Energy Portfolio Management with Entry Decisions over an Infinite Horizon

We study a firm that has a conventional plant and considers introducing a new plant as an alternative to generate electricity. The firm’s decision includes the optimal entry time for the new plant, and the optimal dispatch between the existing plant and the new plant after it has been constructed to maximize the expected profit over an infinite time horizon. Under geometric Brownian motion, we formulate the problems as non-regular mixed optimal stopping/control problem. Due to the intractability of the mixed problem, we decompose it into two auxiliary problems, and characterize the optimal strategies in closed-form by standard value-matching and smooth-pasting conditions. Our numerical example confirms our theoretical results.

An Investment Portfolio Management Using Software Agents that Rely on Fuzzy Logic and with Different Decision Arguments Combinations

During the development of the intellectual multi-agent investment management information system （designed for the formation of investor＇s investment decisions）, it was established that there is a lack of both necessary comprehensive researches and analysis to invoke more than one decision-making aspect （argument） for the making of investment decision, and recommendations to combine these diverse parameters. It is possible to find a lot of articles and researches in which investment decisions or investment tactics are decided on the ground of either technical or fundamental analysis, or modeling and on the ground of intellectual calculating technique （for example, fuzzy logic, neural net, genetic programming）, whereas the issues of the coordination of different techniques are not decided at all. To fill this niche, the article offers the decision applied in multi-agent investment management information system which allows to provide rationale for investment decision taking into account four aspects （arguments）, i.e., to form the recommendation to purchase/hold/sell a security paper having evaluated the following four aspects （arguments）： （a） fundamental analysis, （b） technical analysis, （c） experts and analysts＇ recommendations and （d） risk assessment. These aspects （arguments） are chosen taking into account the real most commonly occurring process of investor＇s investment decision-making. The article gives the implementation of aspects （arguments） assessment by four corresponding software agents whose decisions are implemented with a help of fuzzy logic. Besides, the article offers the technique of the unification of these aspects （arguments）. The offered intellectual multi-agent investment management information system can be tested on the internet： www.sprendimutechnologijos.lt/webapp （MADSYS project）.

The Construction of the Performance Management Teaching Portfolio Evaluation System

Two of the evaluation, Teaching Portfolio and Performance Management, have being introduced in this article, in order to lead to the construction of the Performance Management Teaching Portfolio Evaluation System.The Performance Management Teaching Portfolio Evaluation System has advantages of both Teaching Portfolio and Performance Management. The article also also has listed the elements and some examples of the Performance Management Teaching Portfolio Evaluation System.

The Necessity of the Performance Management Teaching Portfolio Evaluation System

This article analyzes the necessity of the Performance Management Teaching Portfolio Evaluation System through the investigation and questionnaires of the Vocational Colleges ESL. The detailed information and data have been listed in tables to present the difference between teachers who attend promotions and who do not in the promotion of professional titles.

Competency Evaluation and Promotion for Portfolio Management Based on Organizational Project Management Maturity Model

The objective of this paper is to present an and promote the capabilities of organizational portfolio ment Maturity Model （ OPM3 ）, the process areas of approach to comprehensively and quantitatively evaluate management. Based on the Organizational Project Manage- organizational project portfolio management are identified through the questionnaire survey and further analysis, and five capability levels are put forward and described. Then the methods of Delphi, AHP and multi-layer fuzzy comprehensive evaluation are applied to construct a mod- el of assessment and promotion. Finally, an illustrative example is presented to verify the proposed approach The result objectively and accurately describes the project portfolio management capabilities of the organization, and shows that it is able to provide a theoretical basis for an organization to improve and enhance the project port- folio management

Assessment of a portfolio as an effective tool to promote self-management among patients with ischemic heart diseases: A preliminary trial

Portfolio has been used as an approach to promoting self-learning in the field of education and its effectiveness was reported in school education. The purpose of this study was to assess effectiveness of portfolio as a tool for educating patients with ischemic heart diseases as self-management behavior in terms of applicability and efficacy. Subjects of this study were seventeen patients who had myocardial infarction or angina. They were assigned to collect information about their themes chosen from diet, exercise, alcohol intake, smoking cessation, and stress management and gathered in files. Thirty minutes face-to-face educational interviews were conducted by a nurse for once per month over three months. Self-management, self-efficacy, and physiological data were evaluated for baseline and 3 months. Two participants dropped within two months (completion rate is 88.2%). The results showed that portfolio was effective as a self-management education tool on patients who were willing to participate, but did not improve physiological data if they did not continuously implement lifestyle change. Moreover it was dangerous when the patients acquired incorrect information on diseases. For these patients, health education by health professionals is required prior to conducting portfolio. Attributes fit for portfolio were assessed. Effectiveness of portfolio related to high self-efficacy and high self-management, but did not relate to living status, having job, educational background, and health locus of control.

The Impact of Project Portfolio Management on Enterprise Strategic Objectives

In today’s era,with the increase in the number of enterprise innovations,enterprises must adopt project portfolio management for various innovations,select alternative projects from the perspective of enterprise strategy.This paper primarily explores the use of project portfolio management in enterprise project management,hoping to improve the quality of enterprise project management and the utilization efficiency of project portfolio management in enterprise project management.

A probabilistic estimation model for seismic physical portfolio loss of a water supply pipeline system

Losses due to hazards are inevitable and numerical simulations for estimations are complex.This study proposes a model for estimating correlated seismic damages and losses of a water supply pipeline system as an alternative for numerical simulations.The common approach in other research shows average damage spots per mesh estimated statistically independent to one another.Spatially distributed lifeline systems,such as water supply pipelines,are interconnected,and seismic spatial variability affects the damages across the region;thus,spatial correlation of damage spots is an important factor in target areas for portfolio loss estimation.Generally,simulations are used to estimate possible losses;however,these assume each damage behaves independently and uncorrelated.This paper assumed that damages per mesh behave in a Poisson distribution to avoid over-dispersion and eliminate negative losses in estimations.The purpose of this study is to obtain a probabilistic portfolio loss model of an extensive water supply area.The proposed model was compared to the numerical simulation data with the correlated Poisson distribution.The application of the Normal To Anything(NORTA)obtained correlations for Poisson Distributions.The proposed probabilistic portfolio loss model,based on the generalized linear model and central limit theory,estimated the possible losses,such as the Probable Maximum Loss(PML,90%non-exceedance)or Normal Expected Loss(NEL,50%non-exceedance).The proposed model can be used in other lifeline systems as well,though additional investigation is needed for confirmation.From the estimations,a seismic physical portfolio loss for the water supply system was presented.The portfolio was made to show possible outcomes for the system.The proposed method was tested and analyzed using an artificial field and a location-based scenario of a water supply pipeline system.This would aid in pre-disaster planning and would require only a few steps and time.

Portfolio management under capital market frictions:a grey clustering approach

International portfolio management is influenced by the existence of“frictions”,factors or events that interfere with trade,which are linked in financial literature to market-specific factors,such as available information,restrictions,investor protection,or market liquidity.Given the wide variety of factors that can be included in these categories,scientific studies typically focus on a reduced number of indicators at a time in order to offer an in depth analysis of their impact.We offer a consolidated view of the perspectives observed in financial literature by proposing a novel index for market frictions that includes all these four components and rank fifteen post-communist East European capital markets based on their index values.We then constructed various scenarios by assuming different levels of importance for the criteria used in index construction.By employing grey clustering analysis,we cluster these capital markets into three categories—strongly recommended,recommended with some reserve,and not recommended—based on the importance given by the decision maker to these factors.The results show that some of the studied markets are in the same cluster,irrespective of the chosen scenario.The only market always included in the“strongly recommended”category is Hungary,indicating that it is a good investment option for international participants.Bulgaria and Slovakia are always regarded as“recommended with reserve”markets,whereas the Republic of Moldova is part of the“not recommended”category.The other markets show a degree of variability that can be explained by different investor perspectives.This study contributes to the existing literature by combining the advantages of grey clustering and portfolio analysis.Investors can use this approach during the decision-making process related to their investments.

Multistage Stochastic Programming Model for the Portfolio Problem of a Property-Liability Insurance Company

The current portfolio model for property-liability insurance company is only single period that can not meet the practical demands of portfolio management, and the purpose of this paper is to develop a multiperiod model for its portfolio problem. The model is a multistage stochastic programming which considers transaction costs, cash flow between time periods, and the matching of asset and liability; it does not depend on the assumption for normality of return distribution. Additionally, an investment constraint is added. The numerical example manifests that the multiperiod model can more effectively assist the property-liability insurer to determine the optimal composition of insurance and investment portfolio and outperforms the single period one.

考虑投资者心理账户的模糊资产−负债组合优化模型

现实中投资者在同时管理资产和负债的过程中往往受到心理账户的影响,本文研究模糊环境下考虑投资者心理账户和偿债行为的资产−负债组合优化问题。首先,假设资产收益率和负债增长率均为LR型模糊数,以最大化期望净财富和最小化风险为目标,建立了考虑投资者心理账户的模糊资产−负债组合优化模型。其次,设计了一个粒子群−模拟退火混合智能算法对模型进行求解。最后,选取真实股票数据对建立的模型和求解算法进行实例分析。研究结果表明不同心理账户的投资策略会有差异,提出的模型能够刻画投资者不同的心理预期,可以为实际的投资活动提供决策支持。

管理层风险偏好异质性、股权结构与股权激励模式组合

近年来,越来越多上市公司在推出的同一期股权激励计划中同时包含两种以上股权激励模式。以2006—2020年实施股权激励模式组合计划的沪深A股上市公司为研究对象,实证研究管理层风险偏好异质性对上市公司股权激励模式组合选择行为的影响,并探究股权结构对两者关系的调节作用。研究发现:管理层风险偏好异质性越大,公司越有可能选择股权激励模式组合,以匹配管理层异质性的风险偏好,从而实现管理层风险承担总水平最优;股权结构对管理层风险偏好异质性与股权激励模式组合选择之间关系具有显著的调节效应,国有控股和股权集中度增大能够弱化管理层风险偏好异质性对股权激励模式组合选择的正向影响;股权激励模式组合能够匹配管理层风险偏好异质性,使得管理层风险承担总水平实现最优,进而提升公司价值。

Innovation Portfolio Management for Small-medium Enterprises

For small and medium sized enterprises,portfolio management can be a difficult exercise;especially when the available paths forwards are shrouded in mystery.To overcome this,they are required to research and decide upon the path to follow,but this can be difficult when the information to gather is unclear,leading to ad-hoc processes and inconsistency.The motivation for this project originated from a small and medium sized enterprise experiencing this problem of unknown critical information and a technological portfolio with significant potential.With no procedure or method in place,they conducted the research in an ad-hoc way resulting in uncertainty and low repeatability of decisions.To tackle this problem,innovation structuring frameworks were synthesised with appropriate risks and context to pose a new structure for information capture.The resulting structure was tested within the small and medium sized enterprise to investigate the repeatability of the information capture and the subsequent ranking.The proposed structure was also analysed by-process experts for its wider applicability.For the small and medium sized enterprise,this led to a consistent and repeatable method that delivered increased confidence about selecting a path forwards for its portfolio.In addition,it was found to be applicable to external organisations increasing the moders worth and applicability.The implications of this work have led to a change in the operational procedure of the small and medium sized enterprise to utilise the defined process for researching new ideas for their portfolio which can lead to repeatable and trustworthy decisions.This also has applicability to other similar companies and could lead them through a repeatable process as presented here.

Risk Management for International Portfolios with Basket Options:A Multi-Stage Stochastic Programming Approach

The authors consider the problem of active international portfolio management with basket options to achieve optimal asset allocation and combined market risk and currency risk management via multi-stage stochastic programming(MSSP). The authors note particularly the novel consideration and signi?cant bene?t of basket options in the context of portfolio optimization and risk management.Extensive empirical tests strongly demonstrate that basket options consistently have more clearly improvement on portfolio performances than a portfolio of vanilla options written on the same underlying assets. The authors further show that the MSSP model provides as a supportive tool for asset allocation,and a suitable test bed to empirically investigate the performance of alternative strategies.

Space Enterprise Strategy Guiding-Based Study on Project Portfolio Management and Flow Optimization

Project portfolio management(PPM) is the centralized management method, process and technology in multiple projects. When multiple projects in the space industry are implemented, it provides an effective methodology to resolve the problems at the same time such as conflicts among models, decrease in design efficiency,and increase in target deviation. Hence, a PPM dedicated to multiple projects management in space enterprise is presented in this paper. Firstly, an analysis of features and contents in space enterprise portfolio management mode is performed by using PPM based on its specific strategic characteristics. Then, the principle and selection methods of PPM are provided as a reference for the future development of an enterprise. Finally, a multiple-level organization architecture including decision making layers, function management layers and project execution layers is proposed so as to adapt to possible changes in the multiple projects and correspond to the strategic development. As a consequence, a perfect matching mechanism to fit the changes in PPM modes is reached. In addition, the flow chart of PPM is designed and optimized by analyzing the implementation procedure of strategic target and project portfolio life-cycle, which is expected to realize the purpose of improving space enterprise management efficiency, project management capacity, innovation development and economic benefits.

基于动态多步损失厌恶的在线投资组合管理策略

奖励函数设计的合理性对于提升深度强化学习算法的性能至关重要。针对投资组合管理任务,识别并解决了现有奖励函数的两大缺陷:一是过度关注短期市场波动而忽略长期趋势;二是对带来奖励和造成损失行为的奖惩相当,这并不符合投资者的损失厌恶心理。为此,借鉴行为金融学中的投资者损失厌恶理论,创新性地提出了一种多步损失厌恶(Multi-step Loss Aversion,MSLA)奖励函数,以更准确地刻画投资者在交易中的行为模式,并据此构建了在线投资组合管理策略。选取A股市场上三个具有代表性的指数,构建了相应的投资组合,在2019年至2023年的历史数据上进行了回测实验。实验结果表明,MSLA奖励函数显著提升了策略的整体性能,从累计收益率、夏普比率和最大回撤等指标来看,普遍优于现有的其他算法。此外,该策略不仅适用于不同市值大小股票组成的投资组合,而且在上涨、下跌和震荡的市场状态下均能保持稳健的性能,这充分说明了该算法在投资组合管理中的有效性和实用性。

IT APPLICATIONS PORTFOLIO MANAGEMENT UNDER BUSINESS AND IMPLEMENTATION UNCERTAINTY

Corporations need to improve business processes in order to enhance velocity and service levels while reducing their processing costs and differentiating themselves in the face of competition. The levitation of importance beyond support roles has raised IT investment decisions to high priority in chief executive officers＇ agendas. Corporate planning groups as well as lines of business are increasingly applying techniques of IT applications portfolio management in a more systematic fashion to improve decision-making and resource-allocation processes. Recent advances in software engineering and IT service delivery methodologies have achieved the logical separation of business functions from implementation. This separation has made a new breed of innovative IT project possible with a new project risk structure; the adjustment of portfolio management techniques is appropriate. We present an integrated portfolio management model so that the corporation can focus on organic growth through sources at both the department and top management levels. The research gives clear advice as to how top management can seek economic growth by selecting an entrepreneurial strategic posture, implying a strong risk-taking propensity. By integrating a risk-return model and risk-tolerance paradigm to cope with today＇s risk structure, overall capabilities can improve the decision process and the corporation＇s performance as well. The application of the integrated technique to a Japanese manufacturing firm is described.

Portfolio Optimization under Entropic Risk Management

framework in the risk uniqueness In this paper, properties of the entropic risk measure are examined rigorously in a general This risk measure is then applied in a dynamic portfolio optimization problem, appearing management constraint. By considering the dual problem, we prove the existence and of the solution and obtain an analytic expression for the solution.

The Impact of General Correlation Under Multi-Period Mean-Variance Asset-Liability Portfolio Management

This paper studies the multi-period mean-variance(MV)asset-liability portfolio management problem(MVAL),in which the portfolio is constructed by risky assets and liability.It is worth mentioning that the impact of general correlation is considered,i.e.,the random returns of risky assets and the liability are not only statistically correlated to each other but also correlated to themselves in different time periods.Such a model with a general correlation structure extends the classical multiperiod MVAL models with assumption of independent returns.The authors derive the explicit portfolio policy and the MV efficient frontier for this problem.Moreover,a numerical example is presented to illustrate the efficiency of the proposed solution scheme.