Portfolio Changes Research Articles

Методика оценки эффективности изменений товарного портфеля как инструмент маркетингового аудита торговых сетей

The article discovers the methods of assessing the eff ectiveness of changes in the commodity portfolio aimed at ensuring balanced fi nancial resources of the company. The developed methodology is designed to control compliance of the obtained effect from the change of the commodity portfolio with the expectations of owners and managers of trading networks, what is the function of marketing audit. The proposed methodology is universal and can be used in marketing audit of the commodity portfolio of any organizations considering their specifics.

Modelling the future low-carbon energy systems - case study of Greater Copenhagen, Denmark

In the light of insufficient climate policy on the global and national scale, ambitious cities are frontrunners of the climate action. Among them is Copenhagen, Denmark, aiming to achieve a CO2-neutral energy system in 2025. Reaching this goal requires, among other, changes in energy generation portfolio, which can be assessed using energy systems modelling. The aim of this study is to construct and evaluate four scenarios for sustainable electricity and heat supply of Greater Copenhagen and the new development project Nordhavn, deciding on the least expensive and least polluting option from a socio-economic perspective. Using the energy system model Balmorel, the energy scenarios are assessed and compared focusing on heat and electricity price and CO2 emissions. Sensitivity analyses are conducted considering changes in coefficient of performance (COP) of heat pumps and discount rate. The results show that from the socio-economic perspective, expanding district heating to Nordhavn is a promising solution. In case the heating demand in the Nordhavn area is supplied by a local source, power-to-heat technologies are chosen. Despite the narrow geographical focus, the challenges discussed in this paper and the method developed are relevant for other urban areas in Europe that aspire to have sustainable energy systems.

Abnormal trading around common factor pricing models

PurposeThe purpose of this paper is to investigate the impact of factor-based trading strategies on pricing and volume.Design/methodology/approachThe authors employ a regression discontinuity approach to identify abnormalities in volume or pricing around expected portfolio changes. In addition, the authors characterize more granular effects on pricing and volume as a result of portfolio re-classification through Fama and Macbeth (1973) regressions.FindingsThe authors find that firms which are predicted to transfer among the factor portfolios of Fama and French (1993) exhibit strong and statistically significant short-term variation in stock price and volume. Short-term returns around the cutoff values comprising SMB and HML tend to be temporarily high if the firm is predicted to move into a long component of a factor-mimicking portfolio, and temporarily low if moving into a short component. Similar results are apparent when examining movement in and out of the 25 size and book-to-market sorted test asset portfolios.Practical implicationsThe use of portfolio strategies formulated on the basis of sorting procedures, while once upon a time a niche market in the portfolio management industry, is now ubiquitous. The results of this study raise interesting methodological questions about the pricing implications arising from these common methodologies.Originality/valueThis study makes a number of contributions. First, it contributes to the idea that the publication or dissemination of trading strategies or – more generally – common portfolio sorting methods, leads to effects on pricing and volume through commonly motivated trading pressure. In other words, recipe-like discoveries of advantageous trading strategies lead to a synthetic creation of demand. Second, by noting that a lot of factor-focused trading activity begins around July and August of each year, the study relates to existing literature which documents seasonal variation in stock returns and volume. The findings raise questions about what guides institutional investors’ portfolio allocation decisions and whether these are optimal in aggregate.

Managers' Response Towards Business Environment - Behavioral Management

Article presents the results of testing managers’ behavior and response towards business environment. The study develops ideas how to extend current management theory with behavioral approach. Research method is based on in-depth empirical qualitative analysis, results are subject of quantitative verification using statistical methods which allows reaching better results. Research proceeds inductively, it means that new knowledge is generated as outcome and matched to theories. Decisions are examined as responses towards business environment components, correlations and significances between active or passive managers’ behavior are demonstrated. Proactive managerial approach is characterized by frequent change and diversification in suppliers, customers, human resources and product portfolio. As a conclusion, managerial response can be interpreted as a product of managers’ activity, personal preferences and abilities. The re-orientation towards recognition of active or passive behavior is developed and matched towards current theories. It can be assumed, that the current scientific discussion is potentially relevant in seeking to explain the role of individual manager. In summary, the analysis and the outcomes have proved managers’ exceptional flexibility in counteracting actively the shortcomings of external context.

Rural livelihood diversification of Dzao farmers in response to unpredictable risks associated with agriculture in Vietnamese Northern Mountains today

Vietnamese rural mountains are undergoing a significant transformation process in agriculture-based economy nowadays. A challenge facing ethnic minorities is identifying more appropriate way of life to cope with unpredictable risks associated with agriculture. This paper deals with livelihood diversification by the Dzao, an indigenous ethnic minority group in the Vietnamese Northern Mountains. One hundred and six Dzao households from 11 villages are surveyed with a systematic random sampling. The Simpson diversity index and the Average Agricultural Livelihood Diversification Index are used to measure the livelihood diversification of villages. Eighteen survey questions are developed from six determinants of livelihood diversification such as seasonality, risk strategies, labor markets, credit market failures, asset strategies and coping behavior and adaptation. The results show that livelihood diversification aligns Dzao farmers’ goals to the short-term economic feasibility and long-term sustainability. Farmers diversify their livelihood by combining livelihood strategies for agricultural intensification, agricultural extensification and migration. Diversification should range from a temporary change in the household livelihood portfolio (occasional diversification) to a deliberate attempt to optimize the household capacity taking advantage of opportunities and coping with unexpected constraints (strategic diversification).

Oil price thresholds and stock returns

ABSTRACTIn this article, we apply the threshold autoregressive model to examine oil price thresholds and the relationship between oil prices and the returns of 25 benchmark portfolios formed on size and book-to-market. Our results show that the relationship between the change in oil prices and portfolio returns reverses depending on whether the current oil price is above or below the estimated oil price threshold. Additional results show that this threshold effect is concentrated in the small stock portfolios. Finally, our finding that there is a threshold effect of oil price changes on stock returns is consistent with the theoretical model of investor sentiment presented by Barberis, Shleifer, and Vishny (1998) and is intuitively consistent with the economic dynamics and structure of the oil industry.

Pembentukan Portofolio Optimal Saham-Saham Di Bursa Efek Indonesia (Bei)

This research was conducted with the aim of compiling an optimum portfolio of stocks listed on the Indonesia Stock Exchange (IDX) using a single index model. The subjects of this study are stocks that consistently entered into LQ45 during the 2014-2018 period. This period was chosen because at that time the stock transactions on the Indonesia Stock Exchange was bad, as evidenced by the weak and tendency of the index (IHSG) trend.
 The single-index model is used because it is a simple model and is widely used in optimum portfolio formation. This model can be used to calculate expected return and portfolio risk making it possible to form an optimum portfolio.
 Even though similar studies have often been carried out, the very dynamic movement of stock prices on the stock exchange causes changes in the optimal portfolio each year. So that research needs to be done that continuously uses different periods of the year.
 The results of this study indicate that of the 24 listed issuers that were sampled, only 18 shares formed the optimal portfolio. These shares were BBCA 17.21%, PWON 16.35%, WIKA 12.95%, KLBF 7.45%, GGRM 6.51%, BBNI 5.68%, UNVR 5.35%, UNTR 4, 92%, ICBP 4.65%, ADRO 3.81%, JSMR 3.21%, ASII 3.00%, SMGR 2.78%, TLKM 2.08%, PTBA 2.07%, INDF 1.90% , BMRI 0.06%, and INTP 0.02%.

Disintermediation of banks in a developing economy

Purpose The purpose of this paper is to investigate how Pakistani banks manage their portfolios (lending vs investment) when the economic indicators are not supportive. This study investigates three aspects of the banking system in Pakistan – prevalence of disintermediation, post-crisis profitability orientation and depositor protection by financial system in unfavorable conditions. Design/methodology/approach This study is limited to identifying the key economic and financial drivers behind disintermediation and its subsequent impact on banks’ profitability and depositors’ protection. GLS panel regressions and Engle–Granger causality test as specified by the error correction model have been used to test the major hypothesis of this study. Findings This study shows that small banks have been shifting major part of their portfolios toward risk-free investments to be able to maintain their profitability more efficiently and effectively, like large banks. The study also observes that significant pairing causality exists between gross credit loans and investments confirming disintermediation hypothesis for all types of banks except Islamic or Sharia compliant banks, whereas for significant pairing causality, the results are mixed for remaining variables among gross credit loans as a proportion of assets and economic variables that include GDP growth, unemployment, KSE-100 and SBP policy rate. It is also confirmed by the results that disintermediation improves banks profitability and depositor protection, thus providing a good rationale and justification to banks for opting it. Originality/value The study focuses on the impact of structural changes in portfolios only of commercial banks’ revenue-generating assets not including other financial institutions as a part of banking system. Furthermore, data are extracted from balance sheets and is the sole property of corresponding author.

The implicit constraints of Fundamental Review of the Trading Book profit-and-loss-attribution testing and a possible alternative framework

The Fundamental Review of the Trading Book (FRTB) is a relatively new regulatory framework, proposed by the Basel Committee on Banking Supervision and dedicated to market risk. Its major innovation is the profit-and-loss-attribution (PLA) test, a tool designed to verify the alignment between theoretical changes in a trading desk portfolio’s value, based on an institution’s risk-measurement model (risk theoretical profit-and-loss (RTPL)), and hypothetical changes in a trading desk portfolio’s value, based on an institution’s accounting/front-office pricing model (hypothetical profit-and-loss (HPL)). The theoretical and numerical results presented in this paper highlight the very strong, implicit constraints embedded in PLA and the generally low probability of conducting a successful PLA test; these results support industry concerns related to the proposed regulatory requirements. Moreover, numerical tests aimed at assessing whether RTPL and HPL are sufficiently close show that the proposed alternative framework based on statistical hypothesis testing, together with the imposition of a minimum correlation level between RTPL and HPL, appears to be a robust approach in terms of statistical discriminatory power, reactivity and sensitivity to outliers.

The limits of relational governance: Sales force strategies in the U.S. medical device industry

Research Summary: We explore how interorganizational relationships shape firm boundary decisions. Using data on 545 U.S. medical device manufacturers' product portfolios and sales‐governance choices (i.e., internal or external sales forces) from 1983 to 1996, we find relational capital between manufacturers and external sales forces influences future firm boundary decisions. Relational capital lowers the likelihood of integrating the sales function, but only when firms remain focused on the same product market. Further, launching an innovative product has a nuanced effect. For firms lacking relational capital, innovation increases the likelihood of sales integration. This pattern reverses as relational capital accumulates, but only when innovations are in the firm's existing focal product market. Our findings suggest important limits on the effect of relational governance on firm strategy. Managerial Summary: Choosing between in‐house or external sales is a key strategic decision. In the medical device industry, this decision is particularly important because salespeople are conduits between R&D and customers. For firms who initially choose external sales, the trade‐off between maintaining existing links (via external sales) and developing new, direct relationships (by bringing sales in‐house) can change significantly as product portfolios change. Analyzing 545 U.S. medical device manufacturers from 1983 to 1996, we find that existing relationships with external sales forces reduce the likelihood of bringing sales in‐house, but only when firms remain in the same product market, such as orthopedic implants. When firms launch products in new markets, especially innovations, they are more likely to bring sales in‐house.

Make a difference: ecology careers in federal agencies

Make a difference: ecology careers in federal agencies

The Intra-MNE Dynamics of Multinational Firms and Subsidiary Mandate Change

This research examines the intra-dynamics in multinational enterprises (MNEs) that reconfigure subsidiary mandate portfolio. In particular, we pay attention to the fact that heightened complexity stemming from heterogeneous business operations makes parent- or subsidiary- driven explanations less valid to understand how a subsidiary’s mandate portfolio changes. In this paper, we aim to offer a complete picture of intra- MNE dynamics by identifying how subsidiary-subsidiary dynamics also affect mandate portfolio change. In particular, drawing on multimarket contact literature, we identify that both cooperative and competitive conditions between subsidiary units affect mandate portfolio change. Based on a sample of 4,509 Japanese subsidiaries from 1991 to 2014, the findings confirm that subsidiaries redefine their mandate portfolio in response to strategic moves of other subsidiaries.

Analysis of Tissue and Circulating Tumor DNA by Next-Generation Sequencing of Hepatocellular Carcinoma: Implications for Targeted Therapeutics.

Hepatocellular carcinoma (HCC) has limited treatment options. Molecular analysis of its mutational landscape may enable the identification of novel therapies. However, biopsy is not routinely performed in HCC. The utility of analyzing cell-free circulating tumor DNA (ctDNA) by next-generation sequencing (NGS) is not established. We performed 32 ctDNA NGS analyses on 26 patients; 10 of these patients had tissue NGS (236 to 626 genes). ctDNA was evaluated using an assay that detects single nucleotide variants, amplifications, fusions, and specific insertion/deletion alterations in 54 to 70 genes. The ctDNA demonstrated that 23 of 26 patients (88.5%) had ≥1 characterized alteration, and all these individuals had ≥1 potentially actionable alteration. The most frequently mutated gene was TP53 (16 of 26 patients, 61.5%). There were 47 unique characterized molecular alterations among 18 total gene alterations [variants of unknown significance (VUS) excluded)]. ctDNA and tissue NGS frequently showed different profiles, perhaps due to length of time between tissue and blood samples [median = 370 days (range, 29 to 876 days)]. Serial ctDNA evaluation in an illustrative patient treated with capecitabine demonstrated emergence of a new TP53 alteration after progression. In conclusion, ctDNA profiling is feasible in advanced HCC, and serial assessment using ctDNA NGS can reveal genomic changes with time. NGS of ctDNA provides a minimally invasive alternative for identifying potentially actionable gene alterations and potential molecular targeted therapies. Dynamic changes in molecular portfolio associated with therapeutic pressure in difficult-to-biopsy patients can be observed. Mol Cancer Ther; 17(5); 1114-22. ©2018 AACR.

Key Drivers for Cooperation toward Sustainable Development and the Management of CO2 Emissions: Comparative Analysis of Six Northeast Asian Countries

This study analyzes the key drivers of the relationship between economic growth and carbon emissions in six Northeast Asian countries (China, Japan, Republic of Korea, Democratic People’s Republic of Korea, Mongolia, and Russia) from 1991 to 2015. We apply a decomposition analysis approach using Logarithmic Mean Divisia Index to identify the main contributing factors toward CO2 emission changes. To discuss the decomposition results in more in detail, we explain the energy portfolio change in each country to understand the energy and resource utilization strategy. From the results, we find that the key driving factors of CO2 emissions change and energy portfolio trends are different among Northeast Asian countries, driven by economic growth in China and Korea, reduced by energy efficiency improvements in Russia and the DPRK, while being relatively benign in Japan and Mongolia due to a combination of these factors. This result implies that we can better understand the regional cooperation policy for improving each driving factor to achieve sustainable development and management of CO2 emissions considering the characteristics of each country.

A similarity measure for the cardinality constrained frontier in the mean–variance optimization model

This paper proposes a new measure to find the cardinality constrained frontier in the mean–variance portfolio optimization problem. In previous research, assets belonging to the cardinality constrained portfolio change according to the desired level of expected return, so that the cardinality constraint can actually be violated if the fund manager wants to satisfy clients with different return requirements. We introduce a perceptual approach in the mean–variance cardinality constrained portfolio optimization problem by considering a novel similarity measure, which compares the cardinality constrained frontier with the unconstrained mean–variance frontier. We assume that the closer the cardinality constrained frontier to the mean–variance frontier, the more appealing it is for the decision maker. This makes the assets included in the portfolio invariant to any specific level of return, through focusing not on the optimal portfolio but on the optimal frontier.

Detecting structural changes in large portfolios

Model-free tests for constant parameters often fail to detect structural changes in high dimensions. In practice, this corresponds to a portfolio with many assets and a reasonable long time series. We reduce the dimensionality of the problem by looking at a compressed panel of time series obtained by cluster analysis and the principal components of the data. With this procedure, we can extend tests for constant correlation matrix from a sub-portfolio to whole indices, which we exemplify using a major stock index.

Dynamic Initial Margin Estimation Based on Quantiles of Johnson Distributions

The estimation of dynamic initial margin (DIM) for general portfolios is a challenging problem. The present paper describes an accurate new approach, based on regression, that uses Johnson-type distributions, which are fitted to conditional moments estimated using least-squares Monte Carlo simulation (the JLSMC approach). This approach is compared to DIM estimates computed using nested Monte Carlo as a benchmark. Under a number of test cases, the two approaches are shown to be coherent. Furthermore, we show that estimates of DIM produced under the standard regression approach, which assumes portfolio changes are Gaussian, diverges significantly from the better estimates using the JLSMC and nested Monte Carlo approaches. The standard approach performs particularly poorly if the portfolio changes are far from Gaussian (e.g. for options). To further demonstrate the efficacy of the JLSMC approach we provide illustrative examples using Hull-White and Heston models for different derivatives and portfolios. A further advantage of the new approach is that it only relies on the quantities required for any exposure or XVA calculation.

Collusive Benchmark Rates Fixing

The fixing of the Libor and Euribor benchmark rates has proven vulnerable to manipulation. Individual rate-setters may have incentives to fraudulently distort their submissions. For the contributing banks to collectively agree on the direction in which to rig the rate, however, their interests need to be sufficiently aligned. In this paper we develop cartel theory to show how an interbank lending rates cartel can be sustained by preemptive portfolio changes. Exchange of information facilitates front running that allows members to reduce conflicts in their trading books. Designated banks then engage in eligible transactions rigging to justify their submissions. As the cartel is not able to always find stable cooperative submissions against occasional extreme exposure values, there is episodic recourse to non-cooperative quoting. Periods of heightened volatility in the rates may be indicative of cartelization. Recent reforms to broaden the class of transactions eligible for submission may reduce the level of manipulation, but can lead to more frequent collusive quoting.

Changes in the Product Portfolio of Defence Contractors: Global Experience and Opportunities for Russia

The paper reviews the global experience in changing the defence contractors’ product portfolios and identifies the conditions for intensifying diversification in Russian defence industry and promising ways to overcome the obstacles to defence contractors’ restructuring. The information basis of the research included the works by Russian and foreign defence industry scientists and practitioners and the data from the Stockholm Peace Research Institute. The article analyses the pattern of the public funding allocated to the nuclear weapons complex and applied defence research. It later examines the global experience in conversion and diversification of military production. The authors propose possible directions for solving the problems faced by defence contractors on their way to diversified and efficient production with regard to the current operational environment in Russia and the requirements to boost the companies’ innovative processes. The paper then describes the aims, advantages and disadvantages of conversion forms. The results of the research lay the ground for the methodological framework for developing recommendations to assess and improve the efficiency of innovative processes at defence contractors.

Beyond the Age of Oil and Gas – How artificial intelligence is transforming the energy portfolio of the societies

Abstract An important goal of TECIS’18 is to exchange ideas and experiences in the field of technology and international stability. At the focus of our study, we examine the impact of artificial intelligence on international stability. At the focus of our study, we examine the impact of artificial intelligence (AI) on international stability. Within this, we will present a possible scenario for the impact of AI on the energy sector. It can be seen that even the small changes in the global energy consumption portfolio can be assessed as a factor threatening the status quo and thereby the international stability.