Search results for "Portfolio"

Yet Another Note on the Leland's Option Hedging Strategy with Transaction Costs

2005

In a market with transaction costs the option hedging is costly. The idea presented by Leland (1985) was to include the expected transaction costs in the cost of a replicating portfolio. The resulting Leland's pricing and hedging method is an adjusted Black-Scholes method where one uses a modified volatility in the Black-Scholes formulas for the option price and delta. The Leland's method has been criticized on different grounds. Despite the critique, the risk-return tradeoff of the Leland's strategy is often better than that of the Black-Scholes strategy even in the case when a hedger starts with the same initial value of a replicating portfolio. This implies that the Leland's modification…

Measuring microfinance performance

2015

MFIs are measured according to two dimensions. One is their outreach to poor people, that is, their ability to provide poor families access to financial services. This is the MFIs’ social mission. The other dimension is their financial sustainability, that is, their ability to pay their employees, lenders, and other suppliers, in short, their ability to produce a profit from their operations. We set out the main microfinance measures and confirm earlier findings that profitability is rather weak in microfinance, and that operational costs constitute a large part of the total costs. We argue that researchers should put more efforts into identifying the MFI’s cost drivers because social outre…

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,…