Search results for "Folio"
showing 10 items of 319 documents
Superiority of Optimized Portfolios to Naive Diversification: Fact or Fiction?
2017
Abstract DeMiguel, Garlappi, and Uppal (2009) conducted a highly influential study where they demonstrated that none of the optimized portfolios consistently outperformed the naive diversification. This result triggered a heated debate within the academic community on whether portfolio optimization adds value. Nowadays several studies claim to defend the value of portfolio optimization. The commonality in all these studies is that various portfolio optimization methods are implemented using the datasets generously provided by Kenneth French and the performance is measured by means of the Sharpe ratio. This paper aims to provide a cautionary note regarding the use of Kenneth French datasets …
Optimal Dynamic Portfolio Risk Management
2016
Numerous econometric studies report that financial asset volatilities and correlations are time-varying and predictable. Over the past decade, this knowledge has stimulated increasing interest in various dynamic portfolio risk control techniques. The two basic types of risk control techniques are: risk control across assets and risk control over time. At present, the two types of risk control techniques are not implemented simultaneously. There has been surprisingly little theoretical study of optimal dynamic portfolio risk management. In this paper, the author fills this gap in the literature by formulating and solving the multi-period portfolio choice problem. In terms of dynamic portfoli…
Integrated biomonitoring of airborne pollutants over space and time using tree rings, bark, leaves and epiphytic lichens
2016
The integrated use of tree rings and outer tissues, and lichens, was tested for monitoring how pollutant concentrations vary in space and over time nearby an incinerator in industrial area in Central Italy. Trace elements in thalli of lichen Xanthoria parietina and in leaves, bark, wood of Quercus pubescens, as well as carbon, oxygen and nitrogen isotope ratios in tree rings were analyzed. Some trace elements in the leaves differed significantly between the plots, though this was not the case in lichens and bark. The values of δ13C and δ18O showed the same trend in all plots, while the values of δ15N were higher in the distal plot. The results indicated that trace elements were intercepted …
Research priorities for freshwater mussel conservation assessment
2018
Freshwater mussels are declining globally, and effective conservation requires prioritizing research and actions to identify and mitigate threats impacting mussel species. Conservation priorities vary widely, ranging from preventing imminent extinction to maintaining abundant populations. Here, we develop a portfolio of priority research topics for freshwater mussel conservation assessment. To address these topics, we group research priorities into two categories: intrinsic or extrinsic factors. Intrinsic factors are indicators of organismal or population status, while extrinsic factors encompass environmental variables and threats. An understanding of intrinsic factors is useful in monitor…
Forecasting portfolio returns using weighted fuzzy time series methods
2016
We propose using weighted fuzzy time series (FTS) methods to forecast the future performance of returns on portfolios. We model the uncertain parameters of the fuzzy portfolio selection models using a possibilistic interval-valued mean approach, and approximate the uncertain future return on a given portfolio by means of a trapezoidal fuzzy number. Introducing some modifications into the classical models of fuzzy time series, based on weighted operators, enables us to generate trapezoidal numbers as forecasts of the future performance of the portfolio returns. This fuzzy forecast makes it possible to approximate both the expected return and the risk of the investment through the value and a…
Grading investment diversification options in presence of non-historical financial information
2021
Modern portfolio theory deals with the problem of selecting a portfolio of financial assets such that the expected return is maximized for a given level of risk. The forecast of the expected individual assets’ returns and risk is usually based on their historical returns. In this work, we consider a situation in which the investor has non-historical additional information that is used for the forecast of the expected returns. This implies that there is no obvious statistical risk measure any more, and it poses the problem of selecting an adequate set of diversification constraints to mitigate the risk of the selected portfolio without losing the value of the non-statistical information owne…
Measuring Social Responsibility: A Multicriteria Approach
2016
In this chapter we present a portfolio selection model for Socially Responsible Investment. The model, following the spirit of Socially Responsible Investment, consists of two different steps. Firstly, a social screening is applied in order to obtain the feasible set of assets accomplishing the socially responsible investment policy of the assets’ manager. In this step, an indicator is obtained for the measurement of the social responsibility degree of an asset. Assets are then ranked using this indicator from the most socially responsible to the less socially responsible. In a second step, once the feasible set is obtained, composed of those socially responsible assets verifying the screen…
Project portfolio selection and planning with fuzzy constraints
2018
Abstract Selecting a project portfolio is a complex process involving many factors and considerations from the time it is proposed to the time the project portfolio is finally selected. Given that making a good selection is of crucial importance, it is essential to develop well-founded mathematical models to lead the organization to its final goal. To achieve this, such models have to reflect as closely as possible both the real situation of the organization as well as its targets and preferences. However, since the process of selecting and implementing project portfolios occurs in real environments and not in laboratories, uncertainty and a lack of knowledge regarding some data is always a…
The application protocol impacts the effectiveness of biocides against lichens
2020
Abstract This work analyzed the influence of different application protocols on the efficacy of two biocides against the foliose lichen Xanthoparmelia tinctina on the sandstones of the Roman Archaeological site of Luni (Italy). The hypotheses that (a) biocide application tools (brush vs. poultice), (b) pre-treatment hydration, and (c) post-treatment washing may affect devitalization success were verified by monitoring chlorophyll a fluorescence of thalli, both in situ and in laboratory conditions. The hypothesis that (d) stone substrate may act as reservoir for later biocide release under repeated cycles of wetting and drying was also assayed. Analyses confirmed the importance of the applic…
Digital Competence for the improvement of Special Education Teaching
2016
The increasing digitization and globalization of the media, the broad diversification of media products, with the value-and ethical issues that it raises, proposes and confirms the reasons why media education is to be considered as an indispensable task for anyone involved in education. Thanks to specific educational interventions and appropriate evaluation tools for self-assessment, future educators should be helped to acquire the appropriate media skills necessary to develop the capacity to responsibly and autonomously choose proper media to design their media education courses. The media competence enhances teachers’ ability to creatively modify learning spaces and to design a variety of…