Search results for "Portfolio Management"
showing 10 items of 42 documents
Value preserving portfolio strategies in continuous-time models
1997
We present a new approach for continuous-time portfolio strategies that relies on the principle of value preservation. This principle was developed by Hellwig (1987) for general economic decision and pricing models. The key idea is that an investor should try to consume only so much of his portfolio return that the future ability of the portfolio should be kept constant over time. This ensures that the portfolio will be a long lasting source of income. We define a continuous-time market setting to apply the idea of Hellwig to securities markets with continuous trading and examine existence (and uniqueness) of value-preserving strategies in some widely used market models. Further, we discuss…
Fuzzy Mathematical Programming for Portfolio Management
2000
The classical portfolio selection problem was formulated by Markowitz in the 1950s as a quadratic programming problem in which the risk variance is minimized. Since then, many other models have been considered and their associated mathematical programming formulations can be viewed as dynamic, stochastic or static decision problems. In our opinion, the model formulation depends essentially on two factors: the data nature and the treatment given to the risk and return goals. In this communication, we consider several approaches to deal with the data uncertainty for different classical formulations of the portfolio problem. We make use of duality theory and fuzzy programming techniques to ana…
Exploring New Service Portfolio Management
2017
Most research on the management of innovation portfolios has focused on new product portfolios, whereas the management of new service portfolios has not been researched correspondingly. This paper addresses this literature gap by exploring portfolio management of New Service Development (NSD) activities empirically. The paper applies a qualitative research design, where data was collected in 52 in-depth interviews with managers and employees involved with NSD. The study finds that the portfolio management activities and processes were carried out in parallel with the NSD process, and that the most important stakeholders in the NSD portfolio management organization were top managers not inv…
Practical Financial Optimization: A Library of GAMS Models
2010
In Practical Financial Optimization: A Library of GAMS Models, the authors provide a diverse set of models for portfolio optimization, based on the General Algebraic Modelling System. 'GAMS' consists of a language which allows a high-level, algebraic representation of mathematical models and a set of solvers --- numerical algorithms --- to solve them. The system was developed in response to the need for powerful and flexible front-end tools to manage large, real-life models. The work begins with an overview of the structure of the GAMS language, and discusses issues relating to the management of data in GAMS models. The authors provide models for mean-variance portfolio optimization which a…
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…
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.
The term structure of volatility predictability
2020
Volatility forecasting is crucial for portfolio management, risk management, and pricing of derivative securities. Still, little is known about the accuracy of volatility forecasts and the horizon of volatility predictability. This paper aims to fill these gaps in the literature. We begin this paper by introducing 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 we perform a comprehensive study on the term structure of volatility predictability in the stock and foreign exchange markets. Our results quantify the volatility forecast accuracy across horizons …