Search results for " portfolio"
showing 10 items of 121 documents
When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators
2011
The use of improved covariance matrix estimators as an alternative to the sample estimator is considered an important approach for enhancing portfolio optimization. Here we empirically compare the performance of 9 improved covariance estimation procedures by using daily returns of 90 highly capitalized US stocks for the period 1997-2007. We find that the usefulness of covariance matrix estimators strongly depends on the ratio between estimation period T and number of stocks N, on the presence or absence of short selling, and on the performance metric considered. When short selling is allowed, several estimation methods achieve a realized risk that is significantly smaller than the one obtai…
Cluster analysis for portfolio optimization
2005
We consider the problem of the statistical uncertainty of the correlation matrix in the optimization of a financial portfolio. We show that the use of clustering algorithms can improve the reliability of the portfolio in terms of the ratio between predicted and realized risk. Bootstrap analysis indicates that this improvement is obtained in a wide range of the parameters N (number of assets) and T (investment horizon). The predicted and realized risk level and the relative portfolio composition of the selected portfolio for a given value of the portfolio return are also investigated for each considered filtering method.
Strategising IT service management through ITIL implementation: model and empirical test
2015
Research on the Information Technology Infrastructure Library (ITIL) lacks appropriate theories and models that capture the distinct characteristics and implications of the ITIL implementation practice. The purpose of this study is to close this gap. Based on a literature review, we develop and empirically validate a theoretical model: the ITIL Implementation Project Model. The model includes significant antecedents, which provide a foundation upon which an effective ITIL implementation project can be built, as well as the pertinent effects of implementing ITIL. The results contribute to the current research stream on the strategising of IT service management as well as to an improved under…
IMPLEMENTING A VALUE ASSESSMENT TOOL FOR SERVICE INNOVATION IDEAS
2010
There has not been much discussion of how firms may assess the value of service innovation projects ex-ante in the extant research literature. This paper theoretically derives a value assessment tool for service innovation ideas called QSI (tool for pre-Qualification of Service Innovation projects). Thereafter QSI is implemented in three firms and it is explored to what degree the implementation improved managerial decision making on service innovation projects and investments. The findings indicated that the implementation of QSI had effects both in a portfolio management and a project management perspective. From a portfolio management point of view deployment of QSI improved the particip…
A proposal for sorting a projects portfolio through the ELECTRE TRI method focused on the European strategy
2019
In recent years, the partnerships between private companies and public organizations are becoming key elements for improving local development, territorial competitiveness, and delivering innovation. These collaborations are widely promoted by the European Framework Programme for Research and Innovation thanks to the provision of several instruments, such as Horizon 2020. In this context, competitiveness's improvement of the territory employing research and innovation actions is supported by the technological districts. In Sicily, the AgroBioPesca district has attempted a strategic action named "Call for ideas" in order to design its own roadmap for research and innovation in the agri-food …
A Quasilinear Parabolic Equation with Quadratic Growth of the Gradient modeling Incomplete Financial Markets
2004
We consider a quasilinear parabolic equation with quadratic gradient terms. It arises in the modeling of an optimal portfolio which maximizes the expected utility from terminal wealth in incomplete markets consisting of risky assets and non-tradable state variables. The existence of solutions is shown by extending the monotonicity method of Frehse. Furthermore, we prove the uniqueness of weak solutions under a smallness condition on the derivatives of the covariance matrices with respect to the solution. The in influence of the non-tradable state variables on the optimal value function is illustrated by a numerical example.
Open innovation: A real option to restore value to the biopharmaceutical R&D
2014
The pharmaceutical landscape has changed, and new business models, based on alliances, are increasingly being adopted in this industry. Biotechnology advances have pushed this development, and pooling complementary resources coming from incumbents and newcomers is a key skill to succeed: these are the premises for a quick spread of the open innovation (OI) paradigm in this industry. R&D portfolio selection needs R&D project evaluation, and Real Options Analysis (ROA) is acknowledged as a powerful tool to evaluate uncertain projects that have an intrinsic flexibility. The present research aims to foster the use of ROA in the OI field in order to encourage firms to undertake this innovation mode…
A real options based model to select a balanced R&D portfolio
2011
The R&D process in the pharmaceutical industry has a long and dynamic life then it is an ideal field of application for ROA. Actually, ROA implementation, as widely demonstrated in literature, is narrowed to very limited cases because its perceived complexity. This research wants to suggest a simplified method, respect the ones available in literature, that could foster the use of ROA: we built up an integer linear programming model, based on a model available in literature, useful for selecting a balanced R&D portfolio from a set of candidate drugs. The model has been tested through a case study.
An affordable way to implement real options to select optimal R&D portfolio
2011
Real option Analysis (ROA) is acknowledged as a powerful tool to evaluate uncertain projects whose uncertainty depends heavily on alternatives available along the project life. The R&D process in the pharmaceutical industry has a long and dynamic life then it is an ideal field of application for ROA. Actually, ROA implementation, as widely demonstrated in literature, is narrowed to very limited cases because its perceived complexity. This research wants to suggest a simplified method, respect the ones available in literature, that could foster the use of ROA: we built up an integer linear programming model, based on a model available in literature, useful for selecting the optimal R&D produ…
A real options based support system to open innovation
2012
Pharmaceutical R&D process (PR&DP) has been deeply investigated by different streams of literature; the interest is due to the strategic implication of the related decisions undertaken. The PR&DP has been revolutionised by the biotech advent and as a consequence R&D managers cannot avoid to consider Open Innovation paradigm during this decision process. Starting from a Real Option optimization model available in literature, the paper aims at proposing a decision support system (DSS) able to suggest the candidate products to be included in the best R&D portfolio varying input parameters (resilient products), to provide a products Pareto analysis that aims at individuating the products for wh…