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Peswani, Shilpa, and Mayank Joshipura. "The volatility effect across size buckets: evidence from the Indian stock market." Investment Management and Financial Innovations 16, no. 3 (August 9, 2019): 62–75. http://dx.doi.org/10.21511/imfi.16(3).2019.07.
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The portfolio of low-volatility stocks earns high risk-adjusted returns over a full market cycle. The annual alpha spread of low versus high-volatility quintile portfolios is 25.53% in the Indian equity market for the period from January 2000 to September 2018. The low-volatility (LV) effect is not an overlap of other established factors such as size, value or momentum. The effect persists across various size buckets (market capitalization). The performance of the low-volatility effect within various size buckets is analyzed using three different portfolio formation methods. Irrespective of the method of portfolio construction, the low-volatility effect exists and it also generates economically and statistically significant risk-adjusted returns. The long-short portfolios across the study deliver exceptionally high and statistically significant returns accompanied by negative beta. The low-volatility effect is not restricted to small or illiquid stocks. The effect delivers the highest risk-adjusted returns for the portfolio consisting of largecap stocks. Though the returns of the portfolio comprising of large-cap LV stocks are lower than the returns of the portfolio comprising of small-cap LV stocks, its Sharpe ratio is higher because of less risky nature of large-cap stocks as compared to small-cap stocks. The LV portfolio majorly comprises of large-cap, growth and winner stocks. But within size buckets, large-cap and mid-cap low LV picks growth and winner stocks, while small-cap LV picks value stocks.
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Pungulescu, Crina. "Using Textual Analysis to Diversify Portfolios." Economics and Finance Letters 9, no. 1 (June 15, 2022): 87–98. http://dx.doi.org/10.18488/29.v9i1.3028.
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Semantic fingerprinting is a leading AI solution that combines recent developments from cognitive neuroscience and psycholinguistics to analyze text with human-level accuracy. As an efficient method of quantifying text, it has already found its application in finance where the semantic fingerprints of company descriptions have been shown to successfully predict stock return correlations of Dow Jones Industrial Average (DJIA) constituents. By extension, it has been suggested that diversified portfolios could be constructed to exploit the fundamental (dis)similarity between companies’ core activities (measured by the semantic overlap of company descriptions). This paper follows the performance of two portfolios made of the same DJIA constituent companies: the “minimum semantic concentration” portfolio (constructed with text-based portfolio weights) and the traditional “minimum variance” portfolio, over a time span of 16 years including two high volatility events: the 2007 − 2009 financial crisis and the COVID pandemic. The results confirm that textual analysis using semantic fingerprinting is consistently successful in predicting stock return correlations and is valuable as a portfolio selection criterion. However, in times of high market volatility the fundamental information given by the companies’ core activities, while still relevant, might carry less weight.
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CHI, Guo-tai, Feng CHI, and Guang-jun ZHAO. "Optimization Model of Incremental Loan Portfolio based on Risks Overlap of Incremental and Existing Portfolio." Systems Engineering - Theory & Practice 29, no. 4 (April 2009): 1–18. http://dx.doi.org/10.1016/s1874-8651(10)60015-4.
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Vlasenko, Lev, Denys Mykhailyk, Halina Bublei, and Viktoriia Ogloblina. "Evaluation Of The Composite Export Similarity Index On The Example Of China." REICE: Revista Electrónica de Investigación en Ciencias Económicas 8, no. 16 (December 27, 2020): 135–49. http://dx.doi.org/10.5377/reice.v8i16.10677.
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The purpose of this article is to enhance the Export Similarity Index to provide more reliable results on whether and to what extent two countries are potential and immediate competitors in the global trade. To achieve this existing methodology was complemented with the set of geographical destinations. This allows the evaluation of the overlap in export portfolios of two or more countries and understanding the possible level of their competition in international trade. To prove the efficiency of this enhanced index China’s export portfolio was compared with 50 largest exporters. Achieved results demonstrate a strong overlap of Chinese trade with Vietnam, Japan, and the Philippines proving the veracity of the introduced methodology.
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De Clercq, Dirk, and Harry J. Sapienza. "When Do Venture Capital Firms Learn from Their Portfolio Companies?" Entrepreneurship Theory and Practice 29, no. 4 (July 2005): 517–35. http://dx.doi.org/10.1111/j.1540-6520.2005.00096.x.
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In this study, we examine when venture capital firms (VCFs) learn from their portfolio companies (PFCs). Relying primarily on learning and behavioral theories, we develop hypotheses regarding the effects of prior experience, knowledge overlap, trust, and PFC performance on learning by VCFs. We use a combination of primary and secondary data from 298 U.S.–based VCFs to test the hypotheses. Interview data are used to illuminate the results and to guide our discussion of implications. Many of our results were surprising. For example, we found that the VCF's overall experience is negatively related to VCF learning, and we found that trust in VCF–PFC dyads is also negatively associated with VCF learning. Whereas we expected to observe a curvilinear relationship between knowledge overlap and learning, we found that lower levels of knowledge overlap were associated with greater learning in a linear fashion. Finally, we found that VCFs perceive greater learning to occur in higher–performing PFCs. We discuss the limitations and implications of our findings and also suggest avenues for future research.
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Aribarg, Anocha, and Neeraj Arora. "Research Note—Interbrand Variant Overlap: Impact on Brand Preference and Portfolio Profit." Marketing Science 27, no. 3 (May 2008): 474–91. http://dx.doi.org/10.1287/mksc.1060.0262.
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Jakl, Jakub. "Impact of Quantitative Easing on Purchased Asset Yields, its Persistency and Overlap." Journal of Central Banking Theory and Practice 6, no. 2 (May 1, 2017): 77–99. http://dx.doi.org/10.1515/jcbtp-2017-0014.
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Abstract The main focus of this paper rests on the event study and SVAR analysis of quantitative easing that was initiated as a reaction to the financial crisis at the turn of 2008/2009 that finally ended in 2014. The Fed was virtually unable to continue with its conventional monetary policy regime in environment of zero-bound threshold, where there is no easy way to decrease main monetary policy rate any further. As a reaction to this limitation, the Fed started to practice quantitative easing and other unconventional measures. Event study examines changes in yields of purchased assets, namely US Treasuries, MBS and agency debt, and on two-day event window of the OIS and yield spreads quantifies imminent impact of QE announcements and relevant chairman speeches. Following VAR model and impulse-response functions, I examine the impact of QE and its persistency on purchased asset and on alternative asset classes in the framework of various transmission channels such as signalling, portfolio-balancing and liquidity channels. In this study I found non-negligible impact of QE on purchased assets in both models through all waves of QE and time persistency patterns in IRFs part. Furthermore, some evidence for portfolio-balancing channel and other related channels was found.
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Hasserjian, Robert P., Rena Buckstein, and Mrinal M. Patnaik. "Navigating Myelodysplastic and Myelodysplastic/Myeloproliferative Overlap Syndromes." American Society of Clinical Oncology Educational Book, no. 41 (March 2021): 328–50. http://dx.doi.org/10.1200/edbk_320113.
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Myelodysplastic syndromes (MDS) and MDS/myeloproliferative neoplasms (MPNs) are clonal diseases that differ in morphologic diagnostic criteria but share some common disease phenotypes that include cytopenias, propensity to acute myeloid leukemia evolution, and a substantially shortened patient survival. MDS/MPNs share many clinical and molecular features with MDS, including frequent mutations involving epigenetic modifier and/or spliceosome genes. Although the current 2016 World Health Organization classification incorporates some genetic features in its diagnostic criteria for MDS and MDS/MPNs, recent accumulation of data has underscored the importance of the mutation profiles on both disease classification and prognosis. Machine-learning algorithms have identified distinct molecular genetic signatures that help refine prognosis and notable associations of these genetic signatures with morphologic and clinical features. Combined geno-clinical models that incorporate mutation data seem to surpass the current prognostic schemes. Future MDS classification and prognostication schema will be based on the portfolio of genetic aberrations and traditional features, such as blast count and clinical factors. Arriving at these systems will require studies on large patient cohorts that incorporate advanced computational analysis. The current treatment algorithm in MDS is based on patient risk as derived from existing prognostic and disease classes. Luspatercept is newly approved for patients with MDS and ring sideroblasts who are transfusion dependent after erythropoietic-stimulating agent failure. Other agents that address red blood cell transfusion dependence in patients with lower-risk MDS and the failure of hypomethylating agents in higher-risk disease are in advanced testing. Finally, a plethora of novel targeted agents and immune checkpoint inhibitors are being evaluated in combination with a hypomethylating agent backbone to augment the depth and duration of response and, we hope, improve overall survival.
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Ali, Md Hakim, Md Akther Uddin, Mohammad Ashraful Ferdous Chowdhury, and Mansur Masih. "Cross-country evidence of Islamic portfolio diversification: are there opportunities in Saudi Arabia?" Managerial Finance 45, no. 1 (January 14, 2019): 36–53. http://dx.doi.org/10.1108/mf-03-2018-0126.
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Purpose On the backdrop of growing importance of Shariah compliant equity markets, the purpose of this paper is to study cross-country portfolio diversification benefits for investors with major trading partners of Saudi Arabia, namely, USA, China, Japan, Germany and India, who have already invested or tend to invest in Saudi Arabian stock market. Design/methodology/approach The authors have investigated time invariant, dynamic correlations at different investments horizons of the investors among Islamic asset classes by applying relevant econometric techniques like multivariate generalized autoregressive conditional heteroscedastic –DCC and continuous wavelet transforms. For robustness, this study also applied maximal overlap discrete wavelet transform. Findings The findings tend to indicate that the Saudi Arabian investors have portfolio diversification benefits with all major trading partners in the short-term investment horizon. Interestingly, Saudi Arabian market has the least portfolio diversification benefits with the Chinese market. However, in the long run, all markets are correlated, yielding minimum portfolio diversification benefits and most importantly Saudi Arabian investors have portfolio diversification benefits with the Indian Islamic equity market in almost all investment horizons. The findings are highly consistent across different econometric technique estimations. Research limitations/implications The authors are only considering five major trading partners of Saudi Arabia. Also, the authors are using S&P and FTSE shari’ah index. Moreover, the time period of the study is constrained by the availability of shari’ah indices. Econometric limitations are also well documented in the literature. Practical implications The results could be beneficial for the investors, portfolio managers, hedge fund managers and institutional investors and also could be useful for the policy makers in their policy-making decisions. Originality/value Only very few studies have looked into the benefits of international portfolio diversification from the perspective of local investors as well as the portfolio diversification benefits with the major trading partners of Saudi Arabia. One of the novelties of the method is to make the stock investors, practitioners and policy makers aware of the portfolio diversification benefits available at different time scales such as 4, 8, 16, 32, 64 and 256 trading days as investment holding periods to unveil the true dynamics of co-movement between those different assets.
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Llewellyn, Nicole, Dorothy R. Carter, Deborah DiazGranados, Clara Pelfrey, Latrice Rollins, and Eric J. Nehl. "Scope, Influence, and Interdisciplinary Collaboration: The Publication Portfolio of the NIH Clinical and Translational Science Awards (CTSA) Program From 2006 Through 2017." Evaluation & the Health Professions 43, no. 3 (March 27, 2019): 169–79. http://dx.doi.org/10.1177/0163278719839435.
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The Clinical and Translational Science Awards (CTSA) program sponsors an array of innovative, collaborative research. This study uses complementary bibliometric approaches to assess the scope, influence, and interdisciplinary collaboration of publications supported by single CTSA hubs and those supported by multiple hubs. Authors identified articles acknowledging CTSA support and assessed the disciplinary scope of research areas represented in that publication portfolio, their citation influence, interdisciplinary overlap among research categories, and characteristics of publications supported by multihub collaborations. Since 2006, CTSA hubs supported 69,436 articles published in 4,927 journals and 189 research areas. The portfolio is well distributed across diverse research areas with above-average citation influence. Most supported publications involved clinical/health sciences, for example, neurology and pediatrics; life sciences, for example, neuroscience and immunology; or a combination of the two. Publications supported by multihub collaborations had distinct content emphasis, stronger citation influence, and greater interdisciplinary overlap. This study characterizes the CTSA consortium’s contributions to clinical and translational science, identifies content areas of strength, and provides evidence for the success of multihub collaborations. These methods lay the foundation for future investigation of the best policies and priorities for fostering translational science and allow hubs to understand their progress benchmarked against the larger consortium.
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Wood, Steve. "Regulatory Constrained Portfolio Restructuring: The US Department Store Industry in the 1990s." Environment and Planning A: Economy and Space 33, no. 7 (July 2001): 1279–304. http://dx.doi.org/10.1068/a33208.
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The US department store industry has undergone a recent round of strategic acquisition-based portfolio restructuring. The author analyses one such acquisition, studying how its geography was restructured in the premerger stage to conform to the Federal Trade Commission's (FTC's) ‘fix-it-first’ policy and to improve the strategic fit of the transaction. He then investigates evidence, and analyses the effects, of a new era of stricter FTC enforcement, where divestiture may no longer be sufficient in cases of horizontal market overlap. Fundamentally, the author considers the nature of ‘real regulation’ in action, as rules partially dictate investment decisions.
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Feng, Xunan, Jin Xu, Ying Wang, and Chunyan Tang. "The competition effect of new entry on mutual fund incumbents in China." China Finance Review International 7, no. 1 (February 20, 2017): 98–113. http://dx.doi.org/10.1108/cfri-04-2016-0020.
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Purpose Using the sample between 2005 and 2011, the purpose of this paper is to investigate the effect of a new fund entry on incumbents using the overlap measure in portfolio holdings. Design/methodology/approach Empirical methodology is used in this study. Findings The authors find that incumbents that have a higher overlap with the entrants underperform subsequently. Based on the characteristic-based approach of Daniel et al. (1997), the authors find that the characteristic selectivity component is negatively correlated with the overlap measure, and thereby the decline in performance is driven by the stock-picking ability. The authors also discuss the unobserved actions of incumbents using the approach proposed by Kacperczyk et al. (2008) and find that incumbent unobserved actions do not benefit mutual fund investors in China. Finally the authors find that investors respond to the supply-side competition between entrants and incumbents quickly. These findings help us understand the mutual fund completion in China. Originality/value The findings in this study can help scholars, industry experts and regulatory authorities to understand the effect of competition in Chinese mutual fund industry.
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Sahabuddin, Mohammad, Md Aminul Islam, Mosab I. Tabash, Md Kausar Alam, Linda Nalini Daniel, and Imad Ibraheem Mostafa. "Dynamic Conditional Correlation and Volatility Spillover between Conventional and Islamic Stock Markets: Evidence from Developed and Emerging Countries." Journal of Risk and Financial Management 16, no. 2 (February 10, 2023): 111. http://dx.doi.org/10.3390/jrfm16020111.
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This study aims to investigate the dynamic conditional correlation and volatility spillover between the conventional and Islamic stock markets in developed and emerging countries in order to develop better portfolio and asset allocation strategies. We used both multivariate GARCH (MGARCH) and multi-scales-based maximal overlap discrete wavelet transform (MODWT) approaches to investigate dynamic conditional correlation and volatility spillover between conventional and Islamic stock markets in developed and emerging countries. The results show that conventional and Islamic markets move together in the long run for a specific time horizon and present time-varying volatility and dynamic conditional correlation, while volatility movement changes due to financial catastrophes and market conditions. Further, the findings point out that Chinese conventional and Islamic stock indexes showed higher volatility, whereas Malaysian conventional and Islamic stock indexes showed comparatively lower volatility during the global financial crisis. This study provides fresh insights and practical implications for risk management, asset allocation, and portfolio diversification strategies that evaluate stock market reactions to the crisis in the international avenues of finance literature.
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SARAL, KUNIKA. "Analyzing the Relationship between Real Estate Investments and Portfolio Diversification." INTERANTIONAL JOURNAL OF SCIENTIFIC RESEARCH IN ENGINEERING AND MANAGEMENT 08, no. 05 (May 5, 2024): 1–5. http://dx.doi.org/10.55041/ijsrem32966.
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Real estate has long been considered an attractive investment option for individuals and institutions seeking to build wealth and diversify their portfolios. Unlike traditional investment vehicles such as stocks and bonds, real estate offers unique characteristics that can potentially enhance returns and mitigate risk. This analysis aims to explore the role of real estate investments in portfolio diversification and assess their potential impact on overall portfolio performance. Portfolio diversification is a fundamental principle in investment management, as it helps to spread risk across different asset classes and mitigate the impact of market fluctuations on a portfolio's overall value. By including assets with low or negative correlations, investors can reduce the volatility of their portfolios and potentially achieve higher risk-adjusted returns. Real estate investments, including direct property ownership, real estate investment trusts (REITs), and other real estate-related securities, have traditionally exhibited low correlations with other asset classes, such as equities and bonds. This low correlation can be attributed to the unique characteristics of real estate, including its tangible nature, the presence of rental income streams, and the potential for capital appreciation. Furthermore, real estate investments can provide a hedge against inflation, as property values and rental rates tend to increase during periods of rising prices. This feature makes real estate an attractive diversification option, particularly for investors seeking to protect their portfolios from the eroding effects of inflation. This analysis will delve into the historical performance of real estate investments, examine their risk and return characteristics, and evaluate their potential contribution to portfolio diversification. By examining empirical data and leveraging portfolio optimization techniques, we aim to provide insights into the optimal allocation of real estate investments within a diversified portfolio.
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Joselyn C. Lotiba-Canuela and Michael Anthony Jay B. Regis. "Development of an Interactive Visual Simulator for the Pipelining Concept." Journal of Science, Engineering and Technology (JSET) 6, no. 1 (December 28, 2018): 169–76. http://dx.doi.org/10.61569/6be43144.
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Pipelining is an optimization technique in which each instruction is divided into sub units overlap with other instructions. Since it is tedious to visualize manually, this study provides a visualization of a five-stage pipeline based on the execution of Instruction Set Architecture (ISA) instruction. A lexical analyzer is used in extracting tokens from the source code and a parser in syntax checking. Instruction dependency and data dependency are also considered during execution with an optional hardware operand forwarding enabled or disabled before program execution. This study implemented in JavaTM has a user friendly interface and was able to simulate the execution of sample code. Thus, expands the portfolio of pipeline simulators through using ISA instruction set.
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Dalton, Russell J. "National/European identities and political alignments." European Union Politics 22, no. 2 (February 16, 2021): 340–50. http://dx.doi.org/10.1177/1465116521992878.
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Reflecting on the articles in this special issue of European Union Politics, this essay first asks whether EU scholarship has sufficiently conceptualized and measured what it means to identify with the European Project and/or the European Community. The evidence in this special issue indicates that many citizens now have attachments to Europe, albeit in uncertain depth. European attachments also exist in combination with or as an alternative to national identities. European/national identities also now overlap with partisan attachments, potentially forming a new basis of political cleavage. The research in this collection demonstrates a rich portfolio of methods to examine this important topic, and yields new evidence of how geographic identities are related to public opinion on issues such as immigration.
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Bongiorno, C., D. Challet, and G. Loeper. "Filtering time-dependent covariance matrices using time-independent eigenvalues." Journal of Statistical Mechanics: Theory and Experiment 2023, no. 2 (February 1, 2023): 023402. http://dx.doi.org/10.1088/1742-5468/acb7ed.
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Abstract We propose a data-driven, model-free, way to reduce the noise of covariance matrices of time-varying systems. If the true covariance matrix is time-invariant, non-linear shrinkage of the eigenvalues is known to yield the optimal estimator for large matrices. Such a method outputs eigenvalues that are highly dependent on the inputs, as common sense suggests. When the covariance matrix is time-dependent, we show that it is generally better to use the set of eigenvalues that encode the average influence of the future on present eigenvalues resulting in a set of time-independent average eigenvalues. This situation is widespread in nature, one example being financial markets, where non-linear shrinkage remains the gold-standard filtering method. Our approach outperforms non-linear shrinkage both for the Frobenius norm distance, which is the typical loss function used for covariance filtering and for financial portfolio variance minimization, which makes our method generically relevant to many problems of multivariate inference. Further analysis of financial data suggests that the expected overlap between past eigenvectors and future ones is systematically overestimated by methods designed for constant covariances matrices. Our method takes a simple empirical average of the eigenvector overlap matrix, which is enough to outperform non-linear shrinkage.
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Sehnem, Simone, Andreia Pandolfi, and Camila Gomes. "Is sustainability a driver of the circular economy?" Social Responsibility Journal 16, no. 3 (May 3, 2019): 329–47. http://dx.doi.org/10.1108/srj-06-2018-0146.
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Purpose This study aims to analyse how Natura's practices of circular economy and sustainability overlap. Design/methodology/approach This study is descriptive and qualitative, based on a thematic content analysis, and it describes and compares the performance of Natura in several dimensions, including economic, environmental, social, human rights, society, product responsibility and stakeholder engagement. A longitudinal study was carried out on the basis of an analysis of all Natura sustainability reports; these reports are available for public consultation and cover the period from 2001 to 2016. Findings The main results show that there is symmetry between sustainability practices and the premises of the circular economy, with the ReSOLVE classification being met in most of the items. Originality/value Innovation is the essential element that facilitated the creation of a portfolio of products that meet consumer demand.
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Zhou, Xintong. "From Theory to Practice: Applying the Markowitz Model in Stock Portfolio Management under ESG." International Journal of Global Economics and Management 2, no. 3 (April 25, 2024): 369–85. http://dx.doi.org/10.62051/ijgem.v2n3.44.
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The study consisted of a month-long simulated stock market operation focusing on the comprehensive analysis of equity portfolio creation and management. Against the backdrop of growing concern for environmental protection, the S&P 500 Net Zero 2050 Climate Transition ESG Index was deemed the appropriate benchmark for the portfolios due to the average level of risk tolerance of customers. The investigation began with an in-depth assessment of macroeconomic and sector conditions, followed by careful selection of securities using both fundamental and technical analysis techniques. The portfolio was then optimized using the Markowitz model and subsequently managed using a variety of strategies, including trading, monitoring, and rebalancing. The subsequent phase of the research involves a rigorous evaluation of performance utilizing various metrics including single-period returns and the Sharpe ratio. The study culminates in a reflective analysis of the overall investment project. Despite the portfolio's underperformance against the benchmark, the project provides invaluable insights into the intricacies of stock market investment and portfolio management, accentuating the impact of market volatility and the significance of strategic asset allocation.
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CONLON, T., H. J. RUSKIN, and M. CRANE. "MULTISCALED CROSS-CORRELATION DYNAMICS IN FINANCIAL TIME-SERIES." Advances in Complex Systems 12, no. 04n05 (August 2009): 439–54. http://dx.doi.org/10.1142/s0219525909002325.
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The cross-correlation matrix between equities comprises multiple interactions between traders with varying strategies and time horizons. In this paper, we use the Maximum Overlap Discrete Wavelet Transform to calculate correlation matrices over different time–scales and then explore the eigenvalue spectrum over sliding time-windows. The dynamics of the eigenvalue spectrum at different times and scales provides insight into the interactions between the numerous constituents involved. Eigenvalue dynamics are examined for both medium, and high-frequency equity returns, with the associated correlation structure shown to be dependent on both time and scale. Additionally, the Epps effect is established using this multivariate method and analyzed at longer scales than previously studied. A partition of the eigenvalue time-series demonstrates, at very short scales, the emergence of negative returns when the largest eigenvalue is greatest. Finally, a portfolio optimization shows the importance of time–scale information in the context of risk management.
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Tsuji, Chikashi. "Corporate Investment and Portfolio Returns in Japan: A Markov Switching Approach." Journal of Management and Strategy 9, no. 2 (March 7, 2018): 1. http://dx.doi.org/10.5430/jms.v9n2p1.
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This paper explores the profitability of four Japanese higher return equity portfolios and their linkages between corporate investment factor return, the so-called conservative-minus-aggressive (CMA), suggested by Fama and French (2015). Our empirical examinations derive the following evidence. First, in the four Japanese equity portfolios, the smallest and the highest operating profitability portfolio presents the highest return. Second, the smallest and the highest book-to-market (B/M) portfolio, the smallest and moderate investment portfolio, and the smallest and the second strongest momentum portfolio also record higher excess returns than the overall equity market in Japan. Moreover, our analyses via two-regime Markov switching models evidence that for all the four Japanese equity portfolios, there are clearly two regimes: one is positively related to CMA and the other is little or negatively related to CMA. Furthermore, our analyses also reveal that recently, all the four Japanese equity portfolios yield higher returns than CMA with showing weaker linkages between CMA.
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Suryawati, Baiq Nurul, Laila Wardani, Muttaqillah Muttaqillah, and Iwan Kusmayadi. "OPTIMIZING PORTFOLIO RETURN WITH NAÏVE DIVERSIFICATION-BASED MODELLING." JMM UNRAM - MASTER OF MANAGEMENT JOURNAL 10, no. 1 (March 23, 2021): 15. http://dx.doi.org/10.29303/jmm.v10i1.646.
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This study aims at applying naïve diversification-based modeling in formation of optimal portfolios and to test the superiority of these portfolios against its sectoral indexes. The population of this study are all companies listed on the Indonesia Stock Exchange which are grouped into 10 sectors, namely: Agriculture; Basic Industry; Consumer; Finance; Infrastructure; Manufacture; Mining; Miscelanous Industry; Property; and Trade. The sample of this company is Top 10 Constituents in each company sector listed in the fact sheet per sector, published by the Indonesia Stock Exchange. The analytical tools used were paired sample statistics, paired sample correlations and significance tests. The results shows that portfolio formed with naïve diversification modeling shows its superiority compared to its sectoral portfolio. The correlation test shows moderate significance relationship between returns and standard deviation of sectoral portfolios with naïve diversification-based portfolios, while beta shows no meaningful relationship between sectoral portfolios and portfolios with naïve diversification modeling. Discrimination tests show the significance of returns and standard deviations between sectoral and naïve diversification modeling-based portfolios. While in line with the correlation test, there is no significant difference between the beta of the two portfolios, so it appears that the volatility of the two portfolios cannot be separated from overall market movement. For bearish market conditions, the level of portfolio loss using naïve diversification modeling is lower than sector-based portfolios in the Indonesia Stock Exchange.Keywords:investment, sector indexes, simplified, portfolio modelling
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Loncan, Tiago Rodrigues, and João Frois Caldeira. "Foreign portfolio capital flows and stock returns: a study of Brazilian listed firms." Estudos Econômicos (São Paulo) 45, no. 4 (December 2015): 859–95. http://dx.doi.org/10.1590/0101-416145456tlj.
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Abstract This study analyzed the effect of foreign portfolio capital flows on stock returns of Brazilian listed firms through a 6-factors APT model, in which an additional risk factor for foreign portfolio capital flows was included. First, an aggregate analysis was conducted. The partial effect of foreign portfolio capital flows on the IBOVESPA index’s returns was statistically significant and positive. Next, a disaggregate analysis was also implemented, in which portfolios of stocks were sorted by sector of economic activity, level of risk and level of corporate governance. Foreign portfolio capitals caused increases in returns especially for sectors related to commodities, industry and cyclical consumption. For the portfolios sorted by risk (in which the stocks’ betas were used as a risk parameter for sorting), foreign capitals increased the returns of mid-high and high beta portfolios, but decreased the returns of low and low-mid beta portfolios. For corporate governance portfolios, the firms listed on the Novo Mercado segment (according to BMF&Bovespa criteria) experienced a statistically significant revaluation effect. Overall, the results of the study provide support to the revaluation effect hypothesis.
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Basudev, Neel. "Dealing with complexity in type 2 diabetes." InnovAiT: Education and inspiration for general practice 12, no. 6 (April 2, 2019): 315–22. http://dx.doi.org/10.1177/1755738019835273.
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The management of people with type 2 diabetes (or type 2 diabetes mellitus) can be complex and sits largely within the portfolio of primary care. Unfortunately, despite an ever-increasing therapeutic armoury, many people with type 2 diabetes fail to achieve optimal control of their blood glucose and other metabolic indices, putting them at higher risk of diabetes-related complications. The situation has sadly changed little over recent years. People with type 2 diabetes often have other long-term health concerns that need to be recognised and addressed alongside more traditional parameters such as blood glucose and blood pressure. In this article, we will consider the recognition and management of two of the more common conditions that co-exist in people with type 2 diabetes: Diabetes distress and renal disease. Although there is undoubtedly some overlap with type 1 diabetes, the discussion in this article solely relates to the management of type 2 diabetes.
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Almeida, Joana, and Raquel M. Gaspar. "Portfolio Performance of European Target Prices." Journal of Risk and Financial Management 16, no. 8 (July 25, 2023): 347. http://dx.doi.org/10.3390/jrfm16080347.
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This paper examines the performance of actively managed portfolios constructed using target price recommendations provided by analysts. We propose two methods for constructing portfolios based on Bloomberg’s 12-month target price consensus, which serves as a signal to buy or sell assets. Using a sample of 50 European stocks over a 19-year period (from 1 April 2004 to 31 March 2023), we compare the performance of target-price-based portfolios to traditional alternatives, such as a naïve homogeneous portfolio and the Eurostoxx 50 index, as well as to passive portfolios based on average recommendations. We also look into the mean-variance efficiency of these portfolios and find that all exhibit similar levels of efficiency, which are well below the performance of the theoretical tangent portfolios. Our results indicate that target-price-based portfolios show performance very close to that of the naïve homogeneous portfolio. Even the passive “average” target price portfolios, which require previous knowledge of targets for the entire investment period, are unable to outperform the naïve portfolio. Our main findings are based on a 15-year investment horizon but are robust when considering smaller maturities and out-of-sample data. We also investigate the impact of rebalancing on portfolio performance and find that it does pay off in the long run (over an 8-year investment period), but the frequency of rebalancing matters. Rebalancing only once a year is as detrimental to performance as not rebalancing at all. However, it is unclear whether the transaction costs associated with frequent rebalancing would offset any relative outperformance. Overall, our study contributes to the literature on portfolio management and market efficiency by demonstrating the potential benefits and limitations of using target price recommendations to construct portfolios, highlighting the importance of carefully considering rebalancing strategies to achieve optimal performance.
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Tsuji, Chikashi. "Volatility Regime and Equity Portfolio Return: Evidence from Europe." Applied Economics and Finance 5, no. 3 (March 3, 2018): 1. http://dx.doi.org/10.11114/aef.v5i3.3071.
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This paper examines four European equity portfolios sorted by size, book-to-market (B/M) ratios, operating profitability, investment, and momentum by using Markov switching models with high and low volatility regimes. Our empirical analyses derive the following interesting findings. First, in four European equity portfolios, the smallest and the strongest momentum portfolio yields the highest return. In addition, the second smallest and the highest B/M portfolio, the second smallest and the highest operating profitability portfolio, and the second smallest and the second lowest investment portfolio also yield higher returns than the overall equity market in Europe. Further, our analyses using Markov switching models also reveal that for all the four European equity portfolios, the higher returns are obtained not in high volatility regimes but in low volatility regimes, and this evidence is against the assumption of risk-return trade off advocated in standard finance theory. Finally, our Markov switching analyses also suggest that for all the four European portfolios, staying probabilities in the same regimes are high and switching probabilities between two different regimes are generally low. In particular, staying probabilities in low volatility regimes are rather high, thus, all the four European equity portfolios yield high returns very stably by staying high return regimes.
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Swales, Jr., George, Michael Swales, and Edward Chang. "IPO Portfolio: An Alternative Approach to Higher Returns?" Journal of Finance Issues 6, no. 1 (June 30, 2008): 207–14. http://dx.doi.org/10.58886/jfi.v6i1.2418.
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Investors in today's financial markets continue to look for ways to enhance portfolio returns. Unfortunately, investments that offer the potential for higher gains may also include increased volatility, which can diminish some investor's desirability to hold these types of securities. Many portfolio managers, seeking to increase the return on their portfolios, will selectively choose riskier securities and practice risk reduction through diversification. Initial public offerings (IPOs) may offer the investor an investment alternative to use in an effort to enhance portfolios returns. lPO research, however, shows IPO returns can be quite volatile. Combining IPOs into a single. separate portfolio may reduce overall risk, while minimizing the potential of jeopardizing the investor's total holdings. Several research questions arise. Could a portfolio of IPQ equity securities produce a rate of return comparable to a widely held index, such as the S&P 5OO? Specifically, can a diversificd portfolio of IPO stocks out-perform the S&P 500 over short-term and longer-term time periods? If so, how risky would such an IPO portfolio be, compared to the widely-followed S&P 500 index? Finally, would combining an IPO portfolio with the S&P 500 portfolio result in overall risk reduction? This research seeks answers to these questions.
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Mats, Vladyslav. "Hedge performance of different asset classes in varying economic conditions." Radioelectronic and Computer Systems 2024, no. 1 (February 28, 2024): 217–34. http://dx.doi.org/10.32620/reks.2024.1.17.
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In the realm of long-term investment, strategic portfolio allocation is an essential tool, especially in relation to risk management and return optimisation. There are many ways to pursue optimal portfolio composition, and their effectiveness depends on many factors, including the investor’s goals, risk appetite, and investment horizon. One of the primary means of portfolio optimisation is diversification. The core idea of diversification is to maintain a diverse portfolio with weakly correlated assets that can vastly reduce portfolio exposure to different market stress factors. Diversification is a fundamental strategy in investment and portfolio management that is essential for mitigating risk and enhancing potential returns over the long term. By spreading investments across various asset classes, sectors, geographies, and investment styles, diversification helps reduce the volatility of the overall portfolio. The main subject of this study is the theoretical basis of portfolio diversification and the analysis of historical data to derive optimal strategies for using uncorrelated assets to improve portfolio performance. This paper examines the correlation dynamics between different asset classes, such as stocks, bonds, and alternative investments, and their response to changes in inflation, interest rates, and market volatility, and tests it with historical data to deduce the optimal strategies for using uncorrelated assets to improve portfolio performance. The findings of this study prove the variable relationship between asset classes under specific economic conditions. This study uses historical data to show how different asset classes can be optimally leveraged or adjusted to mitigate risks and capitalise on opportunities presented by shifting economic indicators. This reveals that the hedging benefits of equities, bonds, and gold depend greatly on interest rates, market volatility, and inflation. It also provides guidelines for investors on optimal portfolio allocation and risk management. In conclusion, dynamic portfolio management is an essential tool for reducing the portfolio’s overall volatility while maximising returns. The diversification performance of different financial asset classes depends on major economic indicators such as inflation, interest rates, and market volatility. Investors seeking to optimise their portfolios in anticipation of or in response to economic changes, aiming to maximise returns while controlling for risk, can leverage these results.
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Sahu, Sonal, José Hugo Ochoa Vázquez, Alejandro Fonseca Ramírez, and Jong-Min Kim. "Analyzing Portfolio Optimization in Cryptocurrency Markets: A Comparative Study of Short-Term Investment Strategies Using Hourly Data Approach." Journal of Risk and Financial Management 17, no. 3 (March 20, 2024): 125. http://dx.doi.org/10.3390/jrfm17030125.
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This paper investigates portfolio optimization methodologies and short-term investment strategies in the context of the cryptocurrency market, focusing on ten major cryptocurrencies from June 2020 to March 2024. Using hourly data, we apply the Kurtosis Minimization methodology, along with other optimization strategies, to construct and assess portfolios across various rebalancing frequencies. Our empirical analysis reveals significant volatility, skewness, and kurtosis in cryptocurrencies, highlighting the need for sophisticated portfolio management techniques. We discover that the Kurtosis Minimization methodology consistently outperforms other optimization strategies, especially in shorter-term investment horizons, delivering optimal returns to investors. Additionally, our findings emphasize the importance of dynamic portfolio management, stressing the necessity of regular rebalancing in the volatile cryptocurrency market. Overall, this study offers valuable insights into optimizing cryptocurrency portfolios, providing practical guidance for investors and portfolio managers navigating this rapidly evolving market landscape.
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Kovaleski, Fanny, Claudia Tania Picinin, and João Luiz Kovaleski. "The Challenges of Technology Transfer in the Industry 4.0 Era Regarding Anthropotechnological Aspects: A Systematic Review." SAGE Open 12, no. 3 (July 2022): 215824402211111. http://dx.doi.org/10.1177/21582440221111104.
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The fast pace of advances within the Industry 4.0 era has had a direct impact on the process of technology transfer, as well as brought forth new and hitherto unknown challenges. This study pursues the goal to delineate the challenges and/or limitations of the I4’s process of technology transfer in terms of anthropotechnological aspects. For this purpose, the combination of two methodologies, PRISMA and Methodi Ordinatio, was carried out. The final portfolio analysis was divided into quantitative and qualitative sections. As a result, the current and recurring challenges of this interaction were reported in an overlap. Moreover, it was demonstrated that most studies have been focusing their attention on what involves a more holistic issue of the whole scenario, be they in the organizational, educational, cultural, governmental, security, human capital, technologies, innovations, or sustainable development issues. Finally, this research can serve as a starting point for further researches, as well as contribute to the understanding of industries during the implementation of the Industry 4.0 and their challenges regarding processes of technology transfer.
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Abdulhadi Abduljawad, Samah. "Teachers to Learners: Portfolio, please! New Techniques of Portfolio Assessment in ESL Classrooms." International Journal of Learning, Teaching and Educational Research 23, no. 4 (April 30, 2024): 34–51. http://dx.doi.org/10.26803/ijlter.23.4.3.
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Portfolio assessment is considered to be one of the more advanced approaches to enhancing the proficiency of English among second language (ESL) students. The research examines how ESL learners' writing processes involved in portfolio creation influence their overall writing performance, specifically focusing on electronic portfolios (EPs) and paper-based portfolios (PPs). The research also identifies the challenges that Saudi ESL learners face when using the writing portfolio. A mixed-method approach was adopted for the research. The quantitative method consists of ESL tests distributed among one hundred and twenty male ESL learners at Yanbu Industrial College in Saudi Arabia to determine the effect of various writing portfolios on students’ writing performance. A qualitative method, which consists of classroom observations, document analysis, and interviews with twelve ESL students and seven ESL teachers from different universities in Saudi Arabia, has also been utilized. The research highlights the fact that although there is no significant difference between paper-based (PPs) portfolios and electronic portfolios (EPs) in developing students' performance in writing, specific pedagogical approaches should be implemented in assessing the writing portfolios, such as the students’ reflections and their peers' assessments, to raise their awareness of language structures. ESL teachers should also adopt a correction method that only highlights common mistakes to help students notice their errors and avoid charging them with negative feelings of excessive corrections. The research’s outcome could raise ESL teachers’ awareness of the best pedagogical methods of evaluating the writing portfolio and provide some strategies to help students develop their writing performance.
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Zehir, Emre, and Aslı Aybars. "Is there any effect of ESG scores on portfolio performance? Evidence from Europe and Turkey." Journal of Capital Markets Studies 4, no. 2 (November 5, 2020): 129–43. http://dx.doi.org/10.1108/jcms-09-2020-0034.
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PurposeThe purpose of this paper is to examine the performance of portfolios that are constructed based on environmental, social and governance (ESG) scores and consist of stocks located in Europe and Turkey.Design/methodology/approachIn order to form the portfolios, firstly all stocks are ranked in a descending way based on ESG-based (ESG, environmental, social and governance) scores, separately. Then, 10% of stocks with the highest scores are included in the “Top” portfolio and 10% of stocks with the lowest scores are included in “Bottom” portfolio and totally performance of eight portfolios are investigated. Finally, capital asset pricing model (CAPM) and Fama-French three-factor model are employed as performance measurement benchmarks.FindingsResults obtained from CAPM regression show that using ESG-based scores two portfolios underperform the market index. The results of the three-factor model provide that performances of Bottom ESG and Bottom GOV portfolios outperform the market excess return by 0.57% and 0.53%. The overall findings of this paper indicate that there is no relationship between socially responsible investment (SRI) and portfolio performance. These findings are in line with the efficient market hypothesis which indicates all information is reflected in prices.Originality/valueThe aim of the study is to provide insight on the question of “whether SRI has any effect on the portfolio performance”. As far as the literature review is concerned it is seen that this study provide additional insight by utilizing a longer time span together with data from numerous markets.
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Zhu, Junyan. "Influence of the Epidemic on the Three-Factor Model's Applicability in the Chinese Stock Market." BCP Business & Management 40 (March 8, 2023): 184–90. http://dx.doi.org/10.54691/bcpbm.v40i.4379.
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The Fama-French three-factor model is regressed in this study, which examines all A-share equities for 60 consecutive months between 2017 and 2022. The portfolio is built using the average investment in the Shanghai Exchange and Shenzhen Exchange. The data for the article was downloaded from the RESSET database and contains the the market capitalization, book-to-market values, and the portfolio's return less the risk-free rate of return, weighted by market capitalization for all A-share portfolios. According to the empirical findings, there was little overall change in the coefficients of the three factors-MKT, SMB, and HML. Each portfolio's market risk indicators point to a comparable degree of market risk. The stock market can be explained and predicted well using the three-factor model. Based on the regression results, the epidemic did not have a significant impact on the overall structure of the three-factor model. This indicates that the Chinese stock market is relatively stable in the short term and more resilient to unexpected events. It also shows that A-share market can be predicted by the three-factor model.
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Sandu, Diana-Mihaela. "Is There Any Effect of ESG Scores on Portfolio Performance in South Africa?" Proceedings of the International Conference on Business Excellence 17, no. 1 (July 1, 2023): 1807–17. http://dx.doi.org/10.2478/picbe-2023-0160.
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Abstract This study compares the performance of five portfolios built according to the level of integration of environmental, social and governance values in the case of South Africa, over the period of four years from 2 January 2019 to 29 December 2022. The portfolios were built according to (1) the two dimensions of ESG ratings (responsible and irresponsible) and (2) the two levels of ESG implication (partially and significantly), and there is also a portfolio for non-engaged companies (no-reporting). Many recent studies comparing ESG and non-ESG portfolio performance have reported contradictory results so that this debate remains inconclusive. The main question I explore is whether portfolios integrating ESG values really matter in the case of a developing country with many economic and social challenges, as in the case of South Africa. For the purpose of the study, I have used four risk-adjusted measures (Sharpe ratio, Treynor ratio, Modigliani-Squared and Jensen’s alpha) for the performance evaluation. This study found an adverse effect of ESG on portfolio performance. Overall, the ESG Irresponsible portfolios achieved a better performance as compared to its counterparts. The study findings contribute to and enrich the academic literature by comparing the performance of five ESG portfolios in the South African context.
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Nayebpur, Hamid, and Mohsen Nazem Bokaei. "Portfolio selection with fuzzy synthetic evaluation and genetic algorithm." Engineering Computations 34, no. 7 (October 2, 2017): 2422–34. http://dx.doi.org/10.1108/ec-03-2017-0084.
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Purpose The purpose of this paper is to present a new technique to portfolio selection using a genetic algorithm (GA) and fuzzy synthetic evaluation (FSE). Portfolio selection is a multi-objective/criteria decision-making problem in financial management. Design/methodology/approach The proposed approach solves the problem in two stages. In the first stage, by using a GA and FSE, the weight of criteria will be calculated. Euclidean distance between the computed overall performance evaluation and the surveyed overall performance evaluation is used to determine the weight of criteria. In the second stage, by using a GA and FSE, portfolios will be prioritized. A multi-objective GA is used to determine return and risk in the efficient frontier. A decision making approach is based on FSE to select the best portfolio from among the solutions obtained by a multi objective GA. Findings The main advantage of the proposed approach is to help an investor to find a portfolio which has best performance, and portfolio selection does not rely on expert knowledge. Originality/value The value of the paper is in it using a new approach to determine the weight of criteria and portfolio selection. It surveys firms’ performance in the stock market, based on which the weight of criteria will be determined and portfolios will be prioritized.
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Wang, Shouyu. "Different Models and Their Influences on Portfolio." BCP Business & Management 38 (March 2, 2023): 2577–87. http://dx.doi.org/10.54691/bcpbm.v38i.4141.
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In the modern era, people’s lives and economic activities become increasingly related. People use financial models to make their financial decisions for investing. With these financial models, investors can analyze the portfolio, find the optimal weights of each stock to maximize return and minimize risks, and ultimately make wise decisions. Markowitz Model put forward in 1952 by Harry Markowitz and Index Model developed by William Sharpe in 1963 are two important modelling methods in the field of portfolio management. In this paper, ten stocks from four different industries are used to build a portfolio with low overall risk. After that, Markowitz Model and Index Model are compared and contrasted through constructing minimum variance portfolios and maximum Sharpe portfolios. In addition, the analysis is applied on three different constraints might be provided by the clients. During the process, the data analysis and model construction are through Microsoft Excel. When constructing the Minimum Variance Portfolio, the Markowitz Model has larger return, standard deviation and Sharpe, but when constructing the Maximum Sharpe Portfolio, the Index Model has larger return, standard deviation and Sharpe.
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Ghazlane, Imane, Khalid Marnoufi, Jabran Daaif, and Bouzekri Touri. "The Relationship between Critical Thinking Skills, Portfolio Models and Academic Achievement of Moroccan Midwifery Students." Journal of Educational and Social Research 12, no. 5 (September 2, 2022): 20. http://dx.doi.org/10.36941/jesr-2022-0119.
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The present study investigates the relationship between critical thinking skills and portfolio models and academic achievement among midwifery students. Design: A mixed method was followed for this study. A cross-sectional study was used for reporting the results of the California critical thinking skills test (CCTST). In addition, a focus group while following the COREQ guideline to establish the categorization of portfolios. Method: the research sample consisted of 41 students, 48.78 % were registered in the third semester, and 51.21% were in the sixth semester. The CCTST was used to measure critical thinking skills (CTS). A focus group of six teachers was used to develop a classification of portfolio models. The data was analyzed using Chi-Square, and ANOVA. Results: The CCTST and all subscales are highly reliable. Age and educational level were significant variables for the portfolio models, and (CTS). Relationships were also found between the midwifery student’s portfolios models and their CCTST overall scores. Moreover, the students with the highest scores in (CTS) had portfolio Toast Rack design. Conclusion: CCTST showed good validity and reliability for Moroccan midwifery students, and can be used to inform on portfolios design. Validation with large and diverse samples is recommended. It is suggested that instructors consider the dominant portfolio design of each level and use appropriate teaching methods.
Received: 21 June 2022 / Accepted: 16 August 2022 / Published: 2 September 2022
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Денисова, Дарья, and Dar'ya Denisova. "Research of IT Projects Portfolio Management Models in Cosmetics Retailer." Scientific Research and Development. Russian Journal of Project Management 7, no. 4 (July 4, 2019): 11–22. http://dx.doi.org/10.12737/article_5d1c5d6e9413b4.18825244.
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Nowadays there is a large number of studies in the literature devoted to the analysis and classification of approaches to the formation of IT project portfolios. However, the unexamined question remains concerning the effectiveness of IT project portfolios management in the retail sector. Objective: exploration of the existing IT project portfolios management models in the cosmetics retailer, and formulation of recommendations for their improvement, which will help to resolve resource conflicts, to take into account the seasonality in the formation of the portfolios and will increase the overall competitiveness of the company. Object of research: cosmetics retailer. Subject of research: the processes of IT project portfolios management in cosmetics retailer (in particular, the processes of portfolio formation, resource management and quality of project products, as well as success factors of IT-projects).
Research methodology:
1) analysis of the literature;
2) questionnaire;
3) informal interviews with project and portfolio managers;
4) classification and systematization of the information received;
5) analysis of project documentation.
Main results of the study.
1. Identification and classification of IT project portfolios management models in the company, formed independently – flexible model and rigid model.
2. Identification and classification of the factors affecting the quality of it project products in the portfolios. 3. Confirmed the influence of the seasonality factor on the success of projects in the portfolios; the economic efficiency of taking into account the seasonality factor at the stage of formation of the project portfolio is calculated. 4. Recommendations on overcoming of the identified problems in the IT project portfolios management are formulated.
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Piao, Jinze. "Portfolio Optimization Based on Deep Learning and Factor Constraints." Advances in Economics, Management and Political Sciences 48, no. 1 (December 1, 2023): 264–73. http://dx.doi.org/10.54254/2754-1169/48/20230454.
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Portfolio construction can help investors achieve a balance between risks and returns, and rationally allocate funds to maximize returns. This paper combines four deep learning models LSTM, GRU, CRNN, TCN with investment portfolio strategies Mean-Variance, Mean-CVaR, selects stock data from different industries in the US stock market to construct portfolios, and these strategies are tested in both bull and bear market environment. Comparative analysis of cumulative returns reveals that in the bull market, the cumulative return of TCN+MV and GRU+MV is the highest. In the bear market, the cumulative returns of portfolios using the four deep learning algorithms combined with MV are similar and overall outperform those combined with MC. Furthermore, based on the deep learning algorithm and MV model, this paper selects multiple factors for scoring, and uses factor scores as constraints to the process of portfolio optimization, and the cumulative return has been significantly improved. The method in this paper can provide a theoretical reference for investors to construct investment portfolios and weigh risks and benefits according to individual needs.
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Ghosh, Satadal, and Sujit Kumar Majumdar. "Portfolio Selection Models and Their Discrimination." International Journal of Operations Research and Information Systems 2, no. 2 (April 2011): 65–91. http://dx.doi.org/10.4018/joris.2011040104.
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The stochastic nature of financial markets is a barrier for successful portfolio management. Besides traditional Markowitz’s model, many other portfolio selection models in Bayesian and Non-Bayesian frameworks have been developed. Starting with the basic Markowitz model, several cardinal models are used to find optimum portfolios with select stock set. Having developed the regression model of the return of each stock with the market return, the unsystematic part of the uncertainty was used to find the optimum portfolio and efficient risk–return frontier within each portfolio selection model. The average stock return as estimated from its historical data and the forecasted stock return were used for maximizing return with quadratic programming formulation in Markowitz model. In the models involving Fuzzy probability and possibility distributions, the future return was estimated using the similarity grade of past returns. In the interval coefficient models, future return was estimated as interval variable. The optimum portfolios of different models were widely divergent and DEA was used to identify the model giving the best portfolio with higher appraisal, both overall and by peers, and least Maverick behavior. Use of Signal to Noise ratio proved equally efficient for model discrimination and yielded identical results.
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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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Kale, Jivendra K., and Tee Lim. "Reversing the negative skewness of value portfolios with power-log optimization and options, produces smaller drawdowns and higher risk-adjusted returns." International Journal of Financial Engineering 06, no. 01 (March 2019): 1950010. http://dx.doi.org/10.1142/s2424786319500105.
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Investors prefer positively skewed portfolio returns, while value portfolios have substantial negative skewness in their returns. We use a Power-Log utility optimization algorithm and a put, or call option overlay to reverse the negative skewness of the Russell 1,000 Value index return, and produce portfolios with far better risk and return characteristics than the index itself, using historical monthly returns for the index with VIX-based standard deviation for forecasting. All the optimal portfolios containing the call have positively skewed returns, smaller maximum drawdowns except for the very riskiest portfolios, and higher Sortino ratios than the index, and also have better characteristics than those containing the put.
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Primajati, Gilang. "ANALISIS PORTOFOLIO INVESTASI PADA SAHAM LQ45 DENGAN METODE MEAN VARIAN SATU KONSTRAIN." Jurnal VARIAN 1, no. 2 (April 24, 2018): 22–29. http://dx.doi.org/10.30812/varian.v1i2.68.
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In the capital markets, especially the investment market, the establishment of a portfolio is something that must be understood by investors. Portfolio formation by investors to maximize profits as much as possible by minimizing the risk of losses that may occur. Portfolio diversification is defined as portfolio formation in such a way that it can reduce portfolio risk without sacrificing returns. Optimal portfolio with efficient-portfolio mean criteria, investors only invest in risk assets only. Investors do not include risk free assets in their portfolios. The efficient variance portfolio is defined as a portfolio that has minimum variance among the overall possible portfolio that can be formed, at the same expected return rate. The mean method of one constraint variant can be used as the basis for optimal portfolio determination. The shares of LQ-45 used are shares of AALI, BBCA, UNVR, TLKM and ADHI. AALI shares received a positive weight of 7%, BBCA 48%, UNVR 16%, TLKM 26% and ADHI 3%
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Anne, Chaitanya, Avdesh Mishra, Md Tamjidul Hoque, and Shengru Tu. "Multiclass patent document classification." Artificial Intelligence Research 7, no. 1 (December 15, 2017): 1. http://dx.doi.org/10.5430/air.v7n1p1.
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Text classification is used in information extraction and retrieval from a given text, and text classification has been considered as an important step to manage a vast number of records given in digital form that is far-reaching and expanding. This article addresses patent document classification problem into fifteen different categories or classes, where some classes overlap with each other for practical reasons. For the development of the classification model using machine learning techniques, useful features have been extracted from the given documents. The features are used to classify patent document as well as to generate useful tag-words. The overall objective of this work is to systematize NASA’s patent management, by developing a set of automated tools that can assist NASA to manage and market its portfolio of intellectual properties (IP), and to enable easier discovery of relevant IP by users. We have identified an array of methods that can be applied such as k-Nearest Neighbors (kNN), two variations of the Support Vector Machine (SVM) algorithms, and two tree based classification algorithms: Random Forest and J48. The major research steps in this paper consist of filtering techniques for variable selection, information gain and feature correlation analysis, and training and testing potential models using effective classifiers. Further, the obstacles associated with the imbalanced data were mitigated by adding pseudo-synthetic data wherever appropriate, which resulted in a superior SVM classifier based model.
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Poulsen, Turið, Bárður A. Niclasen, Gregor Giebel, and Hans Georg Beyer. "Optimization of wind farm portfolios for minimizing overall power fluctuations at selective frequencies – a case study of the Faroe Islands." Wind Energy Science 7, no. 6 (December 1, 2022): 2335–50. http://dx.doi.org/10.5194/wes-7-2335-2022.
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Abstract. Hourly modeled wind turbine power output time series – modeled based on outputs from the mesoscale numerical weather prediction system Weather Research and Forecasting Model (WRF) – are used to examine the spatial smoothing of various wind farm portfolios located on a complex isolated island group with a surface area of 1400 km2. Power spectral densities (PSDs), hourly step-change functions, and duration curves are generated, and the 5th and 95th percentiles and the standard deviations of the hourly step-change functions are calculated. The spatial smoothing is identified from smaller high-frequency PSD amplitudes, lower hourly fluctuations, and more flat duration curves per installed wind power capacity, compared with single wind turbine outputs. A discussion on the limitation of the spatial smoothing for the region is included, where a smoothing effect is observed for periods of up to 1–2 d, although it is most evident at higher frequencies. By maximizing the smoothing effect, optimal wind farm portfolios are presented with the intention of minimizing overall wind power fluctuations. The focus is mainly on the smoothing effect on the 1–3 h timescale, during which the coherency between wind farm power outputs is expected to be dependent on how the regional weather travels between local sites, thereby making optimizations of wind farm portfolios relevant – in contrast to a focus on either lower or higher frequencies on the scale of days or minutes, respectively, during which wind farm power output time series are expected to be either close to fully coherent due to the same weather conditions covering a small region or not coherent as the turbulences in separate wind farm locations are expected to be uncorrelated. Results show that an optimization of the wind farm capacities at 14 pre-defined wind farm site locations has a minimal improvement on the hourly fluctuations compared with a portfolio with equally weighted wind farm capacities. However, choosing optimized combinations of individual wind farm site locations decreases the 1–3 h fluctuations considerably. For example, selecting a portfolio with four wind farms (out of the 14 pre-defined wind farm site locations) results in 15 % lower 5th and 95th percentiles of the hourly step-change function when choosing optimal wind farm combinations compared with choosing the worst wind farm combinations. For an optimized wind farm portfolio of seven wind farms, this number is 13 %. Optimized wind farm portfolios consist of distant wind farms, while the worst portfolios consist of clustered wind farms.
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Irhamni, Firly. "Constructing Portfolio Optimization: Analysis in Indonesia Non-Cyclical Industry (Markowitz Approach and Skewness and Kurtosis)." Revista de Gestão Social e Ambiental 18, no. 5 (March 21, 2024): e05645. http://dx.doi.org/10.24857/rgsa.v18n5-099.
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Purpose: The purpose of this research is to examine the application of portfolio optimization in the context of real-world financial issues, particularly in light of the challenges posed by the COVID-19 pandemic. Traditional portfolio optimization strategies, such as those proposed by Markowitz, often rely on the assumption of normally distributed returns, which may not accurately capture the risks associated with extreme events like the COVID-19 crisis. This study aims to shed new light on portfolio optimization methods by exploring various approaches and considering the implications of non-normally distributed returns on portfolio construction.
Methods: This research employs a quantitative approach to analyze portfolio optimization techniques in the face of non-normally distributed returns. Using data from financial markets impacted by the COVID-19 pandemic, the study investigates different portfolio construction methods, including risk-free rate for equally weighted portfolios, optimal risk portfolios, minimum variance weights, and maximum expected returns. Various risk metrics such as variance, Sharpe ratio, and standard deviation are considered to evaluate portfolio performance under different constraints.
Results and discussion: The empirical findings highlight the limitations of traditional portfolio optimization techniques, particularly in accurately assessing and managing risk in the presence of non-normally distributed returns. Assets exhibit heavily tailed returns, leading to an underestimation of risk when using standard approaches. The study identifies that certain assets offer high returns but also entail significant risks, necessitating a nuanced approach to portfolio construction. By considering stable distribution models and optimizing for both maximum expected return and minimum variance weight, investors can build more profitable and diversified portfolios while managing risk effectively.
Implications of the research: The research findings have important implications for investors and financial practitioners, particularly in navigating uncertain market conditions such as those brought about by the COVID-19 pandemic. By recognizing the limitations of traditional portfolio optimization methods and embracing more sophisticated approaches that account for non-normally distributed returns, investors can make more informed decisions and better manage portfolio risk. These insights can inform the development of robust investment strategies tailored to mitigate the impact of extreme events on portfolio performance.
Originality/value: This research contributes to the literature by offering a fresh perspective on portfolio optimization under the backdrop of the COVID-19 pandemic. By systematically evaluating different portfolio construction methods and considering the implications of non-normally distributed returns, the study advances understanding in the field of financial risk management. The identification of stable distribution models and the emphasis on balancing maximum expected return with minimum variance weight provide practical guidance for investors seeking to build resilient and profitable portfolios in turbulent market environments. Overall, this research underscores the importance of adapting portfolio optimization strategies to address the realities of contemporary financial markets.
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Gularte, Ana Paula S., and Vitor V. Curtis. "A Model-Based Approach Machine Learning to Scalable Portfolio Selection." International Journal on Cybernetics & Informatics 12, no. 3 (May 13, 2023): 23–40. http://dx.doi.org/10.5121/ijci.2023.120303.
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This study proposes a scalable asset selection and allocation approach using machine learning that integrates clustering methods into portfolio optimization models. The methodology applies the Uniform Manifold Approximation and Projection method and ensemble clustering techniques to preselect assets from the Ibovespa and S&P 500 indices. The research compares three allocation models and finds that the Hierarchical Risk Parity model outperformed the others, with a Sharpe ratio of 1.11. Despite the pandemic's impact on the portfolios, with drawdowns close to 30%, they recovered in 111 to 149 trading days. The portfolios outperformed the indices in cumulative returns, with similar annual volatilities of 20%. Preprocessing with UMAP allowed for finding clusters with higher discriminatory power, evaluated through internal cluster validation metrics, helping to reduce the problem's size during optimal portfolio allocation. Overall, this study highlights the potential of machine learning in portfolio optimization, providing a useful framework for investment practitioners.
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Jadevicius, Arvydas. "Real estate portfolios – the case for globally diversified core property funds." Journal of Property Investment & Finance 38, no. 1 (November 4, 2019): 82–86. http://dx.doi.org/10.1108/jpif-09-2019-0123.
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Purpose The purpose of this paper is to build a case for globally diversified core real estate funds portfolio. Design/methodology/approach It uses Monte Carlo simulation technique to construct synthetic real estate funds portfolios. Findings Benefit of maintaining globally diversified real estate funds portfolio merits admission. An optimal portfolio has an almost even split between Europe, USA and Asia Pacific, ceteris paribus. Likewise, currency effect for Europe domiciled investors is undeniable. Practical implications The overall estimates suggest that a blend of APAC, European and US allocations enhance portfolio risk return profile. Originality/value The study adds additional evidence on the contested issue of real estate diversification.
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Tofade, Toyin S., John N. Hedrick, Stephen C. Dedrick, and Stephen M. Caiola. "Evaluation of Pharmacist Continuing Professional Development Portfolios." Journal of Pharmacy Practice 26, no. 3 (August 6, 2012): 237–47. http://dx.doi.org/10.1177/0897190012452311.
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Objective: The purpose of this study was to conduct a random continuing professional development (CPD) portfolio audit to assess the portfolios of pharmacists who completed CPD training in the state of North Carolina and reported adopting it in place of the annual 15-hour continuing education (CE) requirement when applying for re-licensure. Methods: The NC Board of Pharmacy (NCBOP) staff randomly selected 30 pharmacists to provide CPD portfolio documentation to the Board electronically or in paper format. This documentation included their completed learning plan, a learning activity worksheet for each completed activity, and the Accreditation Council on Pharmacy Education (ACPE) universal activity number for the CPD training program attended. The Task Force used a multicomponent audit tool to assess each portfolio. Results: Eighty percent of portfolios had at least 15 hours of learning reported. Portfolio assessments indicated an average of 5 learning objectives per individual. Based on the scale of 1 to 5, the Measurable and Specific sections of the objectives scored the lowest with an average score of 3 on both sections. An overall assessment of “adequate” or “comprehensive” was noted for 60% of the portfolios. Conclusion: Pharmacists completing CPD training are capable of following the CPD process with some potential challenges in documentation. Information submitted to the board of pharmacy is considered sufficient for license renewal purposes.
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Pritchard, Adrian. "It’s not just cricket – the portfolios of the English/Welsh cricket teams." Sport, Business and Management: An International Journal 6, no. 1 (March 14, 2016): 19–35. http://dx.doi.org/10.1108/sbm-11-2013-0042.
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Purpose – The purpose of this paper is to examine the range of products and services offered by the professional cricket teams in the UK. To what extent have they added to their core activity of staging matches? Design/methodology/approach – A case study approach was adopted using both quantitative and qualitative methods. The accounts of the 18 teams and the governing body were reviewed to analyse the flow of income within the sport and categorize its sources. Interviews were then held with senior commercial staff of 12 of the teams. Findings – All of the teams had engaged in brand extensions, offering a category of products/services that were more concerned with facilities utilization. These were not aimed at fans of the teams, as with conventional sporting extensions, but at a different market. Though there was some overlap between customers. The use of alliances and joint ventures was common in the provision of these lines. Research limitations/implications – The research is limited to a single sport, with the portfolio being investigated from a management as opposed to a consumer perspective. The findings are likely to be relevant to other sports teams, particularly small and medium-sized enterprises, where income from the sport alone is insufficient to maintain professional status. Originality/value – This paper adds to the previous research on typologies of brand extensions in sport by incorporating product/service lines that were aimed at resource utilization and different markets.