Maximization Of Return Research Articles

Optimization of Pension Asset Portfolio in Nigeria with Contributors’ Specified Return Rate

This work focuses on the optimization of investment contributions of pension asset with a view to improving contributors’ participation in achieving better return on investment (RoI) of their funds. We viewed some new regulations on Nigeria’s Contributory Pension Scheme” (CPS) from amended legislation of 2014, some of which are yet to be implemented when their regulations are approved. A mathematical model involving 5 variables, 5 inequality constraints covering regulatory limitations and limitation on scarce resource known as Asset Under Management (AUM), suggested and mathematically shown to be possible through “maximization of return irrespective of risk” while obeying all regulatory controls as our constraints optimized. Optimized portfolio using MatLab shows that the portfolio representing AES 2013 portfolio with a deficit growth of 15.75 m representing 3.27% less than the portfolio’s full growth potential within defined assumptions would have been averted if contributors actually set their targets and investment managers optimize from forecasts of future prices using trend analysis.

OPTIMAL INVESTMENT PROBLEM WITH OPTION

In this paper, the aim of the investor is to maximize expected return for a given level of risk. The model is based on a particular risk measure conditional value-at-risk (CVaR), the expected loss exceeding Value-at-Risk. The portfolio is optimized for investment in equity, debt and option on equity. In order to enhance the return potential, the expected return of intermittent re-investment payment obtained from option is also optimized. We develop a method to deal with the maximization of return of a portfolio in a two period context extending the work of Korn and Zeytun [4]. AMS Subject Classification: 49N05, 65K10

CORPORATE GOVERNANCE, ETHICS, SIZE, RETAINED EARNINGS AND DEBTS: THEIR RELATIONSHIP WITH SHAREHOLDER VALUE OF FIRMS IN NAIROBI SECURITIES EXCHANGE

Traditionally, Corporations exist primarily to maximize shareholders wealth (Berle & Means,1932; Kapoor,2006; Stout, 2012; Friedman, 1962).The struggle for Corporations to maximize profits have taken centre stage in recent years. This has led to increased use by Corporations of various practices to meet the expectations of various stakeholders / shareholders. This study investigates the relationship between corporate ethics, governance, retained earnings, debts and sizes and shareholder value (EPS) of firms listed on NSE. The results of the study should assist Corporate CEOs and Executives make informed use of the Corporate Practices in furthering corporate objectives. A Survey of staffs of 33 Kenyan Firms listed on NSE revealed that there is significant correlation between these practices and the EPS of the Companies. In addition the study revealed that higher ratings on governance and ethical practices promote efficiency of operations among firms hence increased EPS. Increased adoption of retained earnings and debts to finance investments portrayed increased effects on EPS of the firms. The findings further revealed that corporate size have no significant influence on the EPS of the firms. Adoption of these practices can be an appropriate strategy towards maximization of corporate returns; hence shareholder value of firms. Corporate Managers, CEOs and Executives should, however, carefully evaluate corporate strategies/practices they employ against other forces including market characteristics and nature of company products/services.

Finding Meaning in the Business Environment

The influences large corporations have on the lives of most citizens is huge. In the developed world the relationships between corporations and citizens is generally close, with top corporate managers making decisions that shape the societies which they share with their fellow citizens. Individuals in Western society may be trained to accept the status quo, which allows business leaders significant influence over the allocation of society’s assets, and thereby over societal developments. Formal education systems often encourage the maintenance of the status quo, whereas they could encourage students to challenge it. This paper argues the need to help business students develop an understanding of critical theory, independent thought and self-improvement. The paper employs a case study approach which focuses on the development of one person, its author. He argues that those responsible for education today must encourage their students to think holistically about the consequences of business behaviour on society. If managers view business life through a scientific lens, focused primarily on the maximisation of financial returns, they will continue to encourage unsustainable behaviour, which damages the ecosystems and the social cohesion in society. Managers must learn to approach their business decisions as whole human beings. This will make it more likely they will manage in a sustainable way, and help them find meaning and happiness in their roles.

Identification of target system operations. development of global efficiency criterion of target operations

Guaranteed maximization of financial returns from economic structures is only possible if all of its systems are focused on selecting target operations with maximum efficiency. Is it possible? Any system is created to enhance the value of output products of the system operation. Thus, two products: a consumer product that has value to the customer and the target product (value added), rewarding manufacturer of consumer value are formed at the output of the managed system. If the management system has degrees of freedom, obtaining a consumer product with desired quality characteristics can be achieved with various management modes, each corresponding to their costs, results and operation time. All that is necessary is to be able to evaluate the efficiency of the operation based on its basic indicators, available for any operation. Efficiency formula, which can be used to assess any target operation, including with distributed parameters was obtained. In this case, it is necessary to use numerical methods. As applied to the model of the simple operation, efficiency formula is extremely simple. To use it, it is necessary to get only three parameters from the system under study: the cost estimate of input products of the operation, the cost estimate of output products of the operation and the operation time. Since these basic indicators are available in absolutely any system, they can all be oriented to achieve the global goao - the maximum resource efficiency.

Optimal Portfolio Selection Using Multi-Objective Fuzzy-Genetic Method

The purpose of investors is to maximize the expected returnin an acceptable level of risk. A genetic algorithm (GA) based on multi-objective fuzzy approach is presented in this paper to solve the multi-objective problem of portfolio selection. The expected return maximization and the risk minimization are the objective functions of the proposed portfolio selection problem. Since GA does not require prespecified information of the problem, it has more flexibility rather than the other nonlinear methods. Furthermore, the GA is able to model the nonlinear manner of the objective functions of the problem. In the proposed fuzzy-genetic method the objective functions are transmitted to a fuzzy domain using a fuzzy membership function and after that the weighted sum method is employed to determine the total objective function. Besides, the Pareto front of the objectives of return and risk are obtained by varying the weighting coefficients and solving the new single-objective problems. To demonstrate the effectiveness of the proposed method, a case study including several active companies is studied.

Mutual Funds in India: A Study on Select Equity-Oriented Hybrid Funds

The conventional method of pooling savings by banks for financing industries is changing with time. Investors are resorting to equity-oriented instruments during the last few years. Maximization of Return on Investment (ROI) with risk minimization is an important objective of investors. For a retail investor, it may not always be possible to have adequate skill, knowledge, time, and inclination to keep track of events in capital markets. In such cases, mutual funds are there to cater to the needs of different types of investors. Mutual funds offer variety of flavors balancing the two important factors of risk and return. A need was felt to test the above and consequently this paper analyses the performance of few funds from the perspective of risk and return.

Economic optimal allocation of irrigation water in Egypt

The water scarcity problem is globally getting worse especially in the light of increase in water demand among its competing uses. Thus, it is an important to optimize the water allocation to crops. In this paper, a linear programming model has been formulated to ensure the efficient allocation of scarce water resources among the competing crops. This model was constrained by land, water, labour, production costs, and organization constraints, determining the optimal plan for two possible future scenarios. The mathematical analysis was based on statistical data for the years (2009-2011) from the official statistical institutions in Egypt. The results of the two scenarios are as follows: Under the maximization of the net return per unit of land, there is an increase in total net returns by 3.56% more than the actual net returns. The optimized cropping pattern has been coupled with about 3.24% water saving and about 3.13% reduction in production costs compared to actual cropping pattern. However, under the minimization of irrigation water requirements, the total net returns decreased by 10.20% indicating losses below the actual situation. It has resulted in about 11.05% water saving and 11.24% reduction in the costs of production compared to the existing situation. These results can be used as a reference for indicative cropping pattern and irrigation water management in Egypt. Key words: Linear programming, efficient water allocation, optimal cropping pattern, water management.

On Some Algebraic Properties of the Euclidean Algorithm with Applications to Real Life

The study analyzed the algebraic properties of the Euclidean algorithm in details. The analysis included a detailed step by step approach in understanding the algorithm, the extended form of the algorithm, computation of the Greatest Common Divisor (GCD) and its algebraic properties and their applications in algebra and cryptography. We also showed how the Euclidean algorithm could be applied to trading for the maximization of returns. In our approach, we assumed that gcd[a(x); b(x)] is the monic polynomial of minimal degree within the set G = {s(x)a(x) + t(x)b(x): s(x), t(x) ∈ F[x]} and thus, examining all equations of the form p(x) = s(x)a(x)+t(x)b(x).

Three fuzzy goal programming models for index portfolios

Studies show that most actively managed mutual funds struggle to beat the market, driving an increase in the popularity of index investing. Index investing instruments, including index funds and Exchange-traded Funds, aim to track market performance. This study pursues both tracking error minimization and excess return maximization, two conflicting objectives, to construct an index portfolio. In the real-world financial environment, the desires and expectations of decision makers are generally imprecise. This study applies fuzzy theory to deal with imprecise objectives. This study represents minimizing tracking error and maximizing excess return as ‘fuzzy goals’ to improve traditional goal programming, which is suitable for handling multiple conflicting objectives, but subject to establishing crisp goals. Three fuzzy goal programming (FGP) models that track indexes are compared and discussed, and the results show that through certain membership functions and tracking models, an index tracking portfolio with a tracking error lower than the 0050 index fund, and a similar excess return to 0050 index fund can be constructed using additive type FGP. max-min type FGP underperforms the additive type FGP in index fund construction.

The use of strong and weak form sustainability to assist in rate development for the valuation of exhaustible resources (part I)

Purpose – The purpose of this paper, which is the first of a two-part series, is to build upon the established research on environmental economics and sustainability theory developed by Ramsey (1928), Weitzman (2007) and Gollier (2010). The Ramsey-Weitzman-Gollier model, with the contribution of Howarth (2009) and Nordhaus (2007a, b), focuses on discount rate development for environmental and long-term assets, linking discounted utility analysis embedded in the CCAPM model of Lucas (1978) to the policy concerns associated with the valuation of public and sustainable resources. This paper further investigates these issues to the rates structure appropriate for exhaustible resources with a particular emphasis on urban land, based upon the differentiation of strong and weak form sustainability concepts constrained by the objectives of the sustainable criterion of Daly and Cobb (1994). Design/methodology/approach – The paper integrates the concepts of discount rate development for environmental and long-term assets and discounted utility analysis to the policy concerns associated with the valuation of public and sustainable resources. It develops new theoretical insight in order to allow the theoretical formulation of discount and capitalization rates that can be empirically applied and tested. Findings – The paper provides theoretical support for a new approach concerned with the development of capitalization and discount rates in the valuation of non-renewable resources. A key concern of valuing non-renewable or limited resource endowments (in space or time) is the problem of irreversible investment or irrevocable decision implementation as suggested by Arrow-Fisher (1974), Krautkraemer (1985) and Daly and Cobb (1994). It investigates the challenge with developing capitalization rates and valuation of depleting resources temporally, within the constraints of sustainability. To achieve this, an optimal control discounting procedure subject to a sustainable objective statement is employed – in this context it suggests that sustainability should be treated as an alternative to traditional growth and the maximization of near-term returns. Originality/value – This paper extends the construct of developing rates structures appropriate for the valuation of exhaustible resources. It places a conceptual emphasis on urban land development. The measures developed and the insights gained may serve as a basis for future research on the optimal levels of sustainable development appropriate for different nations.

Immediate return preference emerged from a synaptic learning rule for return maximization

Animals including human often prefer immediate returns to larger delayed returns. It holds true in the human communications. Standard interpretation of the immediate return preference is that an animal might subjectively discount the value of a delayed reward, and that might choose the larger valued one. The interpretation has been successfully applied to explain behavior of many species including human. However, the description is not necessarily sufficient to apply for interactions of individuals. This study adopts a different approach to seek a possibility that immediate return preference may be reproduced by learning rule to maximize objective outcomes. We show that a synaptic learning rule to achieve the temporal difference (TD) learning for outcome maximization fails the maximization and exhibits immediate return preference if the context is not properly represented as a internal state.

Talmud and Markowitz Diversification Strategies: Evidence from the Nigerian Stock Market

The object of this study is to investigate Talmud and Markowitz diversification strategies using stocks quoted on the Nigerian Stock Exchange. The essence is to determine how each of these strategies compare with one another in terms of generating superior performance based on maximizing returns and minimizing risks. In addition, it examines the applicability of diversification to the Nigerian stock exchange regarding risk reduction and return maximization. This involved data on quarterly closing prices of 17 assets (companies) drawn from the Nigerian stock exchange for 17 years, equivalent to 68 periods. The three hypotheses formulated in the course of this study were tested using the difference between independent sample means (t – test). The null hypotheses of the three hypotheses were accepted. By implication this means that diversification can diversify away a reasonable amount of risk. Hence we recommend that Nigerian investors should apply Talmud diversification strategy since diversification is applicable to the Nigerian stock market. We further recommend that more sophisticated investors could still adopt Markowitz strategy since they possess the skills to do so. Investors should exercise caution by seeking the opinion of experts before committing their funds in the market.

The Inception Of Ethical Banking: An Imperative Transformation In Post-Revolution Egypt

While the Egyptian Revolution has initiated democratic transformation, the economy remains vulnerable to shocks that are apt to exacerbate unemployment, inequity, and poverty the prime triggers of the popular uprising. Stability hinges on the newly elected governments ability to accelerate macroeconomic growth, create jobs, and alleviate poverty. Prior to the popular unrest, the Egyptian banking sector was principally focused on financial return, and Egyptian regulators were mainly concerned with bank soundness. While there has been a paradigm shift in bank customers perception of banks as needing to have an intrinsic ethical responsibility, ethical banking is still in its infancy stage in the Egyptian banking sector. This research aims to bridge the gap between the newly developed perceptions of Egyptian savers/borrowers on the one hand and the conduct of bankers on the other hand. To this avail, we introduce a two-stage model where the value creation of banks is not solely confined to pure financial value but the human, social, and environmental demands of all stakeholders are integrated. In the first stage, instead of adopting mainstream ethics and sustainability indexes, we administer a field survey in order to develop a stakeholder-centric view of the requisites of (1) ethical banking principles, (2) lending policies with human, socially, and ecologically responsible criteria, (3) ethical screening, (4) risk minimization, and (5) the maximization of financial returns. Subsequent to building the all-inclusive Ethical Banking Index (EBI), the second stage of the model gauges the performance of Egyptian banks. The EBI is not only applicable to Egypt, but could also prove useful to nations encountering similar socioeconomic woes.

A Comparative Analysis of Production Sharing Contracts of Selected Developing Countries: Nigeria, Indonesia, Malaysia and Equatorial Guinea

Maximization of returns and benefits are the major determinants state considers for adopting particular petroleum fiscal regime in the course of exploiting its petroleum resources. Two major fiscal regimes are adopted for exploiting petroleum resources: Joint venture agreement (JVA) and production sharing contract (PSC). However, considering the inherent difficulties associated with Joint venture agreements, developing countries gave emphasis to production sharing contract. This study aims to compare expected returns from exploiting petroleum resources of selected countries (Nigeria, Indonesia, Malaysia and Equatorial Guinea) that have adopted the Production Sharing Contracts. A literature based methodology was adopted, and indeed, data were gathered from the PSC treaties and related documents. The findings suggest that Nigerian PSC provides less return compared to its contemporaries. Indeed, the results showed that Malaysia received the highest returns, followed by Indonesia and Equatorial Guinea. On the other hand, the findings justified the underlying hypothesis of socio-economic factors help shape the terms and conditions of oil and gas contracts in developing countries particularly production sharing contract.

Dramatically Improved Portfolio Optimization Results with Noise-Filtered Covariance

Demonstration that in-sample Markowitz type mean-variance optimization, carried out with noise filtered covariance matrices, results in asset allocation that leads to 2-3 times increase of the Sharpe ratio compared to the same optimization carried out without noise filtering.Demonstration of 2-3 times increase of the Sharpe ratio due to asset allocation obtained via optimization, carried out with noise filtered covariance matrices, for two possible optimization scenarios – maximization of portfolio return at a fixed volatility and minimization of portfolio volatility at a fixed return.

Study on the prevalence of bovine <i>fasciolosis</i> in and around Bahir Dar, Ethiopia

A cross sectional study aimed at determining the prevalence and type of common Fasciola species in cattle was conducted in and around Bahir Dar from November 2008- March 2009. The study was based on post-mortem inspection of livers of slaughtered animals at Bahir Dar municipality abattoir and coprological examination using sedimentation technique on fecal samples collected from animals of Bahir Dar and surrounding areas. Out of 413 livers inspected, 165 (39.95%) were positive for Fasciola species. F. hepatica was found to be the most prevalent species in cattle of the study area (89.70%). About 3.63% were positive for F. gigantica and 6.67% were harboring mixed infections. Likewise, out of 384 fecal samples examined 141 (36.72) were positive for the presence of Fasciola eggs. Risk factors such as locality, body condition and sex didn’t show any effect on the prevalence of infections (P>0.05). However, breed and age group revealed significant disparity (P<0.05) as greater magnitude of infections were detected in exotic breed and young age group, respectively. In view of the current result, fasciolosis could be considered as a major problem in Bahir Dar and surrounding areas as the ecological factors and management conditions are suitable both for the snail intermediate host and the parasite to be maintained. Strategic treatments need to be implemented at appropriate timing with the aim of reducing worm burden from infected animals and preclude pasture contamination. Integrated control approaches involving livestock owners has to be implemented in reducing the population and activity of snail intermediate hosts to enable maximization of long-term returns from such endemic areas.Key words: Abattoir, Bovine, Bahir Dar, Coprology, Fasciola, Prevalence.

Catchment Area Treatment (CAT) Plan and Crop Area Optimization for Integrated Management in a Water Resource Project

A scientifically developed catchment area treatment (CAT) plan and optimized pattern of crop areas may be the key for sustainable development of water resource, profitability in agriculture and improvement of overall economy in drought affected Bundelkhand region of Madhya Pradesh (India). In this study, an attempt has been made to develop a CAT plan using spatial variation of geology, geomorphology, soil, drainage, land use in geographical information system for selection of soil and water conservation measures and crop area optimization using linear programming for maximization of return considering water availability, area affinity, fertilizers, social and market constraints in Benisagar reservoir project of Chhatarpur district (M.P.). The scientifically developed CAT plan based on overlaying of spatial information consists of 58 mechanical measure (49 boulder bunds, 1 check dam, 7 cully plug and 1 percolation tank), 2.60 km2 land for agro forestry, 2.08 km2 land for afforestation in Benisagar dam and 67 mechanical measures (45 boulder bunds and 22 gully plugs), 7.79 km2 land for agro forestry, 5.24 km2 land for afforestation in Beniganj weir catchment with various agronomic measures for agriculture areas. The linear programming has been used for optimization of crop areas in Benisagar command for sustainable development considering various scenarios of water availability, efficiencies, affinity and fertilizers availability in the command. Considering present supply condition of water, fertilizers, area affinity and making command self sufficient in most of crops, the net benefit can be increase to Rs. 1.93 crores from 41.70 km2 irrigable area in Benisagar command by optimizing cropping pattern and reducing losses during conveyance and application of water.

Evaluating breeding objectives for sow productivity and production traits in Large White Pigs

the objective of the study was to develop and evaluate different breeding objectives for sow productivity and for production traits, using economic selection indices. Genetic parameters were generated using a repeated records model for sow productivity traits and a maternal effects model for production traits, in ASREML. Stochastic simulation models based on a hypothetical 100-sow model were performed for each line, i.e., a dam line and a terminal sire line, respectively, to derive economic values. The traits included in the study were number born alive (NBA), 21-day litter size (D21LS), 21-day litter weight (D21LWT), average daily gain (ADG), feed conversion ratio (FCR), age at slaughter (AGES), dressing percentage (DRESS), lean content (LEAN) and backfat thickness (BFAT). The economic values for LEAN and BFAT were derived using the partial differentiation of the profit function, while those for the other traits were derived using the partial budget approach. An economic value of a trait was the change in profit per unit genetic change in that trait. Breeding objectives were developed with a corresponding selection index, for improvement of that objective. Three combinations of breeding objectives and selection indices were developed for sow productivity traits, while there were 15 combinations for production traits. Responses to selection and economic return were computed for each combination to determine the most appropriate combination for the improvement of the breeding objective traits. The most appropriate index to improve sow productivity consisted of NBA and D21LWT. For production traits, the combination that consisted of a selection index with AGES, DRESS and BFAT, and the breeding objective ADG, DRESS, FCR and LEAN, was considered the most appropriate. Age at slaughter and BFAT were, respectively, included as indicator traits for ADG and LEAN. The recommended breeding objectives were sensitive to changes in economic values, indicating that economic values for breeding goal traits should be updated periodically to ensure proper weighting of traits, hence maximization of economic return.

Stock Selection Skills of Indian Mutual Fund Managers during 2000-2012

Mutual funds work on the basis of two maxims maximization of returns and diversification of risk, the attainment of which requires healthy operational practices and efficient investment management. Now, systematic investment management involves a wide variety of activities among which selectivity plays the pivotal role in the return generation process. This study is an attempt to evaluate the investment management of Indian mutual funds in terms of selectivity skills of fund managers during May 31, 2000 to March 31, 2012. The results pertaining to the selectivity skills of fund managers, as found in the study, has revealed that although majority of the schemes have shown positive alpha they are not statistically significant. Only some of the fund managers (around twenty five percent) possess superior selectivity skills based on both unconditional and conditional Jensen model. Conditioning on public information however improves the coefficient of determination. JEL classification: G11; G23