the hierarchy of projects based on an expert concept previous to the method application. In synthesis, it was observed that this technique is of great utility to make comparisons and general classifications because it allows to take advantage of information with different characteristics and include assumptions or artificial modifiable methodological items that reflect the structure of the deciding agents preferences at any given time

  10. FEATURES OF PROJECT PORTFOLIO OF HIGH TECHNOLOGY INNOVATION COMPANIES IN NANOBIOTECHNOLOGIES

    Directory of Open Access Journals (Sweden)

    Віктор Володимирович МОРОЗОВ

    2015-05-01

    Full Text Available In the article were determined main project peculiarities in the field of nanotechnologies, that significantly influence project management in science. Was shown the necessity to apply the methods of project management for realization of innovative projects, aiming to accelerate their fastest implementation in the most prominent directions of state national economy.

  11. A Project Strategic Index proposal for portfolio selection in electrical company based on the Analytic Network Process

    Energy Technology Data Exchange (ETDEWEB)

    Smith-Perera, Aida [Universidad Metropolitana de Caracas, Departamento de Gestion Tecnologica, Caracas 1071, Edo Miranda (Venezuela); Garcia-Melon, Monica; Poveda-Bautista, Rocio; Pastor-Ferrando, Juan-Pascual [Universidad Politecnica de Valencia, Departamento de Proyectos de Ingenieria, Camino de vera s/n 46022 Valencia (Spain)

    2010-08-15

    In this paper a new approach to prioritize project portfolio in an efficient and reliable way is presented. It is based on strategic objectives of the company and multicriteria decision methods. The paper introduces a rigorous method with acceptable complexity which seeks to assist managers of a big Electrical Company of Venezuela to distribute the annual budget among the possible improvement actions to be conducted on the electrical network of Caracas. A total of 15 network improvement actions grouped into three clusters according to the strategic objectives of the company have been analyzed using the Project Strategic Index (PSI) proposed. The approach combines the use of the Analytic Network Process (ANP) method with the information obtained from the experts during the decision-making process. The ANP method allows the aggregation of the experts' judgments on each of the indicators used into one Project Strategic Index. In addition, ANP is based on utility ratio functions which are the most appropriate for the analysis of uncertain data, like experts' estimations. Finally, unlike the other multicriteria techniques, ANP allows the decision problem to be modelled using the relationships among dependent criteria. The participating experts coincided in the appreciation that the method proposed in this paper is useful and an improvement from traditional budget distribution techniques. They find the results obtained coherent, the process seems sufficiently rigorous and precise, and the use of resources is significantly less than in other methods. (author)

  12. A Project Strategic Index proposal for portfolio selection in electrical company based on the Analytic Network Process

    International Nuclear Information System (INIS)

    Smith-Perera, Aida; Garcia-Melon, Monica; Poveda-Bautista, Rocio; Pastor-Ferrando, Juan-Pascual

    2010-01-01

    In this paper a new approach to prioritize project portfolio in an efficient and reliable way is presented. It is based on strategic objectives of the company and multicriteria decision methods. The paper introduces a rigorous method with acceptable complexity which seeks to assist managers of a big Electrical Company of Venezuela to distribute the annual budget among the possible improvement actions to be conducted on the electrical network of Caracas. A total of 15 network improvement actions grouped into three clusters according to the strategic objectives of the company have been analyzed using the Project Strategic Index (PSI) proposed. The approach combines the use of the Analytic Network Process (ANP) method with the information obtained from the experts during the decision-making process. The ANP method allows the aggregation of the experts' judgments on each of the indicators used into one Project Strategic Index. In addition, ANP is based on utility ratio functions which are the most appropriate for the analysis of uncertain data, like experts' estimations. Finally, unlike the other multicriteria techniques, ANP allows the decision problem to be modelled using the relationships among dependent criteria. The participating experts coincided in the appreciation that the method proposed in this paper is useful and an improvement from traditional budget distribution techniques. They find the results obtained coherent, the process seems sufficiently rigorous and precise, and the use of resources is significantly less than in other methods. (author)

  13. 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…

  14. 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....

  15. Customer portfolios

    DEFF Research Database (Denmark)

    Clarke, Ann Højbjerg; Freytag, Per Vagn; Zolkiewski, Judith

    2017-01-01

    gives managers a tool to help to cope with the dynamic aspects of the customer portfolio. Recognition of the importance of communication to the process, the development of trust and the role of legitimacy also provides areas that managers can focus upon in their relationship management processes......Purpose The purpose of this paper is to extend the discussion about customer portfolios beyond simple identification of models and how they can be used for balanced resource allocation to a discussion about how portfolios should take into account views from relationship partners and how they should...... that helps improve the understanding of how customer portfolio models can actually be applied from a relational perspective. Findings The key aspects of the conceptual framework relate to how alignment of the relationships in the portfolio is achieved. Critical to this are the interaction spaces...

  16. Weighing the Costs and Benefits of Renewables Portfolio Standards:A Comparative Analysis of State-Level Policy Impact Projections

    Energy Technology Data Exchange (ETDEWEB)

    Chen, Cliff; Wiser, Ryan; Bolinger, Mark

    2007-01-16

    State renewables portfolio standards (RPS) have emerged as one of the most important policy drivers of renewable energy capacity expansion in the U.S. Collectively, these policies now apply to roughly 40% of U.S. electricity load, and may have substantial impacts on electricity markets, ratepayers, and local economies. As RPS policies have been proposed or adopted in an increasing number of states, a growing number of studies have attempted to quantify the potential impacts of these policies, focusing primarily on projecting cost impacts, but sometimes also estimating macroeconomic and environmental effects. This report synthesizes and analyzes the results and methodologies of 28 distinct state or utility-level RPS cost impact analyses completed since 1998. Together, these studies model proposed or adopted RPS policies in 18 different states. We highlight the key findings of these studies on the costs and benefits of RPS policies, examine the sensitivity of projected costs to model assumptions, assess the attributes of different modeling approaches, and suggest possible areas of improvement for future RPS analysis.

  17. Integrating Portfolio Management and Simulation Concepts in the ERP Project Estimation Practice

    NARCIS (Netherlands)

    Daneva, Maia; Paech, B.; Rolland, C

    2008-01-01

    This paper presents a two-site case study on requirements-based effort estimation practices in enterprise resource planning projects. Specifically, the case study investigated the question of how to handle qualitative data and highly volatile values of project context characteristics. We counterpart

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

    Directory of Open Access Journals (Sweden)

    Сергей Васильевич РУДЕНКО

    2016-02-01

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

  19. Sharing Experiences within AREVA D and D Project Portfolio: Four Illustrations - 13049

    International Nuclear Information System (INIS)

    Chabeuf, Jean-Michel; Varet, Thierry; AREVA Site Value Development Business Unit, La Hague Site

    2013-01-01

    Over the past ten years, AREVA has performed D and D operations on a wide range of nuclear sites, such as Marcoule and La Hague recycling plants, to Cadarache MOX fuel fabrication plant or Veurey and Annecy metallic Uranium machining plants. Each site is different from the other but some lessons can be shared through this D and D portfolio. In that respect, knowledge management is one of AREVA D and D Technical Department main missions. Four illustrations demonstrate the interest of knowledge share. Waste management is one of the key activities in D and D; It requires a specific characterization methodology, adapted logistics, and optimized waste channels, all of which have been developed over the years by AREVA teams on the site of Marcoule while they are rather new to La Hague, whose main activity remains fuel reprocessing despite the launch of UP2 400 D and D program. The transfer of know how has thus been organized over the past two years. Plasma cutting has been used extensively in Marcoule for years, while prohibited on the site of La Hague following questions raised about the risks associated wit Ruthenium sublimation. La Hague Technical Department has thus developed an experimental protocol to quantify and contain the Ruthenium risk, the result of which will then be applied to Marcoule where the Ruthenium issue has appeared in recent operations. Commissioning and operating fission products evaporators is a rather standard activity on UP2 800 and UP3, while the associated experience has been decreasing in Marcoule following final shutdown in 1998. When the French atomic Energy commission decided to build and operate a new evaporator to concentrate rinsing effluents prior to vitrification in 2009, AREVA La Hague operators were mobilized to test and commission the new equipment, and train local operators. Concrete scabbling is the final stage prior to the free release of a nuclear facility. In the context of Veurey and Annecy final cleanup and declassification

  20. Sharing Experiences within AREVA D and D Project Portfolio: Four Illustrations - 13049

    Energy Technology Data Exchange (ETDEWEB)

    Chabeuf, Jean-Michel; Varet, Thierry [AREVA Site Value Development Business Unit, La Hague Site (France); AREVA Site Value Development Business Unit, La Hague Site

    2013-07-01

    Over the past ten years, AREVA has performed D and D operations on a wide range of nuclear sites, such as Marcoule and La Hague recycling plants, to Cadarache MOX fuel fabrication plant or Veurey and Annecy metallic Uranium machining plants. Each site is different from the other but some lessons can be shared through this D and D portfolio. In that respect, knowledge management is one of AREVA D and D Technical Department main missions. Four illustrations demonstrate the interest of knowledge share. Waste management is one of the key activities in D and D; It requires a specific characterization methodology, adapted logistics, and optimized waste channels, all of which have been developed over the years by AREVA teams on the site of Marcoule while they are rather new to La Hague, whose main activity remains fuel reprocessing despite the launch of UP2 400 D and D program. The transfer of know how has thus been organized over the past two years. Plasma cutting has been used extensively in Marcoule for years, while prohibited on the site of La Hague following questions raised about the risks associated wit Ruthenium sublimation. La Hague Technical Department has thus developed an experimental protocol to quantify and contain the Ruthenium risk, the result of which will then be applied to Marcoule where the Ruthenium issue has appeared in recent operations. Commissioning and operating fission products evaporators is a rather standard activity on UP2 800 and UP3, while the associated experience has been decreasing in Marcoule following final shutdown in 1998. When the French atomic Energy commission decided to build and operate a new evaporator to concentrate rinsing effluents prior to vitrification in 2009, AREVA La Hague operators were mobilized to test and commission the new equipment, and train local operators. Concrete scabbling is the final stage prior to the free release of a nuclear facility. In the context of Veurey and Annecy final cleanup and declassification

  1. PISA Research Project Portfolio. Towards a new understanding of technological decision-making

    International Nuclear Information System (INIS)

    Meskens, G.

    2006-01-01

    In 2005, the programme of integration of social sciences into nuclear research participates in several research projects. It is the aim to apply transdiciplinary problem-oriented methods in PhD's work, in contract research, in international networking and to take challenging opportunities in conferences

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

    DEFF Research Database (Denmark)

    Hansen, Lars Kristian; Svejvig, Per

    2018-01-01

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

  3. 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.

  4. 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.

  5. IT Portfolio Management

    DEFF Research Database (Denmark)

    Hansen, Lars Kristian; Kræmmergaard, Pernille

    2012-01-01

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

  6. Portfolio theory in the selection of oil investment projects Teoria de carteiras na seleção de projetos de investimento em petróleo

    Directory of Open Access Journals (Sweden)

    Jalimar Guimarães Simplício

    2012-01-01

    Full Text Available The objective of this article is to compare investment project selection using the efficient frontier in the mean-variance space based on optimization models introduced by Markowitz (1952 with the project ranking method according to the profitability index (PI. The selection of real assets by companies did not incorporate the mean-variance optimization procedure in the same way the selection of financial assets in investment portfolios did. The process of selection and formation of portfolios of investment projects for the oil area of a company in the energy industry was analyzed. Project portfolios formed according to the usual company practice of ranking by their PI were compared with those that result from applying mean-variance optimization through Monte Carlo simulation, which allows the computation of mean returns, variances, and covariances for the set of projects considered. The inefficiency of project portfolios obtained by ranking according to the PI compared to those obtained by the method of Markowitz suggests that there are opportunities to improve the process of selecting the set of projects to be implemented by companies.O objetivo deste artigo é comparar a seleção de projetos de investimento segundo a fronteira eficiente no espaço média-variância com base em modelos de otimização introduzidos por Markowitz (1952 com o método do ordenamento de projetos segundo o índice de lucratividade (IL. A seleção de ativos reais pelas empresas não incorporou o procedimento de otimização de média-variância da mesma forma que na seleção de ativos financeiros para carteiras de investimento. O processo de seleção e formação de carteiras de projetos de investimento pela área de petróleo de uma empresa do setor de energia foi analisado. Carteiras de projetos constituídas de acordo com a prática usual da empresa de ordenamento pelo IL foram comparadas com as que resultariam da aplicação da otimização de m

  7. Parametric Portfolio Selection: Evaluating and Comparing to Markowitz Portfolios

    Directory of Open Access Journals (Sweden)

    Marcelo C. Medeiros

    2014-10-01

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

  8. 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...

  9. 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...

  10. 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).

  11. 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.

  12. 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.

  13. 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...

  14. Map of the portfolio of projects of energy efficiency and of renewable energies by the AFD group and the FFEM

    International Nuclear Information System (INIS)

    Guillaumie, Koulm; Briand, Claude; Ries, Alain

    2007-09-01

    The AFD (the French Agency for Development) and the FFEM (French Fund for World Environment) are involved in cooperation and partnership projects for the development of energy efficiency, notably, but not only, in developing and emerging countries. This report first proposes a classification of these projects according to a typology which comprises the concerned sectors (urban planning and housing, fuels, hydroelectricity and wind energy, electricity distribution, industries and services, transports and mobility, capacity building, multi-sector), the intervener (AFD, FFEM, and Proparco, an AFD's subsidy), the project evolution in time (number of projects, evolution of funding), the funding type (loan types, subsidy, credit line), and the geographical area. The second part discusses the conditions to start projects in energy management: legal framework, economic conditions, funding, social and environmental factors, and technical factors. Appendices propose a set of ten technical sheets which indicate and discuss conditions of success as well as obstacles for different types of projects: big dams, mini hydroelectric projects, wind energy, biomass/biogas co-generation, bio-fuels, decentralised rural electrification based on renewable energy projects, collective transports and energy efficiency in transports, development of partnerships and institutional support, multi-sector tools of investment, and carbon market

  15. 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.

  16. 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.

  17. Agile project portfolio management, new solutions and new challenges: preliminary findings from a case study of an agile organization

    DEFF Research Database (Denmark)

    Hansen, Lars Kristian; Svejvig, Per

    project management framework including two complementary perspectives. One perspective, denoted as classical project management (CPM), highlights key characteristics of traditional PPM practices. A second perspective, denoted as rethinking project management (RPM), highlights characteristics...... of progressive PPM practices. We investigate a large Danish company by applying the research question: “How does agile PPM manifests itself in a real organization and what are the observed pros and cons?” Surprisingly, when summa-rizing our results, we find some traits of concepts from the CPM perspective...... that are manifested in strict control of projects and programs. Furthermore, we find the traits of the RPM perspective more dominating than the CPM perspective, and these traits are mostly found to have desirable effects. CPM traits seem to improve the organi-zation’s ability to cope with uncertainty, a so...

  18. 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…

  19. 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.

  20. A Real Options Perspective on R&D Portfolio Diversification

    NARCIS (Netherlands)

    S. van Bekkum (Sjoerd); H.P.G. Pennings (Enrico); J.T.J. Smit (Han)

    2008-01-01

    textabstractThis paper shows that the presence of conditional staging in R&D (Research & Development) has a critical impact on portfolio risk, and changes diversification arguments when a portfolio is constructed. When R&D projects exhibit option-like characteristics, correlation between projects

  1. 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…

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

    NARCIS (Netherlands)

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

    2015-01-01

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

  3. 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...

  4. 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.

  5. 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...

  6. 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,…

  7. 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

  8. 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...

  9. 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.

  10. Implementation of Online Peer Assessment in a Design for Learning and Portfolio (D4L+P) Program to Help Students Complete Science Projects

    Science.gov (United States)

    Wuttisela, Karntarat; Wuttiprom, Sura; Phonchaiya, Sonthi; Saengsuwan, Sayant

    2016-01-01

    Peer assessment was one of the most effective strategies to improve students' understanding, metacognitive skills, and social interaction. An online tool, "Designing for Learning and Portfolio (D4L+P)", was developed solely to support the T5 (tasks, tools, tutorials, topicresources, and teamwork) method of teaching and learning. This…

  11. A Real Options Perspective On R&D Portfolio Diversification

    NARCIS (Netherlands)

    S. van Bekkum (Sjoerd); H.P.G. Pennings (Enrico); J.T.J. Smit (Han)

    2009-01-01

    textabstractThis paper shows that the conditionality of investment decisions in R&D has a critical impact on portfolio risk, and implies that traditional diversification strategies should be reevaluated when a portfolio is constructed. Real option theory argues that research projects have

  12. Validation of Competencies in E-Portfolios: A Qualitative Analysis

    Science.gov (United States)

    Zawacki-Richter, Olaf; Hanft, Anke; Baecker, Eva Maria

    2011-01-01

    This paper uses the example of an Internet-based advanced studies course to show how the portfolio method, as a competence-based form of examination, can be integrated in a blended learning design. Within the framework of a qualitative analysis of project portfolios, we examined which competencies are documented and how students reflected on their…

  13. The application of scenarios techniques for evaluation of portfolio investments in E and P projects; A aplicacao das tecnicas de cenarios na avaliacao de carteira de investimentos em projetos de E e P

    Energy Technology Data Exchange (ETDEWEB)

    Torres, Arnaldo L.M.; Rocha, Fabio M.; Rodrigues, Joao R.L.; Farias Filho, Jose Rodrigues de; Campagnac, Luiz A.P. [Universidade Federal Fluminense (UFF), Niteroi, RJ (Brazil). Nucleo de Competitividade, Estrategia e Organizacoes (LABCEO)

    2008-07-01

    Managements in the organizations deal daily with decision making, today the market competitiveness requires rationality and efficiency. In the project portfolio management a lot of questions emerge to the management, such as: The projects chosen are really the best projects? They are suitable for the reality of the company? The evaluation criteria are appropriate? The methodology employed is adequate? The application of resources is optimized? There is a real commitment from all levels of the organizational structure? In this context, the objective of this work is to describe a model that try to be more applied to the reality, taking into consideration conceptual and motivational aspects related to the implementation of project management involving high investment with restrictions on resources, and still provide a tool to support decision . (author)

  14. 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)

  15. 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...

  16. 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...

  17. 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...

  18. 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.

  19. Making practice transparent through e-portfolio.

    Science.gov (United States)

    Stewart, Sarah M

    2013-12-01

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

  20. Machine-based mapping of innovation portfolios

    NARCIS (Netherlands)

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

    2017-01-01

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

  1. 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)

  2. 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.

  3. A Bicriteria Approach Identifying Nondominated Portfolios

    Directory of Open Access Journals (Sweden)

    Javier Pereira

    2014-01-01

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

  4. 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...

  5. 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...

  6. Decentralized Portfolio Management

    Directory of Open Access Journals (Sweden)

    Benjamin Miranda Tabak

    2003-12-01

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

  7. 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.

  8. 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.

  9. 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…

  10. Evaluation of IP Portfolios

    DEFF Research Database (Denmark)

    Søberg, Peder Veng

    2009-01-01

    As a result of an inquiry concerning how to evaluate IP (intellectual property) portfolios in order to enable the best possible use of IP resources within organizations, an IP evaluation approach primarily applicable for patents and utility models is developed. The developed approach is useful...... of the organization owning the IP....

  11. 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)

  12. Portfolio, refleksion og feedback

    DEFF Research Database (Denmark)

    Hansen, Jens Jørgen; Qvortrup, Ane; Christensen, Inger-Marie F.

    2017-01-01

    Denne leder definerer indledningsvist begrebet portfolio og gør rede for anvendelsesmuligheder i en uddannelseskontekst. Dernæst behandles portfoliometodens kvalitet og effekt for læring og undervisning og de centrale begreber refleksion, progression og feedback præsenteres og diskuteres. Herefter...

  13. 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.

  14. 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.

  15. Belief Propagation Algorithm for Portfolio Optimization Problems.

    Science.gov (United States)

    Shinzato, Takashi; Yasuda, Muneki

    2015-01-01

    The typical behavior of optimal solutions to portfolio optimization problems with absolute deviation and expected shortfall models using replica analysis was pioneeringly estimated by S. Ciliberti et al. [Eur. Phys. B. 57, 175 (2007)]; however, they have not yet developed an approximate derivation method for finding the optimal portfolio with respect to a given return set. In this study, an approximation algorithm based on belief propagation for the portfolio optimization problem is presented using the Bethe free energy formalism, and the consistency of the numerical experimental results of the proposed algorithm with those of replica analysis is confirmed. Furthermore, the conjecture of H. Konno and H. Yamazaki, that the optimal solutions with the absolute deviation model and with the mean-variance model have the same typical behavior, is verified using replica analysis and the belief propagation algorithm.

  16. Belief Propagation Algorithm for Portfolio Optimization Problems.

    Directory of Open Access Journals (Sweden)

    Takashi Shinzato

    Full Text Available The typical behavior of optimal solutions to portfolio optimization problems with absolute deviation and expected shortfall models using replica analysis was pioneeringly estimated by S. Ciliberti et al. [Eur. Phys. B. 57, 175 (2007]; however, they have not yet developed an approximate derivation method for finding the optimal portfolio with respect to a given return set. In this study, an approximation algorithm based on belief propagation for the portfolio optimization problem is presented using the Bethe free energy formalism, and the consistency of the numerical experimental results of the proposed algorithm with those of replica analysis is confirmed. Furthermore, the conjecture of H. Konno and H. Yamazaki, that the optimal solutions with the absolute deviation model and with the mean-variance model have the same typical behavior, is verified using replica analysis and the belief propagation algorithm.

  17. 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

  18. Seleção e alocação de recursos em portfólio de projetos: estudo de caso no setor químico Portfolio of projects: case study of selection and balancing

    Directory of Open Access Journals (Sweden)

    Marisa Padovani

    2010-01-01

    Full Text Available Escolher dentre dezenas ou centenas de alternativas, aquelas que deverão compor o portfólio de projetos de uma organização e com qual prioridade, é um problema de decisão multicritério complexo. Este trabalho teve como foco duas etapas críticas da gestão de portfólio: a seleção de projetos e a alocação de recursos. A abordagem metodológica utilizada foi a pesquisa-ação, partindo-se de uma estrutura teórico-conceitual que integra os métodos AHP (Analytic Hierarchy Process e programação inteira em um modelo híbrido. A pesquisa de campo foi desenvolvida em uma empresa do setor químico, escolhida como unidade de análise, na qual foi implementado o modelo híbrido, de tal forma que os diferentes cenários propostos fossem comparados com o cenário real da organização estudada. Pretendeu-se avaliar a importância e utilidade desse modelo no auxílio à tomada de decisões relacionadas à seleção, priorização e alocação de recursos em projetos. Como principal resultado obtido, verificou-se que o uso do modelo contribui para o alinhamento estratégico, melhora a troca de informações entre os tomadores de decisão da empresa; possibilita a simulação de cenários estratégicos em tempo real e a verificação do impacto na carteira de projetos em execução; prioriza os projetos de forma justificável e estruturada; e permite a alocação de recursos baseada em prioridades.Among dozens or hundreds of alternatives, choosing those which should make up the projects portfolio of an organization and which priority level is a complex multi-criteria decision matter. This work aims to apply a management model of projects portfolio, using the AHP (Analytic Hierarchy Process method and an integrated integer program. Another purpose is to validate and evaluate the importance and use of the model to help the decision-making related to the selection, prioritization and balance of projects. Thus, such a model was applied to select and

  19. 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.

  20. 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.

  1. 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

  2. On portfolio risk diversification

    Science.gov (United States)

    Takada, Hellinton H.; Stern, Julio M.

    2017-06-01

    The first portfolio risk diversification strategy was put into practice by the All Weather fund in 1996. The idea of risk diversification is related to the risk contribution of each available asset class or investment factor to the total portfolio risk. The maximum diversification or the risk parity allocation is achieved when the set of risk contributions is given by a uniform distribution. Meucci (2009) introduced the maximization of the Rényi entropy as part of a leverage constrained optimization problem to achieve such diversified risk contributions when dealing with uncorrelated investment factors. A generalization of the risk parity is the risk budgeting when there is a prior for the distribution of the risk contributions. Our contribution is the generalization of the existent optimization frameworks to be able to solve the risk budgeting problem. In addition, our framework does not possess any leverage constraint.

  3. Hvorfor anvende portfolio eksamen?

    DEFF Research Database (Denmark)

    Elley, Tina Ninka

    2015-01-01

    from the clinical part. The two topics are weighted according to the distribution of ECTS points between theory and clinic. We implemented the portfolio format in November 2012, and the evaluations from the students have shown that the format is good; the students get less stressed at the exam......In Denmark the Biomedical Laboratory Scientist programme lasts for 3½ years, divided into 14 modules of 10 weeks. Every module concludes with an exam, which can be very stressful for the students. A survey was made among the students, confirming this. How can we change some of the exams in order...... to minimize the students' stress level? Then the pedagogical considerations started – where and how to do this? The conclusion was to work with the portfolio format at module 6 and module 7 and make it the exam form, as it was possible to divide the expected learning outcome for the two modules into topics...

  4. 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

  5. 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

  6. 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...

  7. 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.

  8. 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...

  9. 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".

  10. 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

  11. 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…

  12. Analysis of CDM Projects' Portfolio in West African Economic and Monetary Union - Regional Baseline Assessment in Energy Sector. Case Study: Benin, Burkina Faso, Niger and Togo

    OpenAIRE

    Satoguina, Honorat

    2006-01-01

    This study analyses current energy projects in Benin, Burkina Faso, Niger and Togo. Based on the size of these projects, the study shows that currently, only small scale CDM projects can be developed in these countries in energy sectors. Moreover, baseline emissions factors are assessed for the different electricity grids. These baselines are very low in interconnected grids in cities, while they are relatively high for isolated and non-connected utilities in remote areas. Consequently, count...

  13. UK Household Portfolios

    OpenAIRE

    Banks, James; Smith, Sarah

    2000-01-01

    This paper presents a detailed analysis of the composition of household portfolios, using both aggregate and micro-data. Among the key findings are that: Most household wealth is held in the form of housing and pensions. Over time, there has been a shift away from housing towards financial assets, driven largely by the growth in life and pension funds. Liquid financial wealth (excluding life and pension funds) is not predominantly held in risky form. By far the most commonly held asset is an ...

  14. Portfolios of quantum algorithms.

    Science.gov (United States)

    Maurer, S M; Hogg, T; Huberman, B A

    2001-12-17

    Quantum computation holds promise for the solution of many intractable problems. However, since many quantum algorithms are stochastic in nature they can find the solution of hard problems only probabilistically. Thus the efficiency of the algorithms has to be characterized by both the expected time to completion and the associated variance. In order to minimize both the running time and its uncertainty, we show that portfolios of quantum algorithms analogous to those of finance can outperform single algorithms when applied to the NP-complete problems such as 3-satisfiability.

  15. 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...

  16. A class of multi-period semi-variance portfolio for petroleum exploration and development

    Science.gov (United States)

    Guo, Qiulin; Li, Jianzhong; Zou, Caineng; Guo, Yujuan; Yan, Wei

    2012-10-01

    Variance is substituted by semi-variance in Markowitz's portfolio selection model. For dynamic valuation on exploration and development projects, one period portfolio selection is extended to multi-period. In this article, a class of multi-period semi-variance exploration and development portfolio model is formulated originally. Besides, a hybrid genetic algorithm, which makes use of the position displacement strategy of the particle swarm optimiser as a mutation operation, is applied to solve the multi-period semi-variance model. For this class of portfolio model, numerical results show that the mode is effective and feasible.

  17. 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...

  18. Regularizing portfolio optimization

    International Nuclear Information System (INIS)

    Still, Susanne; Kondor, Imre

    2010-01-01

    The optimization of large portfolios displays an inherent instability due to estimation error. This poses a fundamental problem, because solutions that are not stable under sample fluctuations may look optimal for a given sample, but are, in effect, very far from optimal with respect to the average risk. In this paper, we approach the problem from the point of view of statistical learning theory. The occurrence of the instability is intimately related to over-fitting, which can be avoided using known regularization methods. We show how regularized portfolio optimization with the expected shortfall as a risk measure is related to support vector regression. The budget constraint dictates a modification. We present the resulting optimization problem and discuss the solution. The L2 norm of the weight vector is used as a regularizer, which corresponds to a diversification 'pressure'. This means that diversification, besides counteracting downward fluctuations in some assets by upward fluctuations in others, is also crucial because it improves the stability of the solution. The approach we provide here allows for the simultaneous treatment of optimization and diversification in one framework that enables the investor to trade off between the two, depending on the size of the available dataset.

  19. Regularizing portfolio optimization

    Science.gov (United States)

    Still, Susanne; Kondor, Imre

    2010-07-01

    The optimization of large portfolios displays an inherent instability due to estimation error. This poses a fundamental problem, because solutions that are not stable under sample fluctuations may look optimal for a given sample, but are, in effect, very far from optimal with respect to the average risk. In this paper, we approach the problem from the point of view of statistical learning theory. The occurrence of the instability is intimately related to over-fitting, which can be avoided using known regularization methods. We show how regularized portfolio optimization with the expected shortfall as a risk measure is related to support vector regression. The budget constraint dictates a modification. We present the resulting optimization problem and discuss the solution. The L2 norm of the weight vector is used as a regularizer, which corresponds to a diversification 'pressure'. This means that diversification, besides counteracting downward fluctuations in some assets by upward fluctuations in others, is also crucial because it improves the stability of the solution. The approach we provide here allows for the simultaneous treatment of optimization and diversification in one framework that enables the investor to trade off between the two, depending on the size of the available dataset.

  20. Implementing Reflective Portfolios for Promoting Autonomous Learning among EFL College Students in Taiwan

    Science.gov (United States)

    Lo, Ya-Fen

    2010-01-01

    This article depicts challenges for students and teachers involved in developing a reflective portfolio to promote autonomous learning in Taiwan. One hundred and one students in a Taiwan university completed their individual portfolio projects. A pre-course questionnaire, post-course self-evaluation, and the instructor's field notes were the data…

  1. ePortfolios in Australian Higher Education Arts: Differences and Differentiations

    Science.gov (United States)

    Rowley, Jennifer; Bennett, Dawn

    2016-01-01

    This paper reports the findings of a project that investigated uses of electronic portfolios (ePortfolios) in the creative and performing arts at four Australian universities and raises four significant areas for discussion: engaging technologies as an ongoing requirement of planning, delivery and evaluation of teaching and learning in higher…

  2. PORTFOLIO PROJECT MANAGEMENT (PPM EM PESQUISA, DESENVOLVIMENTO E INOVAÇÃO (PD&I VOLTADO PARA AÇÕES DE UMA INSTITUIÇÃO DE CIÊNCIA E TECNOLOGIA (ICT

    Directory of Open Access Journals (Sweden)

    Antônio Genésio Vasconcelos Neto

    2014-07-01

    Full Text Available A oferta de tecnologias resultantes de atividades de pesquisa e desenvolvimento (P&D por parte das Instituições de Ciência e Tecnologia (ICT é um diferencial competitivo a ser buscado, tendo em vista sua importância para o posicionamento estratégico do país, bem como para contribuição do desenvolvimento, trazendo consigo benefícios sociais, ambientais e econômicos. Diante deste desafio, apresenta-se uma proposta de Portfolio Project Management (PPM de projetos de New Product Development (NPD em uma ICT, tendo em vista a necessidade de pesquisa e desenvolvimento de tecnologias fomentadoras de oportunidades para que os setores produtivos possam implementá-las e atuarem na promoção de inovações tecnológicas na sociedade. Para isto, apresentam-se resultados práticos decorrentes de action research, com o intuito de oportunizar uma visão ambidestra de reestruturação organizacional focada cultura de inovação tecnológica.

  3. 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

  4. 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...

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

    OpenAIRE

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

    2007-01-01

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

  6. 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....

  7. Portfolio i Praksis

    DEFF Research Database (Denmark)

    Saltofte, Margit; Krill, Cecilia

    . Præsentationsfolien fokuserer på at præsentere et færdigt produkt eller resultat, mens arbejdsportfolien har fokus på proces, refleksion og læring. Til denne forskel knytter sig desuden helt naturligt en sondring imellem det delte og det private. Hvor præsentationsportfolio per definition er åben og har en modtager i...... sigte, er arbejdsportfolien i udgangspunktet lukket og privat. Det vil sige at man selv udvælger, hvad der skal ses af fx vejleder eller medstuderende – og hvad, der skal forblive privat. Portfolio i Praksis tilbyder desuden en række håndgribelige øvelser, der kan bruges som hjælp til at understøtte det...

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

    OpenAIRE

    Itay Goldstein; Assaf Razin

    2005-01-01

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

  9. Portfolio Analysis of Renewable Energy Opportunities: Preprint

    Energy Technology Data Exchange (ETDEWEB)

    Richards, Allison; Deprizio, Jodi; Anderson, Kate; DiOrio, Nick; Elgqvist, Emma; Simpkins, Travis

    2016-11-01

    Time Warner Cable (TWC), now Charter Communications (CC), partnered with the National Renewable Energy Laboratory (NREL) to assess the technical and economic potential for solar photovoltaic (PV), wind, and ground-source heat-pump systems at 696 TWC facilities. NREL identified 306 sites where adding a renewable energy system would provide cost savings over the project life-cycle. In general, the top sites have some combination of high electricity rates ($0.16-$0.29/kWh), significant state incentives, and favorable net-metering policies. If all projects were implemented via third-party power purchase agreements, TWC/CC would save $37 million over 25 years and meet 10.5% of their energy consumption with renewable energy. This paper describes the portfolio screening methodology used to identify and prioritize renewable energy opportunities across the TWC sites, as well as a summary of the potential cost savings that may be realized by implementing these projects. This may provide a template for other companies interested in identifying and prioritizing renewable energy opportunities across a large number of geographically dispersed sites. Following this initial portfolio analysis, NREL will be conducting in-depth analysis of project development opportunities at ten sites and evaluating off-grid solutions that may enable carbon emission reduction and grid independence at select facilities.

  10. AREVA's nuclear reactors portfolio

    International Nuclear Information System (INIS)

    Marincic, A.

    2009-01-01

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

  11. 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.

  12. 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...

  13. 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.

  14. 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...

  15. 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.

  16. Electricity Market Optimization of Heat Pump Portfolio

    DEFF Research Database (Denmark)

    Biegel, Benjamin; Andersen, Palle; Pedersen, Tom S.

    2013-01-01

    We consider a portfolio of domestic heat pumps controlled by an aggregator. The aggregator is able to adjust the consumption of the heat pumps without affecting the comfort in the houses and uses this ability to shift the main consumption to hours with low electricity prices. Further......, the aggregator is able to place upward and downward regulating bids in the regulating power market based on the consumption flexibility. A simulation is carried out based on data from a Danish domestic heat pump project, historical spot prices, regulating power prices, and spot price predictions. The simulations...

  17. 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...

  18. 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...

  19. 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.

  20. Report on Portfolio Companies with Operations in South Africa.

    Science.gov (United States)

    Harvard Univ., Cambridge, MA.

    The activities of portfolio companies in South Africa are reviewed in this report from the Advisory Committee on Shareholder Responsibility of Harvard University. A brief review of recent South African political and economic events includes a discussion of the nation's leadership, long-term social and political projections, labor policies, and the…

  1. Maximizing the Impact of Portfolio Assessment through Effective Instructional Leadership.

    Science.gov (United States)

    Krusekopf, Frances; Karr-Kidwell, P. J.

    This study was designed as a field research project aimed at improving the method of assessing student learning at ACT Academy in the McKinney Independent School District, McKinney, Texas. Data and information were gathered and analyzed to see how the administration could improve the current student portfolio process. Reflections were completed by…

  2. Portfolio Analysis and Management for Naval Research and Development

    National Research Council Canada - National Science Library

    Silberglitt, Richard

    2004-01-01

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

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

    Energy Technology Data Exchange (ETDEWEB)

    Wiese, Andreas; Herrmann, Matthias

    2007-07-01

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

  4. ePortfolio and learning styles in Nursing Education

    DEFF Research Database (Denmark)

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

    ePortfolio & learning styles in Nursing Education 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...... priority than learning the practical craft of nursing 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...... of Nursing, VIA University College, DK wanted 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...

  5. Analysis of the NSF IUSE Physics & Astronomy Education Portfolio

    Science.gov (United States)

    Lee, Kevin M.

    2017-01-01

    The National Science Foundation’s IUSE:EHR (Improving Undergraduate STEM Education) Program is now over 3 years old. This presentation will describe the characteristics of the awards presently in the physics & astronomy portfolio. Awards will be described based upon a) general characteristics (duration, total funding, PI rank, type of institution, etc.), b) applicability (intended audience, level, and arena of implementation), c) nature of project (educational research, practical implementation, or both), and d) pedagogical focus (curriculum, STEM recruitment, STEM retention, information collection, and tools and/or skills development). General trends and exemplars will be identified as well as voids in the portfolio. Understanding what has been funded will help attendees design future proposals that will make innovative contributions to the portfolio.

  6. 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.

  7. 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...

  8. Portfolio optimization with mean-variance model

    Science.gov (United States)

    Hoe, Lam Weng; Siew, Lam Weng

    2016-06-01

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

  9. 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.

  10. 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....

  11. 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.

  12. 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.

  13. 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.

  14. Feature selection for portfolio optimization

    DEFF Research Database (Denmark)

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

    2016-01-01

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

  15. Managing the New Product Portfolio

    DEFF Research Database (Denmark)

    Larsson, Flemming

    2008-01-01

    Product development companies are increasingly confronted with an unforgiving global marketplace, which urges the top management to pursue every product development opportunity that appears on the road. This situation incurs an important question: Which product development opportunities should a ....... The contributions encourage an improved understanding of the portfolio management concept and support industry professionals in their efforts to compose and continuously maintain a commercially strong product development portfolio.......Product development companies are increasingly confronted with an unforgiving global marketplace, which urges the top management to pursue every product development opportunity that appears on the road. This situation incurs an important question: Which product development opportunities should...

  16. 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

  17. 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.

  18. 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

  19. 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…

  20. 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

  1. 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

  2. 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…

  3. 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...

  4. 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 ...

  5. Improving IT Project Portfolio Management: Lessons Learned

    DEFF Research Database (Denmark)

    Pedersen, Keld

    2013-01-01

    The IT PPM improvement process is not well understood, and our knowledge about what makes IT PPM improvement succeed or fail is not well developed. This article presents lessons learned from organizations trying to improve their IT PPM practice. Based on this research IT PPM practitioners are adv...

  6. E-Portfolios and Personalized Learning: Research in Practice with Two Dyslexic Learners in UK Higher Education

    Science.gov (United States)

    Hughes, Julie; Herrington, Margaret; McDonald, Tess; Rhodes, Amy

    2011-01-01

    This paper analyses the use of an e-portfolio system in contributing to the personalized learning of two dyslexic learners at the University of Wolverhampton, UK. The rationale for this research rests at the intersection of generic findings from e-portfolio (and wider e-learning) research and the still challenging project in higher education (HE)…

  7. 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...

  8. 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.

  9. Portfolios: A Vehicle for Inquiry.

    Science.gov (United States)

    McMackin, Mary C.

    By blending elements of inquiry with the components of portfolios, learning and thinking in teacher preparation courses can be extended and possible tensions between "covering content" and allowing "open-ended investigation" can be mitigated. Over the years, the author mused about how she might nudge graduate students in her…

  10. Dynamic Portfolio Choice with Frictions

    DEFF Research Database (Denmark)

    Garleanu, Nicolae; Heje Pedersen, Lasse

    2016-01-01

    We show how portfolio choice can be modeled in continuous time with transitory and persistent transaction costs, multiple assets, multiple signals predicting returns, and general signal dynamics. The objective function is derived from the limit of discrete-time models with endogenous transaction...

  11. Teaching Sociology through Student Portfolios

    Science.gov (United States)

    Trepagnier, Barbara

    2004-01-01

    After several years of teaching Sociological Thought--an upper division course that focuses on classical, modern, and contemporary sociological theories--the author came across the idea of student portfolios. As a consequence, the course has undergone far-reaching changes. The content remains relatively intact; however, today the theory course…

  12. Adaptation portfolios in water management

    NARCIS (Netherlands)

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

    2015-01-01

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

  13. [New portfolio, a users' manual].

    Science.gov (United States)

    Cougnoux, Nadège; Deken, Éric; Juif, Isabelle; Papas, Anne

    2015-10-01

    The portfolio, a tool for monitoring nursing students throughout their internship period, has now been modified. The new 2015 version can be used to monitor and trace the student's career as well as progress made. One of the major new points is the integration of an intermediate internship assessment. Copyright © 2015 Elsevier Masson SAS. All rights reserved.

  14. 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

  15. Portfolio selection with heavy tails

    NARCIS (Netherlands)

    Hyung, N.; Vries, de C.G.

    2007-01-01

    Consider the portfolio problem of choosing the mix between stocks and bonds under a downside risk constraint. Typically stock returns exhibit fatter tails than bonds corresponding to their greater downside risk. Downside risk criteria like the safety first criterion therefore often select corner

  16. Portfolio Selection with Heavy Tails

    NARCIS (Netherlands)

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

    2004-01-01

    textabstractConsider the portfolio problem of choosing the mix between stocks and bonds under a downside risk constraint. Typically stock returns exhibit fatter tails than bonds corresponding to their greater downside risk. Downside risk criteria like the safety first criterion therefore of ten

  17. 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.

  18. Supply contract and portfolio insurance

    Science.gov (United States)

    Runsheng Yin; Bob Izlar

    2001-01-01

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

  19. Turnover activity in wealth portfolios

    NARCIS (Netherlands)

    Castaldi, C.; Milakovic, M.

    2007-01-01

    We examine several subsets of the wealthiest individuals in the US and the UK that are compiled by Forbes Magazine and the Sunday Times. Since these are named subsets, we can calculate the returns to wealth portfolios, and calibrate a statistical equilibrium model of wealth distribution that

  20. Turnover activity in wealth portfolios

    NARCIS (Netherlands)

    Castaldi, Carolina; Milakovic, Mishael

    We examine several subsets of the wealthiest individuals in the US and the UK that are compiled by Forbes Magazine and the Sunday Times. Since these are named subsets, we can calculate the returns to wealth portfolios, and calibrate a statistical equilibrium model of wealth distribution that

  1. HEURISTIC APPROACHES FOR PORTFOLIO OPTIMIZATION

    OpenAIRE

    Manfred Gilli, Evis Kellezi

    2000-01-01

    The paper first compares the use of optimization heuristics to the classical optimization techniques for the selection of optimal portfolios. Second, the heuristic approach is applied to problems other than those in the standard mean-variance framework where the classical optimization fails.

  2. Optimal Portfolio Choice with Annuitization

    NARCIS (Netherlands)

    Koijen, R.S.J.; Nijman, T.E.; Werker, B.J.M.

    2006-01-01

    We study the optimal consumption and portfolio choice problem over an individual's life-cycle taking into account annuity risk at retirement. Optimally, the investor allocates wealth at retirement to nominal, inflation-linked, and variable annuities and conditions this choice on the state of the

  3. Household Portfolios in the Netherlands

    NARCIS (Netherlands)

    Alessie, R.J.M.; Hochgürtel, S.; van Soest, A.H.O.

    2000-01-01

    We describe and analyse the portfolio structure of Dutch households using micro panel data from the CentER Savings Survey, 1993-1998.The data allows for a distinction between many types of assets.Moreover, we have information on mortgage debt, consumer debt, etc.We analyse the composition of

  4. Managing a "N" Securities Portfolio

    Directory of Open Access Journals (Sweden)

    Costică Vlad

    2016-01-01

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

  5. 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

  6. Concordance measures and second order stochastic dominance-portfolio efficiency analysis

    Czech Academy of Sciences Publication Activity Database

    Kopa, Miloš; Tichý, T.

    2012-01-01

    Roč. 15, č. 4 (2012), s. 110-120 ISSN 1212-3609 R&D Projects: GA ČR(CZ) GBP402/12/G097 Institutional support: RVO:67985556 Keywords : dependency * concordance * portfolio selection * second order stochastic dominance Subject RIV: BB - Applied Statistics, Operational Research Impact factor: 0.633, year: 2012 http://library.utia.cas.cz/separaty/2013/E/kopa-concordance measures and second order stochastic dominance- portfolio efficiency analysis.pdf

  7. The modern portfolio theory applied to wind farm financing

    Energy Technology Data Exchange (ETDEWEB)

    Chaves-Schwinteck, P. [DEWI GmbH, Oldenburg (Germany)

    2011-02-15

    An alternative to the application of the principles of the Modern Portfolio Theory as a strategy to the reduction of the risks around the energy production of wind farms was presented in the last sections. The potential of geographical diversification to reduce the risks related to the availability of wind as a primary resource was demonstrated by the results of the first case study. Furthermore, the results of the second case study have shown that, once a sufficient history of technical performance data is available, a reduction of the risks linked to the technical performance of the wind turbines can be achieved in a similar way. Nevertheless, the existence of 'non-diversifiable' risks still presents a challenge for the financing of wind farms. In this sense, it is important to point out that the financing performance of a portfolio of wind farms is extremely dependent on the individual performance of the single projects. In other words, a portfolio analysis is not a miracle. A 'bad' project remains a 'bad' project even when this project is bundled with a 'good' one. For this reason, other risk management strategies, as for example, a well performed technical due diligence should be always taken into consideration. (orig.)

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

    Directory of Open Access Journals (Sweden)

    Serhii D. Bushuiev

    2017-12-01

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

  9. 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.

  10. A Framework for Assessment of Aviation Safety Technology Portfolios

    Science.gov (United States)

    Jones, Sharon M.; Reveley, Mary S.

    2014-01-01

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

  11. 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.

  12. Measuring of Second-order Stochastic Dominance Portfolio Efficiency

    Czech Academy of Sciences Publication Activity Database

    Kopa, Miloš

    2010-01-01

    Roč. 46, č. 3 (2010), s. 488-500 ISSN 0023-5954 R&D Projects: GA ČR GAP402/10/1610 Institutional research plan: CEZ:AV0Z10750506 Keywords : stochastic dominance * stability * SSD porfolio efficiency Subject RIV: BB - Applied Statistics, Operational Research Impact factor: 0.461, year: 2010 http://library.utia.cas.cz/separaty/2010/E/kopa-measuring of second-order stochastic dominance portfolio efficiency.pdf

  13. Portfolio optimization in electricity markets

    International Nuclear Information System (INIS)

    Liu, Min; Wu, Felix F.

    2007-01-01

    In a competitive electricity market, Generation companies (Gencos) face price risk and delivery risk that affect their profitability. Risk management is an important and essential part in the Genco's decision making. In this paper, risk management through diversification is considered. The problem of energy allocation between spot markets and bilateral contracts is formulated as a general portfolio optimization problem with a risk-free asset and n risky assets. Historical data of the PJM electricity market are used to demonstrate the approach. (author)

  14. 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.

  15. 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...

  16. 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.

  17. 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...

  18. 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.

  19. 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.

  20. 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...

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

    National Research Council Canada - National Science Library

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

    2006-01-01

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

  2. 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.

  3. 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....

  4. 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 ...

  5. 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

  6. 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…

  7. Meeting the government renewable portfolio standard requirements

    International Nuclear Information System (INIS)

    Crawley, M.

    2004-01-01

    This Power Point presentation reviewed renewable portfolio standards (RPSs) from the perspective of AIM PowerGen Corp, an Ontario based wind power development company. Details of AIM's wind projects and wind projects development team were presented and details of the Erie Shores Wind Farm were discussed. New power supply needs in Ontario were evaluated, and challenges with the current energy mix were examined. It was noted that Ontario has significant low-cost, large-scale hydro assets and proven private sector nuclear operational success, as well as an aging transmission system connecting coal-fired assets. Wind, hydro and natural gas generation options were reviewed. Details of Ontario's objectives for enabling renewable energy sources were presented. Challenges with 2007 deadlines, European feed-in tariffs and negotiated contracts were discussed. The Federal government's role in stimulating resource and energy sectors was evaluated. Renewable energy policies were discussed, including the recent wind power production incentive (WPPI) expansion. It was recommended that Ontario stick with current targets and move quickly to the next procurement phase. A review of targets based on the success of earlier projects was recommended. tabs., figs

  8. 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.

  9. 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...

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

    Directory of Open Access Journals (Sweden)

    Jekunen A

    2014-10-01

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

  11. 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.

  12. Model Risk in Portfolio Optimization

    Directory of Open Access Journals (Sweden)

    David Stefanovits

    2014-08-01

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

  13. 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...

  14. 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

  15. 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.

  16. 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...

  17. 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

  18. 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)

  19. 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…

  20. 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…

  1. 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…

  2. 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...

  3. 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...

  4. 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…

  5. 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…

  6. 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

  7. 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.

  8. 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

  9. 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.

  10. Project Management

    DEFF Research Database (Denmark)

    Pilkington, Alan; Chai, Kah-Hin; Le, Yang

    2015-01-01

    This paper identifies the true coverage of PM theory through a bibliometric analysis of the International Journal of Project Management from 1996-2012. We identify six persistent research themes: project time management, project risk management, programme management, large-scale project management......, project success/failure and practitioner development. These differ from those presented in review and editorial articles in the literature. In addition, topics missing from the PM BOK: knowledge management project-based organization and project portfolio management have become more popular topics...

  11. Development of a research evaluation protocol for NSD research portfolios

    International Nuclear Information System (INIS)

    Gould, J.

    1999-01-01

    This report is concerned with developing and describing a research evaluation protocol for use by the Nuclear Safety Directorate (NSD), in evaluating their various programmes of research; or aspects of those programmes. The Health and Safety Executive (HSE) has been involved with research evaluation for some considerable time and NSD, as part of HSE, wishes to develop a protocol which, while it meets their needs, is also fully compatible with other HSE approaches. It is intended that the methodology developed by this project will be used for evaluation of the Probabilistic Safety Assessment Portfolio (as a separate project). The usefulness of the methodology will be reviewed in the light of this experience

  12. Dynamic portfolio optimization across hidden market regimes

    DEFF Research Database (Denmark)

    Nystrup, Peter; Madsen, Henrik; Lindström, Erik

    2017-01-01

    Regime-based asset allocation has been shown to add value over rebalancing to static weights and, in particular, reduce potential drawdowns by reacting to changes in market conditions. The predominant approach in previous studies has been to specify in advance a static decision rule for changing...... the allocation based on the state of financial markets or the economy. In this article, model predictive control (MPC) is used to dynamically optimize a portfolio based on forecasts of the mean and variance of financial returns from a hidden Markov model with time-varying parameters. There are computational...... than a buy-and-hold investment in various major stock market indices. This is after accounting for transaction costs, with a one-day delay in the implementation of allocation changes, and with zero-interest cash as the only alternative to the stock indices. Imposing a trading penalty that reduces...

  13. 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...

  14. Student evaluations of the portfolio process.

    Science.gov (United States)

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

    2011-09-10

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

  15. Portfolio Optimization and Mortgage Choice

    Directory of Open Access Journals (Sweden)

    Maj-Britt Nordfang

    2017-01-01

    Full Text Available This paper studies the optimal mortgage choice of an investor in a simple bond market with a stochastic interest rate and access to term life insurance. The study is based on advances in stochastic control theory, which provides analytical solutions to portfolio problems with a stochastic interest rate. We derive the optimal portfolio of a mortgagor in a simple framework and formulate stylized versions of mortgage products offered in the market today. This allows us to analyze the optimal investment strategy in terms of optimal mortgage choice. We conclude that certain extreme investors optimally choose either a traditional fixed rate mortgage or an adjustable rate mortgage, while investors with moderate risk aversion and income prefer a mix of the two. By matching specific investor characteristics to existing mortgage products, our study provides a better understanding of the complex and yet restricted mortgage choice faced by many household investors. In addition, the simple analytical framework enables a detailed analysis of how changes to market, income and preference parameters affect the optimal mortgage choice.

  16. PRODUCT PORTFOLIO ANALYSIS - ARTHUR D. LITTLE MATRIX

    Directory of Open Access Journals (Sweden)

    Curmei Catalin Valeriu

    2011-07-01

    Full Text Available In recent decades we have witnessed an unseen dynamism among companies, which is explained by their desire to engage in more activities that provide a high level of development and diversification. Thus, as companies are diversifying more and more, their managers confront a number of challenges arising from the management of resources for the product portfolio and the low level of resources with which companies can identify, at a time. Responding to these challenges, over time were developed a series of analytical product portfolio methods through which managers can balance the sources of cash flows from the multiple products and also can identify the place and role of products, in strategic terms, within the product portfolio. In order to identify these methods the authors of the present paper have conducted a desk research in order to analyze the strategic marketing and management literature of the last 2 decades. Widely were studied a series of methods that are presented in the marketing and management literature as the main instruments used within the product portfolio strategic planning process. Among these methods we focused on the Arthur D. Little matrix. Thus the present paper has the purpose to outline the characteristics and strategic implications of the ADL matrix within a company’s product portfolio. After conducting this analysis we have found that restricting the product portfolio analysis to the A.D.L. matrix is not a very wise decision. The A.D.L. matrix among with other marketing tools of product portfolio analysis have some advantages and disadvantages and is trying to provide, at a time, a specific diagnosis of a company’s product portfolio. Therefore, the recommendation for the Romanian managers consists in a combined use of a wide range of tools and techniques for product portfolio analysis. This leads to a better understanding of the whole mix of product markets, included in portfolio analysis, the strategic position

  17. Renewables portfolio, individual preferences and social values towards RES technologies

    International Nuclear Information System (INIS)

    Kontogianni, Areti; Tourkolias, Christos; Skourtos, Michalis

    2013-01-01

    The massive deployment of renewable energy sources represents a high priority for Greece in order to comply with the Directive 2009/28/EC on the promotion of the use of energy from renewable sources by 2020. In this perspective, Aegean islands especially Lesvos, are endowed with a considerable potential of a portfolio of renewables, a fact that the entrepreneurial interest has already been targeted. However, regulatory attempts for a massive penetration of renewables do not take seriously into account preferences and risk perceptions of local communities where the proposed projects are to be installed. The aim of this study is to investigate individual preferences and social values towards specific technologies of renewables in Lesvos island. We apply an open-ended contingent valuation survey in order to analyze factors shaping public attitudes towards a portfolio of renewable technologies and estimate the economic welfare (Willingness To Pay) of the preferred technologies. We argue that such information is relevant for energy policy design and the establishment of effective measures for the promotion of renewable energy sources. - Highlights: ► We investigate individual preferences and attitudes towards a portfolio of RES technologies. ► We elicit public acceptance for investing in specific RES technologies. ► We analyze factors shaping public preferences of the preferred technologies. ► We estimate the economic welfare of the preferred technologies

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

    Science.gov (United States)

    Ancel, Ersin; Shih, Ann T.

    2014-01-01

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

  19. 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.

  20. 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...

  1. 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…

  2. 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.

  3. 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

  4. 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.

  5. 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.

  6. 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.

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

    OpenAIRE

    Liu, Daobai

    2006-01-01

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

  8. 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.

  9. 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...

  10. 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.

  11. Optimal Portfolio Rebalancing Strategy : Evidence from Finnish Stocks

    OpenAIRE

    Savage, Akinwunmi

    2010-01-01

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

  12. La carpeta de aprendizaje: una innovación docente en la asignatura de Radiología y Medicina Física Especial The portfolio: an innovate educational project on the subject of Radiology and Special Physical Medicine

    Directory of Open Access Journals (Sweden)

    J.D. Berná

    2008-12-01

    Full Text Available Objetivo. Presentar una innovación docente desarrollada en la asignatura de Radiología y Medicina Física Especial durante el curso académico 2006-2007. Sujetos y métodos. Los alumnos realizaron una rotación durante dos semanas en los servicios de Radiodiagnóstico y Medicina Nuclear, en grupos pequeños. La metodología docente utilizada fue la carpeta de aprendizaje o portafolio. Se describen los aspectos fundamentales para la elaboración de la carpeta y de los casos clínicos, así como del sistema de evaluación. Dentro del ciclo de mejora continuada se llevó a cabo una encuesta de satisfacción. Resultados. Los resultados académicos obtenidos fueron excelentes. La mayoría de los alumnos consideraron que la asignatura fue interesante. También señalaron una valoración positiva de la rotación, de los seminarios y del sistema de evaluación. Asimismo, la opinión de los alumnos acerca de la experiencia docente realizada fue muy favorable. Conclusión. La satisfacción global de los alumnos ha sido muy alta con la metodología docente implantada en la asignatura.Aim. To introduce a learning innovation on the subject of Radiology and Special Physical Medicine along the academic year 2006/2007. Subjects and methods. Working in small groups, students carried out a two-week rotation in the departments of Radiology and Nuclear Medicine. The portfolio was the educational methodology used. The main aspects to elaborate the portfolio, the case reports, as well as the evaluation system are described. A satisfaction survey within the continuous improvement course was performed. Results. The academic results achieved were excellent. The subject was considered interesting by most of the students. A positive evaluation about the rotation made by the students, the seminaries and the evaluation system was made. Students’ opinion about the educational experience performed was also, very favourable. Conclusion. The educational methodology

  13. Coast Guard Enterprise Project Management (CG-EPM)

    Data.gov (United States)

    Department of Homeland Security — CG-EPM provides the following capabilities: A Project Center, Portfolio Analysis Tools, Project Planning Tool, Web-based Project Plan Updater, Project Collaboration...

  14. 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...

  15. Development of a web database portfolio system with PACS connectivity for undergraduate health education and continuing professional development.

    Science.gov (United States)

    Ng, Curtise K C; White, Peter; McKay, Janice C

    2009-04-01

    Increasingly, the use of web database portfolio systems is noted in medical and health education, and for continuing professional development (CPD). However, the functions of existing systems are not always aligned with the corresponding pedagogy and hence reflection is often lost. This paper presents the development of a tailored web database portfolio system with Picture Archiving and Communication System (PACS) connectivity, which is based on the portfolio pedagogy. Following a pre-determined portfolio framework, a system model with the components of web, database and mail servers, server side scripts, and a Query/Retrieve (Q/R) broker for conversion between Hypertext Transfer Protocol (HTTP) requests and Q/R service class of Digital Imaging and Communication in Medicine (DICOM) standard, is proposed. The system was piloted with seventy-seven volunteers. A tailored web database portfolio system (http://radep.hti.polyu.edu.hk) was developed. Technological arrangements for reinforcing portfolio pedagogy include popup windows (reminders) with guidelines and probing questions of 'collect', 'select' and 'reflect' on evidence of development/experience, limitation in the number of files (evidence) to be uploaded, the 'Evidence Insertion' functionality to link the individual uploaded artifacts with reflective writing, capability to accommodate diversity of contents and convenient interfaces for reviewing portfolios and communication. Evidence to date suggests the system supports users to build their portfolios with sound hypertext reflection under a facilitator's guidance, and with reviewers to monitor students' progress providing feedback and comments online in a programme-wide situation.

  16. E-portfolios in lifelong learning

    NARCIS (Netherlands)

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

    2013-01-01

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

  17. 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

  18. Active Multifamily Portfolio-Property Level data

    Data.gov (United States)

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

  19. 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.

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

    OpenAIRE

    Barry Bozeman; Juan Rogers

    2001-01-01

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

  1. Evolution of materials research within the AINSE portfolio

    International Nuclear Information System (INIS)

    Jostsons, A.

    1998-01-01

    Full text: The main materials research interactions between ANSTO/AAEC and the AINSE member universities are reviewed and linked to the main thrust of contemporary ANSTO/AAEC programs. The AINSE portfolio encompasses the previous AAEC research contracts, which represent an earlier example of public sector outsourcing, until re-discovered during the present decade, as well as AINSE studentships and Research and Training Projects. Collectively these mechanisms did much to foster the maintenance of effective materials research teams in Australian universities. Selective examples will illustrate the success of the AINSE family in training to help provide engineers and scientists of high ability for the future

  2. 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...

  3. Online Learning of Commission Avoidant Portfolio Ensembles

    OpenAIRE

    Uziel, Guy; El-Yaniv, Ran

    2016-01-01

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

  4. 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...

  5. 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.

  6. Equity Portfolio Management Using Option Price Information

    DEFF Research Database (Denmark)

    Christoffersen, Peter; Pan, Xuhui (Nick)

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

  7. Systemic risk contributions: a credit portfolio approach

    OpenAIRE

    Düllmann, Klaus; Puzanova, Natalia

    2011-01-01

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

  8. 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,...

  9. 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....

  10. 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...

  11. Testing for structural changes in large portfolios

    OpenAIRE

    Posch, Peter N.; Ullmann, Daniel; Wied, Dominik

    2015-01-01

    Model free tests for constant parameters often fail to detect structural changes in high dimensions. In practice, this corresponds to a portfolio with many assets and a reasonable long time series. We reduce the dimensionality of the problem by looking a compressed panel of time series obtained by cluster analysis and the principal components of the data. Using our methodology we are able to extend a test for a constant correlation matrix from a sub portfolio to whole indices a...

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

    NARCIS (Netherlands)

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

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

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

    Science.gov (United States)

    Geuther, Steven C.; Shih, Ann T.

    2016-01-01

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

  14. An empirical analysis of the hydropower portfolio in Pakistan

    International Nuclear Information System (INIS)

    Siddiqi, Afreen; Wescoat, James L.; Humair, Salal; Afridi, Khurram

    2012-01-01

    The Indus Basin of Pakistan with 800 hydropower project sites and a feasible hydropower potential of 60 GW, 89% of which is undeveloped, is a complex system poised for large-scale changes in the future. Motivated by the need to understand future impacts of hydropower alternatives, this study conducted a multi-dimensional, empirical analysis of the full hydropower portfolio. The results show that the full portfolio spans multiple scales of capacity from mega (>1000 MW) to micro (<0.1 MW) projects with a skewed spatial distribution within the provinces, as well as among rivers and canals. Of the total feasible potential, 76% lies in two (out of six) administrative regions and 68% lies in two major rivers (out of more than 125 total channels). Once projects currently under implementation are commissioned, there would be a five-fold increase from a current installed capacity of 6720 MW to 36759 MW. It is recommended that the implementation and design decisions should carefully include spatial distribution and environmental considerations upfront. Furthermore, uncertainties in actual energy generation, and broader hydrological risks due to expected climate change effects should be included in the current planning of these systems that are to provide service over several decades into the future. - Highlights: ► Pakistan has a hydropower potential of 60 GW distributed across 800 projects. ► Under-development projects will realize 36.7 GW of this potential by 2030. ► Project locations are skewed towards some sub-basins and provinces. ► Project sizes are very diverse and have quite limited private sector ownership. ► Gaps in data prevent proper risk assessment for Pakistan's hydropower development.

  15. 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.

  16. 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…

  17. Portfolio balancing and risk adjusted values under constrained budget conditions

    International Nuclear Information System (INIS)

    MacKay, J.A.; Lerche, I.

    1996-01-01

    For a given hydrocarbon exploration opportunity, the influences of value, cost, success probability and corporate risk tolerance provide an optimal working interest that should be taken in the opportunity in order to maximize the risk adjusted value. When several opportunities are available, but when the total budget is insufficient to take optimal working interest in each, an analytic procedure is given for optimizing the risk adjusted value of the total portfolio; the relevant working interests are also derived based on a cost exposure constraint. Several numerical illustrations are provided to exhibit the use of the method under different budget conditions, and with different numbers of available opportunities. When value, cost, success probability, and risk tolerance are uncertain for each and every opportunity, the procedure is generalized to allow determination of probable optimal risk adjusted value for the total portfolio and, at the same time, the range of probable working interest that should be taken in each opportunity is also provided. The result is that the computations of portfolio balancing can be done quickly in either deterministic or probabilistic manners on a small calculator, thereby providing rapid assessments of opportunities and their worth to a corporation. (Author)

  18. 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

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

    Science.gov (United States)

    Pelsser, Antoon; Schweizer, Janina

    2016-01-01

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

  20. 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.

  1. 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.

  2. 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

  3. Financing translation: analysis of the NCATS rare-diseases portfolio.

    Science.gov (United States)

    Fagnan, David E; Yang, N Nora; McKew, John C; Lo, Andrew W

    2015-02-25

    The portfolio of the National Center for Advancing Translational Sciences (NCATS) rare-diseases therapeutic development program comprises 28 research projects initiated at the preclinical stage. Historical data reveal substantially lower costs and higher success rates but longer preclinical timelines for the NCATS projects relative to the industry averages for early-stage translational medical research and development (R&D) typically cited in literature. Here, we evaluate the potential risks and rewards of investing in a portfolio of rare-disease therapeutics. Using a "megafund" financing structure, NCATS data, and valuation estimates from a panel of industry experts, we simulate a hypothetical megafund in which senior and junior debt yielded 5 and 8%, respectively. The simulated expected return to equity was 14.7%, corresponding to a modified internal rate of return of 21.6%. These returns and the likelihood of private-sector funding can be enhanced through third-party funding guarantees from philanthropies, patient advocacy groups, and government agencies. Copyright © 2015, American Association for the Advancement of Science.

  4. 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

  5. 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

  6. 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.

  7. 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.

  8. 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.

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

    Science.gov (United States)

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

  10. 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.

  11. Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves

    OpenAIRE

    Way, Rupert; Lafond, François; Farmer, J. Doyne; Lillo, Fabrizio; Panchenko, Valentyn

    2017-01-01

    This paper considers how to optimally allocate investments in a portfolio of competing technologies. We introduce a simple model representing the underlying trade-off - between investing enough effort in any one project to spur rapid progress, and diversifying effort over many projects simultaneously to hedge against failure. We use stochastic experience curves to model the idea that investing more in a technology reduces its unit costs, and we use a mean-variance objective function to unders...

  12. Toward a Low-Carbon Economy : Renewable Energy and Energy Efficiency Portfolio Review

    OpenAIRE

    World Bank

    2013-01-01

    Renewable energy and energy efficiency projects continue to perform strongly in the World Bank Group (WBG) energy portfolio and are increasingly being mainstreamed in the WBG's energy lending. In fiscal 2007 a total of US$1,433 million supported 63 renewable energy and energy efficiency projects in 32 countries. In addition to operational activities, the WBG engages in a variety of economic sector work and technical assistance focused on renewable energy and energy efficiency. This work is an...

  13. 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.

  14. 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.

  15. 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.

  16. Enhanced index tracking modelling in portfolio optimization

    Science.gov (United States)

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

    2013-09-01

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

  17. 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.

  18. 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).

  19. 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 ...

  20. 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...

  1. 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...

  2. 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.

  3. 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...

  4. [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.

  5. 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.

  6. 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.

  7. Product Portfolio Management: An Important Business Strategy

    Directory of Open Access Journals (Sweden)

    Doorasamy Mishelle

    2015-06-01

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

  8. Alternatives: the right medicine for your portfolio?

    Science.gov (United States)

    Doody, Dennis

    2006-01-01

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

  9. Portfolio optimization using fuzzy linear programming

    Science.gov (United States)

    Pandit, Purnima K.

    2013-09-01

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

  10. 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

  11. 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,

  12. 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...

  13. 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

  14. 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…

  15. 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

  16. 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…

  17. 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…

  18. 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.

  19. 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...

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

    Directory of Open Access Journals (Sweden)

    Paulo Henrique Antunes

    2012-04-01

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

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

    Science.gov (United States)

    Jekunen, Antti

    2014-01-01

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

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

    Science.gov (United States)

    Jekunen, Antti

    2014-01-01

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

  3. 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...

  4. 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...

  5. Energy Portfolio Assessment Tool (EPAT): Sustainable Energy Planning Using the WEF Nexus Approach - Texas Case Study

    Science.gov (United States)

    Mroue, A. M.

    2017-12-01

    The future energy portfolio at the national and subnational levels should consider its impact on water resources and environment. Although energy resources are the main contributors to the national economic growth, these resources must not exploit other primary natural resources. A study of the connections between energy and natural systems, such as water, environment and land is required prior to proceeding to energy development. Policy makers are in need of a tool quantifying the interlinkages across energy, water and the environment, while demonstrating the consequent trade-offs across the nexus systems. The Energy Portfolio Assessment Tool (EPAT) is a tool that enables the policy maker to create different energy portfolio scenarios with various energy and electricity sources, and evaluate the scenario's sustainability environmentally and economically. The Water-Energy-Food nexus systematic approach is the foundation of the EPAT framework. The research evaluates the impact of the current and projected Texas energy portfolios on water and the environment, taking into consideration energy production, electricity generation and policy change. The three scenarios to be assessed include EIA projections for energy production, and EIA projections for electricity generation with and without the Clean Power Plan (CPP). Each scenario is accompanied by tradeoffs across water, land, emissions, energy revenue and electricity cost. The CPP succeeds in mitigating the emissions of the electricity portfolio, but leads to an increase in water consumption and land use. The cost of electricity generation is almost identical with and without environmental conservation. Revenue from energy production increased, but results are majorly influenced by commodity price. Therefore, conservation policies should move from the silo to the nexus mentality to avoid unintended consequences as improving one part of the nexus could end up worsening the other parts.

  6. 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…

  7. 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.

  8. Portfolios of adaptation investments in water management

    NARCIS (Netherlands)

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

    2015-01-01

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

  9. Robust Utility Maximization Under Convex Portfolio Constraints

    International Nuclear Information System (INIS)

    Matoussi, Anis; Mezghani, Hanen; Mnif, Mohamed

    2015-01-01

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

  10. A Dynamic Programming Approach to Constrained Portfolios

    DEFF Research Database (Denmark)

    Kraft, Holger; Steffensen, Mogens

    2013-01-01

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

  11. Assessment and Planning Using Portfolio Analysis

    Science.gov (United States)

    Roberts, Laura B.

    2010-01-01

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

  12. 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%.

  13. Portfolio selection theory and wildlife management

    African Journals Online (AJOL)

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

  14. Equity Portfolio Management Using Option Price Information

    DEFF Research Database (Denmark)

    Christoffersen, Peter; Pan, Xuhui (Nick)

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

  15. Currency Hedging for International Stock Portfolios

    NARCIS (Netherlands)

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

    2000-01-01

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

  16. Digital portfolio og peer to peer feedback

    DEFF Research Database (Denmark)

    Jacobsen, Ditte; Bahrenscheer, Jesper Glarborg

    2017-01-01

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

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

    African Journals Online (AJOL)

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

  18. 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.

  19. Information Content of Mutual Fund Portfolio Disclosure

    NARCIS (Netherlands)

    Y. Wang (Yu)

    2011-01-01

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

  20. 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).

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

    African Journals Online (AJOL)

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

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

    Directory of Open Access Journals (Sweden)

    André Alves Portela Santos

    2012-09-01

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

  3. Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization

    Czech Academy of Sciences Publication Activity Database

    Branda, Martin; Bucher, M.; Červinka, Michal; Schwartz, A.

    2018-01-01

    Roč. 70, č. 2 (2018), s. 503-530 ISSN 0926-6003 R&D Projects: GA ČR GA15-00735S Institutional support: RVO:67985556 Keywords : Cardinality constraints * Regularization method * Scholtes regularization * Strong stationarity * Sparse portfolio optimization * Robust portfolio optimization Subject RIV: BB - Applied Statistics, Operational Research OBOR OECD: Statistics and probability Impact factor: 1.520, year: 2016 http://library.utia.cas.cz/separaty/2018/MTR/branda-0489264.pdf

  4. Portfolio screening to support the mainstreaming of adaptation to climate change into development assistance

    International Nuclear Information System (INIS)

    Klein, Richard J. T.; Eriksen, S.E.H.; O'Brien, K.L.; Naess, L.O.; Hammill, A.; Tanner, T.M.; Robledo, C.

    2007-01-01

    The need to mainstream adaptation to climate change into development planning and ongoing sectoral decision-making is increasingly recognised, and several bilateral and multilateral development agencies are starting to take an interest. Over the past years at least six development agencies have screened their project portfolios, generally with two goals in mind: (1) to ascertain the extent to which existing development projects already consider climate risks or address vulnerability to climate variability and change, and (2) to identify opportunities for incorporating climate change explicitly into future projects. As each portfolio screening was conducted independently, the broader lessons emerging from the screenings have not been systematically analysed. In this paper we assess the screening activities to date, focusing on both the results and the methods applied. Based on this assessment we identify opportunities for development agencies to expand their current focus on the links between climate and development. Most agencies already consider climate change as a real but uncertain threat to future development, but they have given less thought to how different development patterns might affect vulnerability to climate change. The screenings undertaken have shown the need to take a comprehensive approach to adaptation and its integration into development planning and sectoral decision-making, and a number of policy initiatives have been taken to promote such integration. We provide some initial guidance as to how portfolio screening can be carried out in a way that would allow agencies to assess systematically the relevance of climate change to their ongoing and planned development projects

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

    International Nuclear Information System (INIS)

    Franco Barrera, Juan Felipe; Dyner R, Isaac

    2004-01-01

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

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

    Science.gov (United States)

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

    2014-04-01

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

  7. Application of portfolio analysis to the Dutch generating mix. Reference case and two renewables cases, year 2030, SE and GE scenario

    International Nuclear Information System (INIS)

    Jansen, J.C.; Beurskens, L.W.M.; Van Tilburg, X.

    2006-02-01

    This report presents results of an application of Markowitz Portfolio Theory (MPT) to the future portfolio of electricity generating technologies in the Netherlands in year 2030. Projections are made based on two specific scenarios constructed by the Netherlands Bureau for Economic Policy Analysis (CPB), i.e. 'Strong Europe (SE)' and 'Global Economy (GE)'. This study zooms in on the electricity cost risk dimension of the Dutch portfolio of generating technologies. Major results of this study are: (a) In both scenarios, the base variant is not very efficient. Graphical analysis suggests that diversification may yield up to 20% risk reduction at no extra cost; (b) Promotion of renewable energy can greatly decrease the portfolio risk. Defining mixes without renewables results in significantly riskier mixes with relatively small impact on portfolio costs; (c) Because of its relative low risk and high potential, large-scale implementation of offshore wind can reduce cost risk of the Dutch generating portfolio while only in the GE scenario a (small) upward effect on the projected Dutch electricity cost in year 2030 is foreseen. In a SE world large-scale implementation of offshore wind is projected to have a downward effect on Dutch electricity prices by the year 2030

  8. Retrospective on the Seniors' Council Tier 1 LDRD portfolio.

    Energy Technology Data Exchange (ETDEWEB)

    Ballard, William Parker

    2012-04-01

    This report describes the Tier 1 LDRD portfolio, administered by the Seniors Council between 2003 and 2011. 73 projects were sponsored over the 9 years of the portfolio at a cost of $10.5 million which includes $1.9M of a special effort in directed innovation targeted at climate change and cyber security. Two of these Tier 1 efforts were the seeds for the Grand Challenge LDRDs in Quantum Computing and Next Generation Photovoltaic conversion. A few LDRDs were terminated early when it appeared clear that the research was not going to succeed. A great many more were successful and led to full Tier 2 LDRDs or direct customer sponsorship. Over a dozen patents are in various stages of prosecution from this work, and one project is being submitted for an R and D 100 award.

  9. 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.

  10. 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...

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

    Czech Academy of Sciences Publication Activity Database

    Gapko, Petr; Šmíd, Martin

    2016-01-01

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

  12. 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.

  13. Risk and utility in portfolio optimization

    Science.gov (United States)

    Cohen, Morrel H.; Natoli, Vincent D.

    2003-06-01

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

  14. 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.

  15. MARKOV CHAIN PORTFOLIO LIQUIDITY OPTIMIZATION MODEL

    Directory of Open Access Journals (Sweden)

    Eder Oliveira Abensur

    2014-05-01

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

  16. Towards a TENCompetence ePortfolio

    Directory of Open Access Journals (Sweden)

    Adriana J. Berlanga

    2008-07-01

    Full Text Available This article argues that the TENCompetence ePortfolio definition should integrate rhetorical, pedagogical, social, and technical perspectives. The rhetorical perspective is needed to show the learner’s competences, achievements and history; the pedagogical perspective aims at supporting learner’s self-reflection, through the definition of competences mastered, review and creation of (new competence development plans, and assessment of competences; the social perspective aims at fostering interaction and social help support; and the technical perspective aims at supporting the other three perspectives. Guiding principles for the design of the TENCompetence ePortfolio are provided, and the aforementioned perspectives detailed.

  17. 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

  18. Application of Performance Ratios in Portfolio Optimization

    Directory of Open Access Journals (Sweden)

    Aleš Kresta

    2015-01-01

    Full Text Available The cornerstone of modern portfolio theory was established by pioneer work of Harry Markowitz. Based on his mean-variance framework, Sharpe formulated his well-known Sharpe ratio aiming to measure the performance of mutual funds. The contemporary development in computer’s computational power allowed to apply more complex performance ratios, which take into account also higher moments of return probability distribution. Although these ratios were proposed to help the investors to improve the results of portfolio optimization, we empirically demonstrated in our paper that this may not necessarily be true. On the historical dataset of DJIA components we empirically showed that both Sharpe ratio and MAD ratio outperformed Rachev ratio. However, for Rachev ratio we assumed only one level of parameters value. Different set-ups of parameters may provide different results and thus further analysis is certainly required.

  19. Medicare Part D and Portfolio Choice.

    Science.gov (United States)

    Ayyagari, Padmaja; He, Daifeng

    2016-05-01

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

  20. Parametric Immunization in Bond Portfolio Management

    OpenAIRE

    Bravo, Jorge; Fonseca, José

    2012-01-01

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

  1. Personalised Diversification Using Intent-Aware Portfolio

    OpenAIRE

    Wasilewski, Jacek; Hurley, Neil J.

    2017-01-01

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

  2. Geometrical framework for robust portfolio optimization

    OpenAIRE

    Bazovkin, Pavel

    2014-01-01

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

  3. Nonparametric correlation models for portfolio allocation

    DEFF Research Database (Denmark)

    Aslanidis, Nektarios; Casas, Isabel

    2013-01-01

    This article proposes time-varying nonparametric and semiparametric estimators of the conditional cross-correlation matrix in the context of portfolio allocation. Simulations results show that the nonparametric and semiparametric models are best in DGPs with substantial variability or structural ...... currencies. Results show the nonparametric model generally dominates the others when evaluating in-sample. However, the semiparametric model is best for out-of-sample analysis....

  4. Product portfolio optimization based on substitution

    DEFF Research Database (Denmark)

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

    2017-01-01

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

  5. Patent portfolio structure for single technology companies

    OpenAIRE

    Hartwell, Ian P.

    2004-01-01

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

  6. Efficient Cardinality/Mean-Variance Portfolios

    OpenAIRE

    Brito, R. Pedro; Vicente, Luís Nunes

    2014-01-01

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

  7. Labor Supply Flexibility and Portfolio Choice

    OpenAIRE

    Zvi Bodie; William Samuelson

    1989-01-01

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

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

    NARCIS (Netherlands)

    Lint, L.J.O.

    2000-01-01

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

  9. Venture capital and efficiency of portfolio companies

    Directory of Open Access Journals (Sweden)

    A. Thillai Rajan

    2010-12-01

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

  10. 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.

  11. 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

  12. Portfolio selection theory and wildlife management

    Directory of Open Access Journals (Sweden)

    JW Hearne

    2008-12-01

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

  13. 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)

  14. 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.

  15. 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.

  16. 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

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

    Science.gov (United States)

    Fiedler, John L; Lividini, Keith

    2014-03-01

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

  18. 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.

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

    Directory of Open Access Journals (Sweden)

    Victoria Lisnic

    2016-12-01

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

  20. 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 ...

  1. 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...

  2. 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...

  3. Portfolio analysis based on the example of Zagreb Stock Exchange

    OpenAIRE

    Bogdan, Sinisa; Baresa, Suzana; Ivanovic, Sasa

    2010-01-01

    In this paper we analyze the portfolio that was selected from the Zagreb Stock Exchange and also try to assess its risks and its future offerings that are relevant in making the decisions about investments. Through the work we will explain the importance of diversification and how the very diversification reduces risk. We will also analyze the systemic risk of individual stocks within the portfolio and the systemic risk of the given portfolio and explain its importance. Through regression ana...

  4. 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

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

    Science.gov (United States)

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

    2018-03-01

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

  6. 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 ...

  7. Forecast Correlation Coefficient Matrix of Stock Returns in Portfolio Analysis

    OpenAIRE

    Zhao, Feng

    2013-01-01

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

  8. 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...

  9. 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...

  10. Noisy covariance matrices and portfolio optimization II

    Science.gov (United States)

    Pafka, Szilárd; Kondor, Imre

    2003-03-01

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

  11. 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.

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

    Directory of Open Access Journals (Sweden)

    Samy A. Azer

    2008-07-01

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

  13. 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.

  14. 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....

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

    Institute of Scientific and Technical Information of China (English)

    QIAN Edward Y.; FENG Ying; HIGGISION James

    2005-01-01

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

  16. 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.

  17. Projectables

    DEFF Research Database (Denmark)

    Rasmussen, Troels A.; Merritt, Timothy R.

    2017-01-01

    CNC cutting machines have become essential tools for designers and architects enabling rapid prototyping, model-building and production of high quality components. Designers often cut from new materials, discarding the irregularly shaped remains. We introduce ProjecTables, a visual augmented...... reality system for interactive packing of model parts onto sheet materials. ProjecTables enables designers to (re)use scrap materials for CNC cutting that would have been previously thrown away, at the same time supporting aesthetic choices related to wood grain, avoiding surface blemishes, and other...... relevant material properties. We conducted evaluations of ProjecTables with design students from Aarhus School of Architecture, demonstrating that participants could quickly and easily place and orient model parts reducing material waste. Contextual interviews and ideation sessions led to a deeper...

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

    NARCIS (Netherlands)

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

    2013-01-01

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

  19. 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...

  20. 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...

  1. 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

  2. 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.

  3. Narratives of Learning: The Personal Portfolio in the Portfolio Approach to Teaching and Learning

    Science.gov (United States)

    Leslie, Paul; Camargo-Borges, Celiane

    2017-01-01

    This paper will explore how a portfolio approach to teaching and learning can help the educator incorporate unique forms of reflective practice into his or her daily work. By being able to express ideas more clearly to himself, the educator can better promote the relational construction of knowledge in his educational communities. This paper, as…

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

    NARCIS (Netherlands)

    B.E. Depecik (Baris)

    2016-01-01

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

  5. IT Project Selection

    DEFF Research Database (Denmark)

    Pedersen, Keld

    2016-01-01

    for initiation. Most of the research on project selection is normative, suggesting new methods, but available empirical studies indicate that many methods are seldom used in practice. This paper addresses the issue by providing increased understanding of IT project selection practice, thereby facilitating...... the development of methods that better fit current practice. The study is based on naturalistic decision-making theory and interviews with experienced project portfolio managers who, when selecting projects, primarily rely on political skills, experience and personal networks rather than on formal IT project......-selection methods, and these findings point to new areas for developing new methodological support for IT project selection....

  6. SEGMENTATION OF SME PORTFOLIO IN BANKING SYSTEM

    Directory of Open Access Journals (Sweden)

    Namolosu Simona Mihaela

    2013-07-01

    Full Text Available The Small and Medium Enterprises (SMEs represent an important target market for commercial Banks. In this respect, finding the best methods for designing and implementing the optimal marketing strategies (for this target are a continuous concern for the marketing specialists and researchers from the banking system; the purpose is to find the most suitable service model for these companies. SME portfolio of a bank is not homogeneous, different characteristics and behaviours being identified. The current paper reveals empirical evidence about SME portfolio characteristics and segmentation methods used in banking system. Its purpose is to identify if segmentation has an impact in finding the optimal marketing strategies and service model and if this hypothesis might be applicable for any commercial bank, irrespective of country/ region. Some banks are segmenting the SME portfolio by a single criterion: the annual company (official turnover; others are considering also profitability and other financial indicators of the company. In some cases, even the banking behaviour becomes a criterion. For all cases, creating scenarios with different thresholds and estimating the impact in profitability and volumes are two mandatory steps in establishing the final segmentation (criteria matrix. Details about each of these segmentation methods may be found in the paper. Testing the final matrix of criteria is also detailed, with the purpose of making realistic estimations. Example for lending products is provided; the product offer is presented as responding to needs of targeted sub segment and therefore being correlated with the sub segment characteristics. Identifying key issues and trends leads to further action plan proposal. Depending on overall strategy and commercial target of the bank, the focus may shift, one or more sub segments becoming high priority (for acquisition/ activation/ retention/ cross sell/ up sell/ increase profitability etc., while

  7. Sorghum. A contribution to the diversification of the portfolio of energy plants; Sorghumhirsen. Ein Beitrag zur Diversifizierung des Energiepflanzenspektrums

    Energy Technology Data Exchange (ETDEWEB)

    NONE

    2012-09-19

    Within the joint project 'Cultivation technology sorghum - A contribution to the diversification of the portfolio of energy plants' extensive investigations of the cultivation technology in sorghum were conducted. Within this joint project sorghum will be tested under various conditions according to its suitability as a raw material for the production of biogas. Additionally, the cultivation of sorghum in Germany shall be optimized under cultivation techniques and environmental aspects.

  8. Portfolio Optimization Using Particle Swarms with Stripes

    Directory of Open Access Journals (Sweden)

    Mario Villalobos Arias

    2011-04-01

    Full Text Available In this paper it is consider the Portfolio Optimization Problem developed by Markowitz [11]. The basic assumption is that the investor tries to maximize his/her profit and at the same time, wants to minimize the risk. This problem is usually solved using a scalarization approach (with one objective. Here it is solved it as a bi-objective  optimization problem. It uses a new version of the algorithm of Particle Swarm Optimization for Multi-Objective Problems to which it implemented a method of the stripes to improve dispersion.

  9. Currency Inconvertibility, Portfolio Balance and Relative Prices

    OpenAIRE

    Jorge Braga de Macedo

    1983-01-01

    This paper analyzes regimes of currency inconvertibility in the frame-work of a simple general equilibrium model where an officially-traded good,a smuggled good and a non-traded good are produced and consumed by residents,who hold domestic and foreign currency in their portfolios. It is shown that stability requires the effect of relative prices on demand for traded and non-traded goods to dominate their effect on asset demands and that a once-and-for-all devaluation does not change the curre...

  10. Balancing energy strategies in electricity portfolio management

    International Nuclear Information System (INIS)

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

    2011-01-01

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

  11. Monetary Policy Shocks and Portfolio Choice

    OpenAIRE

    Fratzscher, Marcel; Saborowski, Christian; Straub, Roland

    2010-01-01

    The paper shows that monetary policy shocks exert a substantial effect on the size and composition of capital flows and the trade balance for the United States, with a 100 basis point easing raising net capital inflows and lowering the trade balance by 1% of GDP, and explaining about 20-25% of their time variation. Monetary policy easing causes positive returns to both equities and bonds. Yet such a monetary policy easing shock also induces a shift in portfolio composition out of equities and...

  12. EV Portfolio Management and Grid Impact Study

    DEFF Research Database (Denmark)

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

    2009-01-01

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

  13. Portfolio Insurance Strategies by a Large Player

    OpenAIRE

    Kalife, Aymeric

    2004-01-01

    Market liquidity risk refers to the degree to which large size transactions can be carried out in a timely fashion with minimal impact on prices. Emphasized by the G10 report in 1993 and the BIS report in 1997, it is one factor of destabilization in the financial markets, as illustrated recently by the Asian crisis, the failure of the hedge fund LTCM during the Russian crisis. So in order to assess welfare implications of portfolio insurance strategies, it would be to estimate the dynamic hed...

  14. Digital portfolio som metode og pædagogik

    DEFF Research Database (Denmark)

    Toft, Hanne; Luplau Schnefeld, Mette

    2004-01-01

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

  15. 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...

  16. Maximizing Consensus in Portfolio Selection in Multicriteria Group Decision Making

    NARCIS (Netherlands)

    Michael, Emmerich T. M.; Deutz, A.H.; Li, L.; Asep, Maulana A.; Yevseyeva, I.

    2016-01-01

    This paper deals with a scenario of decision making where a moderator selects a (sub)set (aka portfolio) of decision alternatives from a larger set. The larger the number of decision makers who agree on a solution in the portfolio the more successful the moderator is. We assume that decision makers

  17. Contradictions in Portfolio Careers: Work Design and Client Relations

    Science.gov (United States)

    Fenwick, Tara J.

    2006-01-01

    Purpose: The paper aims to explore "Portfolio work", an emerging form of flexible self-employment, which has been identified as significant but under-researched. This paper also seeks to explore the challenges and benefits of portfolio work from the perspective of individuals' experiences. Design/methodology/approach: The argument draws from a…

  18. Using the Teaching Portfolio to Anticipate Programmatic Assessment

    Science.gov (United States)

    Price, Kenneth R.

    2013-01-01

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

  19. 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.

  20. ePortfolio as Pedagogy: Threshold Concepts for Curriculum Design

    Science.gov (United States)

    Lewis, Lyn

    2017-01-01

    The ePortfolio has been used in initial teacher education for its storage and presentation functions; however, its use as a pedagogic tool to enhance learning outcomes is less common. This study explored students' perceptions of ePortfolio and their learning in a Bachelor of Education (primary) programme at a New Zealand university. The research…

  1. 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

  2. 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

  3. 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.

  4. Student Portfolios as Windows into Intercultural Knowledge and Knowing

    Science.gov (United States)

    Johnson, Esko; Hynynen, Nina

    2018-01-01

    This research paper deals with intercultural knowledge and knowing as displayed in higher education student portfolios. The portfolios were written by student pairs taking a global education course at Centria University of Applied Sciences, Finland, during seven academic years. Conceptual metaphor theory and metaphor analysis were utilised to…

  5. Vacation portfolio decisions: analysis using a Bayesian belief network

    NARCIS (Netherlands)

    Grigolon, A.B.; Kemperman, A.D.A.M.; Timmermans, H.J.P.

    2011-01-01

    The aim of this study is to analyse the extent to which vacation portfolio decisions are influenced by socio-demographic characteristics. A vacation portfolio involves interdependent decisions related to the facets that make the vacation trip, including transport mode, accommodation, destination,

  6. 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…

  7. Transparency in the ePortfolio Creation Process

    Science.gov (United States)

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

    2015-01-01

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

  8. 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…

  9. E-Portfolios in Teacher Development: The Better Option?

    Science.gov (United States)

    Xerri, Daniel; Campbell, Caroline

    2016-01-01

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

  10. Portfolio Management with Stochastic Interest Rates and Inflation Ambiguity

    DEFF Research Database (Denmark)

    Munk, Claus; Rubtsov, Alexey Vladimirovich

    2014-01-01

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

  11. 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…

  12. Functions of the learning portfolio in student teachers' learning process

    NARCIS (Netherlands)

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

    2007-01-01

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

  13. Functions of the learning portfolio in student teachers' learning process

    NARCIS (Netherlands)

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

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

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

    African Journals Online (AJOL)

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

  15. 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.

  16. Portfolio optimization of the construction sector companies in ...

    African Journals Online (AJOL)

    The objective of this paper is to construct the optimal portfolio that will minimize the portfolio risk and can achieve the investors target rate of return by using the mean-semi absolute deviation model. The data of this study comprises 20 construction sector companies that listed in Malaysia stock market from July 2011 until ...

  17. Evaluating the Validity of Portfolio Assessments for Licensure Decisions

    Science.gov (United States)

    Wilson, Mark; Hallam, P. J.; Pecheone, Raymond; Moss, Pamela A.

    2014-01-01

    This study examines one part of a validity argument for portfolio assessments of teaching practice used as an indicator of teaching quality to inform a licensure decision. We investigate the relationship among portfolio assessment scores, a test of teacher knowledge (ETS's Praxis I and II), and changes in student achievement (on…

  18. A Holocaust Exhibit ePortfolio: Actively Engaging Students

    Science.gov (United States)

    Jordine, Melissa

    2015-01-01

    California State University, Fresno is currently considering implementing an ePortfolio requirement for all undergraduate students. The ePortfolio requirement would be introduced primarily to engage students in a HIP (high impact practice) but would also be used for assessment purposes. As a faculty member and a member of the CSU Fresno ePortfolio…

  19. Forecasting Value-at-Risk Under Temporal and Portfolio Aggregation

    NARCIS (Netherlands)

    H.J.W.G. Kole (Erik); T.D. Markwat (Thijs); A. Opschoor (Anne); D.J.C. van Dijk (Dick)

    2016-01-01

    textabstractWe examine the impact of temporal and portfolio aggregation on the quality of Value-at-Risk (VaR) forecasts over a horizon of ten trading days for a well-diversified portfolio of stocks, bonds and alternative investments. The VaR forecasts are constructed based on daily, weekly or

  20. 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 ...