Optimal Investment Portfolios with Predictable Return Signs

2013 ◽  
Author(s):  
Joonas Hamalainen
Keyword(s):  
Optimal Investment ◽  
Investment Portfolios

scholarly journals Identification and Prioritization of Risk and Its Effect of the Renewable Energy Life Cycle Based on Performance and Risk Indicators

2019 ◽  
Vol 2 (2) ◽  
pp. p61
Author(s):  
Hassan Farsijani ◽  
Maryam Moradi
Keyword(s):  
Risk Factors ◽  
Renewable Energy ◽  
Life Cycle ◽  
Electricity Market ◽  
Risk Control ◽  
Optimal Investment ◽  
Energy System ◽  
Risk Indicators ◽  
High Risk Factors ◽  
Investment Portfolios

Risk management consists of two aspects of risk control and risk assessment in the electricity market. So, risk control should cover the risk and work out of the way of optimal investment portfolios. Thus, the aim of this research is producing solar electricity life cycle profitability. First to identify existing risks in the production of electricity using Delphi technique between 300 experts in 15 Powerhouse. Then, the grey ANP model was the adoption of the New Energy Organization of Iran. The number of risk factors were collected by subject literature in renewable energy in Iran that have analyzed and selected the high-risk factors by ANP GREY method. Finally, to examine the life cycle of solar power, the authors analyzed financial indicators and the life cycle’s factors which relates to performance and risk variables, then, the Regression model used in three stages of life cycle. Finally, the result provides incentives for the energy system to support production renewable electricity and aid to increase the profitability of the renewable energy cycle.

scholarly journals On the Relationship between Investment Risk and Insurance Solvency Optimum

2020 ◽  
Vol 29 (1) ◽  
pp. 84-91
Author(s):  
Borbála Szüle
Keyword(s):  
Interest Rates ◽  
Research Question ◽  
Optimal Investment ◽  
Risk Level ◽  
Investment Risk ◽  
Insurance Sector ◽  
Insurance Portfolio ◽  
Investment Portfolios ◽  
Portfolio Size ◽  
The Relationship

Solvency is a key issue in the insurance sector. Investments can have significant risks, and a compelling research question is whether the solvency optimizing investment risk corresponds to the lowest possible risk level. This question is even more topical with some interest rates approaching very low levels in many countries. The paper aims to answer this question. Theoretical results suggest that if insurance risk and investment risk are uncorrelated, solvency optimizing investment portfolios with non-risk-free components may exist, and the level of optimal investment risk may inversely depend on the insurance portfolio size.

scholarly journals Forming an Optimal Investment Portfolio

2019 ◽  
Vol 9 (1) ◽  
pp. 3909-3914
Keyword(s):  
Capital Investment ◽  
Optimal Investment ◽  
Investment Policy ◽  
Investment Efficiency ◽  
Portfolio Investment ◽  
Financial Instruments ◽  
Investment Portfolio ◽  
Market Conditions ◽  
High Investment ◽  
Investment Portfolios

The choice of the investor’s investment policy is determined by their capabilities and market conditions. The formed investment portfolio has some positive specifics and advantages over other types of capital investment. Portfolio investment allows not only to plan and evaluate the results of investment in various markets, but also to control them in order to achieve high investment efficiency. An investment portfolio can be formed from various market instruments of corporate stocks and bonds with varying degrees of security and risk, as well as investing in other financial instruments. However, it is worth noting that investment portfolios with alternative investments are increasingly common in practice.

scholarly journals Glide paths for a retirement plan with deferred annuities

2021 ◽  
pp. 1-17
Author(s):  
Chul Jang ◽  
Andrew Clare ◽  
Iqbal Owadally
Keyword(s):  
Objective Function ◽  
Optimal Investment ◽  
Retirement Income ◽  
Investment Strategies ◽  
Welfare Gains ◽  
Power Utility ◽  
Retirement Plan ◽  
Asset Classes ◽  
Investment Portfolios ◽  
Glide Paths

Abstract We construct investment glide paths for a retirement plan using both traditional asset classes and deferred annuities (DAs). The glide paths are approximated by averaging the asset proportions of stochastic optimal investment solutions. The objective function consists of power utility in terms of secured retirement income from purchased DAs, as well as a bequest that can be withdrawn before retirement. Compared with conventional glide paths and investment strategies, our DA-enhanced glide paths provide the investor with higher welfare gains, more efficient investment portfolios and more responsive retirement income patterns and bequest levels to different fee structures and personal preferences.

scholarly journals Sustainable Maritime Fleet Management in the Context of Global Sulphur Cap 2020

2021 ◽  
Vol 22 (1) ◽  
pp. 53-66
Author(s):  
Sina Atari
Keyword(s):  
Optimal Allocation ◽  
Optimal Investment ◽  
Fleet Management ◽  
Maritime Industry ◽  
Economic Decisions ◽  
Investment Opportunities ◽  
Special Challenge ◽  
Lng Fuel ◽  
Investment Portfolios ◽  
Theoretical Results

AbstractSince the implementation of Emission Control Areas (ECA) in 2015, investment decisions related to abatement technologies represent a crucial task in the maritime industry. Currently, the focus in the maritime sector is on Sulphur reductions due to SECA regulations and the legislative of Global Sulphur Cap that started in 2020. A special challenge appears in maritime fleet management where sets of ships have to be considered, representing portfolios of assets that have to be equipped with a variety of different options of abatement technologies.Modern portfolio theory has been applied to various economic decisions to achieve an optimal allocation of resources among different investment opportunities. The research investigates and discusses the application of the Markowitz´ optimization in the context of SECA regulations for maritime fleets. The optimal investment portfolios are taking into account the three most important compliance options based on the use of low Sulphur fuel, the use of LNG fuel and the use of HFO with a scrubber. The theoretical results are empirically validated by a case of a shipping line operating 10 vessels.

scholarly journals Optimal investment portfolio selection from the largest Ukrainian companies: comparative study of conventional and responsible portfolios

2019 ◽  
Vol 8 (1) ◽  
pp. 44-53
Author(s):  
Alex Plastun ◽  
Inna Makarenko ◽  
Yulia Yelnikova ◽  
Diana Bychenko
Keyword(s):  
Investment Decisions ◽  
Optimal Investment ◽  
Investment Portfolio ◽  
Responsible Investment ◽  
Market Participants ◽  
Stock Portfolios ◽  
Markowitz Portfolio ◽  
Theoretical Significance ◽  
Portfolio Optimization Model ◽  
Investment Portfolios

This paper is devoted to the comparing stock portfolios of the largest conventional and responsible Ukrainian companies as the basis for substantiating the structure of an optimal investment portfolio in the current conditions of development of the financial market of Ukraine. The empirical basis of the research was the data of quotations of shares of 6 most liquid conventional and 6 responsible companies in the Ukrainian and Warsaw exchanges. The methodological basis of calculations was the classic Markowitz portfolio optimization model. The key hypothesis of the research was to check that the conventional investment portfolios of Ukrainian companies outperform the responsible investment portfolios by their parameters (return, risk). This hypothesis was rejected. The obtained results have not only theoretical significance – both the rationale for the threat of responsible investment in Ukraine and the applied value for market participants in terms of investment decisions making, taking into consideration the ESG criteria, and the formation of investment portfolios from shares of the responsible companies, the key parameters of which exceed the conventional portfolios.

scholarly journals Using Swarm Algorithm to Build Efficient Portfolio

2018 ◽  
pp. 221
Author(s):  
Moudhir Khalid Abdul hameed
Keyword(s):  
Stock Exchange ◽  
Optimal Investment ◽  
Investment Portfolio ◽  
General Introduction ◽  
Modern Approach ◽  
Financial Investment ◽  
Investment Opportunities ◽  
High Return ◽  
Swarm Algorithm ◽  
Investment Portfolios

The increase of financial investment induce the investors, financial analysts and specialists to look for Low-risk  and High-return investment opportunities, represented as investment portfolios selected  and built on scientific bases such portfolios represent the best way to minimize risks and maximize returns. They called as efficient and optimal portfolios.  Many developments happened on the Markowitz theory; the researchers see that the portfolio investment needs to continuous developments. This paper discussed using the optimization algorithm to build the optimal portfolio by using the Swarm algorithm (PSO). The researchers tried to test the possibility to adapt PSO as one of modern approach to build the investment portfolio to reach its optimization and its efficiency. This paper contains theoretical framework, general introduction and some previous studies, some information about efficient and optimal investment portfolio, how to build these portfolios according to risk –and return trade off. The researchers reached encouraging results. The researchers analyzed data from Iraqi –stock Exchange (i.sx.iq). The results compared with published others about the same subject. Finally, the researchers concluded that there is an ability to apply this algorithm to build optimal investment portfolio.

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