scholarly journals Optimum Centralized Portfolio Construction with Decentralized Portfolio Management

2004 ◽  
Vol 39 (3) ◽  
pp. 481-494 ◽  
Author(s):  
Edwin J. Elton ◽  
Martin J. Gruber
Keyword(s):  
Decision Maker ◽  
Financial Institutions ◽  
Portfolio Management ◽  
Decision Makers ◽  
Portfolio Construction ◽  
General Will ◽  
Optimal Portfolios ◽  
Optimal Decisions ◽  
Portfolio Managers ◽  
Security Information

AbstractMany financial institutions employ outside portfolio managers to manage part or all of their investable assets. It is well recognized that outside portfolio managers are unwilling to share security information with each other or with the centralized decision maker and this in general will lead to sub-optimal portfolios. In this paper, we derive an implementable set of rules under which a central decision maker can make optimal decisions without requiring decentralized decision makers to reveal estimates of security returns. Furthermore, we derive conditions under which these rules hold and when they do not hold.

scholarly journals From the microscope to the macroscopic: changing from the bench to portfolio management

2017 ◽  
Vol 28 (22) ◽  
pp. 2932-2934
Author(s):  
Michael Sachs
Keyword(s):  
Interpersonal Communication ◽  
Communication Skills ◽  
Portfolio Management ◽  
Academic Research ◽  
Senior Management ◽  
Decision Makers ◽  
Management Level ◽  
Biopharmaceutical Company ◽  
Portfolio Managers ◽  
Support Research

A role in portfolio management is ideal for individuals who enjoy tackling challenges that have both technical and business components. Portfolio management provides objective insights and analytics to support research and development decision making and planning. Successful practitioners usually have strong analytical abilities developed from a background in either science or business. Portfolio managers often advise key decision makers at both the team and senior management level and thus require robust oral, written, and interpersonal communication skills. Day-to-day tasks are rarely the same, and comfort with change and the unknown is essential. Here I will discuss my experience as a portfolio manager in a larger biopharmaceutical company and the skills from academic research I leveraged to make the transition.

Portfolio Managers

2017 ◽  
Author(s):  
Erik Devos ◽  
Andrew C. Spieler ◽  
Joseph M. Tenaglia
Keyword(s):  
Gender Differences ◽  
Decision Making ◽  
Portfolio Management ◽  
Risk Taking ◽  
Disposition Effect ◽  
Portfolio Construction ◽  
Management Process ◽  
Behavioral Biases ◽  
Portfolio Managers ◽  
Investment Process

In the oversight of most funds, the portfolio manager holds the key decision-making power. Often regarded as foundational to the investment process, a few select managers can attract billions of dollars from investors, giving the managers increased prominence, credibility, and compensation. Despite their stature, portfolio managers are not immune to the behavioral biases that other investors exhibit, which can distort the portfolio management process. This chapter offers an overview of portfolio management and compares characteristics of the fund types that portfolio managers oversee. It also reviews several important behavioral biases that portfolio managers display, as well as the consequences that each has on portfolio construction: overconfidence, herd mentality, risk-taking behavior, and disposition effect. The chapter also contrasts the gender differences of portfolio managers and reviews the ramifications for their respective portfolios.

Project Portfolio Selection Using a D.E.A. Approach

2017 ◽  
pp. 220-244
Author(s):  
António M. Amaral ◽  
Madalena Araújo
Keyword(s):  
Risk Perception ◽  
Decision Maker ◽  
Portfolio Selection ◽  
Portfolio Management ◽  
Decision Makers ◽  
Innovative Approach ◽  
Project Portfolio ◽  
Project Portfolio Management ◽  
Considerable Difficulty ◽  
Management Area

The project management area uses several techniques and tools to identify, select, monitor and manage the projects portfolio of the organizations. However, these techniques still present problems and difficulties which, sometimes, inhibit their use. Project Portfolio Management (PPM) is considered a problem of considerable difficulty and complexity, which requires its constant monitoring by the organization, according to the strategic guidelines chosen. Thus, this paper presents an innovative approach for selecting the portfolio of projects by using DEA, and the development of a set of generic indicators, to support the decision makers in considering multiple projects. Each decision maker can use all or some of the indicators proposed, thus each one's knowledge, sensitivity and intuition are taken into account, namely for indicators such as risk perception, level of innovation, market clock speed, project's complexity.

Analytical Study on Big Data

2018 ◽  
Vol 8 (5) ◽  
pp. 75
Author(s):  
Vivek Raich ◽  
Pankaj Maurya
Keyword(s):  
Information Technology ◽  
Big Data ◽  
Decision Maker ◽  
Analytical Study ◽  
Large Data ◽  
Decision Makers ◽  
Continuous Increase ◽  
Analytic Methods ◽  
Data Store ◽  
Business Engineering

in the time of the Information Technology, the big data store is going on. Due to which, Huge amounts of data are available for decision makers, and this has resulted in the progress of information technology and its wide growth in many areas of business, engineering, medical, and scientific studies. Big data means that the size which is bigger in size, but there are several types, which are not easy to handle, technology is required to handle it. Due to continuous increase in the data in this way, it is important to study and manage these datasets by adjusting the requirements so that the necessary information can be obtained.The aim of this paper is to analyze some of the analytic methods and tools. Which can be applied to large data. In addition, the application of Big Data has been analyzed, using the Decision Maker working on big data and using enlightened information for different applications.

Women's Role Involvement in Family Businesses, Business Tensions, and Business Success

2003 ◽  
Vol 16 (1) ◽  
pp. 53-68 ◽  
Author(s):  
Sharon M. Danes ◽  
Patricia D. Olson
Keyword(s):  
Decision Maker ◽  
Family Business ◽  
Decision Makers ◽  
Business Success ◽  
Business Owner ◽  
Role Involvement ◽  
Work Involvement ◽  
Women's Role ◽  
The Impact ◽  
Major Decision

This paper is based on a study of 391 family-business-owning couples where the husband is the business owner. The purpose of the study was to examine the work involvement of the wife in the business, the business tensions, and the impact of those tensions on family business success. Fifty-seven percent of wives worked in the business, 47% of whom were paid. Forty-two percent of wives were considered major decision makers. Having more than one decision maker in the business impacted certain types of inclusion tension. Business and family success outcomes varied by level of tensions. There was initial evidence of a threshold where business tensions begin to affect business success negatively.

scholarly journals COST, CONTEXT, AND DECISIONS IN HEALTH ECONOMICS AND HEALTH TECHNOLOGY ASSESSMENT

2018 ◽  
Vol 34 (5) ◽  
pp. 434-441 ◽  
Author(s):  
Anthony J. Culyer
Keyword(s):  
Health Economics ◽  
Health Technology Assessment ◽  
Decision Maker ◽  
Technology Assessment ◽  
Health Technology ◽  
Decision Makers ◽  
Negative Consequences ◽  
Middle Income ◽  
Middle Income Countries ◽  
Context Dependent

Objectives:This study is an attempt to demystify and clarify the idea of cost in health economics and health technology assessment (HTA).Methods:Its method draws on standard concepts in economics. Cost is a more elusive concept than is commonly thought and can be particularly elusive in multidisciplinary territory like HTA.Results:The article explains that cost is more completely defined as opportunity cost, why cost is necessarily associated with a decision, and that it will always vary according to the context of that decision: whether choice is about inputs or outputs, what the alternatives are, the timing of the consequences of the decision, the nature of the commitment to which a decision maker is committed, who the decision maker is, and the constraints and discretion limiting or liberating the decision maker. Distinctions between short and long runs and between fixed and variable inputs are matters of choice, not technology, and are similarly context-dependent. Harms or negative consequences are, in general, not costs. Whether so-called “clinically unrelated” future costs and benefits should be counted in current decisions again depends on context.Conclusions:The costs of entire health programs are context-dependent, relating to planned rates of activity, volumes, and timings. The implications for the methods of HTA are different in the contexts of low- and middle-income countries compared with high-income countries, and further differ contextually according to the budget constraints (fixed or variable) facing decision makers.

scholarly journals Portfolio management and appropriation of private benefits of control

2016 ◽  
Vol 1 (1) ◽  
pp. 20
Author(s):  
Elli Kraizberg
Keyword(s):  
Portfolio Management ◽  
Empirical Finding ◽  
Expected Returns ◽  
Minority Shareholders ◽  
Publicly Traded ◽  
Final Model ◽  
Public Firms ◽  
The Public ◽  
Portfolio Managers ◽  
The Impact

<p dir="LTR">In many countries around the globe, portfolio managers utilize well accepted models, assuming that a partial stake of ownership is proportionally valued. This assumption is incorrect  in markets in which traded firms or publicly held firms are controlled by major owners who would take any possible measure to protect and maintain a 'lock' on control, so they can secure a sellable asset to another control seeker. In this case, estimation of key parameters such as, volatility, expected returns and diversification effect, may be grossly distorted.</p><p dir="LTR">We would argue that a major trigger for the value of the benefits of control is the ability of control owners to transfer assets from their own portfolio to a controlled publicly traded firm. While it is obvious that these transfers will take place, if and only if, it is beneficial to the control owners, the impact on the minor shareholders may not necessarily be negative and may vary depending on several parameters. Thus, the benefits of control are not entirely "private", i.e. appropriation and diversion of the resources of publicly traded firms for the benefit of the control owners.     </p><p dir="LTR">This paper aims to model the effect of the benefits of control on the value of a minority held public firms. It focuses on two related issues that are discussed in the literature on the benefits of control: what drives the value of the benefits of control, given the   empirical evidence that control seekers are willing to pay a significant premium for control, and secondly, can these benefits be rationally modeled? To better understand these issues, it then models a specific drive on the part of control seekers who, in addition to their stake in a publicly traded firm, own a private portfolio. It could be argued that they may 'transfer' inferior investments to the public firms that they control exploiting less than perfect transparency. However, while they own this valuable option of 'transferring' inferior investments into the public firm, these actions may still be beneficial to the minority shareholders.</p><p dir="LTR">We establish a model and derive a simulation procedure that are applied to several cases in which transfers  are made in exchange for cash or equity, instances of full disclosure or partial transparency, the likelihood that the control owners' actions will be contested in court, level of risk, and other parameters. Then we will compare the results to empirical finding.  The final model will be greatly simplified so that the end formula can be easily used by practitioners. </p>

scholarly journals Changes in the Portfolio Management and Construction under the Pandemic Era

2021 ◽  
Vol 275 ◽  
pp. 01005
Author(s):  
Ruipeng Tan
Keyword(s):  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Stock Returns ◽  
Financial Market ◽  
Portfolio Management ◽  
Portfolio Construction ◽  
Sample Data ◽  
Before And After ◽  
Reduce Risk ◽  
The Impact

This paper focuses on comparing portfolio management and construction before and after the coronavirus. First, this paper presents the importance of building up portfolios for investors to diversify their risks. Theories on portfolio management are discussed in this section to show how they have been developed to help on investing and reduce risk. Then, the paper moves on to show the impact of the pandemic on the financial market and portfolio management. Sample data on tech stock returns are collected to perform a Monte Carlo simulation on portfolio construction to find out the efficient portfolio before and after the COVID-19 outbreak. The efficient portfolio is build based on the Markowitz theory to find the combination. Comparisons between these portfolio constructions are made to find out the changes in portfolio management and construction under the pandemic era. In conclusion, this paper presents how pandemic has changed and impacted the investments and lists recommendations on future portfolio management and construction.

scholarly journals Restrição de Liquidez para Modelos de Seleção de Carteiras

2015 ◽  
Vol 13 (2) ◽  
pp. 288
Author(s):  
Gabriel Matos Pereira ◽  
Leonardo Riegel Sant'Anna ◽  
Tiago Pascoal Filomena ◽  
João Luiz Becker
Keyword(s):  
Stock Market ◽  
Portfolio Optimization ◽  
Financial Institutions ◽  
Portfolio Management ◽  
Regulatory Agency ◽  
Liquidity Constraint ◽  
Maximum Percentage ◽  
Monetary Value ◽  
High Influence

Liquidity is an important issue in portfolio management. In 2012, the Brazilian market regulatory agency (CVM) started to require all banks and brokerages to maintain liquidity control of their portfolios. This study presents a liquidity constraint which is endogenously incorporated to portfolio optimization to Brazilian Financial Institutions. The proposed constraint incorporates endogenously some practical issues such as: portfolio value, monetary volume traded, maximum percentage of monetary value, liquidation term date and liquidation level. This constrain is applied to the Brazilian Stock Market. The selected constraint parameters have high influence on the liquidity level of the portfolio.

Herding and Delegated Portfolio Management: The Impact of Relative Performance Evaluation on Asset Allocation

2011 ◽  
Vol 01 (02) ◽  
pp. 265-292 ◽  
Author(s):  
Ernst Maug ◽  
Narayan Naik
Keyword(s):  
Performance Evaluation ◽  
Portfolio Management ◽  
Asset Allocation ◽  
Relative Performance ◽  
Optimal Contracts ◽  
Fund Managers ◽  
Portfolio Managers ◽  
Delegated Portfolio Management ◽  
The Impact ◽  
Allocation Decisions

This paper investigates the effect of fund managers' performance evaluation on their asset allocation decisions. We derive optimal contracts for delegated portfolio management and show that they always contain relative performance elements. We then show that this biases fund managers to deviate from return-maximizing portfolio allocations and follow those of their benchmark (herding). In many cases, the trustees of the fund who employ the fund manager prefer such a policy. We also show that fund managers in some situations ignore their own superior information and "go with the flow" in order to reduce deviations from their benchmark. We conclude that incentive provisions for portfolio managers are an important factor in their asset allocation decisions.

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