Gotowa bibliografia na temat „Investment profit stochasticity assessment portfolio”

In the article decision management in global currency market FOREX model is presented. The model is based on the adequate for investment profit stochasticity assessment portfolio; earlier suggested by the author; including portfolio and currency exchange rates fluctuations forecasting system; used to evaluate decisions reliability. The possibilities of model practical application are presented. Experimental results of model application enable us to state; that global currency and capital markets are not homogeneous; that is; almost always there are possibilities to find decision management strategy; letting to have advantage over overall market decisions made; using only historical market data.

In the article decision management in a global currency market "FOREX"" model is presented. The model is based on the adequate for investment profit stochasticity assessment portfolio earlier suggested by the author, including portfolio and currency exchange rates fluctuations forecasting system, used to evaluate decisions reliability. The possibilities of model practical application are presented. Experimental results of the model application enable us to state that global currency and capital markets are not homogeneous, that almost always there are possibilities to find a decision management strategy, permitting to have advantage over overall market decisions made, using only historical market data.

The paper deals with the conception of integrated bank assets and liabilities portfolio adequate to stochastic nature of assets profitability and liabilities expenditures. Two interconnected situations are considered. Firstly, the principles of construction of an investment portfolio, adequate to stochastic nature of an investment yield arc considered. Further, the idea of consideration and optimal selection of integrated assets and liabilities portfolio is considered. These problems are solved on the basis of the authors’ idea of investment portfolio adequate for stochastic nature of investment portfolio and the numerical solution of such problems, which is briefly presented.

Except getting coupon as a profit, there is loss probability in bond investment that is credit risks investment. One way to measure the credit risk of a bond is to use the credit metrics method. It uses the ratings of the bond issuer company and the transition rating issued by the rating company for its calculations. Mean Variance Efficient Portfolio (MVEP) can be used to make an optimal portfolio so that risk can be obtained to a minimum. An assessment of portfolio performance is needed to increase confidence to invest. Sharpe index can measure portfolio performance based on return value of bond. In this case, study has been conduct in two bonds which are Obligasi Berkelanjutan I Bank BTN Tahap II Tahun 2013 and Obligasi Berkelanjutan I PLN Tahap I Tahun 2013 Seri B. The optimum portfolio formed results 67,96% proportion for the first bond and 32,04% for the second bond. For the result, and there is Rp239,4235(billion) of portfolio risk formed. And there is 0,212496for Sharpe index performance assessment portfolio. Keywords: Bond, portfolio, credit risk, credit metrics, Mean Variance Efficient Portfolio, Sharpe index

The agro-industrial complex is an important component of the economy. However, this sector is characterized by a complex structure, limited resources and dependence on government actions. For these reasons, portfolio management in the agro-industrial sector requires special attention when developing the investment strategy. In this regard, the study of the strategy and methodology of managing the securities portfolio of the agro-industrial complex is an urgent topic in the context of restructuring of the Russian economy. The main task in managing the securities portfolio is to attract the financial resources of the company for the needs of organizations and to increase their economic activities. Investment portfolio in the market of financial instruments is an independent product, its implementation in full or in part brings profit to the investor when he makes investments of monetary resources on the stock exchange. As a rule, the securities market implements an asset portfolio with established proportions of profitability and risk, the indicators of which may improve or worsen during the management process. As part of structural asset allocation development and risk assessment, the authors set out to explore various approaches to developing mechanisms for managing securities portfolio in the agro-industrial sector in order to maximize profits for the investor. The subject of the study is approaches to managing securities portfolio in the agro-industrial sector, data analysis methods used in conducting the study, as well as possible investment strategies in this sector. The methodological basis of this work is the economic and statistical methods of information processing, as well as mathematical modeling. Based on the data obtained, it is concluded that new data in the field of securities portfolio management in the agro-industrial sector allow investors to make optimal and profitable decisions when choosing investment strategies based on a risk-based approach. As a result, the current state of the agro-industrial complex was studied and the risks of the securities portfolio of the agro-industrial complex of Russia were assessed, recommendations for the formation of a securities portfolio in the agro-industrial sector for the future were developed.

Investment is planting some funds to get profit and the stock is one of the type of investment in fincancial that the most interested for investors. To avoid the risk of investing, investors try to diversify their invesments by using portfolio. Stock portfolio is investment which comprised of various stocks from different companies, with the expect when the price of one stock decreases, while the other increases, then the investments do not suffer losses. Models that can be used to make a portfolio, one of them is Capital Asset Pricing Model (CAPM) and Liquidity Adjusted Capital Asset Pricing Model (LCAPM). CAPM is a model that connects expected return with the risk of an asset under market equilibrium condition. LCAPM is a method of new development of the CAPM model which is influenced by liquidity risk. To analyze whether the formed portfolio have a good performance or not, so portfolio perfomance assessment will be done by using The Sharpe Index. This research uses data from closing prices, transaction volume and volume total of LQ45 Index stock on period March 2016-February 2020 and then data of JCI and interest rate of central bank of the Republic of Indonesia. Based on The Sharpe Index, optimal portfolio is LCAPM model portfolio with 3 stock composition and the proportion investment are 32,39% for LPPF, 49,86% for SRIL and 17,75% for TLKM. Keywords: LQ45 Index, Portfolio, Capital Asset Pricing Model (CAPM), Liquidity Adjusted Capital Asset Pricing Model (LCAPM), The Sharpe Index.

Purpose. The purpose of the article is to substantiate theoretical-and-methodological provisions for building investment portfolios in agribusiness by the criterion of minimizing environmental risk of selected investment-financing strategies.
 Methodology / approach. In the article, on the basis of the dialectical method of cognition, the following methods were used: abstract-logical – in the systematization of scientific papers on the problem of diversification and optimization of the agricultural investment portfolio; system analysis and comparison – in the study of portfolio theories and concepts; computational and constructive – in the analysis of environmental-and-economic factors of the profitability of agricultural land use; economic-and-mathematical modeling – in the process of modeling the optimal portfolio of agri-environmental investments by the criterion of minimizing the risk of a particular investor, caused by the action of soil degradation factor in Sumy region. The materials of the Main Department of Statistics in Sumy region and the Sumy regional branch of the Institute of Soil Protection of Ukraine have formed the informational basis of the research.
 Results. The optimization of the agri-environmental investment portfolio is due to the modification of the approach by the American Economist H. Markowitz “risk-return analysis” and its adaptation to the conditions of real investment. The paper uses a conservative approach to investment, which involves the construction of portfolios on the criterion of minimizing investment risk due to the influence of soil degradation for a particular investor. This factor requires the determination of the investor’s environmentally related risk, which manifests itself in the following directions: a) a decrease in crop yield due to the action of the factor of high soil pH; b) a decrease in the sales price for crop products because of contamination with heavy metals; c) an increase in the cost of agricultural production in deteriorated ecological conditions. Evaluation of agribusiness investment attractiveness on environmental-and-economic grounds provides for the consideration of the above areas from the standpoint of state, banking, foreign investment and self-investment. Assessment of investment quality identification is performed on the basis of calculation of the investor’s income elasticities to environmental risks on the example of Sumy region, which provides investment rationality decisions in the field of agricultural land use, considering environmental factors. It is substantiated that the highest investment quality is characterized by the bank’s investment financing strategy.
 Originality / scientific novelty. The methodological approach to the definition of investor’s environmental risk in agricultural land use is improved. It is calculated considering the influence of factors of environmental destruction of land and soil resources (soil pH, pollution with heavy metals, etc.) on sources of profit, as well as with the definition of returns on investment resources (crop yield, ecological sales price, and income). The system of environmental-and-economic indicators in the formation of the investment portfolio is substantiated, including the following: the structure of investments, which is developed considering the influence of the environmental factor; portfolio investment risk due to environmental factors; and the investment portfolio yield adjusted for the level of environmental risk which provides an assessment of the investment attractiveness of agricultural land use on an environmental-economic basis. A methodical approach to substantiate investment decisions in the agriculture of the Sumy region is proposed, which along with considering the environmental factor, is in calculating the elasticities of investor’s income to the environmental-and-economic risks, which increase the correctness of financial decision-making.
 Practical value / implications. Theoretical-and-methodological provisions and conclusions obtained in the study can be used to justify the direction of investment capital in the field of agricultural land use, considering the level of environmental-and-economic constraints.

THE INVESTMENT PATTERN AND BANKING NEEDS OF THE HOUSING SOCIETIES THE INVESTMENT PATTERN AND BANKING NEEDS OF THE HOUSING SOCIETIES. UNDER THE GUIDANCE OF Prof. Reji john SOB, GALGOTIAS UNIVERSITY SUBMITTED BY Bineet yadav 22GSOB2010640 MBA 2022-2024 SCHOOL OF BUSINESS GALGOTIAS UNIVERSITY ABSTRACT This study delves into the investment patterns and banking requirements of housing societies, examining their financial management practices for sustainability and growth. Through a comprehensive analysis of market dynamics, company performance, risk assessment, valuation methods, investment strategies, and portfolio management, this research aims to provide insights into effective financial decision-making within the housing society sector. • Market Analysis: The market analysis section explores the macroeconomic factors influencing the housing society sector, including demographic trends, urbanization rates, regulatory environment, and economic indicators. It assesses the demand for residential properties, rental yields, and competition among housing societies. Additionally, it examines the impact of market volatility and economic cycles on investment decisions within the sector. • Company Analysis: Company analysis focuses on the financial performance and operational efficiency of housing societies. It evaluates key metrics such as revenue growth, profit margins, asset utilization, and liquidity ratios to assess the financial health of individual housing societies. Furthermore, it examines governance structures, management capabilities, and strategic initiatives undertaken by housing societies to enhance shareholder value and mitigate risks. • Risk Assessment: Risk assessment involves identifying and evaluating various risks inherent in investing in housing societies. These risks may include market

The current research introduces a novel risk metric called credible delta-gamma (theta)-normal Value-at-Risk (CredDGTN VaR) for the purpose of the option risk assessment. CredDGTN VaR represents an extension of the credible Value-at-Risk (CredVaR) framework, whereby risk assessment is conducted through the integration of CredVaR with delta-gamma(theta)-normal VaR. The present study introduces a novel approach that is deemed suitable for evaluating the risk of a portfolio of European call options. The proposed method takes into account the nonlinear interdependence of the market risk factors determining the value of a European call option, according to the Formula of Black-Scholes. The present methodology is employed to assess simulated financial data that portrays the return of multiple assets throughout ten investment periods. The novel approach is additionally employed to assess the level of risk associated with a portfolio comprised of actively traded stock options. According to Kupiec's backtesting, CredDGTN's efficacy in gauging the risk of an option portfolio is noteworthy, as it accurately measures the risk at 80%, 90%, and 95% confidence levels, even in cases where the profit/loss (P/L) exhibits non-normal distribution. Furthermore, the performance of CredDGTN VaR empirically outperforms credible delta-normal VaR (CredDN VaR) and credible delta-gamma-normal VaR (CredDGN VaR) in similar cases. Moreover, CredDN VaR, CredDGN VaR, and CredDGTN VaR will provide equal VaR when delta and gamma are zero.

Abstract The objective of the present study is to investigate systematically the key metrics to evaluate the life extension performance of offshore wind farm operations. Finding the appropriate performance metric for an operation is essential for a durable, reliable, and profitable offshore wind farm operation. The analyzed key performance metrics are gross profit margin, return on asset, compounded annual rate of return of initial investment and levelized cost of energy. The mean value and standard deviation of each performance metric are calculated within a probabilistic techno-economic assessment framework for a single offshore wind asset, which is later extended to evaluate the whole offshore wind farm by a multi-asset portfolio optimization. The Markowitz modern portfolio theory is applied to estimate the maximum risk-adjusted ratio and Sharpe ratio, for the key performance metrics. Subsequently, the key performance metrics are compared to identify the most suitable metrics at different stages of the life extension. Moreover, the present study investigates the effect of different uncertainty levels associated with the stochastic variables in the techno-economic assessment. Finally, the suitability of performance metrics is analyzed and discussed for different offshore wind farm sizes and related recommendations are given.