Search results for " portfolio"
showing 10 items of 121 documents
A Unified Approach to Portfolio Optimization with Linear Transaction Costs
2004
In this paper we study the continuous time optimal portfolio selection problem for an investor with a finite horizon who maximizes expected utility of terminal wealth and faces transaction costs in the capital market. It is well known that, depending on a particular structure of transaction costs, such a problem is formulated and solved within either stochastic singular control or stochastic impulse control framework. In this paper we propose a unified framework, which generalizes the contemporary approaches and is capable to deal with any problem where transaction costs are a linear/piecewise-linear function of the volume of trade. We also discuss some methods for solving numerically the p…
L'aprenentatge de la traducció a través de l'ús del port-folio: descripció de una experiència
2011
En aquest treball es descriu una experiència pedagògica consistent en la introducció del *portafolio com a eina d'aprenentatge i avaluació en un curs universitari de traducció. La descripció es basa en dades arreplegades durant dos anys i en els resultats d'un qüestionari administrat als participants. Després d'una breu contextualització de l'experiència i la reflexió sobre els aspectes més rellevants del *portafolio per a l'ensenyament de la traducció, específicament en la universitat, s'ofereix una descripció exhaustiva dels efectes positius de la utilització de l'instrument en el curs. El treball acaba amb una valoració de l'experiència per part dels participants.
The Best Hedging Strategy in the Presence of Transaction Costs
2009
Considerable theoretical work has been devoted to the problem of option pricing and hedging with transaction costs. A variety of methods have been suggested and are currently being used for dynamic hedging of options in the presence of transaction costs. However, very little was done on the subject of an empirical comparison of different methods for option hedging with transaction costs. In a few existing studies the different methods are compared by studying their empirical performances in hedging only a plain-vanilla short call option. The reader is tempted to assume that the ranking of the different methods for hedging any kind of option remains the same as that for a vanilla call. The …
Optimal Index Tracking Under Transaction Costs and Impulse Control
1998
We apply impulse control techniques to a cash management problem within a mean-variance framework. We consider the strategy of an investor who is trying to minimise both fixed and proportional transaction costs, whilst minimising the tracking error with respect to an index portfolio. The cash weight is constantly fluctuating due to the stochastic inflow and outflow of dividends and liabilities. We show the existence of an optimal strategy and compute it numerically.
TBVAC2020: Advancing Tuberculosis Vaccines from Discovery to Clinical Development
2017
International audience; TBVAC2020 is a research project supported by the Horizon 2020 program of the European Commission (EC). It aims at the discovery and development of novel tuberculosis (TB) vaccines from preclinical research projects to early clinical assessment. The project builds on previous collaborations from 1998 onwards funded through the EC framework programs FP5, FP6, and FP7. It has succeeded in attracting new partners from outstanding laboratories from all over the world, now totaling 40 institutions. Next to the development of novel vaccines, TB biomarker development is also considered an important asset to facilitate rational vaccine selection and development. In addition, …
A new project management approach for R&D software projects in the automotive industry - continuous V-model
2017
Most current work activities in R&D centres are innovative and dynamic, with project management acting as the discipline that governs them. The improvement of PM methods has become a necessity due to the following main factors: classical methodologies are increasingly difficult to apply, cutbacks in project duration are requested by organisations and customers, demands for product quality are continuously expanding. The paper examines how PM concepts are used in developed R&D projects, based on the V-model approach. It also introduces an enhanced new approach called Continuous V-model - CVM, based on agile concepts. The model has been applied on a real automotive R&D project and the resulte…
Fuzzy Investment Portfolio Selection Models Based on Interval Analysis Approach
2012
Published version of an article from the journal: Mathematical Problems in Engineering. Also available from the publisher:http://dx.doi.org/10.1155/2012/628295 This paper employs fuzzy set theory to solve the unintuitive problem of the Markowitz mean-variance (MV) portfolio model and extend it to a fuzzy investment portfolio selection model. Our model establishes intervals for expected returns and risk preference, which can take into account investors' different investment appetite and thus can find the optimal resolution for each interval. In the empirical part, we test this model in Chinese stocks investment and find that this model can fulfill different kinds of investors' objectives. Fi…
Alliance portfolio diversity, organizational slack, and firm performance
2013
In this paper we analyze whether and how the availability of internal resources in the form of slack influences a firm ability to deal with partner diversity in its alliance portfolio. Alliances with diverse partners provide access to a broader pool of complementary resources, but they also entail significant coordination costs. In this context, we argue that slack acts as a doubleedged sword that can either facilitate or hinder the management of interdependencies among different alliance projects. Accordingly, we further argue that the net impact of slack will depend on the firm’s experience in dealing with the challenges posed by portfolio diversity. Empirical analysis on a sample of firm…
Optimal portfolio allocation with real assets : a Finnish perspective
2017
Alternative market assets, i.e. those which are not part of the ''traditional'' financial assets, have become increasingly popular globally during the last decade. The purpose of this study is to examine the potential benefits of including real investment assets, specifically timberland and real estate holdings, for a investor investing to either domestic or international markets. Specifically the questions to be asked are: Do Finnish real investment assets offer diversification benefits in respect of increased risk-adjusted returns? What are the optimal asset allocations? The analyzed time-series for alternative investments represent quarterly total returns of average Finnish timberland an…
ITIL Implementation: The Role of ITIL Software and Project Quality
2012
This research will investigate the implementation status of the Information Technology Infrastructure Library (ITIL) reference processes and the influence of ITIL software quality and ITIL project quality on implementation status. The paper analyzes data from a survey of 160 Nordic companies.