Single Portfolio Research Articles

Metropolitan water purification facilities towards variability mitigation of the renewable resources: Optimal bid method for small hydropower generators

As carbon neutrality in the power system arises as one of the important issues, numerous nations have been increasing penetration of the renewable resources. However, greater penetration of the renewable resources in the power systems has caused reliability issues due to the innate unpredictable output characteristics. For minimization of unpredictability and its consequential effects on the system reliability, the nations such as the Republic of Korea, Great Britain and Australia have been introduced market-based variability mitigating measures. The incentive policy driven market-based measures were designed to draw voluntary participation from the asset owners capable of providing controllability over the resources aggregated to be a single portfolio. Small hydropower generators in metropolitan water purification facilities can be actively utilized for such mitigation because of their relatively stable output characteristics. However, entities responsible for metropolitan water purification facilities with small hydropower generators have been reluctant to participate in the market with the mitigations incentive since there are no structured methods to acquire dispatch reliability of the water resources considering participation in the energy market. Thus, this paper presents a scheduling algorithm for the aggregated portfolio of renewable resources, utilizing small hydropower generators as one of the tools for variability mitigation. In the results, the portfolio-wide forecast error was reduced to below 2% in the presence of the scheduling algorithm and small hydropower generators as mitigation resources, while the water intake schedule at water purification facilities remained evenly distributed. Small hydropower generators played a key role in mitigating variability in the algorithm, and the revenue generated from the participation of these small hydropower generators contributed to approximately one third of the gross revenue from the portfolio. The algorithm was demonstrated to provide renewable resource owners with an additional revenue stream, beyond what is typically provided by government subsidies.

Do the carry trades respond to geopolitical risks? Evidence from BRICS countries

This paper aims to analyze the implications of geopolitical risks on the return and volatility of carry trade transactions in the context of BRICS countries for the period 2006–2020. Fixed effects regressions considering the sample countries as a single portfolio document that geopolitical risks are correlated with volatility, while the results are inconclusive for returns. The non-parametric time-varying coefficients panel data estimations further indicate that the effect of geopolitical risks on carry trade volatility is amplified during the Global Financial Crisis and the post-2016 episode. Moving to the disaggregated data, the time-varying robust Granger causality test of Rossi and Wang (2019) show that geopolitical risks have a significant in-sample predictive power for both carry trade return and volatility during a myriad of sub-periods, which can not be captured by standard constant parameter techniques in the presence of instabilities. Overall, our empirical results suggest that the exposure to geopolitical risks should be taken into account by global investors for risk diversification purposes when entering carry trade positions in BRICS countries.

Investments with Heterogenous Risk Aversion

We address the problem of a fund manager pooling moneys from risk-averse investors and running a single portfolio of riskfree and risky assets in such a way that individual investors are not penalized for participating in this mutual fund. This problem has a well-known solution when the investors maximize their terminal expected utility of wealth using a power utility function with the same risk-aversion coefficient. We solve this problem in the case of investors having different risk-aversion coefficients. It turns out that the initial contributions of investors must follow a precise formula which depends on the various risk-aversion coefficients. We also apply our approach to the case of a single investor with risk aversion depending on the assets in the portfolio.

Analysis of the Regulatory Science Applied to a Single Portfolio of Eight Biosimilar Product Approvals by Four Key Regulatory Authorities.

Slow uptake of biosimilars in some regions is often attributed to a lack of knowledge combined with concerns about safety and efficacy. To alleviate physician and patient apprehensions, regulatory reviews from four major regulatory authorities (RAs) (European Medicines Agency, US Food and Drug Administration, Health Canada, and Japan Pharmaceuticals and Medical Devices Authority) across a portfolio of eight biosimilars were analyzed to provide insight into RA review focus and approach. RA queries were evaluated in an unbiased and systematic manner by major classification (Chemistry, Manufacturing and Controls [CMC], nonclinical, clinical or regulatory) and then via detailed sub-classification. There was a consistent, predominant focus on CMC from all RAs. The review focus based on sub-classification of clinical and regulatory queries was influenced by molecular complexity, with significant differences between categories (monoclonal antibody or protein) in the distribution of query topics; specifically, bioanalytical (p = 0.023), comparative safety and efficacy (p = 0.023), and statutory (including the justification of extrapolation) (p = 0.00033). Each biosimilar had a distinct distribution of clinical query topics, tailored to product-specific data. This analysis elucidated areas of heightened RA interest, and validated their application of regulatory science in the evaluation of biosimilar safety and efficacy.

Backer behaviours: an explorative study of investor types in equity crowdfunding

Equity crowdfunding (ECF) is a new source of early-stage finance where ordinary people are the investors. In this context, investors are called backers, and their behaviours are less well understood. The contribution of this paper is to explore differences between backer investment behaviours. This is important, as it further positions backers when it comes to behaviour of different investor types, but also enables a discussion of attitudes and management of uncertainty from a portfolio theory perspective. The data include 4,938 backer transactions collected from FundedByMe.com during 2012-2016. Most backers invest in single campaign portfolios (single-portfolio backers) and seem less attracted to uncertainty. However, 16% of the crowd invest in multiple campaign portfolios (multi-portfolio backers). They seem more attracted to uncertainty and most of them diversify to manage the portfolio uncertainty. Hence, a minority of the crowd seem to care about uncertainty and manage it in a professional manner.

Risks of Regional Tax Systems and Their Portfolio Decomposition: The Case of Modern Russia

The purpose of this paper is an assessment of the risk of regional tax systems at different levels of the budget system (consolidated, federal, regional and local), decomposition of this risk by sources (various taxes and tax groups) and the isolation of internal (related to own tax return volatility) and external (related to the correlation of tax returns volatility) risk components. Using the portfolio approach, we measured and decomposed the risk of tax systems of 80 constituent entities of the Russian Federation in 2006–2017. As a result, we found a weak positive relationship between the risk and return of the regional tax systems at all budget levels. By comparing the structure of return and risk of regional tax systems, we identified taxes – risk dampers and taxes – risk enhancers, and estimated the overall level of imbalance in regional tax systems at the studied budget levels. It allowed us to conclude about the effectiveness of diversification of regional tax systems, the advisability of combining different taxes in a single portfolio, or transferring them to another level of the budget system.

DEVELOPMENT OF THE INDUSTRIAL INVESTMENT FUND FOR THE LOCAL GOVERNMENT IN CHINA

The purpose of this study is to examine the development of the industrial investment fund for the local government in China. This study constitutes a quantitative study. Based on a model framework, the existing literature and previous studies on the regulatory mechanism, market exit mechanism, professionals, lack of risk prevention, single fund portfolio are independent variables. The policy is an intermediate variable, and sustainable promotion of industrial investment fund development is a non-independent variable. Findings show that there is a relationship between Industrial investment fund for the local government in Henan, China and Development of the industrial investment fund for the local Government in Henan, China. This study has also revealed that higher the perceived supervision system structure and market exit mechanism of industrial investment fund for the local government in Henan, China, policy Industrial investment fund for the local government in Henan, China becomes higher. Industrial investment fund for the local government in Henan, China providers and industrial investment fund for the local government in Henan, China business developers will have to realize the importance of knowing and understanding policy perception on industrial investment fund for the local government in Henan, China as is vital in inducing policy.
 
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Capital Asset Pricing Model (CAPM) and the Douala Stock Exchange

This study examines if the Capital Asset Pricing Model (CAPM) can be applied to the Douala Stock Exchange. The study utilized monthly stock returns from the three companies listed on the Douala Stock Exchange (DSX), for the period 30th April 2009 to 31st August 2017. Ordinary Least Square regression analysis was adopted for the study to examine if individual stocks can predict a better stock beta. The Black, Jensen, and Scholes (1972) CAPM version were also examined in this study to assess the validity of the zero beta estimate. The result of the individual estimates could not establish the validity of the CAPM theory. Further analysis showed that the Beta for the three assets combined portfolio was not statistically significant. However, when two securities were combined into a single asset portfolio, the portfolio bêta was statistically significant. The significant result of the two asset portfolio confirms that Beta was a linear function of security returns in the DSX market. The study concludes that there will be a need for the government of Cameroun to liberalize the DSX market and allow more firms to be quoted on the floor of the exchange. This decision will allow for the deepening of the DSX market, enhance the liquidity level of the market, and enable investors to reap adequate returns from their investment through holding a portfolio of assets.

Do Islamic indices provide diversification to bitcoin? A time-varying copulas and value at risk application

The emergence of new asset classes offers avenues to international investment community however understanding relationship between any two assets in a single portfolio is important. We investigate the risk dependence between daily Bitcoin and major Islamic equity markets spanning over from July 2010 to March 2018. We start by examining long memory properties of Bitcoin and sampled Islamic indices and report significant results. The residuals from fractionally integrated models are then used in bivariate time invariant and time varying copulas to investigate dependence structure. Among all Islamic indices, DJIUK, DJIJP and DJICA exhibit time varying dependence with Bitcoin. In addition, we apply VaR, CoVaR and ΔCoVaR as risk measure to examine spillover between Bitcoin and Islamic equity markets. VaR of Bitcoin exceeds from VaR of Islamic indices and CoVaR of both Islamic and Bitcoin exceeds their respective VaR, suggesting presence of risk spillover between each other. Our results also report asymmetry between downside and upside ΔCoVaR suggesting implications for investors with different risk preferences. Finally, the diversification benefits indicate that Islamic equity market serves as an effective hedge in a portfolio along with Bitcoin.

Value-at-Risk Estimation Method Based on Normal Distribution, Logistics Distribution and Historical Simulation

This paper discusses the risk analysis of single stock and portfolio returns. The stock data analyzed are BNI, BRI shares and portfolio. After obtaining a stock return, value at risk (VaR) will be estimated using the normal distribution approach, logistic distribution, and historical simulation. From the VaR results, a backtest is then conducted to test the validity of the model and the backtest results for BNI and the portfolio produce a smaller QPS on the historical simulation method compared to the normal distribution and logistics distribution approaches. This shows that BNI VaR and VaR portfolios with the historical simulation method are more consistent than other methods. While the backtest results for BRI produced the smallest QPS on the normal distribution approach compared to the logistical distribution and historical simulation approaches. This shows that the VaR BRI using the normal distribution approach is more consistent than the other methods.

Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation

Conditional value-at-risk (CVaR) and value-at-risk, also called the superquantile and quantile, are frequently used to characterize the tails of probability distributions and are popular measures of risk in applications where the distribution represents the magnitude of a potential loss. buffered probability of exceedance (bPOE) is a recently introduced characterization of the tail which is the inverse of CVaR, much like the CDF is the inverse of the quantile. These quantities can prove very useful as the basis for a variety of risk-averse parametric engineering approaches. Their use, however, is often made difficult by the lack of well-known closed-form equations for calculating these quantities for commonly used probability distributions. In this paper, we derive formulas for the superquantile and bPOE for a variety of common univariate probability distributions. Besides providing a useful collection within a single reference, we use these formulas to incorporate the superquantile and bPOE into parametric procedures. In particular, we consider two: portfolio optimization and density estimation. First, when portfolio returns are assumed to follow particular distribution families, we show that finding the optimal portfolio via minimization of bPOE has advantages over superquantile minimization. We show that, given a fixed threshold, a single portfolio is the minimal bPOE portfolio for an entire class of distributions simultaneously. Second, we apply our formulas to parametric density estimation and propose the method of superquantiles (MOS), a simple variation of the method of moments where moments are replaced by superquantiles at different confidence levels. With the freedom to select various combinations of confidence levels, MOS allows the user to focus the fitting procedure on different portions of the distribution, such as the tail when fitting heavy-tailed asymmetric data.

Exploring the relationship between corporate responsibility and firm performance from a social media perspective

PurposeCorporate responsibility perceptions from stakeholders are becoming more difficult to manage. This is in part because of large amount of social media being projected to stakeholders on a daily basis. In light of this, the purpose of this paper is to examine the relationship between corporate responsibility framing from the social media perspective firm’s performance as defined by abnormal-return (defined as the difference between a single stock or portfolios return and the expected return) and idiosyncratic-risk (defined as the risk of a particular investment because of firm-specific characteristics).Design/methodology/approachHypotheses are developed through agenda-setting theory and stakeholder and shareholder viewpoints. The research model is tested using sentiment analysis from a collection of social media from several industries.FindingsThe results provide support that three corporate responsibility social media categories (economic, social and environmental-framing) will have different impacts (delayed, immediate) on abnormal-return and idiosyncratic-risk. This study finds differences between immediate (one-day lag) and delayed (three-day lag) associations on abnormal-return and idiosyncratic-risk.Originality/valueThis study also suggests differences between the amount and sentiment of corporate responsibility social media framing on abnormal-return and idiosyncratic-risk. Finally, results identify interaction effects between different corporate responsibility social media categories.

The Low-Minus-High Portfolio

Regardless of whether the CAPM is rejected for valid reasons or by mistake, a single long-short portfolio will always explain, together with the market, 100% of the cross- sectional variation in returns. Yet, this portfolio, which we coin the “Low-Minus-High (LMH) portfolio,” need not proxy for fundamental risk. We show theoretically how factors based on valuation ratios (e.g, book-to-market), or on investment rates, can be proxies for the LMH portfolio. More generally, the empiricist can uncover an infinity of proxies for the LMH portfolio, thus unleashing the factor zoo.

Smart Electrification

As electromobility continues to proliferate, combining ICE and electrification expertise into a single portfolio provides vehicle OEMs with a full suite of powertrain solutions

Unified Process Monitoring Strategy for a Facility Engaged In the Production of Multiple Portfolio of Products

The process monitoring strategies have not kept pace with the development in the production systems. Most of the multivariate statistical process monitoring methods deals with single product portfolio. The current article attempts to devise a unified monitoring strategy for monitoring of multiple products or at least different grades of the same product. A case study from an integrated steel plant producing multiple products has been deliberated to validate the monitoring strategy devised. A comparative evaluation of the unified strategy based on the multigroup variant of principal component analysis (PCA) and the individual strategy based on the conventional PCA was carried out on the basis of three parameters viz. the model fit values, fault detection and the fault diagnosis. In all the three parameters, barring some trifling differences, the unified monitoring strategy seems to replicate the individual strategies well.

Education, Training, Culture and Youth in the European Union

The European Commission has a Commissioner who brings together education, training, culture and youth in a single portfolio. This is because the EU wants to promote a level of knowledge as high as possible. In order to achieve it, it is promoting certain programs.

Stochastic Bounds for Portfolio Analysis

A stochastic bound is a portfolio which stochastically dominates all alternatives in a reference portfolio set instead of a single alternative portfolio. An approximate bound is a portfolio which comes as close as possible to this ideal. To identify and analyze exact or approximate bounds, feasible approaches to numerical optimization and statistical inference are developed based on Linear Programming and subsampling. The use of reference sets and stochastic bounds is shown to improve investment performance in representative applications to enhanced benchmarking using equity industry rotation and equity index options combinations.

MODELS AND MECHANISMS OF PORTFOLIO MANAGEMENT OF LABOR PROTECTION PROJECTS

The application of Markov chains in the project-oriented management in the field of labor protection is considered and some of the results of studies of the portfolio of labor protection projects are given. The main objective of the study is to develop a model of portfolio management of labor protection projects, which reproduces a fragment of the general scheme of interaction between the main entities of labor protection projects of different orientations. In conditions of limiting resources in industrial enterprises, rational management of labor protection projects is necessary. It is determined that the launch of new labor protection projects of a corresponding orientation, in a unified portfolio of projects, allows to obtain the expected increase in the level of labor protection in an industrial enterprise. Realization of this is possible through the creation of a portfolio of labor protection projects. The quality of the formation of the portfolio of labor protection projects directly affects the level of labor protection, and thus the level of industrial safety. A model of project portfolio management is developed, which reproduces a fragment of the general scheme of interaction of labor protection projects of different directions. At the same time, the Markov chain is an element of the occupational safety and health management systems of the enterprise as a whole and includes legal, socio-economic, organizational and technical, medical, preventive and sanitary-hygienic occupational safety projects, which allows to determine changes in the state of the system and to form the necessary control actions in portfolio of labor protection projects. The reduced mathematical description of the model of the portfolio of projects of the Markov chain allows one to model the quantitative parameters of the system, namely, the changes in the probabilities of the states of the system. The application of the Markov model makes it possible to take into account the impact of each focus of the labor protection project in a single portfolio.

Multi-Factor Portfolio Construction for Passively Managed Factor Portfolios

Transparent rules-based index-tracking portfolios that employ alternative weighting schemes have grown rapidly in the last decade, especially within equities. These passively managed factor portfolios can be constructed in many ways, ranging from relatively simple rules-based approaches that specify weights as a function of factor characteristics to more complex optimization-based ways. Both single factor and multiple factor portfolios can be constructed. In the latter case, one often-asked question is whether it is better to combine individual factor portfolios or build a multi-factor portfolio from the security-level. Here, we show that a bottom-up approach to multi-factor portfolio construction can produce superior results than a combination of individual single factor portfolios, at least for well-known factors such as Value, Quality, Low Volatility, and Momentum. Because the bottom-up approach assigns weights to securities on multiple factor dimensions simultaneously, it accounts for cross-sectional interaction effects in a way that combining single factor portfolios does not.

Analysis of Dynamic Correlation of Japanese Stock Returns with Network Clustering

In this paper, the dynamic correlation of Japanese stock returns is estimated by using the dynamic conditional correlation (DCC–GARCH) model to study their correlation dynamics empirically. It is difficult to fit the model to the whole stock market jointly at the same time; therefore, a network-based clustering is applied for the dimensionality reduction of the sample data. Two types correlation structures are estimated: homogeneous groups of stocks in a balanced size are created by clustering to observe within-group correlation, while a single portfolio that comprises group portfolio returns is also created to observe between-group correlation. The estimation result reveals dynamic changes in correlation intensity represented by the largest eigenvalue of the estimated correlation matrix. A higher level of correlation intensity and volatility are observed during the crisis periods, namely after both the Lehman collapse and the Great East Japan Earthquake, for the between- and within-group correlations. It is also confirmed that the pattern of correlation change is significantly different between the groups. The proposed method is useful for monitoring dynamic correlation of asset returns efficiently in a large scale of portfolio.