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Cole, Gary. "The definition of 'portfolio'." Medical Education 39, no. 11 (November 2005): 1141. http://dx.doi.org/10.1111/j.1365-2929.2005.02327.x.
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Jiang, Wei Na, Bin Shan Ju, Guang Hua Zhai, Ya Qiang Chen, and Liang Wei. "Study on Application of Markowitz’s Portfolio Selection Theory in Overseas Petroleum Venture Investment Decision." Advanced Materials Research 1051 (October 2014): 1045–50. http://dx.doi.org/10.4028/www.scientific.net/amr.1051.1045.
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Markowitz’s portfolio selection theory was applied in overseas petroleum venture capital investment, the mean of each project’s AT cash was used as the portfolio’s return, the fluctuate rate return of project was used to reflect portfolio’s risk, the combination of minimum risk portfolio optimization decision model was established. A variety of risk definition method were explored, efficient frontier under variety of risk-defined were developed, according to different risk preferences, the investment decision-makers can choose optimal portfolio to maximize investment, so as to reduce and avoid undue loss.
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Stoilov, Todor, Krasimira Stoilova, and Miroslav Vladimirov. "Explicit Value at Risk Goal Function in Bi-Level Portfolio Problem for Financial Sustainability." Sustainability 13, no. 4 (February 20, 2021): 2315. http://dx.doi.org/10.3390/su13042315.
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The mean-variance (MV) portfolio optimization targets higher return for investment period despite the unknown stochastic behavior of the future asset returns. That is why a risk is explicitly considering, quantified by algebraic characteristics of volatilities and co-variances. A new probabilistic definition of portfolio risk is the Value at Risk (VaR). The paper makes explicit inclusion and minimization of VaR as a quantitative measure of financial sustainability of a portfolio problem. Thus, the portfolio weights as problem solutions will respect not only the MV requirements for risk and return, but also the additional minimization of risk defined by VaR level. The portfolio problem is defined in a new, bi-level form. The upper level minimizes and evaluates the VaR value. The lower level evaluates the optimal assets weights by minimizing portfolio risk and maximizing the return in MV form. The bi-level model allows to have extended set of portfolio solutions with the portfolio weights and the value of VaR. Graphical interpretation of this bi-level definition of the portfolio problem explains the differences with the MV portfolio definition. Thus, the bi-level portfolio problem evaluates the optimal weights, which makes maximization of portfolio return and minimization of the risk in its algebraic and probabilistic form of definition.
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Sornarajah, M. "Portfolio Investments and the Definition of Investment." ICSID Review 24, no. 2 (September 1, 2009): 516–20. http://dx.doi.org/10.1093/icsidreview/24.2.516.
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Das, Sanjiv, Harry Markowitz, Jonathan Scheid, and Meir Statman. "Portfolio Optimization with Mental Accounts." Journal of Financial and Quantitative Analysis 45, no. 2 (February 19, 2010): 311–34. http://dx.doi.org/10.1017/s0022109010000141.
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AbstractWe integrate appealing features of Markowitz’s mean-variance portfolio theory (MVT) and Shefrin and Statman’s behavioral portfolio theory (BPT) into a new mental accounting (MA) framework. Features of the MA framework include an MA structure of portfolios, a definition of risk as the probability of failing to reach the threshold level in each mental account, and attitudes toward risk that vary by account. We demonstrate a mathematical equivalence between MVT, MA, and risk management using value at risk (VaR). The aggregate allocation across MA subportfolios is mean-variance efficient with short selling. Short-selling constraints on mental accounts impose very minor reductions in certainty equivalents, only if binding for the aggregate portfolio, offsetting utility losses from errors in specifying risk-aversion coefficients in MVT applications. These generalizations of MVT and BPT via a unified MA framework result in a fruitful connection between investor consumption goals and portfolio production.
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Deng, Xue, Tao Lin, and Chuangjie Chen. "Comparison and Research on Diversified Portfolios with Several Entropy Measures Based on Different Psychological States." Entropy 22, no. 10 (October 4, 2020): 1125. http://dx.doi.org/10.3390/e22101125.
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In previous studies, there were few portfolio models involving investors’ psychological states, market ambiguity and entropy. Some entropy can make the model have the effect of diversifying investment, which is very important. This paper mainly studies four kinds of entropy. First, we obtained four definitions of entropy from the literature, and gave the function of fuzzy entropy in different psychological states through strict mathematical proof. Then, we construct a fuzzy portfolio entropy decision model based on the investor’s psychological states, and compared it with the possibilistic mean–variance model. Then we presented a numerical example and compared the five different models established. By comparing the results, we find that: (a) The possibilistic mean–Shannon entropy model solves the problem of the possibility of excessive concentration in the possibilistic mean–variance model, but the dispersion is not enough. Conversely, the possibilistic mean–Yager entropy is over–emphasized due to the definition of its own function, such that it gave an investment pattern of equal weight distribution or approximate average distribution. (b) The results of possibilistic mean–proportional entropy can be said to be the middle status of the portfolios of possibilistic mean–Shannon entropy and possibilistic mean–Yager entropy. This portfolio not only achieves a certain rate of return, but also disperses the risk to some extent. (c) The lines of satisfaction for portfolios derived from different models are approximately U–shaped with the increase in return preference. (d) The possibilistic mean–Shannon entropy model tends to have the highest portfolio satisfaction with the same psychological state of the investor.
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Huang, Xiaoxia. "Portfolio selection with a new definition of risk." European Journal of Operational Research 186, no. 1 (April 2008): 351–57. http://dx.doi.org/10.1016/j.ejor.2007.01.045.
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Luo, Ronghua, Yi Liu, and Wei Lan. "A penalized expected risk criterion for portfolio selection." China Finance Review International 9, no. 3 (August 19, 2019): 386–400. http://dx.doi.org/10.1108/cfri-12-2017-0226.
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Purpose Under the classical mean-variance framework, the purpose of this paper is to investigate the properties of the instability of minimal variance portfolio and then propose a novel penalized expected risk criterion (PERC) for optimal portfolio selection. Design/methodology/approach The proposed method considers not only a portfolio’s expected risk, but also its instability that is quantified by the variance of the estimated portfolio weights. This study tests the out-of-sample performance of various portfolio selection methods on both China and US stock markets. Findings It is very useful to control portfolio stability in real application of portfolio selection. The empirical results on both US and China stock markets show that PERC portfolio effectively controls turnover and consequently the transaction cost, and that is why it is so competing compared with other alternative methods. Research limitations/implications The findings suggest that the rebalancing turnover and the associated transaction cost that is usually ignored in theoretical analysis play a very important role in real investment. Practical implications For investors, especially institutional investors, the rebalancing turnover and corresponding transaction cost must be carefully addressed. The variance of the estimated portfolio weights is a good candidate to quantify portfolio instability. Originality/value This study addresses the important role of portfolio instability and proposes a novel expected risk criterion for portfolio selection after the quantitative definition of portfolio instability.
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Büchele, Richard, Lukas Kranzl, Michael Hartner, and Jeton Hasani. "Opportunities and Challenges of Future District Heating Portfolios of an Austrian Utility." Energies 13, no. 10 (May 15, 2020): 2457. http://dx.doi.org/10.3390/en13102457.
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In this paper, opportunities and challenges of concrete portfolio options of an Austrian district heating (DH) supplier are assessed against the background of current challenges of the DH sector. The following steps are performed: (1) analysis of status quo; (2) analysis of current and possible future economic framework conditions; (3) definition of four concrete future portfolio options for investment planning until the year 2030; (4) modeling of status quo and future portfolios together with the respective framework conditions in a linear dispatch optimization model; and (5) perform techno-economic analysis for each portfolio under the different possible future framework conditions. The expected increase in renewable power generation capacity is likely to increase volatility in future electricity prices with hours of both very low and very high prices. This higher volatility results in higher technical flexibility requirements for the heat generation plants and a need for heat generation portfolios to respond to both high and low electricity prices. The results indicate that the combination of heat pumps and combined heat and power (CHP) plants is well suited to cope with these challenges from a microeconomic point of view. At the same time, we show that a shift to a high share of renewables of more than 60%, implying a complete exit of gas fired CHPs, is also feasible with costs in a very similar range as the current DH generation portfolio.
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Muradova, Z. R. "MAIN DIRECTIONS FOR IMPROVING THE PORTFOLIO STRATEGY IN THE REAL ESTATE MARKET." Chronos 6, no. 3(53) (March 13, 2021): 74–77. http://dx.doi.org/10.52013/2658-7556-53-3-15.
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The article analyzes the main participants of the real estate market, presents the classification of real estate objects, clarifies the definition of the real estate portfolio, considers the main stages of managing the real estate portfolio and defines the main directions for improving the portfolio strategy in the real estate market.
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Wahyuputro, Bernardus, Steve Begg, and Graeme Bethune. "Characterisation of petroleum assets for portfolio management." APPEA Journal 50, no. 2 (2010): 721. http://dx.doi.org/10.1071/aj09085.
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There is growing use of modern portfolio management methods that integrate risks, strategic goals and optimisation techniques to aid investment decision-making in the exploration and production industry. This modern approach consists of stages of analysis that include asset analysis, strategic goals definition and portfolio selection to maximise the probability of meeting the strategic goals. To date, most work in this area has focussed on the portfolio management requirements of oil and gas operators. However, the approach has the potential to help decision-making surrounding the management of the petroleum resources of a state. Specifically, we are investigating its potential to help set fiscal terms that encourage investment whilst meeting state goals. Indonesia’s petroleum resources are used to inform and provide data for the study. This paper presents the problems identified and solutions developed in performing the first step—describing, quantifying and modelling the uncertainty in the performance of the assets that comprise the portfolio. Due to the size and heterogeneity of the portfolio, we have chosen to characterise the assets into different types, rather than model each one individually. The main benefit of characterising the assets is to make the problem tractable, particularly when it comes to optimisation. Characterisation will also provide insight to decision-maker’s about the nature of the portfolio that may impact long-term planning and setting of targets. Whilst the approach taken is motivated by the specific needs of a nation’s portfolio, it is expected that the lessons learned will be of use to operators with similar characteristics—large, heterogeneous portfolios.
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Fischer, Matthias, Thorsten Moser, and Marius Pfeuffer. "A Discussion on Recent Risk Measures with Application to Credit Risk: Calculating Risk Contributions and Identifying Risk Concentrations." Risks 6, no. 4 (December 7, 2018): 142. http://dx.doi.org/10.3390/risks6040142.
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In both financial theory and practice, Value-at-risk (VaR) has become the predominant risk measure in the last two decades. Nevertheless, there is a lively and controverse on-going discussion about possible alternatives. Against this background, our first objective is to provide a current overview of related competitors with the focus on credit risk management which includes definition, references, striking properties and classification. The second part is dedicated to the measurement of risk concentrations of credit portfolios. Typically, credit portfolio models are used to calculate the overall risk (measure) of a portfolio. Subsequently, Euler’s allocation scheme is applied to break the portfolio risk down to single counterparties (or different subportfolios) in order to identify risk concentrations. We first carry together the Euler formulae for the risk measures under consideration. In two cases (Median Shortfall and Range-VaR), explicit formulae are presented for the first time. Afterwards, we present a comprehensive study for a benchmark portfolio according to Duellmann and Masschelein (2007) and nine different risk measures in conjunction with the Euler allocation. It is empirically shown that—in principle—all risk measures are capable of identifying both sectoral and single-name concentration. However, both complexity of IT implementation and sensitivity of the risk figures w.r.t. changes of portfolio quality vary across the specific risk measures.
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SHYNKARENKO, V., and M. BRUSENTSOVA. "DEFINITION OF THE CONCEPT OF “ECONOMIC PORTFOLIO” IN STRATEGIC MANAGEMENT." Economics of the transport complex, no. 30 (December 4, 2017): 100. http://dx.doi.org/10.30977/etk.2225-2304.2017.30.0.100.
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Ivanovich Afonichkin, Alexander, Dmitry Gennadevich Mikhalenko, and Michał Flieger. "Portfolio of Development Strategy in Cluster of Economic Interests." Kwartalnik Ekonomistów i Menedżerów 22, no. 4 (October 1, 2011): 59–71. http://dx.doi.org/10.5604/01.3001.0009.5539.
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The paper focuses an economic cluster, its definition and systematization. Its defines a class of economic cluster of strategic interests, considers integration of economic systems models into operational activity of a cluster, and forms an approach to cluster control on the basis of development portfolio. The structure and elements of development portfolio model are being defined and, a complex of tasks for coordinated control of development portfolio is being formalized in this paper.
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Yu, J. S., J. P. Gonzalez-Zugasti, and K. N. Otto. "Product Architecture Definition Based Upon Customer Demands." Journal of Mechanical Design 121, no. 3 (September 1, 1999): 329–35. http://dx.doi.org/10.1115/1.2829464.
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The product portfolio architecture developed by a design team will have a tremendous impact upon customer satisfaction and market acceptance of the set of products offered by the firm. Yet most work in architecture centers around cost savings, manufacturability, and other production-driven concerns. Here, we propose a customer need basis for defining the architecture of a portfolio of products. Customer needs analysis provides a list of requirements for a product to sell. At any moment in time, one can assess a market population to establish target values for product features and represent those targets as probability distributions. Similarly, one can also trace the product through its use over time, and establish a separate set of desired target values, also as a set of distributions. Comparing these two distribution sets for every important customer need can point to the type of architecture a market population desires. When population and time distributions match, feature adjustability is required. When these distributions are different but constant in time, a family of product variants is more appropriate. When the population distribution changes over time, the feature must be isolated so it can be upgraded over time. If the distributions across both time and population are narrow, a single offering will supply the needs of the market. An instant film camera product is used as an example of the relationship between customer need distributions and appropriate product architecture.
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Whelan, S. F. "Defining and Measuring Investment Risk in Defined Benefit Pension Funds." Annals of Actuarial Science 2, no. 1 (March 2007): 51–66. http://dx.doi.org/10.1017/s1748499500000257.
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ABSTRACTA formal definition of investment risk in actuarial investigations is given. Case studies estimating the investment risk associated with different investment strategies for defined benefit pension funds using historic market data are presented. It is shown that a few decades ago, when bond markets only extended in depth to 20-year maturities, the investment risk of investing in equities was of the same order of magnitude as the investment risk introduced by the duration mismatch from investing in bonds for immature schemes. It is shown that now, with the extension of the term of bond markets and introduction of strippable bonds, the least risk portfolio for the same pension liability is a bond portfolio of suitable duration. It is argued that investment risk voluntarily undertaken in defined benefit pension plans has grown markedly in recent decades, at a time when the ability to bear the investment risk has diminished. Investment risk in pension funds is quite different to investment risk for other investors, which leads to the possibility that current portfolios are not optimised — that is, there exist portfolios which increase the expected surplus without increasing risk. The formalising of our intuitive concept of investment risk in actuarial applications is a first step in the identification of more efficient portfolios.
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Stoilov, Todor, Krasimira Stoilova, and Miroslav Vladimirov. "The Probabilistic Risk Measure VaR as Constraint in Portfolio Optimization Problem." Cybernetics and Information Technologies 21, no. 1 (March 1, 2021): 19–31. http://dx.doi.org/10.2478/cait-2021-0002.
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Abstract The paper realizes inclusion of probabilistic measure for risk, VaR (Value at Risk), into a portfolio optimization problem. The formal analysis of the portfolio problem illustrates the evolution of the portfolio theory in sequentially inclusion of different market characteristics into the problem. They make modifications and complications of the portfolio problem by adding various constraints to consider requirements for taxes, boundaries for assets, cardinality constraints, and allocation of the investment resources. All these characteristics and parameters of the investment participate in the portfolio problem by analytical algebraic relations. The VaR definition of the portfolio risk is formalized in a probabilistic manner. The paper applies approximation of such probabilistic constraint in algebraic form. Geometrical interpretation is given for explaining the influence of the VaR constraint to the portfolio solution. Numerical simulation with data of the Bulgarian Stock Exchange illustrates the influence of the VaR constraint into the portfolio optimization problem.
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BELIKOVA, Tetiana, and Marharyta PUSHKINA. "Methods for analyzing the quality of a banks loan portfolio." Economics. Finances. Law, no. 4/1 (April 30, 2020): 35–40. http://dx.doi.org/10.37634/efp.2020.4(1).8.
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Lending is one of the major banking institutions. But lending has some risks of varying degrees. The main purpose of banks is to repay loans and to maximize profits. To do this, banks need to implement an efficient, flexible and modern credit portfolio quality management system. An important element of this system is the analysis of the quality of the loan portfolio. That is why the consideration of the methods by which banks can carry out this analysis is a very actual topic. The purpose of this paper is to review methods of analyzing the quality of a bank's loan portfolio, as well as to outline the disadvantages and benefits of each method. The paper examines the most common and modern approaches to defining the concept of «bank loan portfolio». The types of loan portfolio are considered. The definition of the quality of the bank loan portfolio is given. The definition of bank credit portfolio management is given and the basic elements of credit portfolio management are given. The main methods to be used in assessing the quality of a bank's loan portfolio are identified. They are divided into three groups: methods of expert judgment, statistical and analytical methods. A more detailed description of the methods in the three groups listed above is given. The rating method, the «Decision Tree» method, coefficient analysis, Monte Carlo method, scoring, correlation-regression analysis, taxonomic analysis and stress testing are characterized. The advantages and disadvantages of each method are also given. Indicators to assess the quality of the bank's loan portfolio are considered: the credit portfolio risk indicators and the profitability of credit operations. After the study, it was concluded that the above methods of analysis of the quality of the loan portfolio should be applied comprehensively. It is determined that currently the banks of Ukraine do not use the whole analytical set of methods, but choose for themselves several and constantly use them in the analysis of the quality of the loan portfolio. In order to ensure effective management of the bank's credit portfolio, it is necessary to constantly monitor the quality of the bank's credit portfolio for early detection of credit risk and its prevention, as well as for detection of deterioration of profitability indicators.
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Lucarelli, Giorgio, and Matteo Borrotti. "A deep Q-learning portfolio management framework for the cryptocurrency market." Neural Computing and Applications 32, no. 23 (September 20, 2020): 17229–44. http://dx.doi.org/10.1007/s00521-020-05359-8.
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AbstractDeep reinforcement learning is gaining popularity in many different fields. An interesting sector is related to the definition of dynamic decision-making systems. A possible example is dynamic portfolio optimization, where an agent has to continuously reallocate an amount of fund into a number of different financial assets with the final goal of maximizing return and minimizing risk. In this work, a novel deep Q-learning portfolio management framework is proposed. The framework is composed by two elements: a set of local agents that learn assets behaviours and a global agent that describes the global reward function. The framework is tested on a crypto portfolio composed by four cryptocurrencies. Based on our results, the deep reinforcement portfolio management framework has proven to be a promising approach for dynamic portfolio optimization.
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Fan, Zhi-Ping, and Bing-Bing Cao. "A Method for the Portfolio Selection Considering the Psychological Behaviors and the Mental Accounts of the Investor." International Journal of Information Technology & Decision Making 17, no. 01 (January 2018): 155–81. http://dx.doi.org/10.1142/s0219622017500328.
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In real portfolio selection, the investor usually exhibits some psychological behaviors such as reference dependence, loss aversion and so on and also has the requirements of wealth expectation in his/her mental accounts, but the in-depth study on this aspect is still lacking. The objective of this paper is to develop a method for the portfolio selection in which the multiple psychological behaviors (i.e., the reference dependence, the probability overestimation or underestimation, the loss aversion and the diminishing sensitivity) and the mental accounts of the investor are considered simultaneously. First, for the multiple psychological behaviors of the investor, the calculation formula of overall comprehensive utility of portfolio of all the candidate assets is given according to the cumulative prospect theory. Then, a portfolio optimization model with the probabilistic constraints is constructed to determine the desirable portfolio. For the model, the objective is to maximize the overall comprehensive utility of portfolio of the assets, and the requirements of the wealth expectations in the mental accounts of the investor and the limitation of initial investment wealth are considered as the constraints. Further, the definition of the available state set is given, and the available state sets for each mental account can be determined according to the definition. Based on the determined available state sets, the model can be converted into the multiple linear integer programming problems. By solving the linear integer programming problems, the optimal portfolio can be obtained. In addition, a numerical example is used to illustrate the use of the proposed method. Finally, an empirical study is given to validate our research work.
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Dias, Luis, Armando Leitão, and Luis Guimarães. "Resource definition and allocation for a multi-asset portfolio with heterogeneous degradation." Reliability Engineering & System Safety 213 (September 2021): 107768. http://dx.doi.org/10.1016/j.ress.2021.107768.
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Martín García, Rodrigo, Enrique Ventura Pérez, and Raquel Arguedas Sanz. "Temporal optimisation of signals emitted automatically by securities exchange indicators." Cuadernos de Gestión 20, no. 3 (November 27, 2020): 61–71. http://dx.doi.org/10.5295/cdg.170851rm.
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Stock exchange indicators deliver buy/sell signals that enable analysts to improve the results of a strategy based strictly on fundamental analysis. Nonetheless, since the automatic implementation of signals as they appear may not yield optimal returns, the present paper analysed the suitability of using a series of technical indicators as guidance for portfolio results. A second aim pursued was to study how delaying the implementation of indicator signals may enhance profitability. A simulation was performed for the years 2005-2016 using the most representative index for the Spanish stock exchange, the IBEX35 and all its constituent securities, along with seven indicators (RoC, RSI, SMA, EMA, MACD, Bollinger bands and Stochastic Oscillator) and a total of 81 combinations of buy/sell lag times. The definition of three non-overlapping sub-periods to guarantee the reliability of the findings yielded a total of 61 236 simulated portfolios. The conclusion drawn from the results was that for certain combinations of indicators, delaying the implementation of buy/sell signals improves returns. More specifically, optimal lag times identified for RSI and EMA signals were shown to deliver statistically significant improvements in portfolio returns, irrespective of the period studied. Those findings were consistent the results of an alternative simulation in which the five securities that were both the most liquid and had the greatest impact on the index were not considered, to rule out the possible effect of the relative weight of securities on either portfolio returns or their normalisation.
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Flint, E., A. Seymour, and F. Chikurunhe. "Defining and measuring portfolio diversification." South African Actuarial Journal 20, no. 1 (January 28, 2021): 17–48. http://dx.doi.org/10.4314/saaj.v20i1.2.
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It is often said that diversification is the only ‘free lunch’ available to investors; meaning that a properly diversified portfolio reduces total risk without necessarily sacrificing expected return. However, achieving true diversification is easier said than done, especially when we do not fully know what we mean when we are talking about diversification. While the qualitative purpose of diversification is well known, a satisfactory quantitative definition of portfolio diversification remains elusive. In this research, we summarise a wide range of diversification measures, focusing our efforts on those most commonly used in practice. We categorise each measure based on which portfolio aspect it focuses on: cardinality, weights, returns, risk or higher moments. We then apply these measures to a range of South African equity indices, thus giving a diagnostic review of historical local equity diversification and, perhaps more importantly, providing a description of the investable opportunity set available tofund managers in this space. Finally, we introduce the idea of diversification profiles. These regimedependent profiles give a much richer description of portfolio diversification than their single-value counterparts and also allow one to manage diversification proactively based on one’s view of future market conditions.
Keywords: Portfolio diversification; index concentration; weight-based diversification; risk-based diversification; correlation; covariance; market regimes
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WU, LIXIN, and DAWEI ZHANG. "xVA: DEFINITION, EVALUATION AND RISK MANAGEMENT." International Journal of Theoretical and Applied Finance 23, no. 01 (February 2020): 2050006. http://dx.doi.org/10.1142/s0219024920500065.
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xVA is a collection of valuation adjustments made to the classical risk-neutral valuation of a derivative or derivatives portfolio for pricing or for accounting purposes, and it has been a matter of debate and controversy. This paper is intended to clarify the notion of xVA as well as the usage of the xVA items in pricing, accounting or risk management. Based on bilateral replication pricing using shares and credit default swaps, we attribute the P&L of a derivatives trade into the compensation for counterparty default risks and the costs of funding. The expected present values of the compensation and the funding costs under the risk-neutral measure are defined to be the bilateral CVA and FVA, respectively. The latter further breaks down into FCA, MVA, ColVA and KVA. We show that the market funding liquidity risk, but not any idiosyncratic funding risks, can be bilaterally priced into a derivative trade, without causing price asymmetry between the counterparties. We call for the adoption of VaR or CVaR methodologies for managing funding risks. The pricing of xVA of an interest-rate swap is presented.
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Wilking, Fabian, Benjamin Schleich, and Sandro Wartzack. "DIGITAL TWINS - DEFINITIONS, CLASSES AND BUSINESS SCENARIOS FOR DIFFERENT INDUSTRY SECTORS." Proceedings of the Design Society 1 (July 27, 2021): 1293–302. http://dx.doi.org/10.1017/pds.2021.129.
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AbstractOver the recent years, several attempts were made to define the concept of the Digital Twin and to create a generic view for utilizing it within the industry. Still, many industry sectors are not able to transfer a generic definition into their product portfolio, as Digital Twins differ from each other to the same degree as physical products differ from each other. Hence, it is crucial to enlarge the definition towards a classification and business scenarios which enable sector specific views on the concept of the Digital Twin and help SME to utilize the concept towards their products. Future engineers will have to design physical products besides a digital counterpart and therefore have to identify interdependencies between these two products during the development. This paper discusses a generic definition of a Digital Twin that can be applied throughout different sectors as well as a classification for Digital Twins to enable the implementation of the concept on several maturity levels regarding the constraints of the product portfolio. In addition, these classes are viewed in different business scenarios and an outlook is given to further increase the usability of Digital Twins within new industry sectors.
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Dubois, James R., and Andrew Quarles. "Insuring the Portfolio Against Large Project Failure." SPE Reservoir Evaluation & Engineering 9, no. 06 (December 1, 2006): 674–80. http://dx.doi.org/10.2118/84331-pa.
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Summary There is a growing body of literature in our industry that addresses the use of portfolio-management techniques to find "optimum" mixes of projects that meet company goals while managing risk. These investigations usually start by describing "risk" in some manner, then proceed to illustrate how combinations of properties can be chosen that minimize this risk function subject to the other goals of the company. The probabilities of meeting individual metric targets in discrete time frames also can and should be quantified. This type of analysis is valid and useful, and it forms the backbone of project portfolio management. However, when dealing with risk and probability concepts, it is easy to lose sight of the fact that specific events will occur in time and that the portfolio must include enough flexibility to allow reaction to and recovery from these events. Specifically, acceptable portfolio results may depend on a small number of projects performing at a certain level. Because the chance of these important projects not performing at this level may be relatively small, the risk is deemed "acceptable." If one of the projects subsequently fails to perform, what was once "acceptable risk" can become an exercise in salvaging a year or even saving a company. This paper shows how portfolio-management techniques can be used to plan a portfolio robust enough to recover from the potential failure of a significant project. These techniques can lead us to make investment choices today that might not be obvious if projects are evaluated solely with their expected values; those choices, if made judiciously, can provide insurance against a possible future downside. Portfolio analysis is a powerful technique, with applications far beyond the standard risk/reward exercise. The examples presented demonstrate how this analysis can be used to provide insight into the practical business questions that truly concern company management. Introduction Most strategic planning and investment analyses use the concept of expected value to consolidate results and understand them in aggregate. Expected value is a powerful concept, but it can lead the analyst astray if not used judiciously. We refer specifically to instances in which an unlikely negative outcome is obscured in an expected value context but, should it occur, would significantly harm the company's performance. In this paper, we will show how a portfolio-management model, when used in an investigative manner, can be used to reduce the potential downside in these types of situations. We start by defining the terms contained in the title of this paper:" Large Project"—a project whose failure would make it highly unlikely that the company would meet its stated goals; this shortfall would be significant." Insurance"—a relatively small payment made to avoid a potentially much larger, but less likely, cost in the future. In the context of portfolio management, insurance means finding a portfolio of projects that has a somewhat lower net present value (NPV) or other metric value than some optimum, but which is much less sensitive to a potential negative occurrence." Portfolio"—" Portfolio management" is a popular term in oil and gas economic evaluation at present, and it has been given a variety of definitions. Some use it to describe virtually any method used to compare the relative attractiveness of investments, while others consider that any variation from the "portfolio selection" work of Markowitz (1997) invalidates a portfolio-management procedure. Our definition falls between these extremes and will be detailed in the next section. We look at two examples of using portfolio-management techniques to arrive at alternate portfolios that are better suited to absorb a particular event than a simple optimization might suggest. The first example considers the failure, during the coming year, of a very large exploration prospect. This project is large enough in relation to the other prospects that the expected value of its reserves forms a significant part of the portfolio reserves additions for the 2 subsequent years. Its failure requires an immediate reshuffling of the portfolio. In this case, the insurance will entail identifying those options that need to be kept live and that need to be continued to predrilling investment, even though they were not a part of the initially selected portfolio. The second example looks at the possible loss of a division 2 years in the future. Portfolio analysis is used to find an alternate to the optimum portfolio that allows acceptable performance should this event occur and still meets all the company's initial targets if it does not occur. "Insurance" here consists of a modified investment program with a slightly lower NPV.
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MILOVIDOVA, Yana D. "Risk-Management of Investment Projects in Implementation of Objects of Real Economy." Journal of Advanced Research in Law and Economics 10, no. 4 (June 30, 2019): 1309. http://dx.doi.org/10.14505//jarle.v10.4(42).32.
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Risk management in financial operations is based on a diverse structure and mobility of the portfolio that allow for a structural change of a project - namely, achieving synergies in the formation of the investment portfolios. However, financial operations do not always correlate with the stock exchange rules or other covenants. This provides important evidence for the restructuring purposes of the investment portfolio. In this regard, forecasting and the development of the toolkit of the risk management may be implemented only under conditions of the real object of the economy. The idea that objects of the real economy carry not only the risk of loss of the investment but also potential a technical damage is deemed to be a scientific novelty. As a place of technical damage in the system of the risk-management, it is considered to be a possible loss for the investor not only within a separate project but also throughout the whole project. In this regard, the author has carried out significant calculations according to her own methodology based on the implementation of a project of the real economy. Construction of the risk management system in an enterprise is a persistent rigorous process that requires a tremendous amount of financial, material and human resources. The practical significance of the study is defined by the need for a detailed definition of the risk-management’s practical use and qualities applied to the investment portfolio in the implementation of objects of the real economy, which explains the relevance of the study under consideration.
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Viktorova, N. N. "EVOLUTION OF THE LEGAL CONCEPT OF "FOREIGN INVESTMENT" IN A NETWORK SOCIETY." Lex Russica, no. 11 (November 22, 2019): 88–95. http://dx.doi.org/10.17803/1729-5920.2019.156.11.088-095.
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The paper deals with the problems of definition of the concept "investment" in multilateral and bilateral investment treaties. The author shows how the approach to the definition of "investment" in international investment agreements has changed over time, how this concept differs in modern agreements from those enshrined in agreements concluded more than ten years ago. It is noted that today we can talk about the trend of a broad definition of the concept of investment in international treaties, that is, investments are understood as any kind of property values; further the author specifies what applies to them.International treaties on the protection and promotion of investment also include the right to engage in business activities. It turns out that investment disputes can arise from ordinary commercial activities, for example from a contract of sale. However, there are documents that do not include monetary claims arising from commercial contracts, such as the 2012 model bilateral investment Treaty of the South African development Community.Generally, investment protection agreements do not distinguish between direct and portfolio investments. Therefore, portfolio investments also enjoy the protection of these investment treaties. However, some of the international investment agreements that are currently being concluded specify that portfolio investments are excluded from their scope, such as the Model bilateral investment Treaty of the South African Development Community.In the literature there are three approaches to the qualification of foreign arbitral awards as a foreign investment. According to one of them, the award is an investment, because it is part of the entire activity of the investor. Some modern international investment agreements contain provisions according to which arbitration, judicial decisions are not investments.
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De Giorgi, Enrico, and Thierry Post. "Second-Order Stochastic Dominance, Reward-Risk Portfolio Selection, and the CAPM." Journal of Financial and Quantitative Analysis 43, no. 2 (June 2008): 525–46. http://dx.doi.org/10.1017/s0022109000003616.
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AbstractStarting from the reward-risk model for portfolio selection introduced in De Giorgi (2005), we derive the reward-risk Capital Asset Pricing Model (CAPM) analogously to the classical mean-variance CAPM. In contrast to the mean-variance model, reward-risk portfolio selection arises from an axiomatic definition of reward and risk measures based on a few basic principles, including consistency with second-order stochastic dominance. With complete markets, we show that at any financial market equilibrium, reward-risk investors' optimal allocations are comonotonic and, therefore, our model reduces to a representative investor model. Moreover, the pricing kernel is an explicitly given, non-increasing function of the market portfolio return, reflecting the representative investor's risk attitude. Finally, an empirical application shows that the reward-risk CAPM captures the cross section of U.S. stock returns better than the mean-variance CAPM does.
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Ishizaka, Alessio, David Pickernell, Shuangfa Huang, and Julienne Marie Senyard. "Examining knowledge transfer activities in UK universities: advocating a PROMETHEE-based approach." International Journal of Entrepreneurial Behavior & Research 26, no. 6 (July 30, 2020): 1389–409. http://dx.doi.org/10.1108/ijebr-01-2020-0028.
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PurposeThe purpose of this study is to examine the portfolio of knowledge transfer (KT) activities in 162 UK higher education institutions. In doing so, this study creates an index and ranking, but more importantly, it identifies specific groupings or strategic profiles of universities defined by different combinations and strengths of the individual KT activities from which the overall rankings are derived. Previous research, concentrating on entrepreneurial universities, shows that individual knowledge transfer (KT) activities vary substantially among UK universities. The broad portfolio of universities' KT activities, however, remains underexplored, creating gaps in terms of the relative strength, range, focus and combination of these activities, and the degree to which there are distinct university strategic KT profiles. By examining KT activities and grouping universities into KT “types”, this research allows universities and policymakers to better develop and measure clearer KT-strategies.Design/methodology/approachThe present study applied the Preference Ranking Organization Method for the Enrichment of Evaluations (PROMETHEE) to rank universities based on their portfolio of KT activities. It utilised data from the 2015–2016 Higher Education Business and Community Interaction Survey dataset.FindingsFindings show that universities differ substantially in their portfolios of KT activities. By using PROMETHEE, a new ranking of universities is generated, based on their KT portfolio. This paper also identifies four distinct types or groups of universities based on the diversity and intensity of their KT activities: Ambidextrous, broad, focused and indifferent.Originality/valueThe study contributes to the entrepreneurship literature, and more specifically entrepreneurial activities of universities through new knowledge generated concerning university KT activity. The research extends the existing literature on university archetypes (including those concerned with the Entrepreneurial University) and rankings using a new technique that allows for more detailed analysis of the range of university KT activities. By applying the PROMETHEE approach, results illustrate a more nuanced definition of university KT activities than before, by simultaneously evaluating their overall strength, range, focus and combination, allowing us to identify the universities' strategic profiles based on their KT portfolios. Implications of the findings for key stakeholders include a potential need for government higher education policymakers to take into account the different mixes of university archetypes in a region when considering how best to support higher education and its role in direct and indirect entrepreneurship promotion through regional policy goals.
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Neuenfeldt Júnior, Alvaro Luiz, Sabine Ritter De Paris, and Edson Funke. "O Contexto Científico da Gestão do Portfolio de Produtos para Empresas de Manufatura." Future Studies Research Journal: Trends and Strategies 6, no. 2 (December 30, 2014): 103–25. http://dx.doi.org/10.24023/futurejournal/2175-5825/2014.v6i2.168.
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Correct product portfolio management is one of the feasible ways of ensuring competitive sustainability before continued market evolution whereby decisions to maintain or exclude an item from the sales offering drives consequences that impact both internal and external contexts. In alignment with this standpoint, the purpose of this study is to identify and pinpoint the conceptual framework on product portfolio management, particularly in as much as existing applications centred on manufacturing sector firms is concerned, so as to allow for the envisioning of possible opportunities of fostering future investigations on the subject matter. To this effect, theoretical-conceptual research was conducted, starting with the primary definition of how this field of study is explored right through to the bibliometric review of existing publications. The end result was the identification a gap in research that focuses on portfolio management at manufacturing companies, particularly in Brazil where only two studies centred on this theme were found, although the country hosts more than 30 types of organizations of this kind.
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Roco, Miguel, and Elena Barberà. "CRITERIA FOR THE DEFINITION OF INDICATORS IN ARCHITECTURAL LEARNING IN THE DESIGN STUDIO THROUGH THE USE OF THE E-PORTFOLIO." JOURNAL OF ARCHITECTURE AND URBANISM 44, no. 1 (April 17, 2020): 52–62. http://dx.doi.org/10.3846/jau.2020.11159.
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The objective of this research is to identify, within the context of teaching-learning through the Design Studio, factors and criteria which may support the construction of architectural indicators of learning in students. This may be achieved through the integrated analysis of the evidences of learning included in the e-portfolio, using the traditional learning process as a complement in the Design Studio. This research is of mixed type and includes an exploratory sequential design of longitudinal type that ran through a period of six consecutive semesters. The results obtained show the full potential of objectual and collaborative evidences contained in the e-portfolio, in order to reflect the presence of architectural learning elements, as well as the presence of factors and features specific to the context and dynamics of the learningteaching process, which may result in an approach to the construction of potential architectural indicators of learning.
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Yalunina, E. N., I. V. Frolova, T. V. Matytsyna, and T. G. Pogorelova. "Tax Portfolio Optimization of the Hotel Business Entity Based on Tax Control Criteria." SHS Web of Conferences 93 (2021): 02021. http://dx.doi.org/10.1051/shsconf/20219302021.
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Tax evasion is quite widespread in the hotel business activities in Russia. This fact does harm not only to the Russian economy as tourism is becoming one of the dynamically developing industries, but also to business entities since the lack of financial visibility contributes to internal thefts in these companies. Regular changes in the tax legislation associated with the growth of tax burden are taken hard by the enterprises of the hotel industry. This problem has become the most acute due to the fact that often companies involved into the hotel business falsify the key figures of financial and economic activity for the purpose of hiding the results of commercial activity in order to reduce or completely avoid paying taxes. The successful operation of the hotel business requires an appropriate tax management system. Tax portfolio development for the hotel business entity can become both a means of further business development and a source of onerous expenses. One of the key factors affecting the composition and amount of the tax portfolio is the use of tax alternatives. The main research goal of this study is to develop scientific and practical recommendations on risk-oriented management of the hotel business tax portfolio through the use of tax portfolio criteria. According to the goal, such objectives have been set and realized in the article as definition of institutional basis of tax control, a research of risk-oriented approach to tax portfolio management and identification of tax risks for any hotel business entity based on tax portfolio criteria.
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Piterskaja, V. M. "The value management model of project-oriented organization." Transport development, no. 1(2) (June 27, 2018): 48–56. http://dx.doi.org/10.33082/td.2018.1-2.05.
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In the article, based on the proposed value management model of a project-oriented organization, the resource value of a knowledge-based organization, as well as its internal and external energy, is determined.The model proposed in the work is aimed at forming of portfolio or program of projects that are effective for achieving the strategic goals of a project-oriented organization. The definition of dominant values allows forming of a value-oriented development portfolio, that allow movement of the project organization to a new level of competitiveness. The main position in the structure of modern science is the definition of energy − a single measure of various forms of movement and synergy of substance. Full value of the organization as a system, can be considered as the sum of its internal and external values. Internal value includes the value of all the organization's resources and is a function of its state.The external value of the organization describes its synergy with other organizations and with environment. External value consists of the kinetic and potential components. The value-based project's approach is best suited to the challenges of the global economy and global competition. Using of the value approach in management of the project-oriented organization allows solving of a complex of tasks for calculating of project value for all stakeholders, forming of an effective portfolio of organization's projects, assessing of the effectiveness of various types of organization resources, assessing of the achievability of strategic goals without attracting external sources of value.
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Manzardo, Alessandro, Andrea Loss, Ren Jingzheng, Filippo Zuliani, and Antonio Scipioni. "Definition and application of activity portfolio and control/influence approaches in organizational life cycle assessment." Journal of Cleaner Production 184 (May 2018): 264–73. http://dx.doi.org/10.1016/j.jclepro.2018.02.262.
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GELPERN, Anna. "Sovereignty, Accountability, and the Wealth Fund Governance Conundrum." Asian Journal of International Law 1, no. 2 (May 12, 2011): 289–320. http://dx.doi.org/10.1017/s2044251310000391.
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Sovereign wealth funds—state-controlled transnational portfolio investment vehicles—began as an externally imposed category in search of a definition. SWFs from different countries had little in common and no desire to collaborate. This article elaborates the implications of diverse public, private, domestic, and external demands on SWFs, and describes how their apparently artificial grouping became a site for innovation in international law-making.
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Li, Fangfang, Jorma Larimo, and Leonidas C. Leonidou. "Social media marketing strategy: definition, conceptualization, taxonomy, validation, and future agenda." Journal of the Academy of Marketing Science 49, no. 1 (June 10, 2020): 51–70. http://dx.doi.org/10.1007/s11747-020-00733-3.
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AbstractAlthough social media use is gaining increasing importance as a component of firms’ portfolio of strategies, scant research has systematically consolidated and extended knowledge on social media marketing strategies (SMMSs). To fill this research gap, we first define SMMS, using social media and marketing strategy dimensions. This is followed by a conceptualization of the developmental process of SMMSs, which comprises four major components, namely drivers, inputs, throughputs, and outputs. Next, we propose a taxonomy that classifies SMMSs into four types according to their strategic maturity level: social commerce strategy, social content strategy, social monitoring strategy, and social CRM strategy. We subsequently validate this taxonomy of SMMSs using information derived from prior empirical studies, as well with data collected from in-depth interviews and a quantitive survey among social media marketing managers. Finally, we suggest fruitful directions for future research based on input received from scholars specializing in the field.
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SERVA, MAURIZIO. "OPTIMAL LAG IN DYNAMICAL INVESTMENTS." International Journal of Theoretical and Applied Finance 02, no. 04 (October 1999): 471–81. http://dx.doi.org/10.1142/s0219024999000236.
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A portfolio of different stocks and a risk-less security whose composition is dynamically maintained stable by trading shares at any time step leads to a growth of the capital with a nonrandom rate. This is the key for the theory of optimal-growth investment formulated by Kelly. In presence of transaction costs, the optimal composition changes and, more important, it turns out that the frequency of transactions must be reduced. This simple observation leads to the definition of an optimal lag between two rearrangement of the portfolio. This idea is tested against an investment in a risky asset and a risk-less one. The price of the first is proportional to NYSE composite index while the price of the second grows according to the American Discount Rate.
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Stadnik, Bohumil. "INTEREST RATES SENSITIVITY ARBITRAGE – THEORY AND PRACTICAL ASSESMENT FOR FINANCIAL MARKET TRADING." Journal Business, Management and Economics Engineering 19, no. 01 (February 9, 2021): 12–23. http://dx.doi.org/10.3846/bmee.2021.12658.
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Purpose – Nowadays popular algorithmic trading uses many strategies which are algoritmizable and promise profitability. This research assess if it is possible successfully use interest rates sensitivity arbitrage in bond portfolio (also known as convexity arbitrage) in financial praxis. This arbitrage is sparsely described in literature and an assessment about its practical success is missing. Research methodology – Methodology steps: mathematical definition of given arbitrage; construction of sufficient portfolio; backtesting on USD zero-coupon curves. Portfolio of two bonds is constructed (theoretically and practically) to have the same Macaulay duration and price, but a different convexity at certain YTM point. Therefore, being long the first bond while shorting the second (of higher convexity) would result in a market-directional bet for parallel zero-coupon yield curve shifts. Findings – To construct practically the portfolio which is sufficient for the convexity arbitrage could be unrealistic on markets with low liquidity; the presumptions necessary to practically succeed are not fulfilled enough to ensure the arbitrage is profitable. Research limitations – The backtesting is limited to USD market, testing other markets is recommended, but different result is not expected. Practical implications – The research helps practitioners considering this strategy for its implementation to algorithmic trading. Originality/Value – New important results for financial practitioners; states that practical and profitable utilization of convexity arbitrage is unrealizable and save costs during implementation of the strategy.
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Trofimov, D. "Changes in household deposits structure: Liquidity and stability of bank liabilities." Voprosy Ekonomiki, no. 11 (November 20, 2017): 152–60. http://dx.doi.org/10.32609/0042-8736-2017-11-152-160.
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This paper presents comparative analysis of the impact of changes in the economic and social situation in Europe on the volume and structure of bank liabilities generated by households. It also identifies downside risks to deposits volume and structure analyzing deposits dynamics in Russia. The approach to liquidity calculation indicators and stable part of banks’ liabilities definition based on the use of portfolio of homogeneous deposits of mass categories of households is also proposed.
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Shchuka, G. "Theory and practice of training specialists in the sphere of tourism in the Republic of Belarus." Visnyk of the Lviv University. Series Geography 2, no. 43 (October 19, 2013): 60–67. http://dx.doi.org/10.30970/vgg.2013.43.1684.
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The article examines available in the Republic of Belarus theoretical and methodological framework and practical experience training of tourism. Analyzes the research portfolio of Belarusian scientists, characterized specialty “Tourism and hospitality”: the definition of professional competence of specialist tourism and hospitality, timing and content of theoretical and practical training, distinguishing specializations, examined the implementation of the principle stupnevosti in higher tourism education of the country, the continuity of professional education in tourism . Key words: professional tourist education, training, tourism.
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Chawla, Deepak. "Stability of Alphas and Betas over Bull and Bear Markets: An Empirical Examination." Vision: The Journal of Business Perspective 7, no. 2 (July 2003): 57–77. http://dx.doi.org/10.1177/097226290300700205.
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This paper examines the influence of bull and bear markets on the stability of alpha and beta for the single index market model. The data for the study is collected for the period March 01, 1996 to March 31, 2001. The data pertains to the adjusted daily closing prices of 74 scrips that form a part of BSE-100 index. Two definitions of bull and bear markets are used. The analysis is carried out by estimating dummy variable regression, conducting a joint test (F-test) on alphas and betas, test for correlation coefficient and the paired t-test. The results indicate that alpha varies over both definitions of bull and bear market conditions whereas beta varies for one definition and is stable for the other. The variability of beta also dependents upon specific industry groups. However, one should take large samples from each industry group to draw any generalizations. The implications of the results for a portfolio manager are explained. It is also observed that the stability of alpha and beta depends upon the choice of bull and bear market conditions.
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Bodhanwala, Shernaz, and Ruzbeh Bodhanwala. "Relationship between sustainable and responsible investing and returns: a global evidence." Social Responsibility Journal 16, no. 4 (June 15, 2019): 579–94. http://dx.doi.org/10.1108/srj-12-2018-0332.
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Purpose The purpose of this study is to examine whether sustainable and responsible investing (SRI) outperforms the benchmark index investing across different time frames globally. Design/methodology/approach Based on the systematic weighted environmental, social and governance (ESG) ratings compiled by Thomson Reuters Asset4, the authors assess the stock market performance and risk of highly compliant firms portfolio in seven different countries; grouped as developed and developing nations over different time frames by adopting the Jensen’s alpha model (CAPM) and the Fama and French three-factor model. Findings The study finds that SRI portfolios significantly underperform their benchmark index, in case of, the developing nations, however, enjoy a significantly lower risk. This is contrary to the findings in case of developed nations, where the US SRI portfolio has significantly outperformed the benchmark index and the UK and Australia SRI portfolios have performed in line with the benchmark index. Finally, the study discusses results and implications for regulators, practitioners and investors’ who believe in the SRI investing. Research limitations/implications This study provides empirical support for the practitioners, policymakers and investors emphasizing that in the case of developed nations SRI investments generate a significant excess return or at the best perform in line with the broader market index. However, in the case of developing nations, very few firms are consistently rated on ESG parameters. This provides lesser options for investors in developing nations to apply the “impact first” philosophy of investment. The investor’s community and regulators need to make a serious effort in promoting firms to take up sustainability effort seriously. Originality/value The unique contribution of this study is that it considers a wider definition of the term “sustainability” and examines the performance of SRI investment in developed vs developing countries. This is one of the few studies at the global level, which highlights whether sustainable investing generates abnormal risk-adjusted returns for the investors.
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Phelps, Steve. "Managing the deep and difficult challenges." APPEA Journal 50, no. 2 (2010): 709. http://dx.doi.org/10.1071/aj09073.
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Deep and difficult is an often-used euphemism for those petroleum objectives that are continuing to grow into an increasingly large fraction of companies’ exploration portfolios, now the easy conventionals are in their twilight years. Based on six years of experience of such plays and prospects in the likes of Libya, Nigeria, Brazil, the Gulf of Mexico and more, the challenges may be categorised in several dimensions: capabilities for definition; operational well execution; and, the success engineering stretch (which refers to the requirement to envisage development engineering in that uncomfortable zone beyond what is currently deliverable with today’s technology). The ability to define the deep and difficult is addressed in two ways, with the aid of example projects from Shell’s portfolio. The sub-salt seismic imaging revolution in the Gulf of Mexico of the past three years has introduced some interesting paradigm challenges regarding velocity manipulation and image integrity (consciously choosing prospects and well locations that are not on the best image). Staff competencies and the organisational behaviours required to accept such paradigm challenges are also discussed. Operational well execution is discussed with respect to examples of well design challenges in some high cost markets and hostile borehole operating environments. It is demonstrated that ensuring objective depths are reached and gathering sufficient data in borehole evaluation programmes are frequently more difficult than planned. It is concluded that to make the deep and difficult genuinely viable parts of your portfolio, mixing the cocktail of aspiration and stretch with equal parts of technology delivery and flawless execution needs to be in the hands of skilled bartenders.
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Spyridonidou, Sofia, Dimitra G. Vagiona, and Eva Loukogeorgaki. "Strategic Planning of Offshore Wind Farms in Greece." Sustainability 12, no. 3 (January 26, 2020): 905. http://dx.doi.org/10.3390/su12030905.
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In the present article, a new methodological framework for the efficient and sustainable exploitation of offshore wind potential was developed. The proposed integrated strategic plan was implemented for the first time at national spatial planning scale in Greece. The methodological approach is performed through geographical information systems (GIS) and Microsoft Project Server Software and includes five distinct stages: (i) definition of vision/mission, (ii) identification of appropriate areas for offshore wind farms’ (OWFs) siting, (iii) determination of the OWFs’ layout, (iv) calculation of the OWFs’ (projects) total investment cost and, finally, (v) portfolio analysis. The final outcome of the proposed strategic planning is the prioritization of the proposed sixteen offshore wind projects based on their strategic value, as well as the estimation of the overall investment cost of the entire portfolio. High economic, socio-political and environmental benefits could be achieved through the implementation of only 60% of the total investment capital of the proposed strategic plan.
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Ajne, Björn, and Harry Wide. "On the Definition of Catastrophe Claims and the Calculation of their Expected Cost for the Purpose of Long Range Planning and Profit Centre Control." ASTIN Bulletin 17, no. 2 (November 1987): 171–77. http://dx.doi.org/10.2143/ast.17.2.2014972.
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AbstractSome reasons are given for paying special attention to the gross cost of catastrophe claims in planning and control. A method is then described of defining catastrophe claims and estimating their expected cost. The various steps in applying the method to real data and its performance for planning and control are discussed and illustrated in conjunction with an investigation carried out on a company portfolio.
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Sedova, Nadezhda, and Artemiy Filatov. "Improving the Efficiency of Managing Regional Investment Projects." Regionalnaya ekonomika. Yug Rossii, no. 3 (October 2020): 130–38. http://dx.doi.org/10.15688/re.volsu.2020.3.12.
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The purpose of this work is to develop a concept for the management of regional investment projects which lead to more effective economic growth. The paper defines the decisive role of investments and investment policy in ensuring sustainable economic growth. A key element in the implementation of investment policy is the support for regional investment projects. The paper examines a set of approaches to the definition of regional investment projects. The authors provide a definition of their own, which gave grounds for socio-economic efficiency and synchronization with strategic documents devoted to regional development. The authors identify a set of objectives for the implementation of regional investment projects for various levels of power. Regional executive authorities will support the regional investment projects which will ensure the interests of the region, while federal authorities will do so to eliminate the spatial polarization among the countrys regions. At the same time federal authorities are not always able to choose effective projects to support. The paper shares findings from the analysis of the international experience of the distribution of powers between regional and federal authorities in the management of regional investment projects. The analysis indicates that German experience is of the greatest relevance for Russian practice. The work brings forward a concept for the management of regional investment projects on the basis of the portfolio approach. The concept involves the shift of the selection function to regional authorities when federal authorities provide the resource support. In order to accommodate the interests of both parties, it is proposed to work out a portfolio-building strategy that is based on federal strategic documents. It is recommended that the choice of projects for the inclusion into the portfolio should be based on the effectiveness and risk assessment. In addition, it is suggested to implement the practice of monitoring the implementation of regional investment projects. In summary, the paper describes a concept that will help increase the efficiency of the management of regional investment projects.
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Bianchini, Augusto, Andrea Benci, Marco Pellegrini, and Jessica Rossi. "Supply chain redesign for lead-time reduction through Kraljic purchasing portfolio and AHP integration." Benchmarking: An International Journal 26, no. 4 (May 7, 2019): 1194–209. http://dx.doi.org/10.1108/bij-07-2018-0222.
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Purpose The purpose of this paper is to provide a flexible and extensible model for the classification of suppliers, within the purchasing guidelines and market trends of an Italian small company, leader in the production of street lamps. The model is applied to identify critical supply chains with the final objective of lead-time reduction. Design/methodology/approach The model is obtained by the application of the purchasing portfolio analysis through the construction of Kraljic matrix. Profit impact and supply risk criteria are selected according to the main company requirements, and then prioritized by the analytical hierarchy process (AHP). Finally, supply chain lead-times are analyzed with Gantt diagrams. Findings The application of the model allows the determination of company criticalities in terms of high lead-times and of the involved suppliers. The analysis of critical suppliers positioning in the Kraljic matrix allows the definition of some possible strategies to implement for lead-time reduction. Research limitations/implications Purchasing portfolio analysis and Kraljic matrix are practical instruments to quickly frame company purchasing situation, but their application is not simple due to the numerous and different factors involved, especially in small and medium enterprises (SMEs), where resource are scarce and several constraints limit operations. The objective of the research is the development of a practical tool for strategic purchasing, simple and robust to be implemented in SMEs, with limited resources and access to quantitative supplier data. Originality/value Evaluation criteria definition is one of the most difficult phases, such as their univocal and quantitative comparison. The problem of selecting and prioritizing both quantitative and qualitative criteria for suppliers classification is overcome with the combined application of Kraljic matrix and AHP. The newly integration of the two methodologies allows the realization of a reliable and robust model for suppliers classification, which can be easily adapted to company business strategy changes.
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GÖNCÜ, AHMET, and ERDINC AKYILDIRIM. "STATISTICAL ARBITRAGE IN THE MULTI-ASSET BLACK–SCHOLES ECONOMY." Annals of Financial Economics 12, no. 01 (March 2017): 1750004. http://dx.doi.org/10.1142/s201049521750004x.
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In this study, we consider the statistical arbitrage definition given in Hogan, S, R Jarrow, M Teo and M Warachka (2004). Testing market efficiency using statistical arbitrage with applications to momentum and value strategies, Journal of Financial Economics, 73, 525–565 and derive the statistical arbitrage condition in the multi-asset Black–Scholes economy building upon the single asset case studied in Göncü, A (2015). Statistical arbitrage in the Black Scholes framework. Quantitative Finance, 15(9), 1489–1499. Statistical arbitrage profits can be generated if there exists at least one asset in the economy that satisfies the statistical arbitrage condition. Therefore, adding a no-statistical arbitrage condition to no-arbitrage pricing models is not realistic if not feasible. However, with an example we show that what excludes statistical arbitrage opportunities in the Black–Scholes economy, and possibly in other complete market models, is the presence of uncertainty or stochasticity in the model parameters. Furthermore, we derive analytical formulas for the expected value and probability of loss of the statistical arbitrage portfolios and compute optimal boundaries to sell the risky assets in the portfolio by maximizing the expected return with a constraint on the probability of loss.
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Budiarto, Mega Teguh, Yusuf Fuad, and Latief Sahidin. "Teacher's Specialized Content Knowledge on the Concept of Square: A Vignette Approach." Jurnal Pendidikan Matematika 15, no. 1 (January 31, 2021): 1–22. http://dx.doi.org/10.22342/jpm.15.1.11653.1-22.
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In learning geometry, the discussion about the definition of quadrilateral is a material that is difficult and not easily taught by the teacher. This study aims to explore the teacher's specialized content knowledge about square. This is a descriptive-qualitative research. The process of selecting subjects begins with searching prospective subject data according to the level of the teacher through a portfolio of 82 teachers in South East of Sulawesi: (33 First Teachers, 33 Young Teachers, and 16 Intermediate Teachers). The research subjects consisted of three teachers, namely: First Teacher, Young Teacher dan Intermediate Teacher with score > 50. Data were taken using vignette. The results show that there is a difference when the teacher is asked to define a square with when given a definition of a square. First Teacher is accurate when given a square definition with the symmetry and diagonal axis attributes; the side attribute is not accurate in giving arguments to the square definition. Young Teacher is inaccurate when given the definition of a square with side and angle attributes; accurate with symmetry and diagonal axis attributes; but it is not accurate when given a square definition. Regarding attributes of side; Intermediate Teacher revealed that the side and angle attributes are inaccurate but accurate with the symmetry and diagonal axis attributes but do not appear / are not used when asked to define a square. Specialized content knowledge First Teacher is better because it has been able to reconstruct concepts from a square, but Young Teacher and Intermediate Teacher are still influenced by concept images and figural concepts.