Search results for "Portfolio Management"
showing 10 items of 42 documents
The Limits to Volatility Predictability: Quantifying Forecast Accuracy Across Horizons
2018
Volatility forecasting is crucial for portfolio management, risk management, and pricing of derivative securities. Still, little is known about how far ahead one can forecast volatility. First, in this paper we introduce the notions of the spot and forward predicted volatilities and propose to describe the term structure of volatility predictability by the spot and forward forecast accuracy curves. Then, by employing a few popular time-series volatility models, we perform a comprehensive empirical study on the horizon of volatility predictability. Our results suggest that, whereas the spot volatility can be predicted over horizons that extend to 35 weeks, the horizon of the forward volatili…
Versatile tool for competence management - an e-portfolio management system for higher education in applied sciences
2011
In the line of outcome based education and transferability of credits, we study a Higher Education case and propose an e-Portfolio solution as a versatile tool for assessment tasks. The solution tackles the problems firstly, of accreditation of prior achievements from both institutional and experiential learning. Secondly, the developed tool carries the process of learning outcome definitions management (derived from the real employment world), and the learner self-assessment and self-reflection as well as the guidance and support for these. The e-Portfolio management system, ePofo, supports the identification, assessment, recognition and accreditation of prior learning achievements and lea…
A Project Manager Suitability Parameter in Project Accomplishment
2009
One the most critical aspect in project management is how to assign the project managers (PMs) to projects, especially whenever the PMs can lead more than one project. The present paper proposes a parameter (PME) to evaluate the PM in accomplishing a specific project useful for a next phase of assignment. The PME takes into account the technical skills, the leadership behavior and the relationships with project’s stakeholders. These parameters are aggregated by a Fuzzy Inference System (FIS) that well emulates the decision process of the experts by means of a rule-based inference engine. Moreover, to better define the PME, a procedure, based on the discordance concept, is proposed to compar…
Trading with Asymmetric Volatility Spillovers
2007
: We study the profitability of trading strategies based on volatility spillovers between large and small firms. By using the Volatility Impulse-Response Function of Lin (1997) and its extensions, we detect that any volatility shock coming from small companies is important to large companies, but the reverse is only true for negative shocks coming from large firms. To exploit these asymmetric patterns in volatility, different trading rules are designed based on the inverse relationship existing between expected return and volatility. We find that most strategies generate excess after-transaction cost profits, especially after very bad news and very good news coming from large or small firm…
Implementing AI Ethics: Making Sense of the Ethical Requirements
2023
Society’s increasing dependence on Artificial Intelligence (AI) and AI-enabled systems require a more practical approach from software engineering (SE) executives in middle and higher-level management to improve their involvement in implementing AI ethics by making ethical requirements part of their management practices. However, research indicates that most work on implementing ethical requirements in SE management primarily focuses on technical development, with scarce findings for middle and higher-level management. We investigate this by interviewing ten Finnish SE executives in middle and higher-level management to examine how they consider and implement ethical requirements. We use et…
Balancing Profit, Risk, and Sustainability for Portfolio Management
2022
Author's accepted manuscript © 2022 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works. Stock portfolio optimization is the process of continuous reallocation of funds to a selection of stocks. This is a particularly well-suited problem for reinforcement learning, as daily rewards are compounding and objective functions may include more than just profit, e.g., risk and su…
CO2 Prices and Portfolio Management
2008
Since January 2005, the attention on European carbon markets has been increasing and thus the interest in studying the implications of the existence of two new assets in portfolio management. In this article we analyse both the characteristics of the EUAs Phase I and Phase II as a sole investment and the impact of including these two assets, considered separately, in a well-diversified portfolio. In order to control the problems of using historical returns, we have performed this analysis using as expected returns either historical returns or risk-adjusted returns. We find that, although the weights of EUAs are not too important when incorporating the EUAs in an optimal and well-diversified…
Exploring the Relationship between Information Technology Infrastructure Library and Process Management: Theory Development and Empirical Testing
2014
This paper investigates whether information technology (IT) departments that implement the IT Infrastructure Library (ITIL) processes also employ process management. This is a pertinent issue, as ITIL not only implies a time-limited program for redesigning vital IT processes according to best practices but a complete transformation to ITIL also implies that processes are managed on a daily basis. Without process management, ITIL will not be a success beyond its initial implementation. A survey of 444 Nordic ITIL experts was conducted to examine if there is a correlation between the implementation of ITIL processes and process management. The results are unambiguous and promising for sustain…
Enabling a culture for IT services; the role of the IT infrastructure library
2016
Building on process management and service climate theories, this paper investigates the pertinent issues of whether firms that implement ITIL best practices for IT service management will also experience growth in their process management activities and IT service climate. First, ITIL practices imply that processes in the IT department should be managed on a daily basis; without process management, ITIL will fail beyond its initial implementation. Second, two of the main reasons for adopting ITIL are to become a service-oriented organisation and to deliver IT services that meet business needs. Thus, we hypothesise that as the implementation status of ITIL increases, process management and …
Using the ITIL Process Reference Model for Realizing IT Governance: An Empirical Investigation
2014
Information Technology Infrastructure Library ITIL is a popular framework for IT governance, but little academic research on ITIL exists. The authors investigate the overlap between ITIL and IT governance practices to illustrate ITIL's potential to stimulate IT governance. A field study shows that IT implementation success is particularly influenced by group efficacy and organizational resources, and, to a lesser extent, senior-management involvement. Findings show that ITIL, as expected, is a framework that contributes to IT governance by stimulating process management practices.