Portfolio Management - Science topic

Tobias Manuel Prenzel Cradle-to-gate is an evaluation of a portion of a product's life cycle from resource extraction (cradle) through factory gate (ie, before it is transported to the consumer). Cradle-to-gate evaluations are occasionally used as the foundation for business-to-business environmental product declarations (EPDs).

In order to search for a research topic, you may want to do the following: search on Google Scholar, and write the words, say "Project/Progaram or Portfolio management" or any other topic you want to write about. You will get many papers talking about such topic. Try to skim through these papers (especially their Abstracts) for 2 main reasons: 1- to see what has already been written about the topic, and 2- to check for the research gap/gaps that you want to cover in your study. This is a start. By the way, you may want to keep such relevant research papers to use them as references in your research. You may use the latest papers published about the topic.

The above is to do a study on a certain topic. For review, you may want to collect relevant papers, put each paper's own findings, and put your views upon each of these findings. There are certain guidelines for writing review papers; you may check some of these well-written review papers. Again, always check Google Scholar for good papers.

Try to look for it here:

Try this from CFI

Certainly a good question on exotic objects like art and bitcoin. Valuation is both an art and a science. The valuation models in finance will need to be modified to accommodate parameters like demand and liquidity.

Jan H Jansen there is a chapter on "Fractionally Differentiated Features" in Lopez de Prado's "Advances in Financial Machine Learning". It deals with the trade-off between making time-series stationary by using returns and the memory-loss that is generated by doing so.

Hello, I have writing research does ESG factor impacts stock's market return. I am conducting this research with three factors of the FAMA french model and the fourth-factor being ESG factor.

(Stock Return-Rf) = b0 + b1 (RM- Rf) + B2 HML + b3 SMB + B4 ESG + e

I want to create this analysis at the market level.

I can create this model at the individual stock level, however, I am unable to use this model at the market level because, fame french three factors are constant for all the stocks, so I can't select it as my independent variable.

Dependent Variable:

Is it possible to use FAMA french factor at market level?

Topics

I agree, you should test if the differences are statistical significant with a chi-squared test. I guess, probably they are not, according to my experience.

C K Gomathy Thx for your reply, but it's not easy to make a BCG Matrix ! that is why I am researching for, especially in digital marketing !

Krystsina Mazhei great question. The PMO often includes portfolio management responsibilities along with a team of project managers actually carrying out projects. It's more than establishing rules and guidelines for project management, the PMO should be delivering value.

Based on over 10 years of work with Fortune 500 companies, the biggest mistake PMO's make when selecting a portfolio management system (PPM) for their PMO is not accounting for their current state maturity. The failure rate of these tools is high, and while there are a few key reasons for failure, part of the problem is the lack of user adoption due to a complex tool.

According to research by Gartner, 80% of PMO's are only level 1 or level 2 maturity (out of a 1-5 scale on the capability maturity model). Unfortunately, most PMO's select software that is more sophisticated than what the PMO can actually use.

I have written more about these problems in an article here:

https://acuityppm.com/the-current-state-of-ppm-software/

Extreme Breakthrough

Performance of fund, timing ability of the fund manager etc.

Hi Manish Khanra !

Try find and read recommendation about project portfolio planning from PMI Standard for Portfolio Management (overview is available at https://www.pmi.org/learning/library/pmi-standard-portfolio-management-8216).

Found this white paper on the topic:

You first need to decide what you want to learn from your study. The methodology you choose will depend on the questions you would like to answer.

Dear Huang,

You are focusing too much on only Academica and Research Literature.

Financial Advisers (Int. big ones) have published annually surveys covering such "insight" questions.

Br

Mr

India and Bhutan did not participate in this summit.

Without prejudice and my own observation or comments I will highlight what is reflected in the news track as under:

OBOR portfolio can lead to China acquiring equity and then controlling stakes in the projects, getting a permanent footprint in several small countries which is nearly impossible for it to achieve otherwise.

China always hides its military plans in its economic projects. A vast infrastructural footprint in dozens of countries in Asia and Africa will eventually mean a strong Chinese military presence across OBOR.

A small country that hosts infrastructure created by China and unable to repay the loan will be vulnerable to China's diplomatic and military moves

A key part of OBOR is China-Pakistan Economic Corridor passes through Gilgit-Baltistan region which lies in Pakistan-Occupied Kashmir. The Chinese presence in a disputed region which India claims as part of its own territory raises sovereignty concerns for India.

China is making inroads on its rivals too. Citigroup Inc. research shows Chinese investment into the five largest Southeast Asian nations — Singapore, Malaysia, Thailand, Indonesia and the Philippines — climbed to $13.5 billion last year, exceeding flows from Japan for the first time.

1. The Concept of Corporate performance

2. The measurement of corporate performance (Discus all the measurements and there after discuss further on financial performance in 3)

3. Corporate Financial performance

4. Theories of corporate financial performance

5. Measurement of corporate financial performance

6. etc

HI,

You may have a look to this recent paper:

Which Alpha?

By: Barillas, Francisco; Shanken, Jay. Review of Financial Studies. Apr2017, Vol. 30 Issue 4, p1316-1338. 23p. DOI: 10.1093/rfs/hhw101.

Sujets: Capital assets pricing model; Portfolio management (Investments); Asset management; Rate of return; Portfolio performance; Sharpe ratio; Portfolio Management; Other Activities Related to Real Estate; Assets (Accounting) -- Sales & prices

Best regards

The Beta of a stock A can be estimated by the following formula :

where :

rA : the return of the stock A

rB : the return of the stock B 

Then you can use the Security Market Line equation to find the E(rm).

You can find more information on the attached link.

Best,

Iliasse 

Dear Mr. Raza,

We use the regression model to forecast accounting measuring of a firm. And we use ROA, ROE, Tobin's Q as dependent variable.

If you want to get information about that, please write to me.

Greetings

Dear Elvis,

As you can see from the statement of Jyoti, the answer to your question may be not as clear cut as one could suppose. Jyoti points to La Porta et al. (2002) who argue that in the environment of better legal protection investors may be ready to pay a "security premium" on the stock prices. But, on the other hand, she says that costs of equity decrease due to reduced monitoring and auditing costs in a strong legal environment, a view that I also support. However, this contradicts the findings of La Porta et al. (2002). I think there are still lots of issues open to further research.

Paul

Dear Karen,

I can't help much in the way of theoretical calculations, but I can show you a very interesting practical example of fund managers whose expectations on future interest rates are extremely contrarian (i.e., different than the mainstream). This directly affects their portfolio allocation decisions and recommendations.

Enter Bill Gross (the "Bond King") and Jeffrey Gundlach (the "King of Bonds"). Notice the similarilities in their nicknames.

Both of these gentlemen recently suggested to sell down almost every type of financial instrument in favor of "real" assets like gold and real estate. This is undoubtedly a function of their belief that the depressed interest rates environment created bubbles on most, if not all, of financial assets in the world.

You can start from here: http://qz.com/749692/investors-bill-gross-and-jeffrey-gundlach-say-to-sell-stocks-bonds-and-almost-everything-else-except-gold/

Then I would dig into their letters and reports to investors, since they often elaborate more broadly in those documents.

Hope this helps.

I am working on it and I am almost done with it just wait for few months. Other scenarios are there in literature which can guide you for asset  return. You can  use bound and bound algorithm and can try yourself.

Dear Jelto Borgmann

Greetings,

Please find the three attached files about the literature review about your question related for your topic may be useful for you and good luck

Best Regards,

My approach would be to start with a simple risk measure.  You have quarterly observation in the various indices for which you have links and plenty of observations from which to calculate single period returns and then the standard deviation.  Issues such as leverage, default, are not particularly different from those faced in equity markets, although liquidity risk is obviously more of a problem at the individual asset level.  So holding and transaction costs are priced in or embedded in prices in the index and returns calculated from the index.

Take the total risk and explore it is useful for computing a Sharpe Index.  If you want the market risk then calculate beta using an OLS of real estate return with Market Returns.  This gives you Treynor index inputs.  Obviously heterogeneous assets have issues but when you are working with a portfolio these tend to disappear when you have enough observations.

It seems to me you have several indices to work with and this will provide the possibility of forming a portfolio of desired real estate risk by weighting the indices'' returns in a Markowitz portfolio.  You should have plenty of issues and results.

Enjoy

you may also read my another paper:

Zhuo Qiao, Wing-Keung Wong, 2015, Which is a better investment choice in the Hong Kong residential property market: a big or small property? Applied Economics 47(16), 1670-1685.

There is a tool in the area of security analysis and I am unable to recall it exactly, which suggests if a particular security is underpriced or overpriced. Underpricing/Overpricing would lead to buying/selling of these securities under the premise that markets corrects itself. Any security would not be too away from its intrinsic value for very long unless new information (shocks) is absorbed in the market which in turn reflects in the price of the stock of interest. 

It is a combination of both fundamental as well as technical analysis that is used to forecast the possible behaviour of a stock based on its historical pattern of movement and the fundamental figures. 

The reason for correct forecasting of these broking houses is that they are well connected and well informed with all the parties involved. Knowing every possible bit of information that might affect the price and the extent of that effect helps them suggest possible course of action. It is a mixture of diligent fundamental analysis, observant technical analysis, dormant market sense and a certain amount of courage. To an extent the herd mentality of the market participants also help. e.g. If a broking house announces that the shares of XYZ is a great buy as its pices are going to rise in foreseeable future. Lot of people would start buying it thus increasing the demand for that stock and hence pushing the price up and vice-versa.

Hope I made it somewhat clear

Hi Seyed,

There are several software available. Find here some pointers. Best is to contact the authors if you are interested in their method.

- Rough Sets: http://www.lcb.uu.se/tools/rosetta/#functionality

- FlowSort  sorting method (based on Promethee methodology): www.smart-picker.com  --> there is a trial version and also research licences

- Tomaso method (http://public.telecom-bretagne.eu/~pmeyer//software/tomaso/tomaso_tutorial.html)

- SMAA (http://www.inescc.pt/~ewgmcda/SW_CSMAA.pdf)

- FINCLASS (Multicriteria Decision Support for Financial Classification Problems) (in Newsletter, Series 3, No. 3, Spring 2001): http://www.cs.put.poznan.pl/ewgmcda/pdf/SWFinclass.pdf

Other references:

Best wishes,

Philippe

One novel way to manage the Product Portfolio for Engineer-to-Order industries is to apply "Knowledge capture ad Reuse" concepts while packaging solutions for product family.

The following case histories may provide you with more details on concepts and methods.

In order to think clearly about any issue you need to state the problem using clear language. Business jargon, words like 'strategic' and ghastly meaningless terms like 'strategic driver' and 'stakeholder value', is designed to obscure the true meaning and prevent clear thought. Anyway, I think that if you translate your question into plain English (or Portuguese for that matter) you will see immediately that the answer has to be 'no': the idea that the way in which businesses choose which kinds of assets to acquire determines the extent to which they are good neighbours, good employers and good citizens (presumably that is the meaning of 'stakeholder' value, or did you mean to say shareholder value?) is absurd.

The transition I mean is when the software maintenance work on an application portfolio is handed over from the proprietor to a Service Provider or from one Service Provider to another. There are a lot of models available for the actual maintenance effort, but not very much for the transition project.

Conditional survival probability can be estimated using a loglogistic survival model. The survivorship bias is more pronounced in the hedge fund's industry than in the mutual fund's industry. Conditional survival probability, conditioned upon a number of determinants, makes a better job at informing investors about the survival uncertainty than the "usual" survivorship bias or attrition rate. Many authors have studied the persistence of fund performance. I have published a couple of papers on both topics, with references therein.

BR

Your puzzle is related to the joint-hypothesis problem inherent in asset-pricing tests. Roll (1977) has indeed demonstrated that any CAPM assessment is in fact a joint assessment of (1) the pricing model and (2) the quality of the market index used. If a deviation from the pricing model (i.e., if a non-zero alpha is found) this can be due to failure of the CAPM. However, this can also be due to the inefficiency of the market index used. In an earlier JFQA paper, Roll (1968) demonstrate that the errors in the market index used induce a bias in the abnormal return estimated. This puzzle is a logjam inherent in all asset-pricing tests. Similar puzzles have also been identified. For example, Shanken (1982) pointed out that the APT is not testable because the factor model can be arbitrarily manipulated by repackaging a given set of securities. Hansen and Richard (1987) have argued that conditional models are not testable because it is impossible to observe the full information set of investors. This is also similar to the joint hypothesis problem inherent in the tests of market efficiency (see Fama (1970)).

Neither "receivable" nor "cash flow" alone is an effective tool for credit evaluation. Receivable is listed as a debit from prior credit sales in the journal entry. It is also treated in the Balance Sheet as current asset. As for the Cash Flow Statement, the first line of the cash flow statement is : Net Income. For this reason, a cash flow statement is treated as a secondary document. For credit evaluation, the following documents are more useful:

INCOME STATEMENT

When a credit sale is made, the sale is recorded as credit. When that credit sales receives payment in subsequent month, it is debit from the journal. By looking at the income statement, one can see the profit and loss of the operation. in addition, the income statement, unlike cash flow statement, gives detailed of sales and expense categories that give rise to the net amount (profit or loss). This is more useful than cash flow statement because the income statement---if taken in several operating period---the analyst can regress a pattern of each income and expense item, thus, able to predict future performance of the company. Since the cash flow statement uses the net income as a starting point, it cannot reveal the true picture of the company's operation or business model as the income statement would. For this reason, a cash flow statement is not an effective tool for credit evaluation.

In looking at the income statement, the credit assessor must separate cash sales from credit sales. Credit sales are recorded as part of revenue in the income statement then debit it as the accounts are paid later. In the balance sheet it is recorded as a current asset.

BALANCE SHEET

Receivable is recorded in the balance sheet as a current asset. As a tool for evaluating the company's operation receivables cannot be an effective tool because as a single item (account receivable) it does not give the whole picture, i.e. collection period, default ratio (unpaid receivable, etc). Therefore, the entire balance must be examined:

ASSET - DEBT = EQUITY

where ...

ASSET = Long-term Asset + Current Asset + Other Asset

We can see the weakness of looking at receivable as an indicator of credit worthiness of a company because receivable is a sub-element in the current asset category---which in tern is part of ASSET in the balance sheet. The entire balance sheet must be read as a whole document and read it with Income Statement.

Suppose that the company has large account receivable, this will reflect positively on the Owner's Equity---thus hiding the effect of its debt when in fact these account receivable may have problem in collection. For that reason, the balance sheet must be read together with the income statement. In the income statement, revenue collected from the account receivable can be isolated.

RATIO ANALYSIS

The good old fashion ratio analysis is an effective tool for credit evaluation. Given an income statement, balance sheet, and cash flow statement, one can construct ratio equation in excel sheet and calculate various ratios.

CREDIT MODEL

Credit evaluation model is generally developed in-house by each crediting agency. Fitch, for instance, has its own model which is different from that used by Moody. Banks also maintain their own credit scoring models. Generally, it is not released to the public, but some articles can be found as part of research articles released by each crediting agency. These article are readily available via google search engine.

OPTIMAL PORTFOLIO

For the reasons given above, receivable and cash flow statement should not be used as the sole basis for portfolio construction. The actual financial statements and ratio analysis should be used. One does not look only to company performance when constructing a portfolio; other factors must also be looked at: industry trend, national economy, regional development, etc. The investor's preference or institutional philosophy and practice also influence the formation of a portfolio.