Abstract: This paper studies the optimal investment strategies for a plan member (PM) in a defined contribution (DC) pension scheme with transaction cost, taxes on invested funds and couple risky assets (stocks) under the Ornstein-Uhlenbeck (O-U) process. The PM’s portfolio is assumed to consist of a risk-free asset and two risky assets where the two risky assets are driven by the O-U process. The Legendre transformation and dual theory is use to transform the resultant optimal control problem which is a nonlinear partial differential equation (PDE) into linear PDE and the resultant linear PDE is then solved for the explicit solutions of the optimal investment strategies for PM exhibiting constant absolute risk aversion (CARA) using change of variable technique. Furthermore, theoretical analysis is used to study the influences of some sensitive parameters on the optimal investment strategies with observations that the optimal investment strategies for the two risky assets increase with increase in the dividend and decreases with increase in tax on the invested funds, risk averse coefficient, initial fund size and the transaction cost.
Abstract: In general, Covid-19 created many financial and non-financial damages to the economy and community. Level and severity of covid-19 as pandemic case varies over the region and due to different types of the projects. Covid-19 virus emerged as one of the most imperative risk management factors word-wide recently. Therefore, as part of portfolio management assessment, it is essential to evaluate severity of such risk on the project and program in portfolio management level to avoid any risky portfolio. Covid-19 appeared very effectively in South America, part of Europe and Middle East. Such pandemic infection affected the whole universe, due to lock down, interruption in supply chain management, health and safety requirements, transportations and commercial impacts. Therefore, this research proposes Analytical Hierarchy Process (AHP) to analyze and assess such pandemic case like Covid-19 and its impacts on the construction projects. The AHP technique uses four sub-criteria: Health and safety, commercial risk, completion risk and contractual risk to evaluate the project and program. The result will provide the decision makers with information which project has higher or lower risk in case of Covid-19 and pandemic scenario. Therefore, the decision makers can have most feasible solution based on effective weighted criteria for project selection within their portfolio to match with the organization’s strategies.
Abstract: The Greek Energy Market is structured as a mandatory pool where the producers make their bid offers in day-ahead basis. The System Operator solves an optimization routine aiming at the minimization of the cost of produced electricity. The solution of the optimization problem leads to the calculation of the System Marginal Price (SMP). Accurate forecasts of the SMP can lead to increased profits and more efficient portfolio management from the producer`s perspective. Aim of this study is to provide a comparative analysis of various machine learning models such as artificial neural networks and neuro-fuzzy models for the prediction of the SMP of the Greek market. Machine learning algorithms are favored in predictions problems since they can capture and simulate the volatilities of complex time series.
Abstract: This paper analyses the effect of adding Bitcoin, to the portfolio (stocks, bonds, Baltic index, MXEF, gold, real estate and crude oil) of an international investor by using daily data available from 2nd of July, 2010 to 2nd of August, 2016. We conclude that adding Bitcoin to portfolio, over the course of the considered period, always yielded a higher Sharpe ratio. This means that Bitcoin’s returns offset its high volatility. This paper, recognizing the fact that Bitcoin is a relatively new asset class, gives the readers a basic idea about the working of the virtual currency, the increasing number developments in the financial industry revolving around it, its unique features and the detailed look into its continuously growing acceptance across different fronts (Banks, Merchants and Countries) globally. We also construct optimal portfolios to reflect the highly lucrative and largely unexplored opportunities associated with investment in Bitcoin.
Abstract: Project Portfolio Management (PPM) is an essential
component of an organisation’s strategic procedures, which requires
attention of several factors to envisage a range of long-term outcomes
to support strategic project portfolio decisions. To evaluate overall
efficiency at the portfolio level, it is essential to identify the
functionality of specific projects as well as to aggregate those
findings in a mathematically meaningful manner that indicates the
strategic significance of the associated projects at a number of levels
of abstraction. PPM success is directly associated with the quality of
decisions made and poor judgment increases portfolio costs. Hence,
various Multi-Criteria Decision Making (MCDM) techniques have
been designed and employed to support the decision-making
functions. This paper reviews possible options to enhance the
decision-making outcomes in organisational portfolio management
processes using the Analytic Hierarchy Process (AHP) both from
academic and practical perspectives and will examine the usability,
certainty and quality of the technique. The results of the study will
also provide insight into the technical risk associated with current
decision-making model to underpin initiative tracking and strategic
portfolio management.
Abstract: This paper seeks to give a general idea of the universe of project portfolio management, from its multidisciplinary nature, to the many challenges it raises, passing through the different techniques, models and tools used to solve the multiple problems known. It is intended to contribute to the clarification, with great depth, of the impacts and relationships involved in managing the projects- portfolio. It aims at proposing a technique for the project alignment with the organisational strategy, in order to select projects that later on will be considered in the analysis and selection of the portfolio. We consider the development of a methodology for assessing the project alignment index very relevant in the global market scenario. It can help organisations to gain a greater awareness of market dynamics, speed up the decision process and increase its consistency, thus enabling the strategic alignment and the improvement of the organisational performance.
Abstract: At a time of growing market turbulence and a strong
shifts towards increasingly complex risk models and more stringent audit requirements, it is more critical than ever to maintain the highest quality of financial and credit information. IFC implemented
an approach that helps increase data integrity and quality significantly. This approach is called “Screening". Screening is based on linking information from different sources to identify potential
inconsistencies in key financial and credit data. That, in turn, can help
to ease the trials of portfolio supervision, and improve overall company global reporting and assessment systems. IFC experience
showed that when used regularly, Screening led to improved information.
Abstract: Fuzzy logic can be used when knowledge is
incomplete or when ambiguity of data exists. The purpose of
this paper is to propose a proactive fuzzy set- based model for
reacting to the risk inherent in investment activities relative to
a complete view of portfolio management. Fuzzy rules are
given where, depending on the antecedents, the portfolio size
may be slightly or significantly decreased or increased. The
decision maker considers acceptable bounds on the proportion
of acceptable risk and return. The Fuzzy Controller model
allows learning to be achieved as 1) the firing strength of each
rule is measured, 2) fuzzy output allows rules to be updated,
and 3) new actions are recommended as the system continues
to loop. An extension is given to the fuzzy controller that
evaluates potential financial loss before adjusting the
portfolio. An application is presented that illustrates the
algorithm and extension developed in the paper.
Abstract: The interrelationship between international stock
markets has been a key study area among the financial market
researchers for international portfolio management and risk
measurement. The characteristics of security returns and their
dynamics play a vital role in the financial market theory. This study
is an attempt to find out the dynamic linkages among the equity
market of USA and emerging markets of Pakistan and India using
daily data covering the period of January 2003–December 2009. The
study utilizes Johansen (Journal of Economic Dynamics and Control,
12, 1988) and Johansen and Juselius (Oxford Bulletin of Economics
and Statistics, 52, 1990) cointegration procedure for long run
relationship and Granger-causality tests based on Toda and
Yamamoto (Journal of Econometrics, 66, 1995) methodology.
No cointegration was found among stock markets of USA, Pakistan
and India, while Granger-causality test showed the evidence of
unidirectional causality running from New York stock exchange to
Bombay and Karachi stock exchanges.