Investment Selection Research Articles

Fuzzy Chance-Constrained Integer Programming Models for Portfolio Investment Selection and Optimization Under Uncertainty

Portfolio investment optimization is the process of selecting the best portfolio out of the set of all projects being considered. A high financial return is not the only concern since minimization of associated risk is as important. Its objective should be set to maximize the expected return and minimize the risk in the investment as most data need to be justified based on vagueness and future values. Thus, the portfolio investment optimization problem under a fuzzy environment is studied here by incorporating a classical mathematical optimization model with the fuzzy theory. It is solved with the fuzzy chance-constrained integer programming model by linear programming under predetermined conditions and limitations. This study also uses both the credibility index and credibilistic risk index for measuring the investment return and investment risk. A numerical example is illustrated to demonstrate the effectiveness and benefits of the proposed algorithm.

Evidence-based investment selection: Prioritizing agricultural development investments under climatic and socio-political risk using Bayesian networks.

Agricultural development projects have a poor track record of success mainly due to risks and uncertainty involved in implementation. Cost-benefit analysis can help allocate resources more effectively, but scarcity of data and high uncertainty makes it difficult to use standard approaches. Bayesian Networks (BN) offer a suitable modelling technology for this domain as they can combine expert knowledge and data. This paper proposes a systematic methodology for creating a general BN model for evaluating agricultural development projects. Our approach adapts the BN model to specific projects by using systematic review of published evidence and relevant data repositories under the guidance of domain experts. We evaluate a large-scale agricultural investment in Africa to provide a proof of concept for this approach. The BN model provides decision support for project evaluation by predicting the value—measured as net present value and return on investment—of the project under different risk scenarios.

An Internal Type-2 Trapezoidal Fuzzy Sets-PROMETHEE-II based Investment Decision Framework of Compressed Air Energy Storage Project in China under the Perspective of Different Investors

• Establish a novel investment decision-making framework of the promising compressed air energy storage in China • Construct a comprehensive investment decision-making criteria system of CAES project • Build a scenario analysis model based on different investor preferences • A serious of sensitive investment criteria are identified for improving the investment decision making of CAES project. Along with the huge demand for volatility remedies of renewable energy, the construction of compressed air energy storage plant has been paid great attention around the world since it is economical to help flatten the intermittency, less geography restriction and little environment impact. To select the optimal compressed air energy storage project with massive difficulties in different preference of investors to energy development directions, uncertainties of decision-making environment and complex and various attributes of the evaluation object, an investment decision making framework is proposed in this paper from the perspective of four different types of investors based on internal type-2 trapezoidal fuzzy sets and PROMETHEE-II model. To validate the effectiveness of the established investment decision making framework, a case study in China is conducted. Result shows that different types of investors will have different optimal investment decision making results, and the investment selection results between the central government and local government, enterprises and individuals have a certain degree of consistency. Meanwhile, the stability and robustness as well as the superiority of the result and the proposed framework are confirmed by the sensitive and comparative analysis. This research possesses practical application value for investors or project managers in project investment choices.

The Belt and Road Initiative, Asian infrastructure investment bank, and the role of enterprise heterogeneity in China’s outward foreign direct investment

ABSTRACT This study analyses Chinese enterprises’ outward foreign direct investment (OFDI) from the perspectives of the Belt and Road Initiative (BRI) and home-country enterprise heterogeneity. It analyses the roles of BRI and the Asian Infrastructure Investment Bank (AIIB) in China’s OFDI using enterprise-level data for 2008–2017 from China Global Investment Tracker on Chinese enterprises’ OFDI in 128 countries. The results show that the roles of the BRI or AIIB in Chinese enterprises’ OFDI varies based on the ownership system of home country enterprises. BRI significantly affected the OFDI of central state-owned enterprises (SOEs) representing the national strategy, but not that of private enterprises. Interestingly, BRI implementation did not promote local SOEs’ OFDI significantly. Since local SOEs drive the local economy and obtain profits, they act similarly to private enterprises in investment selection.

New Regulation of Direct Foreign Investment Screening in the European Union and Interests of Russia

The article deals with adoption of a new framework regulation of direct foreign investment (DFI) of the European Union in condition of shaping a polycentric system of international relations and re-balancing of global players’ forces, which is accompanied by weakening the positions of the EU on global market and strengthening China as a new superpower. In this situation the EU tries to reinforce economic security and raise competitiveness of economy by protecting the sphere of critical infrastructure and high technologies against external control. The authors provide a brief analysis of geopolitical, economic and political factors, which determined specific features of new EU investment legislation. The scale and structure of Chinese DFI in EU economy were estimated and specificity of the process of mutual outsourcing of EU and China political values was identified. According to the analysis, China that increases its presence in the EU, apart from big finance possibilities uses differentiation of priorities in foreign and home policy of member-states and internal European contradictions and fragmentation of EU legislation. By using the text of the framework Regulation 2019/452 key elements and procedures were described and contradictions in the mechanism of investment selection being designed were found. It is proved that these contradictions, including numerous different agreements and institutional units involved in the process, keeping national priorities in making final decisions in the absence of necessary for DFI screening function system elements and others hinder the creation of the efficiently functioning supranational system of European DFI control. A conclusion was drawn that introduction of the Regulation can have a negative effect on the inflow of Russian investment to Europe. At the same time Russia cannot affect designing of this screening mechanism, as its role is limited by the frameworks of European policy of partial communication isolation. In the long-term the toughness of using investment regulation in the EU will depend on the outline of the US – EU – Russia confrontation.

A protocol for the estimate of the social rate of time preference: the case studies of Italy and the USA

PurposeThe purpose of the paper is to characterize an evaluation protocol of the social discount rate (SDR). This is based on the social rate of time preference (SRTP) principles, according to which the investment selection process must tend to maximize the utility of the community.Design/methodology/approachThe theoretical reference of the evaluation protocol is represented by the Ramsey formula. It is widely used in many countries with advanced economics for the SRTP estimation, through the maximization of the Social Welfare Function (SWF).FindingsThe protocol structure and the protocol applications to the Italian and US economies explain how the SDR value is influenced by the socio-economic structure of the single nation.Research limitations/implicationsThe strong variability of the results of the SDR according to the theoretical approach of reference and the operating path that follows can lead to judgments decidedly divergent on the acceptability of the public project, hence, the important policy implications for the entire allocation process of public resources.Practical implicationsThe applications allow to highlight the important operational problems that must be resolved with regard to the choice of the time intervals of the evaluations, as well as logical-operational tools to be used to express estimates of parameters.Social implicationsThey are relevant in relation to the effects of a more equitable allocation of the resources.Originality/valueThe protocol for the SDR estimation is based both on solid disciplinary principles and on objective data of non-complex availability and representative of the economic and socio-demographic context of the country in which the decision-making process is implemented.

Theoretical and practical consequences of imbalance in the coefficient of male and female population in modern Russia: impact of the factor of ratio of genders in the region upon individual level of financial wellbeing

This article presents a brief overview of the modern concept of gender selection and theory of parental investments, according to which the ration of genders in society manifests as a key forecaster of the level of polygyny on the marital market. The theory predicts that in shifting of the models of marital behavior from monogamous and polygamous, the level of matrimonial investment can decrease. The authors suggest that such targeted decrease of resources in the regions with low coefficient of genders can exert negative impact on the economic parameters of household in these regions. This research provides quantitative assessment of subjective satisfaction with financial position of the members of households in populated areas (N=10385) with various levels of coefficient of genders. The statistical analysis was conducted using the IBM SPSS software with application of the following methods: Pearson's χ2 criterion, Goodman and Kruskal's gamma (γ) criterion, and dispersion analysis. The acquired results confirm the presence of positive interconnection between the level of coefficient of genders in the region and financial wellbeing households. It was determined that in the regions of the Russian Federation with equal ration of male and female population, as well as in regions with predominant male population, the subjective assessment of own financial wellbeing was higher among both, men and women. The factor of sustained imbalance in the ratio of genders represents one of the relevant questions of Russian demography, but this phenomenon is rarely taken into consideration in quantitative research within social sciences.

Single-Valued Neutrosophic Linguistic-Induced Aggregation Distance Measures and Their Application in Investment Multiple Attribute Group Decision Making

This paper studied the single-valued neutrosophic linguistic distance measures based on the induced aggregation method. Firstly, we proposed a single-valued neutrosophic linguistic-induced ordered weighted averaging distance (SVNLIOWAD) measure, which is a new extension of the existing distance measures based on the induced aggregation view. Then, based on the proposed SVNLIOWAD, a novel induced distance for single-valued neutrosophic linguistic sets, namely the single-valued neutrosophic linguistic weighted induced ordered weighted averaging distance (SVNLWIOWAD), was developed to eliminate the defects of the existing methods. The relationship between the two proposed distance measures was also explored. A multiple attribute group decision making (MAGDM) model was further presented based on the proposed SVNLWIOWAD measure. Finally, a numerical example concerning an investment selection problem was provided to demonstrate the usefulness of the proposed method under a single-valued neutrosophic linguistic environment and, then, a comparison analysis was carried out to verify the flexibility and effectiveness of the proposed work.

Fast thinking in private equity: The role of heuristics in screening buyout opportunities

ABSTRACT This study utilizes a multiple-case analysis to examine the decision-making processes surrounding buyout decisions of small-to-medium businesses. Qualitative data were generated from semistructured interviews at 20 private equity groups. Rather than relying on a retrospective review of prior decisions, we present decision-makers with teasers, a summary of an investment opportunity. Our results indicate that heuristics are utilized to guide selection and execution of buyout investments. We also uncover the role of affect: strong positive or negative responses to specific stimuli in the teasers. Furthermore, the use of heuristics has important implications in the sourcing of private equity for business owners.

APPLICATION OF VALUES-BASED INVESTING CONCEPT IN WORLD INVESTMENT PRACTICE

The article considers theoretical and practical aspects of investments’ implementation at enterprises inclusive of the account the socio-economic effects arising from this. It is proved that side by side with the positive results investments can make negative impact on the surrounding community, which will require additional costs on reduction and neutralization. Thus, the need arises while calculating the cost indices of the company also take into account the indicators of "social value". The aim of the work is to analyze the world experience of forming investment strategies for business development based on the application of a cost approach with the principles of socially responsible investment. The research used methods of scientific abstraction, comparative and systematic analysis and synthesis, systematization and logical generalization. Provision of the combination of the interests of investors and society is possible by the use of the concept of "values-based investing" (VBI). It is the investment, which is based on the cost approach and consists in the selection of investments that provide the greatest increase in total cost, that is, not only to create value for the enterprise, but also to make the social value in the form of positive environmental, social and economic effects. Thus, it is a socially-responsible investment, the orientation of which is becoming more widespread in the world. The paper provides classification of areas of socially responsible investment, which includes investment by criteria of the social, ecological areas, the corporate management, the integrating multiple criteria for choosing investments. It is characterized the main types of strategies that can be implemented by enterprise within the limits of value-oriented investing and analyzed the global dynamics and structure of investment choices of socially-responsible investing. The analysis showed that in recent years the most dynamic investment strategy spread with maximum consideration of ESG factors, involving the formation of an investment portfolio based on a systematic combination of traditional financial analysis with assessment of environmental, social and governance impacts.

BONFERRONI MEANS WITH THE INDUCED OWAWA OPERATOR

The induced ordered weighted average is an averaging aggregation operator that provides a parameterized family of aggregation operators between the minimum and the maximum. This paper presents a new operator that takes into the same formulation the IOWA operator and the Bonferroni means. This new operator is called Bonferroni Induced Ordered Weighted Averaging-Weighted Average (BON-IOWAWA) operator. The main advantage of this approach is the possibility of reordering the results according to complex ranking processes based on order inducing variables. The article also considers the applicability of the new approach in the decision-making process in the selection of investment

Applying the Analytical Hierarichy Process and Weighted Sum Model for Small Project Selection in Iraq

The assessment and selection of small projects are usually carried out using commercial, official, environmental and marketing data before the investment decision is made. Small projects are among the most important sources of job opportunities and revenue in many nations. The contribution of small enterprises the provision of work has been a controversial issue around the world, it is therefore important to clarify how best to choose between projects. This paper shows an example from Karbala governorate, which demonstrates project prioritization through two project selection methods. A questionnaire was completed and scores were computed for prioritizing potential projects. The first category used an analytical hierarchy process (AHP) model for investment selection when comparing a number of options (alternatives) with respect to specific criteria, then investment with the highest weight was used to select small projects in this field for second stage transference. The second category used a weighted sum model (WSM) for top small project selection, which operated by obtaining all small project scores, and declaring that with the highest project to score to be the best small project. After combining the data and research procedure, we found that the best option from among small projects in Karbala was an industrial dairy factory.

Performance Ratios for Selecting International Portfolios: A Comparative Analysis Using Stock Market Indices in the Euro Area

This paper compares the ability of alternate performance measures to support investment selection in ten-euro area stock markets. The performance ratios used in the paper are grouped in two main categories. One category comprises the performance ratios using risk measures which do not separate systematic and non-systematic risk. The performance measures of this group are Sharpe ratio, Sortino ratio, Rachev ratio and STARR ratio. The other category comprises performance ratios based exclusively on systematic risk given by asset pricing models. The performance ratios of this category are the standard Treynor ratio based on CAPM betas, and two innovations of this ratio, mentioned in the paper by Treynord and Treynoru, based on the betas given by an asset pricing model, highlighted in this paper as Downside-Upside Risk Model (DURM), which estimates separate betas for downside and upside market returns. The empirical part of the paper consists of recursive portfolio selection based on each of the performance ratios mentioned above. The comparison of the ex post returns of the different portfolios shows that portfolios based on Sharpe, Sortino and STARR ratios offer better protection against losses in low return periods in the financial markets of the euro area , while Rachev ratio and Treynor, Treynord and Treynoru ratios are more able to take advantage from high return periods.

Distance-based consensus reaching process for group decision making with intuitionistic multiplicative preference relations

The intuitionistic multiplicative preference relation uses Saaty’s 1∕9-9 scale to depict people’s opinions from the prior and not prior aspects. Due to its objectivity in representing people’s cognition, the intuitionistic multiplicative preference relation has attracted extensive attentions of scholars. In this paper, we study the distance-based consensus measures in the context of group decision-making with intuitionistic multiplicative preference relations. First of all, some new distance measures between intuitionistic multiplicative numbers/sets are proposed, which contains the improved Hamming distance, the improved Euclidean distance, and their weighted forms. Then, we investigate their desirable properties. To aid the group decision-making process, we further develop a new consensus measures regarding intuitionistic multiplicative preference relations based on the proposed distance measures. Afterwards, a new group decision-making method is proposed to solve the complex group decision-making problems with intuitionistic multiplicative preference relations. Finally, an example concerning the project investment selection is given to demonstrate the proposed group decision-making method, and then we compare the proposed method with other existing group decision-making methods with intuitionistic multiplicative preference relations in detail.

A novel superiority and inferiority ranking method for engineering investment selection under interval-valued intuitionistic fuzzy environment

A novel superiority and inferiority ranking method for engineering investment selection under interval-valued intuitionistic fuzzy environment

Inner Rate of Risk Aversion (IRRA) and Its Applications to Investment Selection

In this paper we introduce the inner rate of risk aversion (IRRA), which is based on the risk sensitive value measure. And we also introduce the ideas of the scale risk boundary ($$\lambda _{bdry}$$), the optimal scale ($$\lambda _{opt}$$) and the optimal value ($$V_{opt}$$). We first construct the rating table of assets based on the IRRA, and then tables of $$\lambda _{bdry}$$, $$\lambda _{opt}$$ and $$V_{opt}$$. And finally we explain our strategy how to apply those tables to investment selection problems.

The analysis of mutual funds performance model accuracy

This research is based on the result of the previous research which showed the regression performance model of the 22 mutual fund products. The correlation between inflation, interest rate and the Composite Stock Price Index (IHSG) to mutual fund performance was 98.67% based on data in 2007-2014.This study examines the accuracy of the performance model of mutual fund products by using the accuracy measurement. In addition, it alsoexamines the best regression model of mutual fund products based on the smallest value of the observed data difference (data in 2015-2016) with the predicted value based on the regression model. the results of this study can be applied for decision making in considering the selection of more profitable mutual fund investment type.Based on the results of this study in examining the accuracy of the model obtained from the previous research, the result of difference between the predicted data and the observed data or(Y - Ŷ)2 of the 22 mutual fund products lies between 0.008 to 0.367 and the best product with the smallest value (Y - Ŷ)2 is 0.008.

Decision Support System for Property Investment Selection in Makassar City

Decision Support System for Property Investment Selection in Makassar City

Private Equity Investment Opportunities for Retail Investors

This exploratory research paper, primarily based on secondary literature reviews, analyses the private equity (PE) investment access channels that currently exist for retail investors in the European Union (EU). The PE market is traditionally reserved to institutional investors due to legislative limitations and minimum investment requirements. However, the rapid growth of the industry in the last decade, and strong returns delivered to institutional investors, make PE also attractive to retail investors, who are mostly excluded from the asset class. The research provides an overview of this market and the legislative framework that governs the retail investor access to alternative investments in the EU. Ten private and public market PE investment vehicles are assessed using a framework developed by the authors to enable comparability of vehicles from retail investor perspective. From this analysis, the authors derive an investment selection process, which may be used to guide retail investors in their choice of PE investment options. The paper concludes with findings about the existing limitations of private and public PE investment vehicles from retail investor perspective and makes recommendations for what can be done to increase retail investor exposure to the PE market.

Picture Fuzzy Weighted Distance Measures and their Application to Investment Selection

The picture fuzzy set (PFS) is a powerful tool to collect and handle large amounts of uncertain assess information in a new light. In this study, we explore some distance measures for the PFSs and propose Picture fuzzy ordered weighted distance measure and Picture fuzzy hybrid weighted distance measure. Some of their properties are also mathematically explored. Moreover, we introduce a model for the aforesaid distance measures to solve multiple attribute group decision making (MAGDM) method in an updated way. And at the end of our paper a practical application of investment alternatives selection is provided to illustrate the validity and applicability of the presented work.