Portfolio Management System Research Articles

Portfolio Management in Public Pension Reserve Funds

This paper presents the basic principles and procedures of a theoretical portfolio management system and also the practical implementation and the actual results of real utilization efforts of such systems. Portfolio management of public pension reserve funds is one of the major factors that can contribute in the provision of adequate pension level. The key components of portfolio management are the chosen strategy of investment (active or passive portfolio management) and the sequential steps of the investment decision making process. Numerous studies focusing on the investment management behavior, function and practice have been conducted by various researchers and also the OECD. All of them have stressed the need of an effective portfolio management strategy in order to maintain a satisfactory level of pensions for the pensions fund beneficiaries.

Problems of qualitative evaluation of commercial bank loan

The article defines the nature of the loan portfolio, as well as the problems in the assessment and analysis of the commercial bank loan portfolio. In order to improve the existing credit portfolio of the bank, the dynamics, categories of the borrower ratio and the quality of the loan portfolio are analyzed, based on the obtained data, significant factors influencing the formation and management of the analyzed bank's loan portfolio are determined. Generation of a loan portfolio is usually subject to issuance of loans with maximum yield on the same terms. The profitability of a loan transaction is determined by the amount of the interest rate on the specific loan, the duration of the loan and the accepted system of calculation of interest payments. Practice shows that the success of managing the efficiency of banking investments and the formation of an effective structure of the bank's credit portfolio depend to a large extent on the skills of managing the banking institutions that carry out optimal formation, management of the credit portfolio and good management to ensure the efficiency of activities with the least possible risk and maximize results. The quality of the loan portfolio is analyzed using the coefficient method based on the calculation and analysis of trends in the development of relevant quantitative indicators. In the economic literature, the indicators that we can use to assess the quality of a bank's loan portfolio are divided into two groups: the credit portfolio risk index and the profitability of the credit business. The results of the analysis allow us to draw conclusions about the level of risk and profitability of the bank's loan portfolio and to develop measures to improve the effectiveness of the bank's credit policy. Based on the analysis of the structure and quality of the loan portfolio, the Bank's management is given an opinion to consider in order to determine the priority instructions for the placement of credit resources, limit the concentration and diversification of the loan portfolio and set limits on the execution of individual loans. It is concluded that prudent credit policy with an increase in rates, constant monitoring of the components of the credit portfolio, urgent management measures of banking institutions in the field of risk management should lead to an increase in lending and improve the quality of the portfolio management system. It is noted that the implementation of mainly quality measures to improve the structure of the loan portfolio will inevitably affect the financial stability of the bank and business efficiency, as well as increase its competitiveness and operational security.

MECHANISM FOR FORMING AN EFFECTIVE PORTFOLIO OF RESEARCH PROJECTS OF INSTITUTION OF HIGHER EDUCATION

The subject matter of the article is the methods, models and mechanisms of forming a portfolio of research projects of higher education institutions. The goal of the work is to develop a mechanism for managing a portfolio of research projects of a higher education institution based on the commercialization of the results of scientific activities of the university based on a risk management system. The following tasks were solved in the article: analysis of the scientific management model of higher education institutions, the study of modern methods of managing portfolios of research projects of universities, the development of a mechanism for the formation of an effective portfolio of research projects of higher education institutions taking into account risks and the commercialization of scientific results. The following methods used are – project and portfolio management methods, systems theory and systems analysis, risk management methods. The following results were obtained – the mechanism for creating a portfolio of research projects taking into account the strategic goals of a higher education institution was developed, a consolidated plan for the implementation of scientific projects of a portfolio was created, a mechanism for managing a portfolio of research projects of a higher education institution was developed based on a grouping of projects according to risk criteria and the commercialization of scientific results. Conclusions: using the portfolio management mechanism will allow higher education institutions to form balanced portfolios of scientific projects, thereby more effectively implementing innovative programs taking into account risk criteria and the commercialization of scientific results. The most difficult task of the scientific project management system is the task of forming a portfolio of research projects. The portfolio of research projects of a higher education institution is valuable if it allows you to develop activities aimed at creating and strengthening competitive advantages. However, the university’s capabilities in terms of forming a portfolio of research projects are limited by available resources, as well as by the increasing complexity of developing the latest technologies that require the involvement of third-party organizations, because the possibilities of establishing a higher education for independent conduct and processing of the results of scientific activities are limited. At the stage of selection of research projects, a list of current projects is formed; an analysis of research projects in the portfolio is carried out for compliance with the strategic goals of the institution of higher education. By grouping research projects in a portfolio and forming the necessary criteria for the projects to correspond to a particular group (direction) of scientific research, the projects are linked both with each other and with the goals of a higher education institution, and the transparency of the formed portfolio of research projects is increased. At the stage of balancing research projects, resources are allocated in accordance with the directions of research projects and the objectives of the portfolio of projects of higher education institutions. At the same time, the portfolio should increase the share of research projects with high value for higher education institutions and the share of projects designed to bring higher education institutions dividends from the commercialization of scientific results (patent implementation) and reduce the share of high-cost research projects, as well as projects with high risks. The following criteria are used as the main criteria in balancing the portfolio of research projects of higher education institutions in work: expenses for the implementation of research projects; the value of projects for higher education institutions; project risk; proportion of projects in the portfolio.

Project portfolio management system, concepts and approach foundations

Project portfolio management is an approach based on the knowledge of project management, in which the management system focuses on a combination of projects with specific goals and conditions and is considered to be a higher level of project management in organizations. In this management system, the main objective is to design and implement projects that can ultimately facilitate the achievement of the project organization for its strategic goals. Selection of suitable projects, proper allocation of limited resources of the organization, realization of the emphasis of the strategic statement, coordination and synergy in the portfolio of organizational projects and the provision of health The organizational relations of project managers are among the most important theoretical foundations of this system. In this paper, the purpose of presenting concepts related to this approach is to discuss such definitions, models, the process of establishing the maturity model of the project portfolio management system, and how to form and collate the project portfolio. The description of the nature of the Project Management Offices (PMO) and the system Project Management Office (SPO) is another topic that will be addressed in this article.

Analysis and Design of a Project Portfolio Management System

The paramount importance of project portfolios for business drives managers to search for highly efficient support tools to overcome complex challenges of their management. A major tradeoff is to acquire tools able to produce a convenient portfolio project prioritization process, on which business investments are decided. However, by using existing Project Portfolio Management Systems (PPMS), many concurrent projects in a portfolio are usually prioritized and planned in the upstream life-cycle phases according to financial criteria, and overlooking the portfolio alignment to enterprise strategies and the availability of resources, although their importance. In this paper, we propose a conceptual formalization of PPMS with respect to a double portfolio prioritization process that performs two levels of selections according to both: i.) Strategy alignment, including returns on investment, size, and total cost; and ii.) Execution capability, as the organization should be able to manage and deliver the selected projects' outcomes. The advantage of our PPMS framework is twofold. First, it is useful to be customized by designers to fit organization needs. Second it is built with respect to the double prioritization phase process, as an end-to-end process that guarantees optimal portfolios generation. Further, the proposed PPMS system and its identified functionalities are validated through an implementation of a prototype tool.

Managerial Political Behavior in Innovation Portfolio Management: A Sensegiving and Sensebreaking Process

By applying formalized innovation portfolio management systems, firms seek to ensure an alignment of their goals and strategy with their employees' different abilities, actions, and outcomes. However, research indicates that nonrational, political behavior also determines formalized innovation portfolio management decision‐making processes. Research on political behavior in respect of innovation portfolio management usually conceptualizes political behavior as a set of self‐serving activities, such as negotiation, bargaining, coalition building, and acquiring power, aimed at protecting, maintaining, or promoting an actor's self‐interest and power. Consequently, extant research tends to focus on political behavior's dysfunctional impacts on decision‐making processes and their subsequent outcomes. This paper challenges this negativity bias by exploring a novel, neutral specification of political behavior and its relation to innovation portfolio management decision‐making processes. By conducting an automotive industry case study focusing on the innovation portfolio management decision‐making processes, the paper analyzed the data from 43 interviewees. The conceptual model shows that managers' political capabilities determine their ability to behave politically. According to the results, political behavior comprises the activities that prepare the stage and orchestrate others in order to form a political coalition. Furthermore, results show that political behavior functions as a sensegiving and a sensebreaking process, with managers seeking to shape an innovation project's understanding according to their interests and to influence portfolio decisions. The resulting novel specification of political behavior extends the construct's scope and validity by investigating their functional and dysfunctional aspects, and by indicating that a political sensemaking process complements formalized innovation portfolio management decision‐making processes.

ЛІДЕРСТВО В ЗАСТОСУВАННІ ГНУЧКИХ МЕТОДОЛОГІЙ СТВОРЕННЯ ІНФОРМАЦІЙНИХ ТЕХНОЛОГІЙ

The development of project, project and portfolio management systems supports the global acceleration of innovation. Significant changes in the environment require additional research on the effectiveness of the use of existing flexible methodologies, knowledge systems, the competency of project managers and their leadership. The foundation of environmental change lies in changing the decision-making paradigm to flexible project management and innovation development programs. The article examines modern approaches to leadership formation in the application of flexible methodologies, their specificity in terms of decision-making processes in project management. The problems of formation and maintenance of leadership in application of flexible methodologies of project management of creation and introduction of information and communication systems are considered. The research was conducted on the basis of the application of a competency approach under the model of the International Association for Project Management. The patterns of behavior of flexible leaders and leaders are formed in the system of behavioral competencies in project management based on Agile technology methods and tools. These competencies were: Self-reflation and self-government, Personal integrity and reliability, Personal communication, Relationships and interaction, Leadership, Teamwork, Conflicts and crises, Inventiveness, Harmonization, and Orientation to the result. The content model of competency of the leader, which applies flexible control, is given. The patterns of behavior of project managers as flexible leaders in project product creation and flexible project management were studied. Differences in patterns of behavior of managers and flexible leaders on elements of behavioral competencies within certain key competency indicators are studied. Such patterns allowed the authors to identify bottlenecks in applying flexible project management methodologies in the context of the dynamics of the development of innovative products and information and communication systems.

Management of a portfolio of innovation and investment projects in housing construction

The study identifies the priority areas for implementing innovation and investment projects aimed at increasing management of a portfolio of such projects. The author describes a methodical approach for determining a functional structure of the portfolio management system of innovation and investment projects, which integrates various elements of the management system both horizontally and vertically. It is proved that introducing the portfolio management system makes it possible: to describe the strategy of an enterprise by determining the importance of goals and criteria for their achievement; to develop a portfolio of projects taking into account their strategic importance and cost effectiveness; to model a portfolio of projects taking into consideration the changing factors (for example, budgetary and resource constraints); to pay attention to the interconnections of the projects while creating a portfolio; to ensure effective management and monitoring of a portfolio of projects that illustrate the processes and provide necessary and sufficient information for decision-making; to improve the efficiency of decision-making and responsibility of major participants of investment processes. The author has developed a mechanism for creating the information management system for managing a portfolio of projects, including a set of normative documents as well as necessary funds and methods for management of innovation projects, which ensure the effective implementation of various projects of enterprises.

New Product Management with the Application of the Manufacturing Company Project Portfolio Management Concept

Abstract The article presents the project portfolio management system in a selected manufacturing company operating in the advertising industry in the field of new product project management. It discusses individual elements and structure of the system, and the scope of procedures performed within the system.

Formation and bases of the analysis of the investment portfolio of the enterprise

This article discusses several methods for project design and analysis. After all, they are the key ones in creating a new IT portfolio of the enterprise, according to the standards for the formation and management of projects, which is especially important in investment analysis. Considering these stages, we touch topics from the beginning of an enterprise to its formation, as a working business. After all, every enterprise begins its life with a choice of methods, stopping at one, it chooses a plan and sets tasks. Attraction of investments will be one of the main points in this task. For today, investments are the cause for the consequences of economic processes and various phenomena in the economy. This view will be of interest to specialists in the field of information technology and economic sciences. The idea is substantiated that the analysis of such results gives a good assessment in order to further identify weaknesses, build business processes and solutions from the point of view of forming a new portfolio of the enterprise and tools that allow determining the profitability of the module or the project as a whole in terms of money and technical equivalents. The article helps to reveal the topic and the main problem that is interesting and relevant for today, what method of attracting investors and implementing / shaping the IT portfolio of the project, choose which innovative portfolio management systems should be used and how they differ from traditional ones and how to properly link them with architecture of the enterprise. The key stages of investment analysis will be: increase in profits, accumulation of resources, proper portfolio formation and diversification.

ПОРТФЕЛЬНЕ УПРАВЛІННЯ ЕНЕРГЕТИЧНИМ РИНКОМ НА РІВНІ ПУБЛІЧНОГО СЕКТОРУ

The article analyzes the latest trends in the energy market of Ukraine. Among the main features of the energy market are a large number of stakeholders with different interests in the energy supply system, lack of coordination and systematization of their interaction, the inability of relevant government agencies to establish clear rules of the market and apply them in practice. The issue of tariff formation is singled out. Two systems of providing energy services and payment for used energy are considered. The imperfection of both methods has led to the formation of large debts in the industry, which has become especially acute in a pandemic. The analysis of the requirements for the energy services market identified the basic priorities that correspond to the possibilities of implementing the energy portfolio management system of projects. The project portfolio management system is defined as complex and conceptual. The priority directions of development of the portfolio of energy projects portfolio management are identified, namely increase of sales of energy produced by nuclear power plants, coordination of export-import operations in the energy sector, use of market pricing mechanisms and payment system for services, identification and search for long-term energy market goals. in Ukraine, adaptation of standards and norms of the domestic energy market to the standards and norms of the European Union in order to be able to enter new markets, development of effective mechanisms of social support for those who can not afford to pay for energy in full.

KNOWLEDGE-BASED PORTFOLIO MANAGEMENT: A TAXONOMY FOR LESSONS LEARNED

Portfolio management comprises of identifying, prioritizing, authorizing, managing, and controlling projects, programs, and other related work to achieve specific strategic business objectives. Utilizing a knowledge-based portfolio management approach can be a critical success factor for construction companies. This research aims to present a taxonomy to facilitate the learning process within a knowledge-based project portfolio management system. The taxonomy is capable of codification and classification of lessons revealed during life cycle of projects to enhance their retrieval. Within this context, following a detailed literature review process, the taxonomy is structured under four main categories as "project", "process", "actor", and "resource”. Categories provided in the taxonomy enable tagging of the lessons learned according to the intended level of detail, facilitate retrieval and reuse of the lessons learned in forthcoming projects. In this paper, we will present the structure of the proposed taxonomy and discuss how it can be used to improve portfolio management in construction.

A bespoke mobile application for the longitudinal assessment of depression and mood during pregnancy: protocol of a feasibility study

IntroductionDepression is a common mental health disorder during pregnancy, with important consequences for mothers and their children. Despite this, it goes undiagnosed and untreated in many women attending antenatal care....

Accounting for asymmetry between strengths, weaknesses, opportunities and threats in outranking methods

PurposeThe purpose of this paper consists in discussing and modeling the asymmetrical nature of evaluation criteria that are notably relevant in strategic planning, project portfolio management and complex systems management.Design/methodology/approachThe author guarantees the theoretic validity of the proposed approach, by showing that it possesses desirable properties such as monotonicity. This allows for a reduced implementation time and thus a real-time use of the model.FindingsThe author conducts a comparative study with two other multicriteria decision aid models on a set of real data regarding a power plant sitting problem and highlights some of the limitations of previous models compared to the proposed approach.Originality/valueThis paper describes a novel multicriteria decision aid model, entitled SPADE (which is an acronym for Structuring Preferences to Aid DEcisions). It aims at consolidating SWOT analysis with sound decision-theoretic techniques, and making use of its results to support decision-making.

A Three-Dimensional Project Portfolio Management Framework for Construction Companies

Many construction companies struggle with multi-project optimization and change despite adhering to normative project portfolio management instructions and best practices. One explanation is that managers lack extensive multi-project management experience from which to apply related theory to practical outcomes. This paper proposes a three-dimensional segmentation framework to guide companies with no prior project portfolio management experience in establishing a project portfolio management system and applying it to their situation. The framework decomposes an expansive and disorganized multi-projects group into a set of simple activities from three different dimensions (project type, project phase, and the management layer) to facilitate the introduction of project portfolio management theory and principles. Then, a case study illustrates the application and utility of the proposed framework. Although this framework was initially developed for a Chinese electric power construction company, it can also be applied to other construction companies in similar circumstances worldwide.

Corporate Strategy from the Bottom

This article explores the connection between strategy and actions as a critical factor for organization to gain a conscious strategic advantage from what done in day to day activities. This connection is not always clear and often the officially stated strategy is far from the strategic direction showed from an analysis of the portfolio of initiatives undertaken by an organization. Project Portfolio Management (PPM) methodology can help in assessing and improve this connection as to start a PPM this connection must be clarified. This article aims to verify 2 hypotheses. The first is that “it is possible to implement a Project Portfolio Management system in an Organization without a Strategic planning process in place.” The second is that “the implementation of a Project Portfolio Management system helps organizations to growth their Strategic thinking and could be a first step in strategic planning.”

T Receptor Lymphocytes - Can they be Used as a Low Cost Predictive Tool for Dysfunctional Placental Diseases?

Background: Regulatory T cells (Tregs) are lymphocytes originating in the bone marrow. They mature in the thymus and help fight inflammation in humans. Tregs are involved in the maternal acceptance of the allogeneic fetus. Objectives: This review focuses on the role of Tregs i.e. the origins, development and function in pregnancy, as well as their diagnostic and therapeutic value in pregnancy pathologies such as miscarriage and preeclampsia (PE). Methods: A MeSH and text word PubMed search through August 2016 was performed using the keywords: T receptor lymphocytes; subsets of regulatory T cells: regulatory T cells; controlled trials; pregnancy and treatment. Additional databases searched included; Google scholar, database of abstracts of reviews of effects (DARE), Cochrane Library, NIHR central portfolio management system, UK database of uncertainties about the effects of treatments (DUETs), trip database, health on the NET Northern Ireland (HONNI), the knowledge network Scotland, the Geneva foundation for medical education and research (GFMER) and ClinicalTrials.gov. Findings and conclusions: The origins, development, function and the role of Tregs in the pathophysiology of pregnancy and its complications have not been fully clarified. A lack of Treg cells or defective production due to placental disease or an altered immune response are found in women with sub-fertility, recurrent miscarriage, PE and preterm birth. However, clinical studies to date have involved small numbers of women (with a paucity of randomized controlled trials). Future research focusing on Tregs and their diagnostic and therapeutic value in the management of pregnancy complications are urgently needed.

SVM을 이용한 시스템트레이딩전략의 선택모형

KOSPI200 선물 트레이딩을 위해 업계에서는 여러 전략으로 포트폴리오를 구성해서 운용한다. 동일한 전략 모음을 갖고 있더라도 포트폴리오를 어떻게 구성하느냐에 따라 수익은 크게 차이가 난다. 시장 상황에 맞는 전략들로 포트폴리오를 구성하는 것은 오랜 경험과 탁월한 노하우가 있어야하는 어려운 작업이다. 본 논문에서는 SVM을 활용하여 쉽고 빠르게 적절한 전략 포트폴리오를 구성하는 방법을 제시하였다. 본 논문에서 제안한 시스템의 성과는 벤치마킹의 성과와 비교하여 2배 이상의 수익을 내는 것을 확인하였다. 1990.01.03~2011.11.04 동안의 KOSPI200 데이터 중 이전 80%의 데이터로 학습을 하고 최근 20%의 데이터로 성능을 시험하였다. 각 전략별로 선택여부를 판별하는 SVM모델을 만들고 그 결과를 바탕으로 포트폴리오를 구성하였다. 벤치마킹을 위해 KOSPI200 선물을 2계약 매수한 경우의 수익, 시험 시작 직전 30일간 최고 수익을 낸 2개 전략의 수익, 실제 최고 수익을 낸 전략 2개를 보유했을 때의 수익과 비교하였다. 매매 비용을 반영하지 않을 때는 벤치마킹은 132.2~510.37pt의 수익을 냈고, 본 시스템은 1072.36~1140.91pt의 수익을 보여주었다. 그리고 거래비용을 감안하면 벤치마킹은 130.44~502.41pt의 수익을 냈고, 본 시스템은 706.22pt~768.95pt의 수익을 나타내었다. 본 논문은 기계학습을 통한 전략 포트폴리오를 구성하는 방안이 유의미하며 실전에 활용할 수 있음을 보여주었다. 이를 바탕으로 여러 전략과 다양한 시장에 적용해서 안정성을 검증하면 견고한 상용 솔루션으로 발전시킬 수 있을 것이다. 그리고 자금관리 기법을 더 반영한다면 수익을 더욱 크게 향상시킬 수 있을 것이다. System trading is becoming more popular among Korean traders recently. System traders use automatic order systems based on the system generated buy and sell signals. These signals are generated from the predetermined entry and exit rules that were coded by system traders. Most researches on system trading have focused on designing profitable entry and exit rules using technical indicators. However, market conditions, strategy characteristics, and money management also have influences on the profitability of the system trading. Unexpected price deviations from the predetermined trading rules can incur large losses to system traders. Therefore, most professional traders use strategy portfolios rather than only one strategy. Building a good strategy portfolio is important because trading performance depends on strategy portfolios. Despite of the importance of designing strategy portfolio, rule of thumb methods have been used to select trading strategies. In this study, we propose a SVM-based strategy portfolio management system. SVM were introduced by Vapnik and is known to be effective for data mining area. It can build good portfolios within a very short period of time. Since SVM minimizes structural risks, it is best suitable for the futures trading market in which prices do not move exactly the same as the past. Our system trading strategies include moving-average cross system, MACD cross system, trend-following system, buy dips and sell rallies system, DMI system, Keltner channel system, Bollinger Bands system, and Fibonacci system. These strategies are well known and frequently being used by many professional traders. We program these strategies for generating automated system signals for entry and exit. We propose SVM-based strategies selection system and portfolio construction and order routing system. Strategies selection system is a portfolio training system. It generates training data and makes SVM model using optimal portfolio. We make <TEX>$m{\times}n$</TEX> data matrix by dividing KOSPI 200 index futures data with a same period. Optimal strategy portfolio is derived from analyzing each strategy performance. SVM model is generated based on this data and optimal strategy portfolio. We use 80% of the data for training and the remaining 20% is used for testing the strategy. For training, we select two strategies which show the highest profit in the next day. Selection method 1 selects two strategies and method 2 selects maximum two strategies which show profit more than 0.1 point. We use one-against-all method which has fast processing time. We analyse the daily data of KOSPI 200 index futures contracts from January 1990 to November 2011. Price change rates for 50 days are used as SVM input data. The training period is from January 1990 to March 2007 and the test period is from March 2007 to November 2011. We suggest three benchmark strategies portfolio. BM1 holds two contracts of KOSPI 200 index futures for testing period. BM2 is constructed as two strategies which show the largest cumulative profit during 30 days before testing starts. BM3 has two strategies which show best profits during testing period. Trading cost include brokerage commission cost and slippage cost. The proposed strategy portfolio management system shows profit more than double of the benchmark portfolios. BM1 shows 103.44 point profit, BM2 shows 488.61 point profit, and BM3 shows 502.41 point profit after deducting trading cost. The best benchmark is the portfolio of the two best profit strategies during the test period. The proposed system 1 shows 706.22 point profit and proposed system 2 shows 768.95 point profit after deducting trading cost. The equity curves for the entire period show stable pattern. With higher profit, this suggests a good trading direction for system traders. We can make more stable and more profitable portfolios if we add money management module to the system.

Creating and Appropriating Value from Project Management Resource Assets Using an Integrated Systems Approach

The aim of the research reported here is to identify and characterise relationships between learning processes, dynamic capabilities, knowledge management and project management resource assets. A micro-practice approach was adopted to identify activity configurations that represent the inflection points of value creation and appropriation in an integrated project management system. The research was based in the UAE and consisted of a literature review and pilot study based on a qualitative research methodology using semi-structured interviews in a variety of private and public sector organisations. A conceptual framework has been developed based on an integrated systems approach that spans project, programme and portfolio management (PPPM) systems. The initial results are promising and demonstrate the increasing importance of tacit knowledge sharing, strategic leadership and HRM practices in project management. The paper lends itself to further enquiry and debate.

Essential features of a portfolio management system

Portfolio management systems are a critical part of the wealth and asset management industry. These systems have evolved over the years and currently perform multiple functions. This paper looks at some of the critical features with which an excellent system is equipped, including models, compliance, order management, reports, financial information exchange (FIX protocol), rebalancing and versus purchase (VSP) trading. These features are already present in some of the leading products offered by information technology vendors. Equipped with this knowledge, financial advisors will be able to get more out of their usage of the system. The features are explained with examples and pictorial representations for better understanding. By customising the system to their requirements, financial advisors will be better able to respond to their high net worth clients’ needs.