Portfolio Of Financial Assets Research Articles

Extended Least Squares Making Evident Nonlinear Relationships between Variables: Portfolios of Financial Assets

Extended Least Squares Making Evident Nonlinear Relationships between Variables: Portfolios of Financial Assets

Financing constraints, major business performance, and return on financial assets

This study systematically examines the relationship between financing constraints and the return on corporate financial assets based on data from Chinese listed companies from 2012 to 2022. It found a positive correlation between the risk and return of financial asset portfolios; higher risk leads to higher return. Firms with fewer financing constraints have better returns on financial assets. A decrease in return on a firm's operating assets often coincides with an increase in return on financial assets.

ВЛИЯНИЕ ФИНАНСОВОГО КРИЗИСА НА СТРАТЕГИИ УПРАВЛЕНИЯ ПОРТФЕЛЕМ ФИНАНСОВЫХ АКТИВОВ

The subject of the study is global changes and the crisis in financial markets, which obviously have a great influence on the formation of changes in investor preferences, as well as related approaches to compiling an investment portfolio of financial assets. Currently, a modern investment portfolio is a collection of different financial assets, selected because of the different reactions of their prices to volatility in market trends, mainly during periods of financial crises. The main issues of forming and managing an investment portfolio using Smart Beta funds were also presented, allowing to reduce risks and uncertainties, ensuring the effective formation and management of a portfolio of financial assets, and its diversification.

ТЕНДЕНЦИИ И ПЕРСПЕКТИВЫ УПРАВЛЕНИЯ ПОРТФЕЛЕМ ФИНАНСОВЫХ АКТИВОВ В СТРОИТЕЛЬСТВЕ

Target. Conduct a research analysis of trends and prospects for a portfolio of financial assets in construction, where transformational changes are taking place due to the negative impact of international trade and economic sanctions, as well as an increase in the key rate in Russia. Tasks. Consider the practical significance of financial assets for the development of construction enterprises. Analyze the dynamics and structure of the main indicators that reflect the economic state of the financial assets of enterprises in the Russian construction industry. Identify current problems and difficulties that form barriers to the development of financial assets of enterprises in the construction industry. Methodology. As part of the conducted scientific research, the following methods were used: scientific observation, comparison, private and special methods: economic-statistical, analytical-calculation and expert. Results. Indicators of the development of portfolios of financial assets of enterprises in the Russian construction industry demonstrate an increase in capital investments, however, the degree of depreciation of fixed assets does not decrease, but, on the contrary, increases. This inverse correlation reflects the low efficiency of financial assets, which are not enough to create high competitiveness of enterprises in the construction industry. Conclusions. The authors substantiate the conclusions that the trends and prospects for the development of portfolios of financial assets of construction enterprises in Russia are characterized by economic instability in the external environment, which is caused by the adoption of large-scale international trade and economic sanctions in 2022.

КРИТЕРИИ ЭФФЕКТИВНОСТИ УПРАВЛЕНИЯ ИНВЕСТИЦИОННЫМ ПОРТФЕЛЕМ ФИНАНСОВЫХ АКТИВОВ В ПРАКТИКЕ СТРОИТЕЛЬНОЙ ОРГАНИЗАЦИИ

The purpose of the article is to analyze the key criteria that are used in the assessment of the investment portfolio of financial assets in the practice of construction organizations. The author systematized and investigated the conclusions of the authors’ scientific papers, which reveals that the definition of the main performance criteria should be used in the process of managing an investment portfolio of financial assets. For this reason, issues related to the optimization of the investment portfolio remain unresolved in the practice of construction organizations. The relevance of the study requires identifying key indicators that can be used by construction companies to solve the tasks that are set when deciding on the allocation of free financial resources and funds for their investment in specific securities and financial assets. The conditions that contribute to a higher efficiency of managing the investment portfolio of financial assets of the organization, taking into account the specifics of the activities of construction companies, are determined. In addition, the scientific article contains different approaches to criteria and indicators, with the help of which it is possible to more accurately determine how appropriate it is to manage an organization’s investment portfolio.

ASSET-BACKED SECURITIES AS AN ALTERNATIVE TO MUSLIM INVESTMENTS IN THE MAQASHID ASY-SHARIAH FRAMEWORK

The advantages of asset-backed securities are many, namely that investors can invest in quality assets, there is low default due to the division of receivables into many debtors, it is suitable for investors with faster principal return needs, and the high-profit rating of asset-backed securities can increase the overall investment portfolio. This research examines the analysis of asset-backed securities (ABS) in the study of Maqashid Shariah. The method used in writing this research is library research, with data collection directed directly to the search for data and information through books, literature, or library materials, including written documents, photographs, pictures, and electronic documents. The results of this research indicate that ABS is a financial instrument in the form of a collective investment contract unit that contains a portfolio of financial assets. The practice of asset securitization in ABS transactions has several advantages and risks. ABS has participated in various state projects and is generally very useful. To unravel liquidity problems on the originator's side and at the same time present alternative instruments with low risk for investors, it can be seen that it has included Maqashid Ash-Shari'ah, namely Hifdz Al-Maal which is included in the Dharuriyyat category from the originator's side as a solution to asset liquidity and Hajiyyat from the investor's side.

A Distributed Virtual-Machine Placement and Migration Approach Based on Modern Portfolio Theory

Virtual machine placement and migration (VMPM) are key operations for managing cloud resources. Considering the large scale of cloud infrastructures, several proposals still fail to provide a comprehensive and scalable solution. A variety of approaches have been used to address this issue, e.g., the modern portfolio theory (MPT). Originally formulated for financial markets, MPT enables the construction of a portfolio of financial assets in order to maximize profit and reduce risk. This paper presents a novel VMPM approach applying MPT and incremental statistics computation for VMPM decision-making so as to maximize resource usage while minimizing under and overload. Extensive simulation experiments were conducted using CloudSim Plus, relying on synthetic data, PlanetLab and Google Cluster traces. Results show that the proposal is highly scalable and largely reduces computational complexity and memory footprint, making it suitable for large-scale cloud service providers.

Probability Spaces Identifying Ordinal and Cardinal Utilities in Problems of an Economic Nature: New Issues and Perspectives

Prevision bundles identifying expected returns on risky assets are established. A probability space associated with risky assets is defined. In this research work, the optimization principle is based on the notion of distance. This is because problems of an economic nature are not handled in an axiomatic or intrinsic way, but they are investigated with regard to a given coordinate system. The latter is shown to be invariant. The notion of mathematical expectation applied to summarizing both monetary values and utilities is treated. Such a notion is extended to study portfolios of financial assets. Objective conditions of coherence connected with the notion of mathematical expectation are extended. Rational behaviors towards risk are based on them. A model representing diagrams considered inside the same coordinate system is shown. Such a model identifies as many optimal choices as pair comparisons it is possible to take into account in order to obtain a multilinear measure. The latter is the expected return on a specific portfolio of financial assets.

Tensors Associated with Mean Quadratic Differences Explaining the Riskiness of Portfolios of Financial Assets

Bound choices such as portfolio choices are studied in an aggregate fashion using an extension of the notion of barycenter of masses. This paper answers the question of whether such an extension is a natural fashion of studying bound choices or not. Given n risky assets, the question of why it is appropriate to treat only two risky assets at a time inside the budget set of the decision-maker is handled in this paper. Two risky assets are two goods. They are two marginal goods. The question of why they always give rise to a joint good inside the budget set of the decision-maker is addressed by this research work. A single risky asset is viewed as a double one using four nonparametric joint distributions of probability. The variability of a joint distribution of probability always depends on the state of information and knowledge associated with a given decision-maker. For this reason, two variability tensors are defined to identify the riskiness of the same risky asset. A multilinear version of the Sharpe ratio is shown. It is based on tensors. After computing the expected return on an n-risky asset portfolio, its riskiness is obtained using mean quadratic differences developed through tensors.

Hiding the Losses: Fiscal Transparency and the Performance of Government Portfolios of Financial Assets

The widespread reliance on gross government debt and deficit/surplus as indicators of fiscal performance has too often neglected the role played by other important parts of a government's balance sheet including their portfolios of financial assets. Partial measures of net worth leaves an important gap in the empirical literature on financial performance and fiscal transparency. The purpose of this paper is to examine the role played by equity investments and their performance in secondary markets. The results suggest that the performance of government equity portfolios correlates strongly with fiscal transparency to the extent that fully transparent governments are expected to generate around 7 percent higher returns than fully opaque governments. We also find strong evidence of governments willingness to inject liquidity, via investing in equities, into other sectors of the economy during periods of financial crisis confirming governments’ role as an ‘investor of last resort’.

Impact of internet use on value and diversity of risky financial asset portfolios

This study analyzed the impact of internet use on the value and diversity of risky financial asset portfolios. Portfolio diversity was computed using the Simpson and Shannon Indexes, and a double-robust inverse-probability-weighted regression adjustment estimator was used to analyze the 2017 China Household Finance Survey data. Findings showed that internet use was associated with higher value and diversity of risky financial asset portfolios. The associations were stronger for females than males. Specifically, internet use was associated with an increase of 57% in portfolio values of females compared to 18% of males; it was associated with increases of 310–313% and 97–99% in the portfolio diversity of females and males, respectively.

VOLATILITY SPILLOVER BETWEEN GERMANY, FRANCE, AND CEE STOCK MARKETS

The CEE stock markets are more and more integrated in the European financial markets. The growth of the integration of financial markets favours the volatility and return spillover between them. The current study analyses the volatility spillover among the stock markets in the countries from Central and East Europe (CEE) and Germany and France with the aim to identify the possibilities of reduction of a portfolio risk. A special attention is granted to the analysis during the pandemic caused by COVID-19. The time-varying parameter vector autoregressive (TVP-VAR) model on which is based the methodology proposed by Antonakakis and Gabauer (2017) is used to estimate the evolution in time of volatility spillover. The empirical results obtained for the period January 2001 – September 2021 highlight the increase in volatility spillover between the countries analysed when the pandemic caused by COVID-19 was confirmed. The lack of volatility integration of the markets analysed enables the making of arbitrages in order to reduce the risk of a portfolio. The results obtained are important in the management of financial asset portfolios.

Do Nonfinancial Firms Use Financial Assets to Take Risk?

Abstract Using hand-collected data on financial asset portfolios and exploiting the 2014 oil price crisis as an exogenous cash flow shock, we investigate financial risk-taking at distressed firms. We find that distressed firms, with high debt rollover risk proxied for by short-term liabilities, substantially increase their investments in risky financial assets, including corporate debt, equity, and mortgage-backed securities. The effects are stronger for unhedged firms with low collateral assets. Overall, we provide new evidence that distressed firms take risk using financial assets camouflaged as cash reserves, which, compared to real assets, are less visible and carry lower transaction costs and accelerated payoffs. (JEL G32, G34)

Correlation scenarios and correlation stress testing

We develop a general approach for stress testing correlations of financial asset portfolios. The correlation matrix of asset returns is specified in a parametric form, where correlations are represented as a function of risk factors, such as country and industry factors. A sparse factor structure linking assets and risk factors is built using Bayesian variable selection methods. Regular calibration yields a joint distribution of economically meaningful stress scenarios of the factors. As such, the method also lends itself as a reverse stress testing framework: using the Mahalanobis distance or Highest Density Regions (HDR) on the joint risk factor distribution allows to infer worst-case correlation scenarios. We give examples of stress tests on a large portfolio of European and North American stocks.

Research on Financial Asset Allocation Based on Mathematical Programming Model

With the increase of the total amount of family finance and the continuous enrichment of the types of family financial assets, the awareness of family financial management is increasingly strengthened, and people's understanding of family financial assets and their choice behavior begin to change. Financial asset investment has been deeply involved in people's social business activities, especially commercial banks, investment institutions, foundations, etc., which must participate in the investment and management of valuable financial assets at home and abroad. If investors want to reduce the risk of assets without losing profits, they need to diversify their investments and allocate assets effectively. For specific family financial products, some situations often occur in the process of combination, for example, the specific share of insurance assets is gradually increasing, while the share of cash and savings deposits is gradually decreasing. In this paper, the dominant principle of investment strategy is established, and the mathematical programming model of financial asset allocation is established. On this basis, the method of selecting the optimal financial asset portfolio is put forward.

Effectiveness of an interactive method in teaching investment literacy: Factors determining the return of beginning investors’ portfolios

Introduction. The article examines how certain factors influence the efficiency of forming virtual portfolio of financial assets. The purpose of the article is to identify the factors that contribute to the investment return of beginning investors. Materials and Methods. The methodological basis of the study includes Russian and international research articles devoted to enhancing financial and investment literacy on the national level, the role of financial education in successful investments, and the factors of return estimations for various groups of investors, including young people and beginners. The research was carried out at Novosibirsk State University (the Faculty of Economics). Portfolios produced by 396 students majoring in Economics, Management, and IT Business, who completed the ‘Financial Markets and Financial Institutions’ module were analyzed. The portfolios were completed in 2020, 2021, and 2022. The dependent variable in the econometric model was an investment portfolio return. The main factors considered for this research included students' academic performance, academic year, degree programme, age, gender, and financial asset structure of each portfolio. Results. The review of the scholarly literature allowed to identify the following potential return factors: investment literacy, educational background, personal behaviour characteristics, gender, financial market shocks, and economic crises. It was found that portfolio return is determined by the following factors: economic instability influencing financial markets, students’ academic performance in finance disciplines which is closely connected to their investment literacy and personality features revealed in the portfolio structure. However, age, degree programme and gender did not show any significant influence on the project outcome. Conclusions. Identifying the factors of students’ investment portfolio return enabled the authors to determine further development of the financial course with the interactive method in teaching investing literacy. Taking into consideration economic instability factor significance, it is necessary to discuss financial assets characteristics and dynamics during economic crises. In general, investment literacy increase influences the result positively.

Health shock, medical insurance and financial asset allocation: evidence from CHFS in China

BackgroundAs health care cost is taking an increasingly substantial proportion of national wealth, health shocks and the subsequent medical expenditures have become increasingly vital contributions to financial risks. However, the individual or combined effects of social and financial medical insurance on household financial behaviors are poorly understood. This research aims to examine the effect of health shocks on financial asset mobility and portfolio allocation of the household. Also, whether medical insurance positively affects the financial market will be analyzed.MethodsLinear-regression models are used to determine the relationship between health shock, medical insurance, and household financial behaviors, including liquidity measures and financial portfolio (risk and risk-free assets). Two types of variables (transition probability and upward mobility) are constructed to measure the aggregate-level financial asset mobility. The portfolio of financial assets is categorized according to the risk it bears.ResultsHouseholds which experience health shocks are found to exhibit lower transition probability and upward mobility of financial assets than households that do not, and health shocks pose a more serious threat to low-income households. From the inter-temporal perspective, households that have medical insurance exhibit a higher probability of raising their position within the national financial asset distribution, and are more inclined to invest in the risky financial assets. Commercial insurance displays a larger marginal effect on financial asset allocation than social insurance. Our study results highlight an essential link between health shocks, medical insurance, and household financial behavior.ConclusionThis work identified and described the relationship between health-related factors (health shock and two types of medical insurance) and household financial behaviors (risky investment involvement and class mobility in financial asset). A strong link exists between the health and financial market, with heterogenous effects between urban and rural groups, households with distinct income levels, etc. A multilayered insurance system would be helpful to facilitate household income, financial consumption, and economic growth.

Diversification and hedging strategies of green bonds in financial asset portfolios during the COVID-19 pandemic

ABSTRACT In this paper, we investigate whether investors can reap potential diversification or hedging benefits from holding green bonds in a portfolio containing a conventional financial asset during the COVID-19 pandemic. Using data from 6 November 2014 to 5 November 2020, we estimate corrected dynamic conditional correlation between between green bonds and four major asset classes: stocks, corporate bonds, commodities, and clean energy. We extend our analysis by using these correlations to examine hedging, optimal portfolio weights, and naïve strategies and evaluate their implications for investors by calculating hedging effectiveness and utility gain improvement. Results reveal that across the full sample, pre-COVID-19, and during-COVID-19 periods, optimal portfolio weights represent an ideal strategy to realize the greatest risk reduction and risk-adjusted return. Further, green bonds could add substantial diversification benefits for investors holding assets in clean energy, global stocks, and commodities.

Point-to-point stochastic control of a self-financing portfolio

This paper aims at computing optimal control policies to drive a self-financing portfolio of financial assets from a given initial financial state to a final state in a given time horizon such that for the first case, the functional portfolio financial risk is minimized and, for the second case, the functional portfolio profit is maximized. The optimal control policies are the optimal investment allocation processes, the optimal state process is the optimal investor’s wealth process, also called the system response to the input control and is obtained by solving the combined system of differential equations formed by the state and costate system of differential equations derived and extracted from Pontryagin’s Minimum Principle. Computational simulations are provided to show the effectiveness and the reliability of the approach.

Making allowance for the trends and risks of ESG investing when managing a portfolio of financial assets

Aim. The presented study aims to investigate the trends and risks of ESG investing.Tasks. The authors determine the causes of the increasing popularity of socially responsible investment and analyze the relationship between the company’s compliance with ESG factors, its financial indicators, and its stability in the market.Methods. This study uses general scientific methods of cognition to examine socially responsible investment in various aspects and to identify trends in managing a portfolio of financial assets.Results. The authors propose the fundamentals of creating a new methodological framework for assessing the level of social and environmental responsibility of companies and provide recommendations for including socially responsible investment in the stock portfolio.Conclusions. The increasing popularity of the social responsibility of business makes it impossible to ignore ESG investing in the stock portfolio. However, when investing in a business, it is necessary to pay attention to the correctness of the results of company valuation. The ratings do not make allowance for companies partially complying with ESG factors.