Search results for "Folio"

Mean‐Variance Portfolio Optimization

2010

Risk forecasting models and optimal portfolio selection

2005

This study analyses, from an investor's perspective, the performance of several risk forecasting models in obtaining optimal portfolios. The plausibility of the homoscedastic hypothesis implied in the classical Markowitz model is dicussed and more general models which take into account assymetry and time varying risk are analysed. Specifically, it studies whether ARCH-type based models obtain portfolios whose risk-adjusted returns exceed those of the classical Markowitz model. The same analysis is performed with models based on the Lower Partial Moment (LPM) which take into account the assymetry in the distribution of returns. The results suggest that none of the models achieve a clearly su…

Identifying Portfolio-Based Risk Factors in Foreign Exchange Markets

2018

This paper shows that a link between the conditional mean and conditional volatility of any factor-mimicking portfolio in the foreign exchange (FX) market must exist if the proposed portfolio-based currency factor is priced and the pricing kernel has a linear factor structure. Thereby, this paper tests whether the carry risk factor and currency momentum are priced risk factors. Surprisingly, the carry risk factor does not meet the necessary conditions consistent with being a priced risk factor, whereas currency momentum indeed meets those criteria. The findings also indicate that the relation between the conditional mean and conditional risk is moreover economically reasonable for the curre…

Risk-Managed 52-Week High Industry Momentum, Momentum Crashes, and Hedging Macroeconomic Risk

2017

This is the first study that investigates the profitability of Barroso and Santa-Clara’s (2015) risk managing approach for George and Hwang’s (2004) 52-week high momentum strategy in an industrial portfolio setting. The findings indicate that risk-managing adds value as the Sharpe ratio increases, and the downside risk remarkably decreases. Even after controlling for the spread of the traditional 52-week high industry momentum strategy in association with standard risk-factors, the risk-managed version generates economically and statistically significant payoffs. Notably, the risk-managed strategy is partially explained by changes in cross-sectional return dispersion, whereas the traditiona…

ELECTRE TRI-based approach for sorting projects portfolio: Focus on the European strategy

2018

The European Framework Programme for Research and Innovation aims to facilitate the collaboration between public and private sectors in delivering innovation. To achieve this goal, Union Research and Innovation Programme provides various financial instruments, among which the Horizon 2020 is one of the most significant. Since its implementation, the Horizon 2020 has stimulated the interest of several research organizations making the partnerships among companies their core business for improving local economy. In this context, technological districts are the main proponents of research and innovation spreading in the local territory. In Sicily, the AgroBioPesca district exploited these oppo…

Effects of renewables on the stylized facts of electricity prices

2015

Abstract Many countries around the world have increased their renewable installed capacity due to a greater awareness of climate concerns. Under this new framework, with renewables being among the main generation sources, the literature warns of a dramatic change in price behaviour. Some of the most commonly claimed effects of having a significant proportion of renewable generating sources in the total electricity production mix include: (i) a systematic decrease in overall wholesale market prices, (ii) a higher occurrence of price jumps, and (iii) a significant increase in price volatility. The goal of the present study is to test whether these changes in price behaviour have actually come…

Valodu mācīšanās atbalsts un tā vadība neformālajā izglītībā Latvijā

2013

Elektroniskā versija nesatur pielikumus

Portfolio: Integrating Writing, Learning and Assessment

2001

This chapter examines portfolio assessment as a tool to support learning by integrating writing in various learning tasks and environments. The author argues that the constructivist and socioconstructivist views of learning necessitate new ideas also in the assessment where the learners have the main role and where the partnership between students and teachers has to be renegotiated. In particular, renegotiation is needed in making decisions on assessment criteria for writing and learning that respect learners’ individuality and diversity and empower students with regard to their learning. The learning, assessment and negotiation can take place in various ways and environments. Accordingly,…

CO<SUB align="right">2 prices and portfolio management

2011

Since the launch of the European Union Emission Trading Scheme (EU ETS), the interest in the trade of EUAs is constantly increasing among academics and market participants. The objective of this paper is twofold: (a) a detailed description of this new market is provided for portfolio managers and (b) a comprehensive study of the implications of including Phase II EUAs in diversified portfolios is undertaken using as expected returns both historical and risk-adjusted returns. The results show that the opportunity set for investors increases when short positions in Phase II EUAs are taken.

Career opportunities and benefits for young oncologists in the European Society for Medical Oncology (ESMO)

2016

The European Society for Medical Oncology (ESMO) is one of the leading societies of oncology professionals in the world. Approximately 30% of the 13 000 ESMO members are below the age of 40 and thus meet the society's definition of young oncologists (YOs). ESMO has identified the training and development of YOs as a priority and has therefore established a comprehensive career development programme. This includes a leadership development programme to help identify and develop the future leaders in oncology. Well-trained and highly motivated future generations of multidisciplinary oncologists are essential to ensure the optimal evolution of the field of oncology with the ultimate goal of pro…