Статті в журналах: "Portfolio management"

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Nisani, Doron. "Portfolio selection using the Riskiness Index." Studies in Economics and Finance 35, no. 2 (June 4, 2018): 330–39. http://dx.doi.org/10.1108/sef-03-2017-0058.

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PurposeThe purpose of this paper is to increase the accuracy of the efficient portfolios frontier and the capital market line using the Riskiness Index.Design/methodology/approachThis paper will develop the mean-riskiness model for portfolio selection using the Riskiness Index.FindingsThis paper’s main result is establishing a mean-riskiness efficient set of portfolios. In addition, the paper presents two applications for the mean-riskiness portfolio management method: one that is based on the multi-normal distribution (which is identical to the MV model optimal portfolio) and one that is based on the multi-normal inverse Gaussian distribution (which increases the portfolio’s accuracy, as it includes the a-symmetry and tail-heaviness features in addition to the scale and diversification features of the MV model).Research limitations/implicationsThe Riskiness Index is not a coherent measurement of financial risk, and the mean-riskiness model application is based on a high-order approximation to the portfolio’s rate of return distribution.Originality/valueThe mean-riskiness model increases portfolio management accuracy using the Riskiness Index. As the approximation order increases, the portfolio’s accuracy increases as well. This result can lead to a more efficient asset allocation in the capital markets.

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AAS, TOR HELGE, KARL JOACHIM BREUNIG, and KATJA MARIA HYDLE. "EXPLORING NEW SERVICE PORTFOLIO MANAGEMENT." International Journal of Innovation Management 21, no. 06 (July 27, 2017): 1750044. http://dx.doi.org/10.1142/s136391961750044x.

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Most research on the management of innovation portfolios has focused on new product portfolios, whereas the management of new service portfolios has not been researched correspondingly. This paper addresses this literature gap by exploring portfolio management of New Service Development (NSD) activities empirically. The paper applies a qualitative research design, where data was collected in 52 in-depth interviews with managers and employees involved with NSD. The study finds that the portfolio management activities and processes were carried out in parallel with the NSD process, and that the most important stakeholders in the NSD portfolio management organization were top managers not involved in the daily NSD operations. Findings reveal that the firms used a great variety of criteria when making portfolio decisions. However, contrary to prescriptions based on new product development research, the decision process exposed for NSD was to a limited degree assisted by explicit portfolio management tools. We explicate our findings in five propositions.

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Yang, Hyunjun, Hyeonjun Park, and Kyungjae Lee. "A Selective Portfolio Management Algorithm with Off-Policy Reinforcement Learning Using Dirichlet Distribution." Axioms 11, no. 12 (November 23, 2022): 664. http://dx.doi.org/10.3390/axioms11120664.

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Existing methods in portfolio management deterministically produce an optimal portfolio. However, according to modern portfolio theory, there exists a trade-off between a portfolio’s expected returns and risks. Therefore, the optimal portfolio does not exist definitively, but several exist, and using only one deterministic portfolio is disadvantageous for risk management. We proposed Dirichlet Distribution Trader (DDT), an algorithm that calculates multiple optimal portfolios by taking Dirichlet Distribution as a policy. The DDT algorithm makes several optimal portfolios according to risk levels. In addition, by obtaining the pi value from the distribution and applying importance sampling to off-policy learning, the sample is used efficiently. Furthermore, the architecture of our model is scalable because the feed-forward of information between portfolio stocks occurs independently. This means that even if untrained stocks are added to the portfolio, the optimal weight can be adjusted. We also conducted three experiments. In the scalability experiment, it was shown that the DDT extended model, which is trained with only three stocks, had little difference in performance from the DDT model that learned all the stocks in the portfolio. In an experiment comparing the off-policy algorithm and the on-policy algorithm, it was shown that the off-policy algorithm had good performance regardless of the stock price trend. In an experiment comparing investment results according to risk level, it was shown that a higher return or a better Sharpe ratio could be obtained through risk control.

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Attar, Arbaz, Pranay Mule, Piyush Kulkarni, Shubham Narale, and Prof Ms Jaitee Bankar. "Investment Portfolio Management System: A Survey." International Journal for Research in Applied Science and Engineering Technology 11, no. 5 (May 31, 2023): 2966–68. http://dx.doi.org/10.22214/ijraset.2023.52241.

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Abstract: An investment portfolio management system is a highly sophisticated software application meticulously crafted to assist investors in the management of their investment portfolios. This innovative system provides investors with a centralized platform that empowers them to track their investments meticulously, closely monitor their performance, and judiciously make informed investment decisions. The system encompasses several advanced features such as portfolio analysis, risk management tools, asset allocation strategies, and performance reporting, that provide investors with a comprehensive overview of their portfolio's performance. Additionally, this cutting-edge platform offers investors the opportunity to diversify their portfolio by investing across multiple asset classes such as stocks, bonds, and mutual funds. This paper delves into the various techniques and methods employed to identify the optimal strategy to maximize gains from the investment. The fusion of algorithms and investments has revolutionized the investment landscape, enabling investors to obtain insightful data and make data-driven decisions. Several research studies have been conducted in the investment field, bolstered by machine learning models and algorithms, resulting in exceptional gains for investors.

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5

Zhang, Shicheng. "Portfolio Management for Multi-industry." Highlights in Business, Economics and Management 5 (February 16, 2023): 214–21. http://dx.doi.org/10.54097/hbem.v5i.5078.

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In the financial field, portfolio management is an important measure in the direction of investment or hedging. This paper mainly focuses on the optimization for the portfolio composed of assets from five industries, which is education, banking, automobile manufacturing, parts industry and e-commerce, and considers the allocation of assets to optimize the returns. In this paper, five representative assets from these five industries are selected. The Markowitz efficient frontier is plotted by Monte-Carlo method, using the return data of assets. Then the portfolio is optimized by mean-variance analysis and the maximum Sharpe ratio portfolio as well as minimum variance portfolio can be calculated. Finally, this paper analyzes the performance of the two portfolios, considering the influence of individual assets on the portfolio weight, and uses the Fama-French three factor model to analyze the performance of the portfolio. The results show that PTAIY and PSO from parts manufacturing and education occupy a large proportion in the maximum Sharpe ratio portfolio as well as the minimum variance portfolio. The findings could help investors interested in these five areas.

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Kiyko, S., L. Deineha, M. Basanets, D. Kamienskyi, and A. Didenko. "PORTFOLIO MANAGEMENT OF ENERGY SAVING PROJECTS BASED ON THE MARKOVITS THEORY." Integrated Technologies and Energy Saving, no. 3 (November 9, 2021): 79–91. http://dx.doi.org/10.20998/2078-5364.2021.3.08.

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The goal of the work was to identify research and compare methods of portfolio management of energy saving projects and to develop software for optimizing portfolio investments using several methods. The key elements and strategies of creating an effective investment portfolio are considered: diversification, rebalancing, active portfolio management, passive portfolio management. Given the basic principles of investment theory, the task of portfolio investment is to form an investment portfolio with known shares of certain assets to maximize returns and minimize risk. To solve this problem, the method of Harry Markowitz, known as modern portfolio theory, was chosen. This is the theory of financial investment, in which statistical methods are used to make the most profitable risk distribution of the securities portfolio and income valuation, its components are asset valuation, investment decisions, portfolio optimization, evaluation of results. From a mathematical point of view, the problem of forming an optimal portfolio is the problem of optimizing a quadratic function (finding the minimum) with linear constraints on the arguments of the function. Methods of optimization of portfolios of energy saving projects taking into account the specifics of the subject area are analyzed. According to the results of the analysis, the methods of finding the maximum Sharpe’s ratio and the minimum volatility from randomly generated portfolios were chosen. A software application has been developed that allows you to download data, generate random portfolios and optimize them with selected methods. A graphical display of portfolio optimization results has also been implemented. The program was tested on data on shares of energy saving companies. The graphs built by the program allow the operator to better assess the created portfolio of the energy saving project.

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Levchenko, Valentyna, and Myroslav Ostapenko. "Formation of the optimal portfolio of insurer’s services of the voluntary types of insurance." Insurance Markets and Companies 7, no. 1 (November 18, 2016): 45–51. http://dx.doi.org/10.21511/imc.7(1).2016.05.

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The article studies the possibility of using optimization modelling to form the optimal structure of insurance services’ portfolio of insurance companies. Based on the data of net insurance payments and profitability of the voluntary types of insurance in 2005-2015, the authors conducted their analysis according to the possibility to be included in the general insurance portfolio of the insurance company. The optimization model is based on the approach developed by G. Markowitz. The formation of insurance services portfolio is conducted by solving the optimization problem to maximize the portfolios’ profitability or to minimize the portfolio’s risks. The obtained results can be used in making strategic decisions by the management regarding the development of insurance companies. Keywords: insurance company, insurance service, insurance portfolio, portfolio optimization

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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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Micán, Camilo, Gabriela Fernandes, and Madalena Araújo. "Disclosing the Tacit Links between Risk and Success in Organizational Development Project Portfolios." Sustainability 14, no. 9 (April 26, 2022): 5235. http://dx.doi.org/10.3390/su14095235.

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Project portfolios aim to impact organizational strategic goals, influencing both the organization’s business model and its processes. Nonetheless, the actual impact is dependent on the portfolio’s success, which is affected by the materialization of risk factors. This study aims to examine the tacit conceptualization of project portfolio risk as a risk measure explicitly based on project portfolio success itself. In order to focus on the portfolios of organizational development projects, Social Representation Theory was adopted to analyze empirical evidence from twenty-eight semi-structured interviews conducted with project portfolio practitioners. Findings showed that strategic fit, future preparedness, and stakeholder satisfaction were dimensions of success within which project portfolio risk could be conceptualized. Additionally, results evidenced that risk factors influenced project portfolio success through systematic and non-systematic impacts on project portfolio outputs, and also had direct impacts on project portfolio outcomes. This paper provides empirical evidence to back up the conceptualization of project portfolio risk explicitly oriented to portfolio success as a multidimensional risk measure. It represents a new avenue for conducting portfolio risk analysis for both practitioners and academics, orienting the decision-making process based on the portfolio success rather than only on the success of each project.

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10

Elton, Edwin J., and Martin J. Gruber. "Optimum Centralized Portfolio Construction with Decentralized Portfolio Management." Journal of Financial and Quantitative Analysis 39, no. 3 (September 2004): 481–94. http://dx.doi.org/10.1017/s0022109000003999.

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AbstractMany financial institutions employ outside portfolio managers to manage part or all of their investable assets. It is well recognized that outside portfolio managers are unwilling to share security information with each other or with the centralized decision maker and this in general will lead to sub-optimal portfolios. In this paper, we derive an implementable set of rules under which a central decision maker can make optimal decisions without requiring decentralized decision makers to reveal estimates of security returns. Furthermore, we derive conditions under which these rules hold and when they do not hold.

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Ziakas, Vassilios, and Donald Getz. "Shaping the event portfolio management field: premises and integration." International Journal of Contemporary Hospitality Management 32, no. 11 (October 28, 2020): 3523–44. http://dx.doi.org/10.1108/ijchm-05-2020-0486.

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Purpose This paper aims to examine how various academic disciplines shape the field of event portfolio management. Given the complex nature of portfolios comprising different genres that are studied separately from their respective disciplinary realms, the academic event portfolio landscape remains fragmented. This is against the nature of portfolios, which requires inter-disciplinarity and novel integration of genres, stakeholders and perspectives. Design/methodology/approach Based on a scoping literature review, this conceptual paper sets up a common ground for the academic study and industrial development of event portfolio management. Findings A comprehensive view of event portfolio literature across disciplines reveals its hypostasis as a compound transdisciplinary field. The authors suggest a set of foundational premises whereby they identify 22 principal thematic areas that comprise this emerging field. Practical implications The establishment of event portfolio management as a distinct field will help in the osmosis and diffusion of new ideas, models and best practices to run and leverage portfolios. The portfolio perspective highlights the need for cohesive learning to design comprehensive systems of events, implement joint strategies, solidify social networks, coordinate multiple stakeholders and develop methods of holistic evaluation. Originality/value By examining comprehensively event portfolio management as a transdisciplinary field, the authors have been able to identify principal research directions and priorities. This comprehensive analysis provides a synergistic ground, which at this embryonic stage of development, can be used to set out joint trajectories and reciprocal foci across the whole span of scholarship studying planned series of events.

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Zavaleta Lamela, Rainer Víctor. "Investment Portfolio Management equities applying Markowitz Theory." SCIÉNDO 26, no. 2 (June 30, 2023): 205–13. http://dx.doi.org/10.17268/sciendo.2023.030.

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Investment Portfolio Management equities is based on the investor reasoning behavior minimizing risks and maximizing profits, benefits offered by Markowitz Portfolios Theory (TPM onwards). The goal is to manage investment Portfolios equities applying TPM to determine from this one if a financial assets Portfolios negotiated in Standard y Poor's 500 (SyP 500) deals with the maximizing investor profits considering a minimal variance. The population was made by 505 enterprises composed by 11 economic sectors SyP 500 rate. Some basic analysis filters were used in order to obtain the same and 34 enterprises our of the main economical sections of SyP 500 rate were identified to which TPM was applied to investment Portfolio Management equities and financial tools such as FINVIZ, Yahoo finance, Select Sector supported by Microsoft Excel were used. The research design was pre-experimental with a quantitative-qualitative approach. One of the conclusions was that the Investment Portfolio Management equities had a 52,379% performance producing a 3,086% and 5,892% monthly expected profits risk.

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Yu-Hsiang (John) Huang, Yu-Ju (Tony) Tu, Troy J. Strader, Michael J. Shaw, and Ramanath (Ram) Subramanyam. "Selecting the Most Desirable IT Portfolio Under Various Risk Tolerance Levels." Information Resources Management Journal 32, no. 4 (October 2019): 1–19. http://dx.doi.org/10.4018/irmj.2019100101.

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To better assist decision-makers (e.g., enterprise executives) in selecting the most desirable IT portfolio, this study proposes a new IT Portfolio Efficient Frontier model that incorporates the decision-maker's risk tolerance levels. The proposed model, built on portfolio optimization along with experimental design and simulation data, considers three IT portfolio scenarios: even distribution-based IT portfolios, uneven distribution-based IT portfolios, and dominant IT portfolios. Our findings show that the IT portfolio efficient frontiers derived from both an even distribution-based IT portfolio and an uneven distribution-based IT portfolio have a relatively positive relationship between IT portfolio risk and return. Our findings also indicate that if IT investments are part of a dominant IT portfolio, an inflection point of the IT portfolio efficient frontier appears under the decision-maker's medium risk tolerance level, and the most desirable IT portfolio is generated when a decision maker's risk tolerance level is medium or higher.

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Kuchmezov, H. H., and S. I. Neizvestny. "Formation of Managers’ Competencies in The Field of Project Portfolio Management of The Enterprise." Open Education 26, no. 2 (March 15, 2022): 25–36. http://dx.doi.org/10.21686/1818-4243-2022-2-25-36.

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The purpose of this study is to analyze existing approaches to managing a portfolio of projects and programs, their further development and generalization, the creation of systems focused on creating the competence of specialists in the field of managing enterprise project portfolios. The substantiation and main reasons for the need to form the competencies of specialists in project portfolio management from the point of view of the effectiveness of project activities and business of the enterprise are discussed.In modern conditions, the functioning of any company is determined by a number of global trends - a change in business formats under the influence of digitalization, networkization of the economy, and changes in the structure of transaction costs, optimization of project portfolio management. This, in turn, entails a change in the requirements for the competencies of managers in managing enterprise project portfolios. The higher education system currently does not form the necessary set of competencies for university graduates, who should be functionally involved in managing a portfolio of projects and programs. Project portfolio management competencies are erroneously replaced by individual project management competencies, while almost all modern enterprises have a project portfolio. This is one of the reasons why the managers of the enterprise, when hiring yesterday’s university graduates, formulate an introductory requirement for them: - “Forget everything you were taught at the university”.Materials and methods. The study was conducted from 2019 to 2021 at the Financial University under the Government of the Russian Federation among 4th year students of the direction of study “Business Informatics”, studying in the profile “IT Management in Business”. The methodological basis of the study was a set of theories of innovation management, portfolio and project management. The typology of project portfolios is represented by the core competencies required by managers in managing project and program portfolios. An analysis of the existing education system shows that even after a master’s degree it is not capable of providing businesses with a professionally trained manager of large projects, not to mention a bachelor’s degree. Some limitations in the use of well-known portfolio management competencies due to their inconsistency with current business realities are noted. The main research method was the analysis of modern requirements for the functionality of the organization’s project portfolio management system.Results. It was revealed that the main requirements of modern business in specialists with competencies in managing a portfolio of projects and programs are significantly ahead of the existing competencies of university graduates. The main necessary competencies of project portfolio managers are determined. The gap in business requirements and existing competencies of university graduates in this direction of management is shown. The results obtained in the study can be used in the formation of competencies in the management of a portfolio of projects that the business presents to the education system.Conclusion. Project and program portfolio management is a significant factor in the development of an enterprise’s business. Business conditions are now such that enterprises simultaneously implement several projects and programs, these projects and programs are forced to be combined into portfolios. In portfolios, projects compete for the limited resources of the enterprise, and in the absence of systemic management of the project portfolio, lack of coordination between them, managerial chaos may arise that harm both individual projects and the entire business of the enterprise. Thus, combining individual projects into programs, and programs into portfolios, significantly increases the efficiency of project activities and the business of the enterprise as a whole.Using the example of Sberbank, the article compares the list of competencies required by the business functionality in the field of managing portfolios of projects and programs with the assessment of the competence of graduates in the direction of business informatics. The results obtained in the study can be used in the transformation of personnel training systems, in practical activities for managing portfolios of projects and programs of organizations of any type.

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Usmonov, Xikmatilla. "BANK INVESTMENT PORTFOLIO DEVELOPMENT." INNOVATIONS IN ECONOMY 6, no. 3 (June 30, 2020): 33–38. http://dx.doi.org/10.26739/2181-9491-2020-6-5.

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This article analyzes the development of the investment portfolio of commercial banks in Uzbekistan and their investment factors. In order to develop the investment portfolios of banks, recommendations were given on the use of international experience. Report on investment portfolio and commercial banks. It also covers the investment portfolio, the nature of investment asset management, the risks associated with it, the risks that affect the effectiveness of investment portfolio management, and the importance of effective investment portfolio management

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Castiglioni, Marco, and José Luis Galán González. "Alliance portfolio classification. Which portfolio do you have?" Baltic Journal of Management 15, no. 5 (July 30, 2020): 757–74. http://dx.doi.org/10.1108/bjm-05-2020-0174.

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PurposeThe purpose of this article is to propose and discuss a systematic theoretical classification of alliance portfolios that allows to elucidate and develop the concept.Design/methodology/approachThe study applies a conceptual approach. A review of the literature was carried out to support the conclusions of this paper.FindingsThe results of the classification identify three types of alliance portfolio, according to the level of management that each of them requires: additive, strategic and managed and strategic. These portfolio typologies are analyzed in an evolutionary perspective.Practical implicationsThis article is of interest to managers as it emphasizes the management of the alliance portfolio, highlighting the elements or characteristics that determine the transition from one type of portfolio to another.Originality/valueThis paper contributes to the consolidation and reorientation of the extensive research into alliance portfolios and proposes a systematic classification that can help to interpret the results of research and guide future studies.

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Lim, Qing Yang Eddy, Qi Cao, and Chai Quek. "Dynamic portfolio rebalancing through reinforcement learning." Neural Computing and Applications 34, no. 9 (December 27, 2021): 7125–39. http://dx.doi.org/10.1007/s00521-021-06853-3.

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AbstractPortfolio managements in financial markets involve risk management strategies and opportunistic responses to individual trading behaviours. Optimal portfolios constructed aim to have a minimal risk with highest accompanying investment returns, regardless of market conditions. This paper focuses on providing an alternative view in maximising portfolio returns using Reinforcement Learning (RL) by considering dynamic risks appropriate to market conditions through dynamic portfolio rebalancing. The proposed algorithm is able to improve portfolio management by introducing the dynamic rebalancing of portfolios with vigorous risk through an RL agent. This is done while accounting for market conditions, asset diversifications, risk and returns in the global financial market. Studies have been performed in this paper to explore four types of methods with variations in fully portfolio rebalancing and gradual portfolio rebalancing, which combine with and without the use of the Long Short-Term Memory (LSTM) model to predict stock prices for adjusting the technical indicator centring. Performances of the four methods have been evaluated and compared using three constructed financial portfolios, including one portfolio with global market index assets with different risk levels, and two portfolios with uncorrelated stock assets from different sectors and risk levels. Observed from the experiment results, the proposed RL agent for gradual portfolio rebalancing with the LSTM model on price prediction outperforms the other three methods, as well as returns of individual assets in these three portfolios. The improvements of the returns using the RL agent for gradual rebalancing with prediction model are achieved at about 27.9–93.4% over those of the full rebalancing without prediction model. It has demonstrated the ability to dynamically adjust portfolio compositions according to the market trends, risks and returns of the global indices and stock assets.

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Tan, Ruipeng. "Changes in the Portfolio Management and Construction under the Pandemic Era." E3S Web of Conferences 275 (2021): 01005. http://dx.doi.org/10.1051/e3sconf/202127501005.

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This paper focuses on comparing portfolio management and construction before and after the coronavirus. First, this paper presents the importance of building up portfolios for investors to diversify their risks. Theories on portfolio management are discussed in this section to show how they have been developed to help on investing and reduce risk. Then, the paper moves on to show the impact of the pandemic on the financial market and portfolio management. Sample data on tech stock returns are collected to perform a Monte Carlo simulation on portfolio construction to find out the efficient portfolio before and after the COVID-19 outbreak. The efficient portfolio is build based on the Markowitz theory to find the combination. Comparisons between these portfolio constructions are made to find out the changes in portfolio management and construction under the pandemic era. In conclusion, this paper presents how pandemic has changed and impacted the investments and lists recommendations on future portfolio management and construction.

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THOMAIDIS, NIKOS S., TIMOTHEOS ANGELIDIS, VASSILIOS VASSILIADIS, and GEORGIOS DOUNIAS. "ACTIVE PORTFOLIO MANAGEMENT WITH CARDINALITY CONSTRAINTS: AN APPLICATION OF PARTICLE SWARM OPTIMIZATION." New Mathematics and Natural Computation 05, no. 03 (November 2009): 535–55. http://dx.doi.org/10.1142/s1793005709001519.

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This paper considers the task of forming a portfolio of assets that outperforms a benchmark index, while imposing a constraint on the tracking error volatility. We examine three alternative formulations of active portfolio management. The first one is a typical setup in which the fund manager myopically maximizes excess return. The second formulation is an attempt to set a limit on the total risk exposure of the portfolio by adding a constraint that forces a priori the risk of the portfolio to be equal to the benchmark's. In this paper, we also propose a third formulation that directly maximizes the efficiency of active portfolios, while setting a limit on the maximum tracking error variance. In determining optimal active portfolios, we incorporate additional constraints on the optimization problem, such as a limit on the maximum number of assets included in the portfolio (i.e. the cardinality of the portfolio) as well as upper and lower bounds on asset weights. From a computational point of view, the incorporation of these complex, though realistic, constraints becomes a challenge for traditional numerical optimization methods, especially when one has to assemble a portfolio from a big universe of assets. To deal properly with the complexity and the "roughness" of the solution space, we use particle swarm optimization, a population-based evolutionary technique. As an empirical application of the methodology, we select portfolios of different cardinality that actively reproduce the performance of the FTSE/ATHEX 20 Index of the Athens Stock Exchange. Our empirical study reveals important results concerning the efficiency of common practices in active portfolio management and the incorporation of cardinality constraints.

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Miziołek, Tomasz. "Active Management in Polish Domestic Treasury Bond Funds." Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia 57, no. 1 (May 22, 2023): 137–53. http://dx.doi.org/10.17951/h.2023.57.1.137-153.

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Theoretical background: An increase in the interest in passive investing has been one of the most important trends on financial market over the last two decades. However, passive portfolio management is not limited to index funds and passive exchange-traded funds (ETFs). Despite the declared active approach to investing, in practice some active fund managers construct portfolios whose structure is quite similar to the index (usually a fund benchmark). Simultaneously, these funds charge relatively high fees, inadequate to the involvement in the investment process. In order to estimate the scale of this phenomenon, the activity and investment style of actively managed funds are examined. Purpose of the article: The main aim of the paper is to determine the degree of active approach to portfolio management by domestic Treasury bond funds investing in the Polish currency. Specific objectives include examining the relationship between the level of the fund’s active management and the size of the fund (assets under management) as well as the investment portfolio concentration. Research methods: In the quantitative study, the portfolio based measure of management activity, commonly used in the subject literature, was applied (adjusted to the bond fund), i.e. bond-level active share ratio. Moreover, to assess the portfolio concentration of the funds from the research sample, two measures were calculated: concentration ratio (CR5) and Herfindahl–Hirschman Index (HHI). Main findings: The results of the study have proved that a majority of the investigated domestic Treasury bond funds manage their portfolios in an active manner. Additionally, the research has shown that the funds managing larger assets, with a low degree of portfolio concentration, are characterized by relatively lower values of the active share ratio, i.e. their portfolios are relatively passively managed.

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Merlec, Mpyana Mwamba, Md Mainul Islam, Youn Kyu Lee, and Hoh Peter In. "A Consortium Blockchain-Based Secure and Trusted Electronic Portfolio Management Scheme." Sensors 22, no. 3 (February 8, 2022): 1271. http://dx.doi.org/10.3390/s22031271.

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In recent times, electronic portfolios (e-portfolios) are being increasingly used by students and lifelong learners as digital online multimedia résumés that showcase their skill sets and achievements. E-portfolios require secure, reliable, and privacy-preserving credential issuance and verification mechanisms to prove learning achievements. However, existing systems provide private institution-wide centralized solutions that primarily rely on trusted third parties to issue and verify credentials. Furthermore, they do not enable learners to own, control, and share their e-portfolio information across organizations, which increases the risk of forged and fraudulent credentials. Therefore, we propose a consortium blockchain-based e-portfolio management scheme that is decentralized, secure, and trustworthy. Smart contracts are leveraged to enable learners to completely own, publish, and manage their e-portfolios, and also enable potential employers to verify e-portfolio credentials and artifacts without relying on trusted third parties. Blockchain is used as an immutable distributed ledger that records all transactions and logs for tamper-proof trusted data provenance, accountability, and traceability. This system guarantees the authenticity and integrity of user credentials and e-portfolio data. Decentralized identifiers and verifiable credentials are used for user profile identification, authentication, and authorization, whereas verifiable claims are used for e-portfolio credential proof authentication and verification. We have designed and implemented a prototype of the proposed scheme using a Quorum consortium blockchain network. Based on the evaluations, our solution is feasible, secure, and privacy-preserving. It offers excellent performance.

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Hsieh, Heng-Hsing. "A Review of Performance Evaluation Measures for Actively-Managed Portfolios." Journal of Economics and Behavioral Studies 5, no. 12 (December 30, 2013): 815–24. http://dx.doi.org/10.22610/jebs.v5i12.455.

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In the recognition that investment management is an on-going process, the performance of actively-managed portfolios need to be monitored and evaluated to ensure that funds under management are efficiently invested in order to satisfy the mandate specified in the policy statement. This paper discusses the primary performance evaluation techniques used to measure a portfolioâ€™s basic risk and return characteristics, risk-adjusted performance, performance attribution and market timing ability. It is concluded that the Treynor measure is more suitable for evaluating portfolios that are constituents of a broader portfolio, while the information ratio is useful for evaluating hedge funds with an absolute return objective. Although the Sharpe ratio and M-squared arrive at the same evaluation result, M-squared provides a direct comparison between the portfolio and the benchmark. With regard to the analysis of portfolio performance attribution, it is found that the return-based multifactor model of Sharpe (1992) is not suitable for analyzing the performance of hedge funds that engage in short-selling, leverage and derivatives. Additional factors generated by factor analysis could be used as factors in the extended model of Sharpe (1992) to analyze hedge fund return attributions. Finally, the Treynor and Mazuy (1966) model and the Henriksson and Merton (1981) model essentially distinguish the market timing ability from the security selection ability of the portfolio manager.

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23

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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24

Bathallath, Sameer, Åsa Smedberg, and Harald Kjellin. "Impediments to Effective Management of Project Interdependencies." Journal of Electronic Commerce in Organizations 15, no. 2 (April 2017): 16–30. http://dx.doi.org/10.4018/jeco.2017040102.

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Interdependencies between projects have come to play a more active role in the decision on IT/IS portfolios and their constituent projects. However, managing these interdependencies can be a complex task, especially when the number and degree of interdependencies among projects are high. In times of uncertainty, unexpected challenges can seriously disrupt projects and, consequently, their interdependencies. This may threaten the project portfolio from achieving its final goal. The study aims to investigate the difficulties associated with managing project interdependence along the development cycle of the project portfolio. The study was conducted using a qualitative approach and semi-structured interviews with managers from four leading organizations in Saudi Arabia. The findings reveal three main categories of factors that increased the difficulty of managing project interdependencies in large IT/IS project portfolios: insufficient understanding of human responsibilities in the whole portfolio, unpredictability of the environment, and technology barriers and constraints.

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25

Ingul Abuladze, Ingul Abuladze. "Business Portfolio and the Need for its Optimization in the Conditions of International." Economics 106, no. 3-5 (April 30, 2024): 22–28. http://dx.doi.org/10.36962/ecs106/3-5/2024-22.

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In the article - "Business portfolio and the need for its optimization in the conditions of international competition" – there is discussed the necessity of studying the management of business portfolio both between countries and between companies in order to win the competition and to maintain the place gained in the market is raised. The article primarily characterizes the countries with "weak" and "strong" business portfolios, aggressive and conservative portfolios, gives their examples, talks about the key and unique factors of the portfolio, and also about the advice given by scientists to company managers in this direction. The article states that although key and unique competencies determine the success of companies in the market, there is no universal list of them and they change depending on the situation. The general manager of the company should be able to focus on the unique competence in a specific situation and rely on it in the recruitment and optimization of the business portfolio. The article presents and describes the BCG-matrix of business portfolio management proposed by the Boston consulting group, which is useful for Georgian companies. Keywords: Business portfolio; Completing the portfolio; Portfolio optimization; Portfolio Management Matrix.

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26

Shaikh, Zakir Mujeeb, and Suguna Ramadass. "Monte carlo simulation with bilstm for day-ahead stock portfolio management." Indonesian Journal of Electrical Engineering and Computer Science 33, no. 3 (March 1, 2024): 1903. http://dx.doi.org/10.11591/ijeecs.v33.i3.pp1903-1914.

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<div>Predicting stock price movement and optimizing day-ahead stock portfolios are challenging tasks due to the inherent complexity and volatility of financial markets. This study proposes a novel approach that combines bidirectional long short-term memory (BiLSTM) neural networks with monte carlo simulation (MCS) to enhance day-ahead stock portfolio management. In the proposed methodology, historical data of the top-performing 10 stocks from different sectors of the National Stock Exchange of India (NSEI) is obtained from 1 January 2004 to 30 June 2023 and utilized to train a BiLSTM model. This model effectively extracts intricate patterns and trends from the time series, leading to more accurate and robust stock price predictions. MCS generates different scenarios, considering various market conditions and uncertainties. These scenarios provide a comprehensive view of the portfolio’s performance under different conditions, thus mitigating the risk of relying solely on a single prediction. The study evaluates the proposed framework and compares its performance against traditional portfolio management strategies. Results demonstrate that the MCS with the BiLSTM approach outperforms traditional methods in terms of risk-adjusted returns and portfolio stability.</div>

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27

Reichenstein, William R., and Charles Delaney. "Portfolio Management." Journal of Investing 4, no. 3 (August 31, 1995): 57–62. http://dx.doi.org/10.3905/joi.4.3.57.

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28

Rudd, Andrew. "Portfolio Management." Journal of Accounting, Auditing & Finance 1, no. 3 (July 1986): 242–52. http://dx.doi.org/10.1177/0148558x8600100308.

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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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30

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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Vosloo, Pieter G., and Paul Styger. "The process approach to the management of loan portfolios." Journal of Economic and Financial Sciences 3, no. 2 (October 31, 2009): 171–88. http://dx.doi.org/10.4102/jef.v3i2.341.

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Many factors impacted the credit risk environment in the past decade, the most significant of which were the Basel II Capital Accord requirements. Foremost in the financial industry’s focus was, and still is, the implementation of these requirements and their associated outcomes. In the aftermath of the Basel II implementation, credit risk managers’ focus will return to understanding the portfolio philosophy in managing their credit portfolios. They will be required to adapt an integrated risk management framework, taking into account the interdependence of various building blocks, data fields and model outcomes. This paper develops and proposes a portfolio approach to the management of loan portfolios within an integrated risk management framework. The significance of this approach for the credit portfolio risk management environment and its role in maximising shareholder value are highlighted.

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Palomba, Giulio, and Luca Riccetti. "Asset management with TEV and VaR constraints: the constrained efficient frontiers." Studies in Economics and Finance 36, no. 4 (October 7, 2019): 492–516. http://dx.doi.org/10.1108/sef-09-2017-0255.

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Purpose This paper aims to perform an analytical analysis on portfolio allocation when a tracking error volatility (TEV) constraint holds, drawing specific attention to the portfolio efficiency issue. Indeed, it is well known that investors can assign part of their funds to asset managers who are given the task of beating a benchmark portfolio. However, the risk management office often imposes a TEV constraint to the asset managers’ activity to maintain the portfolio risk near to the risk of the benchmark. This situation could lead asset managers to select non efficient portfolios in the total return and absolute risk perspective. However, the risk management office can impose further constraints, such as on maximum variance or maximum value at risk (VaR) to maintain the overall portfolio risk under control. Design/methodology/approach First the authors define the TEV constrained-efficient frontier (ECTF), a set of TEV constrained portfolios that are mean–variance efficient. Second, they define two new portfolio frontiers analyzing how the imposition of a maximum variance or maximum VaR restriction can reduce the ECTF. Third, they investigate the feasibility of such portfolio frontiers and their relationships. Findings The authors find that variance or VaR constraint can force asset managers to pursue portfolio efficiency. Originality/value This is a practically important issue given that asset managers often receive a constraint on TEV from the risk management office, but the risk management office does not ask them to minimize the TEV as often assumed in the optimizations performed in the literature on this topic.

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HANNACH, Driss EL, Rabia MARGHOUBI, Zineb EL AKKAOUI, and Mohamed DAHCHOUR. "Analysis and Design of a Project Portfolio Management System." Computer and Information Science 12, no. 3 (July 25, 2019): 42. http://dx.doi.org/10.5539/cis.v12n3p42.

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The paramount importance of project portfolios for business drives managers to search for highly efficient support tools to overcome complex challenges of their management. A major tradeoff is to acquire tools able to produce a convenient portfolio project prioritization process, on which business investments are decided. However, by using existing Project Portfolio Management Systems (PPMS), many concurrent projects in a portfolio are usually prioritized and planned in the upstream life-cycle phases according to financial criteria, and overlooking the portfolio alignment to enterprise strategies and the availability of resources, although their importance. In this paper, we propose a conceptual formalization of PPMS with respect to a double portfolio prioritization process that performs two levels of selections according to both: i.) Strategy alignment, including returns on investment, size, and total cost; and ii.) Execution capability, as the organization should be able to manage and deliver the selected projects' outcomes. The advantage of our PPMS framework is twofold. First, it is useful to be customized by designers to fit organization needs. Second it is built with respect to the double prioritization phase process, as an end-to-end process that guarantees optimal portfolios generation. Further, the proposed PPMS system and its identified functionalities are validated through an implementation of a prototype tool.

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Malla, Buddhi Kumar. "Credit Portfolio Management in Nepalese Commercial Banks." Journal of Nepalese Business Studies 10, no. 1 (February 5, 2018): 101–9. http://dx.doi.org/10.3126/jnbs.v10i1.19138.

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Credit portfolio management is a key function for banks (and other financial institutions, including insurers and institutional investors) with large, multifaceted portfolios of credit, often including illiquid loans (Nario, Pfister, Poppensieker & Stegemann, 2016). After global financial crisis of 2007-2008, the credit portfolio management function has become most crucial functions of the bank and financial institutions. The Basel III, third installment of Basel accord was developed after crisis to strengthen bank capital requirements by increasing bank liquidity and decreasing bank leverage that encourages banks to measure credit risk of bank's portfolios. The Basel committee also raises an issue concerning the application of the risk weights used in the capital adequacy framework to determine exposure to risk assets for the purpose of determining large credit exposure (Morris, 2001).The portfolio management of the Nepalese banking sector has been improved remarkably during last 10 years due to the strict regulation of Nepal Rastra Bank. This journal will try to describe the present credit portfolio management practice of Nepalese commercial banks by using qualitative and quantitative methods. In this study, concentration of banks for credit portfolio management has been studied by analyzing security wise loan, product wise loan and sector wise concentration of loan where the researcher has found assorted outcomes. This research also aims to provide some suggestions to overcome with problems associated with credit portfolio.The Journal of Nepalese Business Studies Vol. X No. 1 December 2017, Page: 101-109

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35

Kondysiuk, I. "SPECIFICS OF FORMATION PORTFOLIO OF HYBRID PROJECTS OF MOTOR TRANSPORT ENTERPRISES." Bulletin of Lviv State University of Life Safety 24 (January 5, 2022): 40–47. http://dx.doi.org/10.32447/20784643.24.2021.05.

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An analysis of methodologies and research papers on project portfolio management in various sectors of the econ-omy. The peculiarities of the subject branch (motor transport enterprises) are analyzed. The expediency of implementation of hybrid projects and development of tools for their management is substantiated. It is established that one of the unsolved management tasks is the task of forming effective portfolios of hybrid projects of motor transport enterprises. The purpose of the study is to substantiate the peculiarities of the formation portfolios of hybrid projects of trucking companies. And on their basis to describe the system relationships between operational, project and portfolio management, which provides quality tools for solving basic management problems of forming effective portfolios of hybrid projects of trucking com-panies. The scientific novelty of the performed researches is the substantiated features of the formation portfolios of hybrid projects of motor transport enterprises and the system interrelations between operational, project and portfolio management are described. As a result of the performed researches, the approach to the formation portfolios of hybrid projects of motor transport enterprises which are based on the account of the specificity of subject branch and system interrelations between operational, project and portfolio management is proved. This approach underlies the development of quality tools for the portfolio management of hybrid projects of trucking companies. It is established that based on the management of separate hybrid projects knowledge on their value and risk which together with the information on a condition of the design environment and features of portfolios of hybrid projects of the motor transport enterprises, is a basis of their qualitative formation is received. The unique characteristics of products (transport services) of individual projects, as well as actions for their creation and knowledge about them, are identified.

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36

Dubrovin, Valerii, Larysa Deineha, and Valerii Laktionov. "Energy saving at energy-intensive enterprises." Electrical Engineering and Power Engineering, no. 2 (June 30, 2022): 58–68. http://dx.doi.org/10.15588/1607-6761-2022-2-6.

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Purpose. Investigate the methods of decision-making in the project portfolio management, as well as perform their software implementation as part of the system of the portfolio management optimization of energy saving projects at energy-intensive enterprises. Methodology. To achieve this goal, Markovitz's portfolio theory was chosen - the theory of financial investment, in which the methods of optimization are the most profitable distribution of the risk of the securities portfolio and income valuation. In combination with portfolio theory, methods were used to find the maximum Sharpe coefficient and minimum volatility according to randomly generated portfolios. Findings. Methods of portfolio management of energy saving projects are considered through their generalization to the methods of optimization of investment portfolios, but taking into account the specifics of the subject area. A software application has been developed and tested that automatically downloads data for certain stocks for a certain period from an electronic resource, generates random portfolios and optimizes them by maximizing the Sharpe ratio and minimizing portfolio volatility. Composing a portfolio of investments from four stocks traded on the stock exchange, the return and risk of the portfolio with different types of optimization were calculated. The application implements graphical display of portfolio optimization results in the form of tables and graphs. The first graph shows the changes in each stock over a given period of time. The following is a graph of daily profitability instead of actual prices, where you can see the volatility of shares. The simulated portfolio optimization based on the effective limit is graphically presented - the line along which the points will give the least risk to the target return and the calculated optimization of the portfolio based on the effective limit. The graphs and tables built by the program allow the user to better assess the created portfolio of the energy saving project. Originality. The approach proposed in this paper is a combination of methods for optimizing the investment portfolio according to Markovitz's portfolio theory and methods for finding the maximum Sharpe coefficient and minimum volatility in one software application to solve a wide range of problems. Practical value. The completed development has significant practical value, as it allows you to optimize quickly the financial portfolio for any assets, which allows, among other things, to use the system to optimize the management of portfolios of energy saving projects in energy-intensive enterprises. In addition, it can be the basis or model for a similar development.

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37

GRINEVA, NATALIA. "DYNAMIC OPTIMIZATION OF THE INVESTMENT PORTFOLIO MANAGEMENT TRAJECTORY." Economic Problems and Legal Practice 17, no. 3 (June 28, 2021): 73–77. http://dx.doi.org/10.33693/2541-8025-2021-17-3-73-77.

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The task of control from the position of mathematical tools application is discussed, economic statement and mathematical model of optimization problem are formulated, the sequential realization of the research aim - the mechanism of optimal portfolio management strategy formation - is presented. The results of dynamic optimization of decisions made at each step form the optimum law of the portfolio management. Scientific novelty of the study consists in the fact that the constructed portfolio takes into account the real incompleteness of the initial data on the processes of change in the yields of securities; there is no need to build a set of effective portfolios and indifference curves that characterize the risk appetite of investors; private characteristics are not used as the main criteria that determine the structure of the optimal portfolio of securities.

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38

Narale, Payal. "Investment Portfolio Management System Using Machine Learning." International Journal for Research in Applied Science and Engineering Technology 12, no. 12 (March 31, 2024): 2998–3006. http://dx.doi.org/10.22214/ijraset.2024.59541.

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Abstract: Portfolio management is the concept of determining the proportions of various assets to be held in a portfolio in order to maximize return while minimizing risk exposure. Investment banking and financial management both depend heavily on portfolio optimization. Choosing the greatest feasible combinations of several portfolios to construct an optimal portfolio is an exponentially complex challenge in terms of computation. It's commonly believed that public opinion and financial markets are intertwined. Recently, a variety of machine learning algorithms have been employed to anticipate short-term financial markets with positive outcomes. On the other hand, historical returns don't seem to fit the normal distribution theory. But sentiment analysis performs better when combined with long short-term memory networks and historical data. In this project, we want to use AI/ML to predict portfolio risk and provide insights into how stocks will perform. We will train our model using datasets obtained from the Yahoo Financial API that include historical data from the top 100 companies (NIFTY 100) in the NSE and BSE from 2010 to 2021.

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Kulikov, Oleh, Olga Zaiats, and Liubov Oksamytna. "MODERN APPROACHES TO PROJECT PORTFOLIO MANAGEMENT IN THE ROAD CONSTRUCTION INDUSTRY." Bulletin of the NTU "KhPI". Series: Strategic management, portfolio, program and project management, no. 1(7) (November 4, 2023): 42–50. http://dx.doi.org/10.20998/2413-3000.2023.7.6.

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The project approach is successfully implemented in all areas of human activity, in particular in the transport industry, and has proven itself as an effective and efficient tool for managing transport companies. Considering the large number of areas of activity in the transport sector, it is expedient to combine individual projects that are being implemented into programs and portfolios. In this study, an analysis of scientific works in the transport industry was carried out, which showed that the current state of affairs in this field requires the development of strategic management tools and their implementation in their activities. The works of scientists on strategic management and management of project portfolios of companies in various fields of activity were also considered, which showed that the available works can become the basis for developing models and methods of managing project portfolios in the field of road construction, but do not fully take into account the peculiarities of this field. The authors propose the application of a portfolio approach to the company's activities in the field of road construction. In this work, a study of the development directions of the road industry was carried out and the sources of filling the state road fund, from which financing of the specified development directions was provided, were determined, as well as an analysis of the standard of project portfolio management was carried out. In order to improve the quality of project portfolio management in the field of road construction, it is advisable to improve the implementation of strategic management processes, portfolio management, and to introduce those processes that are not yet being implemented. This can also be done by developing and implementing project portfolio management information technology in the field of road construction, which will enable the implementation of strategic management and project portfolio management.

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40

Ainslie, Lee S. "Portfolio Construction and Risk Management: Long�Short Portfolios." AIMR Conference Proceedings 2002, no. 2 (April 2002): 47–49. http://dx.doi.org/10.2469/cp.v2002.n2.3186.

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41

Meng, Lingyan, and Dishi Zhu. "Application of Algorithms of Constrained Fuzzy Models in Economic Management." Complexity 2021 (April 15, 2021): 1–12. http://dx.doi.org/10.1155/2021/9912534.

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Анотація:

Stochasticity and ambiguity are two aspects of uncertainty in economic problems. In the case of investments in risky assets, this uncertainty is manifested in the uncertainty of future returns. On the contrary, the complexity of the economic phenomenon itself and the ambiguity inherent in human thinking and judgment are characterized by indistinct boundaries. For the same problem, research from different perspectives can often provide us with more comprehensive and systematic information. Currently, the expected value of return or the variance representing risk is still used as a rational investment criterion for both single-stage portfolios and multistage portfolios. However, in general, the greater the expected return of an investor, the greater the risk he should take. Different investors have different requirements for profitability, but regardless of their expected return, they always hope to find a set of portfolios that maximize the probability of achieving the expected rate of return. In this paper, after analyzing the development of portfolio investment theory research, we take fuzzy information processing as the entry point and systematically discuss the theory and methods of fuzzy modeling of portfolio investment decision-making from the perspective of fuzziness around the portfolio investment decision-making process. The results of the empirical analysis show that the existence of basis constraints affects investors’ investment strategies as well as their final returns, but there is a limit to the influence of basis constraints on portfolio performance, and investors can obtain optimal investment returns by selecting a reasonable number of securities to form a portfolio based on the characteristics of different securities.

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42

Huang, Zi’an. "Investment Portfolio Management Based on Realistic US’s Stock Data with Two Models." BCP Business & Management 26 (September 19, 2022): 929–36. http://dx.doi.org/10.54691/bcpbm.v26i.2055.

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Portfolio theory is widely used in the financial field. Let us Suppose we combine the modern investment portfolio theory and diversify the investment portfolio. In that case, we can reduce investment risks and increase the possibility of satisfying all kinds of investors to obtain investment returns. In this article, we mainly consider applying the Markowitz model and the index model in portfolio theory, trying to explore its rate of return in the US market. We found that in the constructed investment portfolio, the portfolio’s return and Sharpe ratio constructed by the Markowitz model are consistent with the performance of the index model. This provides investors with a new investment perspective for portfolio construction.

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Klotz, Stefan, and Andreas Lindermeir. "Multivariate credit portfolio management using cluster analysis." Journal of Risk Finance 16, no. 2 (March 16, 2015): 145–63. http://dx.doi.org/10.1108/jrf-09-2014-0131.

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Purpose – This paper aims to improve decision making in credit portfolio management through analytical data-mining methods, which should be used as data availability and data quality of credit portfolios increase due to (semi-)automated credit decisions, improved data warehouses and heightened information needs of portfolio management. Design/methodology/approach – To contribute to this fact, this paper elaborates credit portfolio analysis based on cluster analysis. This statistical method, so far mainly used in other disciplines, is able to determine “hidden” patterns within a data set by examining data similarities. Findings – Based on several real-world credit portfolio data sets provided by a financial institution, the authors find that cluster analysis is a suitable method to determine numerous multivariate contract specifications implying high or, respectively, low profit potential. Research limitations/implications – Nevertheless, cluster analysis is a statistical method with multiple possible settings that have to be adjusted manually. Thus, various different results are possible, and as cluster analysis is an application of unsupervised learning, a validation of the results is hardly possible. Practical implications – By applying this approach in credit portfolio management, companies are able to utilize the information gained when making future credit portfolio decisions and, consequently, increase their profit. Originality/value – The paper at hand provides a unique structured approach on how to perform a multivariate cluster analysis of a credit portfolio by considering risk and return simultaneously. In this context, this procedure serves as a guidance on how to conduct a cluster analysis of a credit portfolio including advices for the settings of the analysis.

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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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45

Xiao, Lanxin. "Portfolio Management of Consumer Industry Based on Index Model." Advances in Economics, Management and Political Sciences 84, no. 1 (May 24, 2024): 30–41. http://dx.doi.org/10.54254/2754-1169/84/20240775.

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This paper explores the application of the index model in portfolio analysis, highlighting its significance in both macro and security analysis for the optimization of portfolios. Utilizing data spanning from October 2018 to November 2023, the study draws several key conclusions. Firstly, it identifies the optional consumption industry as particularly susceptible to market fluctuations, exhibiting higher sensitivity compared to the daily consumption industry. Secondly, an active portfolio comprising Costco, Walmart, Lululemon, and Under Armour, alongside short positions in risk-free securities, yields the optimal portfolio with a maximized Sharpe ratio. However, the study acknowledges limitations, notably the relatively small sample size and the impact of the COVID-19 pandemic, which introduces extreme risks and potential errors in the analysis. Future research directions include modifying the index model to incorporate volatility adjustments and exploring multi-factor investment models to mitigate errors and enhance portfolio efficiency. This study underscores the importance of continuous refinement and adaptation of analytical frameworks in portfolio management amidst dynamic market conditions.

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CASTRO, Ignacio, José L. GALÁN, and Cristóbal CASANUEVA. "MANAGEMENT OF ALLIANCE PORTFOLIOS AND THE ROLE OF THE BOARD OF DIRECTORS." Journal of Business Economics and Management 17, no. 2 (April 8, 2016): 215–33. http://dx.doi.org/10.3846/16111699.2014.958093.

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The objective of the present work consists in testing whether the strategic involvement of boards of directors has a positive influence on the development of alliance portfolio management capability and on the value that the alliance portfolio generates. A variance-based structural equation modelling (Partial Least Squares) has been applied to a sample constituted by 139 top Spanish companies. Our analysis shows that the strategic involvement of the board of directors has a positive and influence on the management of alliance portfolios, thereby influencing the value of that portfolio in an indirect way. Unlike previous literature, this study links the functions of the board of directors to organizational capabilities, connecting the literature on corporate governance and on management of alliance portfolios.

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Živkov, Dejan, Boris Kuzman, and Jonel Subić. "How to hedge extreme risk of natural gas in multivariate semiparametric value-at-risk portfolio?" E+M Ekonomie a Management 26, no. 3 (September 2023): 128–44. http://dx.doi.org/10.15240/tul/001/2023-3-008.

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The COVID-19 pandemic and the war in Ukraine have caused huge price changes in the natural gas market. This paper tries to minimise the extreme risk of natural gas, making two sixasset portfolios, where gas is combined with five developed and emerging European stock indices. We observe extreme risk from the aspect of classical parametric Value-at-Risk measure, but we also propose a new approach and optimise portfolios with semiparametric VaR as a target. Estimating the equicorrelation of the two portfolios, we determine that the emerging indices portfolio has a much lower level of integration, which is good for portfolio construction. Additionally, we divide the full sample into the pre-crisis and crisis periods to assess how portfolios look in the two intrinsically different subsamples. According to the results, both portfolios with the developed and emerging stock indices minimise extreme risk very well, but the latter portfolio is better. In the pre-crisis period, this advantage amounts to around 6% in the min-VaR portfolio and 3.5% in the min-mVaR portfolio. However, in the crisis period, the third and fourth moments come to the fore, meaning that hedging results increase significantly in favour of the emerging indices portfolios. In other words, the min-VaR and min-mVaR results of the emerging indices portfolio are better in amounts of more than 14% and 17%, respectively, vis-à-vis portfolios with the developed stock indices. We recommend using the semiparametric VaR metric because it is far more accurate and unbiased compared to the classical VaR since it considers all the key features of portfolio distribution.

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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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Stancheva, Viktoria. "Critical success factors for customer portfolio management." Global Journal of Business, Economics and Management: Current Issues 7, no. 3 (January 2, 2018): 285–90. http://dx.doi.org/10.18844/gjbem.v7i3.2964.

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Since the past 40 years, considerable attention has been paid to the different customer portfolio models. Although most companies understand the importance of managing their customer portfolios, they actually manage the process intuitively or on the basis of CRM systems, which do not always ensure optimal results. At the same time, the extant literature fails to offer a coherent list of the key factors for successful implementation of customer portfolio models. This paper offers a systematic view of the critical success factors for customer portfolio management. They are categorised as strategic, tactical and operational. Emphasis is placed on the grouping of success factors and the interaction between them, rather than the identification of individual factors. The research and managerial implications of the proposed framework are emphasised and opportunities for identification of the success factors along with their associated sector-specific operational variables for further development of a research methodology are presented. Keywords: Customer portfolio, CRM, critical success factors.

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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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