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Journal articles on the topic 'Dynamic portfolio'

Author: Grafiati

Published: 4 June 2021

Last updated: 1 February 2022

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1

Kortelainen, Samuli, Antero Kutvonen, and Lauri Lättilä. "Technology Portfolio Dynamics." Journal of Innovation Management 1, no. 2 (December 31, 2013): 125–39. http://dx.doi.org/10.24840/2183-0606_001.002_0009.

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Innovations are significant source of competitive advantage for firms. They are also a major source of dynamics that forces firms to adapt their capabilities to sustain competitiveness. In this study we analyzed how firms manage their technological portfolio in mobile phone industry. Our first finding is that firms have focused differently their technology portfolios. Then we identified that most firms change their technology portfolio over time. And finally we conclude that firms in mobile phone industry have different levels of dynamics where some firms change their technology portfolio faster than others. This research identifies new challenges in dynamic capabilities research related to the appropriate level of dynamics in technology management. This information is crucial in practice in order to correctly manage the firm’s dynamic processes.

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Kang, Hyoung-Goo. "Dynamic Asset Allocation under Mispricing, Predictability and Portable Alpha." International Studies Review 11, no. 1 (October 19, 2010): 73–101. http://dx.doi.org/10.1163/2667078x-01101005.

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The existing literature about portfolio management has investigated how to update a portfolio allocation, conditional on the information that possibly predicts asset returns and volatilities. We add several innovations to fill the lacuna of prior research in the contexts of global asset allocation. First, we suggest a simple method of how to rebalance portfolios automatically and dynamically in order to exploit potential market inefficiencies. The existing literature has not developed such a strategy. Out-of-sample tests demonstrate that our strategy dominates both static allocation and dynamic strategies that do not account for possible mispricing. Thus, our strategy can contribute not only to academia, but also to practical portfolio managers who endeavour to beat markets. Second, we elaborate portable alpha strategies using the new dynamic strategy. Once we add an alpha strategies using the new dynamic strategy. Once we add an alpha portfolio to existing portfolios, then they perform better in terms of mean and risk. Thus, it makes our alpha portfolio portable, i.e., we can apply the alpha portfolio to any fund and can enhance its performance. Third, our dynamic strategy implies a convenient method to estimate a conditional mean and covariance matrix as functions of predictive information matrix without consuming much computational risk managers and traders who need to control the risks of large target portfolios on a real time basis.

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3

Mroua, Mourad, and Fathi Abid. "Portfolio revision and optimal diversification strategy choices." International Journal of Managerial Finance 10, no. 4 (August 26, 2014): 537–64. http://dx.doi.org/10.1108/ijmf-07-2012-0085.

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Purpose – Since equity markets have a dynamic nature, the purpose of this paper is to investigate the performance of a revision procedure for domestic and international portfolios, and provides an empirical selection strategy for optimal diversification from an American investor's point of view. This paper considers the impact of estimation errors on the optimization processes in financial portfolios. Design/methodology/approach – This paper introduces the concept of portfolio resampling using Monte Carlo method. Statistical inferences methodology is applied to construct the sample acceptance regions and confidence regions for the resampled portfolios needing revision. Tracking error variance minimization (TEVM) problem is used to define the tracking error efficient frontiers (TEEF) referring to Roll (1992). This paper employs a computation method of the periodical after revision return performance level of the dynamic diversification strategies considering the transaction cost. Findings – The main finding is that the global portfolio diversification benefits exist for the domestic investors, in both the mean-variance and tracking error analysis. Through TEEF, the dynamic analysis indicates that domestic dynamic diversification outperforms international major and emerging diversification strategies. Portfolio revision appears to be of no systematic benefit. Depending on the revision of the weights of the assets in the portfolio and the transaction costs, the revision policy can negatively affect the performance of an investment strategy. Considering the transaction costs of portfolios revision, the results of the return performance computation suggest the dominance of the global and the international emerging markets diversification over all other strategies. Finally, an assessment between the return and the cost of the portfolios revision strategy is necessary. Originality/value – The innovation of this paper is to introduce a new concept of the dynamic portfolio management by considering the transaction costs. This paper investigates the performance of a revision procedure for domestic and international portfolios and provides an empirical selection strategy for optimal diversification. The originality of the idea consists on the application of a new statistical inferences methodology to define portfolios needing revision and the use of the TEVM algorithm to define the tracking error dynamic efficient frontiers.

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Jin, Xisong, and Thorsten Lehnert. "Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas." Dependence Modeling 6, no. 1 (February 7, 2018): 19–46. http://dx.doi.org/10.1515/demo-2018-0002.

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

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5

Fiala, Petr. "New trends in project portfolio management." Trendy v podnikání 10, no. 3 (2021): 4–11. http://dx.doi.org/10.24132/jbt.2020.10.3.4_11.

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The use of project portfolio management is increasingly becoming a tool for promoting the strategy of the organization. Using sophisticated quantitative tools becomes a significant competitive advantage for project portfolio management. Project portfolio management is a dynamic multi-criteria decision-making problem under risk. The paper presents new approaches for analyzing the problem. A dynamic version of the Analytic Network Process (ANP) captures the network, multicriteria and dynamic structure of the problem. Multicriteria decision trees analyze risk of project portfolios. Possible projects are characterized by sets of inputs and outputs, where inputs are resources for project realization and outputs measure multiple criteria of goals of the organization. The Data Envelopment Analysis (DEA) is an appropriate approach to select efficient project portfolios.

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Škrinjarić, Tihana, and Boško Šego. "Dynamic Portfolio Selection on Croatian Financial Markets: MGARCH Approach." Business Systems Research Journal 7, no. 2 (September 1, 2016): 78–90. http://dx.doi.org/10.1515/bsrj-2016-0014.

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Abstract Background: Investors on financial markets are interested in finding trading strategies which could enable them to beat the market. They always look for best possibilities to achieve above-average returns and manage risks successfully. MGARCH methodology (Multivariate Generalized Autoregressive Conditional Heteroskedasticity) makes it possible to model changing risks and return dynamics on financial markets on a daily basis. The results could be used in order to enhance portfolio formation and restructuring over time. Objectives: This study utilizes MGARCH methodology on Croatian financial markets in order to enhance portfolio selection on a daily basis. Methods/Approach: MGARCH methodology is applied to the stock market index CROBEX, the bond market index CROBIS and the kuna/euro exchange rate in order to model the co-movements of returns and risks on a daily basis. The estimation results are then used to form successful portfolios. Results: Results indicate that using MGARCH methodology (the CCC and the DCC model) as guidance when forming and rebalancing a portfolio contributes to less portfolio volatility and greater cumulated returns compared to strategies which do not take this methodology into account. Conclusions: It is advisable to use MGARCH methodology when forming and rebalancing portfolios in terms of portfolio selection.

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7

Grinold, Richard C. "Dynamic Portfolio Analysis." Journal of Portfolio Management 34, no. 1 (October 31, 2007): 12–26. http://dx.doi.org/10.3905/jpm.2007.698029.

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8

Yu, Jiayang, and Kuo-Chu Chang. "Neural Network Predictive Modeling on Dynamic Portfolio Management—A Simulation-Based Portfolio Optimization Approach." Journal of Risk and Financial Management 13, no. 11 (November 17, 2020): 285. http://dx.doi.org/10.3390/jrfm13110285.

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Portfolio optimization and quantitative risk management have been studied extensively since the 1990s and began to attract even more attention after the 2008 financial crisis. This disastrous occurrence propelled portfolio managers to reevaluate and mitigate the risk and return trade-off in building their clients’ portfolios. The advancement of machine-learning algorithms and computing resources helps portfolio managers explore rich information by incorporating macroeconomic conditions into their investment strategies and optimizing their portfolio performance in a timely manner. In this paper, we present a simulation-based approach by fusing a number of macroeconomic factors using Neural Networks (NN) to build an Economic Factor-based Predictive Model (EFPM). Then, we combine it with the Copula-GARCH simulation model and the Mean-Conditional Value at Risk (Mean-CVaR) framework to derive an optimal portfolio comprised of six index funds. Empirical tests on the resulting portfolio are conducted on an out-of-sample dataset utilizing a rolling-horizon approach. Finally, we compare its performance against three benchmark portfolios over a period of almost twelve years (01/2007–11/2019). The results indicate that the proposed EFPM-based asset allocation strategy outperforms the three alternatives on many common metrics, including annualized return, volatility, Sharpe ratio, maximum drawdown, and 99% CVaR.

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Rizzini, Mattia, Chris Fawcett, Mauro Vallati, Alfonso E. Gerevini, and Holger H. Hoos. "Static and Dynamic Portfolio Methods for Optimal Planning: An Empirical Analysis." International Journal on Artificial Intelligence Tools 26, no. 01 (February 2017): 1760006. http://dx.doi.org/10.1142/s0218213017600065.

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Combining the complementary strengths of several algorithms through portfolio approaches has been demonstrated to be effective in solving a wide range of AI problems. Notably, portfolio techniques have been prominently applied to suboptimal (satisficing) AI planning. Here, we consider the construction of sequential planner portfolios for domainindependent optimal planning. Specifically, we introduce four techniques (three of which are dynamic) for per-instance planner schedule generation using problem instance features, and investigate the usefulness of a range of static and dynamic techniques for combining planners. Our extensive empirical analysis demonstrates the benefits of using static and dynamic sequential portfolios for optimal planning, and provides insights on the most suitable conditions for their fruitful exploitation.

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10

Henriques, Irene, and Perry Sadorsky. "Can Bitcoin Replace Gold in an Investment Portfolio?" Journal of Risk and Financial Management 11, no. 3 (August 14, 2018): 48. http://dx.doi.org/10.3390/jrfm11030048.

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Bitcoin is an exciting new financial product that may be useful for inclusion in investment portfolios. This paper investigates the implications of replacing gold in an investment portfolio with bitcoin (“digital gold”). Our approach is to use several different multivariate GARCH models (dynamic conditional correlation (DCC), asymmetric DCC (ADCC), generalized orthogonal GARCH (GO-GARCH)) to estimate minimum variance equity portfolios. Both long and short portfolios are considered. An analysis of the economic value shows that risk-averse investors will be willing to pay a high performance fee to switch from a portfolio with gold to a portfolio with bitcoin. These results are robust to the inclusion of trading costs.

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11

Kim, Tong Suk, and Edward Omberg. "Dynamic Nonmyopic Portfolio Behavior." Review of Financial Studies 9, no. 1 (January 1996): 141–61. http://dx.doi.org/10.1093/rfs/9.1.141.

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12

Bauwens, Luc, Walid Ben Omrane, and Erick Rengifo. "Intradaily dynamic portfolio selection." Computational Statistics & Data Analysis 54, no. 11 (November 2010): 2400–2418. http://dx.doi.org/10.1016/j.csda.2009.05.027.

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13

Cenci, Marisa, Massimiliano Corradini, and Andrea Gheno. "Dynamic Portfolio Selection in a Dual Expected Utility Theory Framework." ASTIN Bulletin 36, no. 02 (November 2006): 505–20. http://dx.doi.org/10.2143/ast.36.2.2017932.

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In this paper the dynamic portfolio selection problem is studied for the first time in a dual utility theory framework. The Wang transform is used as distortion function and well diversified optimal portfolios result both with and without short sales allowed.

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Cenci, Marisa, Massimiliano Corradini, and Andrea Gheno. "Dynamic Portfolio Selection in a Dual Expected Utility Theory Framework." ASTIN Bulletin 36, no. 2 (November 2006): 505–20. http://dx.doi.org/10.1017/s0515036100014616.

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In this paper the dynamic portfolio selection problem is studied for the first time in a dual utility theory framework. The Wang transform is used as distortion function and well diversified optimal portfolios result both with and without short sales allowed.

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15

Robiyanto, Robiyanto, Bayu Adi Nugroho, Andrian Dolfriandra Huruta, Budi Frensidy, and Suyanto Suyanto. "Identifying the Role of Gold on Sustainable Investment in Indonesia: The DCC-GARCH Approach." Economies 9, no. 3 (August 24, 2021): 119. http://dx.doi.org/10.3390/economies9030119.

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This research investigated the performance of a dynamic portfolio that consists of sustainable/ethical stocks and gold. The main purpose of this study is to prove that the inclusion of gold in sustainable/ethical stocks portfolios could produce better performance. Therefore, the method used in this research, DCC-GARCH, was relaxing the basic assumptions in the theory of modern portfolio that is under the assumption of the normality of stock return and securities would have constant correlation. This research used data such as SRI-KEHATI Index (SKI) and Jakarta Islamic Index (JII) in Indonesia as a proxy for sustainable investments. Additionally, this research used gold from 2013 to 2019. This study is able to provide evidence regarding the ability of a dynamic portfolio to minimize the level of portfolio risk. However, this led a lower rate of return. Based on the OLS regression, gold is also proven as a weak safe haven for sustainable investment in Indonesia. Investors who believe in ethical investment may include gold in this time-varying approach when formulating the portfolio to reduce risk significantly. The inclusion of gold in portfolios could produce hedging effectiveness. Overall, this study supports some previous findings regarding the ability of gold as an instrument, which could reduce investment risk if involved in a portfolio.

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Kharytonov, Yurij, and Oksana Savina. "VALUE-ORIENTED ANTI-RISK FUNCTIONAL MODELING OF PORTFOLIO MANAGEMENT PROCESSES FOR SCIENCE-BASED PROJECTS OF ENTERPRISES." Zeszyty Naukowe Wyższej Szkoły Humanitas Zarządzanie 19, no. 4 (December 31, 2018): 79–92. http://dx.doi.org/10.5604/01.3001.0013.1646.

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Effective management of project portfolios at science-based enterprises, which are now challenged by a dynamic turbulent environment, requires a continuous integrating activity. The goal of the latter is to maximize the return on implementation of the entire set of projects, bearing uncertainties and losses in mind. Thus, the article covers latest research in and approaches to project portfolio management. The methods and mechanisms of project portfolio management are analyzed, the weaknesses of project portfolios are detected; major issues and factors influencing their management are identified as well. The functional model of the value-oriented anti-risk science-based project portfolio management using the functional modeling methodology of IDEF0 are constructed. It takes into account the basic value indicators of the projects and portfolios that meet specified requirements, minimizes losses and uncertainties, and provides the maximum integrated value of project portfolios.

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Leung, Tim, and Brian Ward. "The golden target: analyzing the tracking performance of leveraged gold ETFs." Studies in Economics and Finance 32, no. 3 (August 3, 2015): 278–97. http://dx.doi.org/10.1108/sef-01-2015-0009.

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Purpose – The purpose of this study is to understand the tracking errors of leveraged exchange-traded funds (LETFs) on gold and demonstrate improved tracking performance by dynamic portfolios of gold futures. Design/methodology/approach – The author formulates and solves a constrained quadratic minimization problem to construct static replicating portfolios of both leveraged and unleveraged benchmarks in gold; a dynamic constant leveraged portfolio using gold futures is used to track the path of the leveraged gold benchmark. Findings – The results suggest that market-traded LETFs do not track a leveraged position in gold effectively over a long horizon, and the dynamic leveraged futures portfolio achieves lower tracking errors over multiple years. Research limitations/implications – The research informs us that investors should consider alternative portfolios with gold futures, rather than holding a leveraged gold exchange-traded funds to achieve a desired leveraged exposure in spot gold. Originality/value – The main contribution of the study is the use of gold futures to dynamically replicate a gold benchmark with any given leverage ratio and the detailed comparison of the tracking performance of LETFs versus optimal static and dynamic futures portfolios.

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Muzir, Erol, Cevdet Kizil, and Burak Ceylan. "Role of International Trade Competitive Advantage and Corporate Governance Quality in Predicting Equity Returns: Static and Conditional Model Proposals for an Emerging Market." Journal of Risk and Financial Management 14, no. 3 (March 16, 2021): 125. http://dx.doi.org/10.3390/jrfm14030125.

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This paper aims to develop some static and conditional (dynamic) models to predict portfolio returns in the Borsa Istanbul (BIST) that are calibrated to combine the capital asset-pricing model (CAPM) and corporate governance quality. In our conditional model proposals, both the traditional CAPM (beta) coefficient and model constant are allowed to vary on a binary basis with any degradation or improvement in the country’s international trade competitiveness, and meanwhile a new variable is added to the models to represent the portfolio’s sensitivity to excess returns on the governance portfolio (BIST Governance) over the market. Some robust and Bayesian linear models have been derived using the monthly capital gains between December 2009 and December 2019 of four leading index portfolios. A crude measure is then introduced that we think can be used in assessing governance quality of portfolios. This is called governance quality score (GQS). Our robust regression findings suggest both superiority of conditional models assuming varying beta coefficients over static model proposals and significant impact of corporate governance quality on portfolio returns. The Bayesian model proposals, however, exhibited robust findings that favor the static model with fixed beta estimates and were lacking in supporting significance of corporate governance quality.

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Suryani, Cyndi, and Robiyanto Robiyanto. "The Formulation of a Dynamic Portfolio between Gold and Stocks on the Indonesia Stock Exchange during the COVID-19 Pandemic." Jurnal Organisasi dan Manajemen 17, no. 1 (June 2, 2021): 17–31. http://dx.doi.org/10.33830/jom.v17i1.1048.2021.

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COVID-19 pandemic made investor to be careful to choose the portfolio instrument. A portfolio that is formed by the right instrument certainly can minimize risks and maximize the return. This research analyzes the dynamic portfolio formed by gold and leading stocks in COVID-19 period, which is better than the the portfolio formed by stocks alone. The data used is secondary data, which is the LQ-45 index daily closing price data and world gold prices. This research also uses risk free rate data taken from bi.go.id. The analysis technique in this research is DCC-GARCH. Findings. This research concludes that stock portfolios with gold showing a good performance result with variability-based measurement.

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YU, MEI, HIROSHI INOUE, SATORU TAKAHASHI, and JIANMING SHI. "DYNAMIC PORTFOLIO SELECTION WITH UNCERTAINTY." International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems 17, no. 02 (April 2009): 237–50. http://dx.doi.org/10.1142/s0218488509005838.

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How to make a prompt decision for uncertainty investment is always a key problem in financial market. In this paper, we present a new dynamic portfolio selection strategy in stock market. The investor is assumed to seek an investment strategy that will maximize his/her final wealth and minimize the total risk. An analytically optimal strategy in closed form is obtained by solving a dynamic programming problem. Some applications are also presented to illustrate this model.

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Mukherjee, Barsendu. "Dynamic Portfolio Theory and Management." Journal of Alternative Investments 6, no. 3 (December 31, 2003): 91–92. http://dx.doi.org/10.3905/jai.2003.319102.

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22

Zakamulin, Valeriy. "Optimal Dynamic Portfolio Risk Management." Journal of Portfolio Management 43, no. 1 (October 31, 2016): 85–99. http://dx.doi.org/10.3905/jpm.2016.43.1.085.

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MacLean, Leonard C., and William T. Ziemba. "Primer on Dynamic Portfolio Theory." Wilmott 2016, no. 82 (March 2016): 20–26. http://dx.doi.org/10.1002/wilm.10483.

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Lam, Chi Kin, Yuhong Xu, and Guosheng Yin. "Dynamic portfolio choice without cash." Quantitative Finance 19, no. 2 (June 8, 2018): 313–26. http://dx.doi.org/10.1080/14697688.2018.1465580.

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Gârleanu, Nicolae, and Lasse Heje Pedersen. "Dynamic portfolio choice with frictions." Journal of Economic Theory 165 (September 2016): 487–516. http://dx.doi.org/10.1016/j.jet.2016.06.001.

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Harris, Richard D. F., and Murat Mazibas. "Dynamic hedge fund portfolio construction." International Review of Financial Analysis 19, no. 5 (December 2010): 351–57. http://dx.doi.org/10.1016/j.irfa.2010.09.001.

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Артемьев, Дмитрий, Dmitry Artemev, Михаил Пономарев, and Mikhail Ponomarev. "Implementation of the Strategic Capabilities Approach to Keep the Portfolio Value of Industrial Enterprises." Scientific Research and Development. Russian Journal of Project Management 7, no. 1 (April 16, 2018): 10–18. http://dx.doi.org/10.12737/article_5ac5d8069a0389.36638692.

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The article deals with the problem of keeping portfolio value at industrial enterprises in dynamic environment. The features of managing portfolios in that enterprises, related with a significant share of machinery and equipment in fixed capital are considered. Based on foreign publications authors examine the implementation of resource and assets management to keep the portfolio value. Particular attention is paid to the concept of strategic capabilities and its varieties.

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Filipozzi, Fabio, and Kersti Harkmann. "Optimal currency hedge and the carry trade." Review of Accounting and Finance 19, no. 3 (August 24, 2020): 411–27. http://dx.doi.org/10.1108/raf-10-2018-0219.

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Purpose This paper aims to investigate the efficiency of different hedging strategies for an investor holding a portfolio of foreign currency bonds. Design/methodology/approach The simplest strategies of no hedge and fully hedged are compared with the more sophisticated strategies of the ordinary least squares (OLS) approach and the optimal hedge ratios found by the dynamic conditional correlation-generalised autoregressive conditional heteroskedasticity approach. Findings The sophisticated hedging strategies are found to be superior to the simple strategies because they lower the portfolio risk in domestic currency terms and improve the Sharpe ratios for multi-asset portfolios. The analyses also show that both the OLS and dynamic hedging strategies imply holding a limited carry position by being long in high-yielding currencies but short in low-yielding currencies. Originality/value The performance of multi-currency portfolios is examined using more realistic assumptions than in the previous literature, including a weekly frequency and a constraint of no short selling. Furthermore, carry trades are shown to be part of an optimal portfolio.

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LI, ZHONG-FEI, KAI W. NG, KEN SENG TAN, and HAILIANG YANG. "OPTIMAL CONSTANT-REBALANCED PORTFOLIO INVESTMENT STRATEGIES FOR DYNAMIC PORTFOLIO SELECTION." International Journal of Theoretical and Applied Finance 09, no. 06 (September 2006): 951–66. http://dx.doi.org/10.1142/s0219024906003883.

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In this paper we propose a variant of the continuous-time Markowitz mean-variance model by incorporating the Earnings-at-Risk measure in the portfolio optimization problem. Under the Black-Scholes framework, we obtain closed-form expressions for the optimal constant-rebalanced portfolio (CRP) investment strategy. We also derive explicitly the corresponding mean-EaR efficient portfolio frontier, which is a generalization of the Markowitz mean-variance efficient frontier.

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Lotfian Delouyi, Fahime, Seyed Hassan Ghodsypour, and Maryam Ashrafi. "Dynamic Portfolio Selection in Gas Transmission Projects Considering Sustainable Strategic Alignment and Project Interdependencies through Value Analysis." Sustainability 13, no. 10 (May 17, 2021): 5584. http://dx.doi.org/10.3390/su13105584.

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Selecting a sustainable cross-country natural gas pipeline project portfolio plays a vital role in enhancing energy security and national self-reliance. The interdependencies between projects augment the complexity of project portfolio selection. Hence, the selection must be done with sustainable strategic alignment and adjustment of ongoing projects to determine the most suitable project portfolio. This is while they have barely been addressed simultaneously in the literature. The aim of the present study is to fill in the mentioned gap by establishing an integrated framework incorporating the organization strategies, project interdependencies, and ongoing projects in the project portfolio selection problem. This presented framework uses network mapping to visualize project interdependencies and improve the quality of the resulting decision. The decision-aid approach of Measuring Attractiveness by a Categorical Based Evaluation Technique (MACBETH) was employed to tackle multi-criteria value measurement in project portfolio selection. Applicability and validity of the proposed framework were tested using the case study of the Iranian Gas Engineering and Development Company (IGEDC). The pipeline project portfolios were analyzed on the basis of experts’ opinions with regard to technical and sustainability strategic criteria (economic, environmental, and social pillars).

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Воротникова, Ірина Павлівна, and Ольга Германівна Захар. "TEACHERS' READINESS TO USE E-PORTFOLIOS." Information Technologies and Learning Tools 81, no. 1 (February 23, 2021): 327–39. http://dx.doi.org/10.33407/itlt.v81i1.3943.

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An e-portfolio is one of the tools for monitoring and evaluating the professional activity of school teachers and their achievements. An e-portfolio can be used for teachers’ professional development. It provides openness and transparency of both teachers’ and educational institutions’ work. The purpose of the study is to analyze teachers' readiness to use e-portfolios for both self-evaluation of their own professional experience and continuous professional development. The article analyzes various approaches to the structure of e-portfolios based on the analysis of international experience, the legislation of Ukraine and the survey of teachers. The purpose, tasks, requirements of normative documents on the use of e-portfolios are generalized.The multi-level structure of an e-portfolio is defined and the requirements for its dynamic content are substantiated. Teachers' needs for advanced training in using a variety of IT tools for creating e-portfolios have been systematized. It has been determined that the use of e-portfolio can satisfy both the needs of evaluating the effectiveness of teachers’ work and the formation of self-esteem and reflection skills, facilitate teachers’ continuous professional development, dissemination of advanced pedagogical experience and teaching practices. Different types of e-portfolios have been analyzed. IT tools for creating an e-portfolio have been identified. The content of the corresponding educational module for teachers in the system of postgraduate pedagogical education has been substantiated. The content of a portfolio is defined by the goals of its creation. For teachers, the emphasis in e-portfolio creation is not on learning, as it is for students, but on professional activity, self-assessment, and marketing. The results can be teachers' understanding of why and how they have learned throughout their careers, the importance of reflection for future professional development.

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Ngene, Geoffrey, Jennifer Brodmann, and M. Kabir Hassan. "DYNAMIC VOLATILITY AND SHOCK INTERACTIONS BETWEEN OIL AND THE U.S. ECONOMIC SECTORS." Journal of Business Accounting and Finance Perspectives 1, no. 1 (August 26, 2019): 1. http://dx.doi.org/10.26870/jbafp.2018.01.002.

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his study examines (i) the dynamic shocks and volatility interactions between each of the eleven U.S. economic sectors and the oil market; (ii) riskminimizing optimal capital allocations between each sector and oil; and (iii) the hedging effectiveness resulting from the inclusion of oil in each sector portfolio. Using weekly data spanning the period June 1994 through February 2016, we document the following regularities: (i) the conditional correlation between each sector and the oil market is time-varying and slowly decaying; (ii) there is either volatility or shock transmission from oil to each sector but not the reverse; and (iii) investors can minimize and hedge risk by allocating a portion of their wealth to oil commodities and forming a portfolio consisting of sector stocks and oil commodities. however, they will need to overweight their investment in sector stocks. Our findings indicate that oil commodities offer diversification potential to U.S. investors holding sector portfolios such as sector ETFs and mutual funds. Further, the risk parity portfolio weights significantly differ from the capital allocation weights.

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Højbjerg Clarke, Ann, Per Vagn Freytag, and Judith Zolkiewski. "Customer portfolios – challenges of internal and external alignment." IMP Journal 11, no. 1 (March 13, 2017): 109–26. http://dx.doi.org/10.1108/imp-06-2015-0029.

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Purpose The purpose of this paper is to extend the discussion about customer portfolios beyond simple identification of models and how they can be used for balanced resource allocation to a discussion about how portfolios should take into account views from relationship partners and how they should be aligned in internal as well as a relational context. Design/methodology/approach The portfolio literature is reviewed (most recent, seminal, IMP related) and considered in the context of both the sales organization and the customers involved in the portfolio. A conceptual framework is introduced that helps improve the understanding of how customer portfolio models can actually be applied from a relational perspective. Findings The key aspects of the conceptual framework relate to how alignment of the relationships in the portfolio is achieved. Critical to this are the interaction spaces that facilitate communication relating to alignment and provide the context for the legitimacy of these actions to be discussed. Research limitations/implications This framework needs to be empirically explored. Practical implications Understanding of alignment and misalignment processes in customer portfolios gives managers a tool to help to cope with the dynamic aspects of the customer portfolio. Recognition of the importance of communication to the process, the development of trust and the role of legitimacy also provides areas that managers can focus upon in their relationship management processes. Originality/value This conceptualization moves the consideration of relationship/customer portfolios beyond simply that of a resource allocation tool into a process that facilitates the use of the portfolio in relational processes and thus aids their understanding of how portfolios can be usefully applied.

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Inci, A. Can, and Rachel Lagasse. "Cryptocurrencies: applications and investment opportunities." Journal of Capital Markets Studies 3, no. 2 (November 11, 2019): 98–112. http://dx.doi.org/10.1108/jcms-05-2019-0032.

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Purpose This study investigates the role of cryptocurrencies in enhancing the performance of portfolios constructed from traditional asset classes. Using a long sample period covering not only the large value increases but also the dramatic declines during the beginning of 2018, the purpose of this paper is to provide a more complete analysis of the dynamic nature of cryptocurrencies as individual investment opportunities, and as components of optimal portfolios. Design/methodology/approach The mean-variance optimization technique of Merton (1990) is applied to develop the risk and return characteristics of the efficient portfolios, along with the optimal weights of the asset class components in the portfolios. Findings The authors provide evidence that as a single investment, the best cryptocurrency is Ripple, followed by Bitcoin and Litecoin. Furthermore, cryptocurrencies have a useful role in the optimal portfolio construction and in investments, in addition to their original purposes for which they were created. Bitcoin is the best cryptocurrency enhancing the characteristics of the optimal portfolio. Ripple and Litecoin follow in terms of their usefulness in an optimal portfolio as single cryptocurrencies. Including all these cryptocurrencies in a portfolio generates the best (most optimal) results. Contributions of the cryptocurrencies to the optimal portfolio evolve over time. Therefore, the results and conclusions of this study have no guarantee for continuation in an exact manner in the future. However, the increasing popularity and the unique characteristics of cryptocurrencies will assist their future presence in investment portfolios. Originality/value This is one of the first studies that examine the role of popular cryptocurrencies in enhancing a portfolio composed of traditional asset classes. The sample period is the largest that has been used in this strand of the literature, and allows to compare optimal portfolios in early/recent subsamples, and during the pre-/post-cryptocurrency crisis periods.

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Nugroho, Bayu Adi. "Spillovers and bivariate portfolios of gold-backed cryptocurrencies and gold during the COVID-19 outbreak." Journal of Islamic Accounting and Business Research 12, no. 7 (August 11, 2021): 1055–76. http://dx.doi.org/10.1108/jiabr-10-2020-0328.

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Purpose This paper aims to analyze the time-varying connectedness of gold-backed cryptocurrencies and gold. This study determines the volatility spillovers in these two asset classes and the performance of bivariate portfolios based on net pairwise spillovers. Design/methodology/approach This research uses two Islamic and four conventional gold-backed cryptocurrencies and gold as variables. GJR-GARCH method under corrected DCC (cDCC) of Aielli (2013) evaluates the dynamic connectedness. Additionally, the spillovers are created using the dynamic connectedness of Diebold and Yilmaz (2012). A network-based spillover of Diebold and Yılmaz, (2014) is also made. A dynamic optimal weights strategy optimized with DCC-t-Copula determines bivariate portfolios’ performances. In general, there are 21 bivariate portfolios. Findings The outbreak of COVID-19 increases the dynamic connectedness of gold and gold-backed cryptocurrencies, which indicates a contagion effect. The results show that gold is the net volatility receiver during the COVID-19 pandemic. Moreover, a portfolio composed of gold and gold-backed cryptocurrency provides high profitability performance but zero hedge effectiveness under optimal weights strategy. Practical implications According to bivariate portfolios based on net pairwise spillovers, gold-backed cryptocurrencies' investors should not add gold to their portfolio during the pandemic because it is a net receiver of risk from the cryptocurrencies. Originality/value To the best of the author’s knowledge, this is the first paper to create bivariate portfolios composed of gold-backed cryptocurrencies and their underlying asset using DCC-t-Copula.

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de Carvalho, Pablo Jose Campos, Aparna Gupta, and Koushik Kar. "Asset liability management for providers in spectrum markets." International Journal of Financial Engineering 04, no. 04 (December 2017): 1750043. http://dx.doi.org/10.1142/s2424786317500438.

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Service provision with novel features can be made possible in a more dynamic spectrum marketplace. In this marketplace, a service provider will need to create an appropriate spectrum asset portfolio to support the services offered to its customers. Such an asset portfolio should satisfactorily meet all demand characteristics implied by the novel service features. In this paper, we address this question of optimal asset portfolio construction in an asset-liability management framework from the perspective of a mobile service provider. We find that the provider utilizes a mix of primary and secondary contracts, and uses the costlier spot contracts to fulfil the peak-time demand subject to the budget constraints. The framework allows evaluating a variety of service portfolios, with traditional and novel service mix, for their best matched asset portfolios. Niche premium service providers must also use all three contract types.

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Perez Liston, Daniel. "Internet gambling stock returns: empirical evidence from the UK." International Journal of Managerial Finance 13, no. 1 (February 6, 2017): 36–49. http://dx.doi.org/10.1108/ijmf-10-2015-0176.

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Purpose The purpose of this paper is to quantify beta for an online gambling portfolio in the UK and investigates whether it is time-varying. It also examines the dynamic correlations of the online gambling portfolio with both the market and socially responsible portfolios. In addition, this paper documents the effect of important UK gambling legislation on the betas and correlations of the online gambling portfolio. Design/methodology/approach This study uses static and time-varying models (e.g. rolling regressions, multivariate GARCH models) to estimate betas and correlations for a portfolio of UK online gambling stocks. Findings This study finds that beta for the online gambling portfolio is less than 1, indicative of defensiveness toward the market, a result that is consistent with prior literature for sin stocks. In addition, the conditional correlation between the market and online gambling portfolio is small when compared to the correlation of the market and socially responsible portfolios. Findings suggest that the adoption of the Gambling Act 2005 increases the conditional correlation between the market and online gambling portfolio and it also increases the conditional betas for the online gambling portfolio. Research limitations/implications This paper serves as a starting point for future research on online gambling stocks. Going forward, studies can focus on the financial performance or accounting performance of online gambling stocks. Originality/value This empirical investigation provides insight into the risk characteristics of publicly listed online gambling companies in the UK.

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RAZALI, Muhammad Najib. "THE DYNAMIC OF RETURNS AND VOLATILITY OF MALAYSIAN LISTED PROPERTY COMPANIES IN ASIAN PROPERTY MARKET." International Journal of Strategic Property Management 19, no. 1 (April 1, 2015): 66–83. http://dx.doi.org/10.3846/1648715x.2015.1004656.

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This paper examines the dynamics of return and dynamic volatility across the Malaysian and pan-Asian countries’ listed property companies market over the period January 1998 to August 2012. Listed property companies’ portfolios have the potential to offer high returns and low risks for long-term investments for individuals as well as institutional investors. As such, it is important to assess the return and volatility level of the Malaysian listed property companies market in the dynamic region of pan-Asian countries. This paper uses ARCH and GARCH models to empirically examine the dynamic volatility of listed property companies in 12 pan-Asian countries. The findings revealed that for the past 14-years Malaysia experienced moderately high volatility levels in term of investment in listed property companies. This study will contribute significantly to the empirical literature on the volatility dynamics of the Malaysian property market in international real estate portfolios. In particular, the findings from the study will be useful for international investors to better understand the potential portfolio implications of investing in the Malaysian real estate market.

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Yang, Qin, and Marcel C. Minutolo. "The Strategic Approaches for a New Typology of Firm Patent Portfolios." International Journal of Innovation and Technology Management 13, no. 02 (March 27, 2016): 1650012. http://dx.doi.org/10.1142/s0219877016500127.

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Patents play an important role for companies to achieve competitive advantage. There is an increased recognition of the importance of patent portfolios as a key to achieve competitive advantage as opposed to any one patent. Hence, some researchers suggest that the true values of patents lie in the aggregation of some related patents rather than their individual worth. In addition, as firms increase their technological diversification so too do their patent portfolios. On the basis of portfolio theory, we build a typology of four types of patent portfolios characterized on the dimensions of technology coherence and synergistic economic value: black, cloud, star and constellation portfolios. Then, according to the characteristics of each type of portfolio, we propose that different strategic approaches should be applied to manage them to achieve superior performance. Further, we suggest that different types of patent portfolios have different effects on firms’ long-term and short-term performances in dynamic environments. Our paper enriches our understanding of the role that patent portfolios play to achieve superior firm performance by linking the management of firm-level resources to value creation in uncertain environments; and also provides important insights into future trends in the patent portfolios strategy in dynamic environments.

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Pınar, Mustafa Ç. "Static and dynamic VaR constrained portfolios with application to delegated portfolio management." Optimization 62, no. 11 (November 2013): 1419–32. http://dx.doi.org/10.1080/02331934.2013.854785.

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West, Tracey, and Andrew C. Worthington. "Life Events and Portfolio Rebalancing of the Family Home." Journal of Financial Counseling and Planning 29, no. 1 (June 2018): 103–13. http://dx.doi.org/10.1891/1052-3073.29.1.103.

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This article investigates the impacts of financial shocks on the role of the family home in asset portfolios of Australian households using longitudinal data from the Household, Income, and Labour Dynamics in Australia (HILDA) survey. The life events considered are serious illness or injury, death of a spouse, fired or made redundant, and separation from a spouse. We use a static and dynamic Tobit models to assess the impact and duration of the life events on the portfolio share of the family home. The insights gained from this study may be important for financial planners, as adverse wealth outcomes may be hedged through better financial education, insurance products, or general financial preparedness.

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Yao, Yuan. "Optimization of Dynamic Portfolio Insurance Model." Journal of Mathematical Finance 02, no. 02 (2012): 181–88. http://dx.doi.org/10.4236/jmf.2012.22019.

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Hull, John C., and Alan D. White. "Dynamic Models of Portfolio Credit Risk." Journal of Derivatives 15, no. 4 (May 31, 2008): 9–28. http://dx.doi.org/10.3905/jod.2008.707207.

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Cont, Rama, and Yu Hang Kan. "Dynamic Hedging of Portfolio Credit Derivatives." SIAM Journal on Financial Mathematics 2, no. 1 (January 2011): 112–40. http://dx.doi.org/10.1137/090750937.

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Onnela, J. P., A. Chakraborti, K. Kaski, and J. Kertiész. "Dynamic asset trees and portfolio analysis." European Physical Journal B - Condensed Matter 30, no. 3 (December 1, 2002): 285–88. http://dx.doi.org/10.1140/epjb/e2002-00380-9.

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Haugh, Martin, and Chun Wang. "Dynamic Portfolio Execution and Information Relaxations." SIAM Journal on Financial Mathematics 5, no. 1 (January 2014): 316–59. http://dx.doi.org/10.1137/120896761.

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Becker, Franklin. "Integrated portfolio strategies for dynamic organizations." Facilities 18, no. 10/11/12 (October 2000): 411–20. http://dx.doi.org/10.1108/02632770010349646.

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Östermark, Ralf. "Dynamic portfolio management under competing representations." Kybernetes 34, no. 9/10 (October 2005): 1517–50. http://dx.doi.org/10.1108/03684920510614795.

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Han, Yingwei, Ping Li, and Yong Xia. "Dynamic robust portfolio selection with copulas." Finance Research Letters 21 (May 2017): 190–200. http://dx.doi.org/10.1016/j.frl.2016.12.008.

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Browne, Sid. "Risk-Constrained Dynamic Active Portfolio Management." Management Science 46, no. 9 (September 2000): 1188–99. http://dx.doi.org/10.1287/mnsc.46.9.1188.12233.

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