scholarly journals Dynamic risk-based optimization on cryptocurrencies

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Bayu Adi Nugroho
Keyword(s):  
Transaction Cost ◽  
Dynamic Optimization ◽  
Design Methodology ◽  
Minimum Variance ◽  
Multivariate Garch ◽  
Optimization Strategy ◽  
Content Type ◽  
Out Of Sample ◽  
Rolling Windows ◽  
Practical Implications

PurposeIt is crucial to find a better portfolio optimization strategy, considering the cryptocurrencies' asymmetric volatilities. Hence, this research aimed to present dynamic optimization on minimum variance (MVP), equal risk contribution (ERC) and most diversified portfolio (MDP).Design/methodology/approachThis study applied dynamic covariances from multivariate GARCH(1,1) with Student’s-t-distribution. This research also constructed static optimization from the conventional MVP, ERC and MDP as comparison. Moreover, the optimization involved transaction cost and out-of-sample analysis from the rolling windows method. The sample consisted of ten significant cryptocurrencies.FindingsDynamic optimization enhanced risk-adjusted return. Moreover, dynamic MDP and ERC could win the naïve strategy (1/N) under various estimation windows, and forecast lengths when the transaction cost ranging from 10 bps to 50 bps. The researcher also used another researcher's sample as a robustness test. Findings showed that dynamic optimization (MDP and ERC) outperformed the benchmark.Practical implicationsSophisticated investors may use the dynamic ERC and MDP to optimize cryptocurrencies portfolio.Originality/valueTo the best of the author’s knowledge, this is the first paper that studies the dynamic optimization on MVP, ERC and MDP using DCC and ADCC-GARCH with multivariate-t-distribution and rolling windows method.

scholarly journals An analysis of CEE equity market integration and their volatility spillover effects

2019 ◽  
Vol 29 (1) ◽  
pp. 23-40 ◽  
Author(s):  
Ngo Thai Hung
Keyword(s):  
Market Integration ◽  
Design Methodology ◽  
Spillover Effects ◽  
Equity Market ◽  
Multivariate Garch ◽  
The Czech Republic ◽  
Content Type ◽  
Volatility Spillovers ◽  
Conditional Correlations ◽  
Practical Implications

Purpose The purpose of this paper is to examine the conditional correlations and spillovers of volatilities across CEE markets, namely, Hungary, Poland, the Czech Republic, Romania and Croatia, in the post-2007 financial crisis period. Design/methodology/approach The authors use five-dimensional GARCH-BEKK alongside with the CCC and DCC models. Findings The estimation results of the three models generally demonstrate that the correlations between these markets are particularly significant. Also, own-volatility spillovers are generally lower than cross-volatility spillovers for all markets. Practical implications These results recommend that investors should take caution when investing in the CEE equity markets as well as diversifying their portfolios so as to minimize risk. Originality/value Unlike the previous studies in this field, this paper is the first study using multivariate GARCH-BEKK alongside with CCC and DCC models. The study makes an outstanding contribution to the existing literature on spillover effects and conditional correlations in the CEE financial stock markets.

“The lost decade”: an MPT perspective

2015 ◽  
Vol 41 (11) ◽  
pp. 1202-1220 ◽  
Author(s):  
Anthony Loviscek
Keyword(s):  
Design Methodology ◽  
Annual Rate ◽  
Rate Of Return ◽  
Average Risk ◽  
Monthly Data ◽  
Content Type ◽  
Core Set ◽  
Out Of Sample ◽  
Lost Decade ◽  
Practical Implications

Purpose – The purpose of this paper is to test the efficacy of an application of modern portfolio theory (MPT) from 2000 through 2009, a period during which the annual rate of return on the S & P 500 is negative. The financial media have called this period “the lost decade” for investors. Design/methodology/approach – Using monthly data, the author uses a series of annual out-of-sample tests to compare the risk-reward performances of MPT portfolios against those of the S & P 500. Findings – The author finds that the MPT portfolios outperformed the S & P 500. During the “lost decade”. They generated a cumulative return of over 77 percent compared to a cumulative return of −9.1 percent on the S & P 500. Moreover, the MPT portfolio β’s are low, ranging from 0.45 to 1.01, suggesting above-average risk-reward performances. Research limitations/implications – The MPT portfolios are relatively small, and might not be well diversified. That said, they comprise a core set of securities that could help investors achieve a risk-reward performance that exceeds that of the S & P 500. Practical implications – The results suggest that investors should not overlook the potential of MPT, despite its theoretical and practical limitations, to provide above-average returns at below-average risks. Originality/value – This is the first study to show the efficacy of MPT during a period in which it was criticized at having failed investors when they needed it most.

Collaborative attack on Internet users' anonymity

2009 ◽  
Vol 19 (1) ◽  
pp. 60-77 ◽  
Author(s):  
Rami Puzis ◽  
Dana Yagil ◽  
Yuval Elovici ◽  
Dan Braha
Keyword(s):  
Design Methodology ◽  
The Internet ◽  
Optimization Strategy ◽  
Resource Saving ◽  
Content Type ◽  
Internet Topology ◽  
Deployment Strategy ◽  
Internet Users ◽  
Substantial Resource ◽  
Practical Implications

PurposeThe purpose of this paper is to model and study the effectiveness of an attack on the anonymity of Internet users by a group of collaborating eavesdroppers.Design/methodology/approachThe paper is based on an analysis of the Internet topology. The study is based on two methods for choosing nodes that contribute the most to the detection of as many communicating Internet users as possible.FindingsThe paper illustrates that it is possible to compromise the anonymity of many Internet users when eavesdropping on a relatively small number of nodes, even when the most central ones are protected from eavesdropping.Research limitations/implicationsIt is assumed that the Internet users under attack are not using any anonymity enhancing technologies, but nodes can be protected from eavesdropping. It proposes a measure of the success of an attack on Internet users' anonymity, for a given deployment of collaborating eavesdroppers in the Internet.Practical implicationsThe paper shows that several, and not necessarily the most prominent, collaborating nodes can compromise the anonymity of a considerable portion of Internet users. This study also emphasizes that when trying to completely compromise the anonymity of Internet users, an eavesdroppers' deployment strategy that considers eavesdroppers' collaboration can result in substantial resource saving compared to choosing a set of the most prominent nodes.Originality/valueThe paper proposes a new measure of anonymity level in the network, based on the linkability of the Internet users. This paper is the first to present results of a non‐trivial Group Betweenness optimization strategy in large complex networks.

Using fractional GM(1,1) model to predict the life of complex equipment

2016 ◽  
Vol 6 (1) ◽  
pp. 32-40 ◽  
Author(s):  
Lifeng Wu
Keyword(s):  
Design Methodology ◽  
Small Samples ◽  
Percentage Error ◽  
Improve Performance ◽  
Content Type ◽  
Memory Processes ◽  
Gray System ◽  
Out Of Sample ◽  
Complex Equipment ◽  
Practical Implications

Purpose – The purpose of this paper is to improve performance for predicting the life spans of complex equipment systems. Design/methodology/approach – The gray system model with fractional order accumulation (FGM(1,1)) is used to predict the life spans of complex equipment systems using small samples. Findings – FGM(1,1) yielded a lower mean absolute percentage error (MAPE) for an in-sample and a much lower MAPE for an out-of-sample forecast, which means that FGM(1,1) can predict memory processes. Practical implications – FGM(1,1) can predict the life spans of other complex equipment. Originality/value – FGM(1,1) yielded a lower MAPE for an in-sample and a much lower MAPE for out-of-sample forecasts, which means that FGM(1,1) can predict memory processes.

Consumer value creation through WhatsApp use

2019 ◽  
Vol 32 (4) ◽  
pp. 455-471
Author(s):  
Jorge Cruz-Cárdenas ◽  
Jorge Guadalupe-Lanas ◽  
Ekaterina Zabelina ◽  
Andrés Palacio-Fierro ◽  
Margarita Velín-Fárez ◽  
...  
Keyword(s):  
Latin American ◽  
Value Creation ◽  
Emotional Support ◽  
Design Methodology ◽  
Instant Messaging ◽  
Role Performance ◽  
Content Type ◽  
Consumer Value ◽  
Depth Interviews ◽  
Practical Implications

Purpose The purpose of this paper is to understand in-depth how consumers create value in their lives using WhatsApp, the leading mobile instant messaging (MIM) application. Design/methodology/approach The study adopts the perspective of customer-dominant logic (CDL) and uses a qualitative multimethod design involving 3 focus groups and 25 subsequent in-depth interviews. The research setting was Ecuador, a Latin American country. Findings Analysis and interpretation of the participants’ stories made it possible to identify and understand the creation of four types of value: maintaining and strengthening relationships; improving role performance; emotional support; and entertainment and fun. In addition, the present study proposes a conceptual model of consumer value creation as it applies to MIM. Practical implications Understanding the way consumers create value in their lives using MIM is important not only for organizations that offer MIM applications, but also for those companies that develop other applications for mobile phones or for those who wish to use MIM as an electronic word-of-mouth vehicle. Originality/value The current study is one of the first to address the topic of consumer behavior in the use of technologies from the perspective of CDL; this perspective enables an integrated qualitative vision of value creation in which the consumer is the protagonist.

scholarly journals Advantages and potential challenges of data management in e-maintenance

2019 ◽  
Vol 25 (3) ◽  
pp. 378-396 ◽  
Author(s):  
Arian Razmi-Farooji ◽  
Hanna Kropsu-Vehkaperä ◽  
Janne Härkönen ◽  
Harri Haapasalo
Keyword(s):  
Data Management ◽  
Design Methodology ◽  
Management Practices ◽  
Future Research ◽  
Conceptual Approach ◽  
Content Type ◽  
Different Types ◽  
Maintenance Systems ◽  
Industry Leader ◽  
Practical Implications

Purpose The purpose of this paper is twofold: first, to understand data management challenges in e-maintenance systems from a holistically viewpoint through summarizing the earlier scattered research in the field, and second, to present a conceptual approach for addressing these challenges in practice. Design/methodology/approach The study is realized as a combination of a literature review and by the means of analyzing the practices on an industry leader in manufacturing and maintenance services. Findings This research provides a general understanding over data management challenges in e-maintenance and summarizes their associated proposed solutions. In addition, this paper lists and exemplifies different types and sources of data which can be collected in e-maintenance, across different organizational levels. Analyzing the data management practices of an e-maintenance industry leader provides a conceptual approach to address identified challenges in practice. Research limitations/implications Since this paper is based on studying the practices of a single company, it might be limited to generalize the results. Future research topics can focus on each of mentioned data management challenges and also validate the applicability of presented model in other companies and industries. Practical implications Understanding the e-maintenance-related challenges helps maintenance managers and other involved stakeholders in e-maintenance systems to better solve the challenges. Originality/value The so-far literature on e-maintenance has been studied with narrow focus to data and data management in e-maintenance appears as one of the less studied topics in the literature. This research paper contributes to e-maintenance by highlighting the deficiencies of the discussion surrounding the perspectives of data management in e-maintenance by studying all common data management challenges and listing different types of data which need to be acquired in e-maintenance systems.

An exploratory empirical study of whistleblowing and whistleblowers

2020 ◽  
Vol 27 (3) ◽  
pp. 755-770
Author(s):  
Maria Krambia-Kapardis
Keyword(s):  
Statistical Analysis ◽  
Design Methodology ◽  
Research Topic ◽  
Due Date ◽  
Content Type ◽  
Unethical Behaviour ◽  
Eu Member States ◽  
European Directive ◽  
Original Survey ◽  
Practical Implications

Purpose The purpose of this study is to develop a profile of whistleblowers and to determine whether whistleblowing legislation would encourage those individuals to bring to light some illegal or unethical behaviour that otherwise would remain in the shadows. Design/methodology/approach Having identified whistleblowing correlation, a survey was carried out in Cyprus of actual whistleblowers and could-have-been whistleblowers. Findings Males between 46 and55 years of age, regardless of whether they have dependents or hold senior positions in organizations are significantly more likely to blow the whistle. However, could-have-been whistleblowers did not go ahead because they felt that the authorities would not act on their information. Research limitations/implications Because of the sensitive nature of the research topic and the fact that only whistleblowers or intended whistleblowers could participate in the study, the sample size is limited as a result. This, in turn, limits both the number of respondents in each category (actual and intended) as well as constrains the statistical analysis that could be carried out on the data. Practical implications It remains to be seen whether EU Member States shall implement the European Directive 2019/1937 on the protection of persons who report breaches of Union Law, in its entirety by the due date, namely December 2021. Originality/value This study provides a literature review of whistleblowing and reports an original survey against the backdrop of the European Directive.

How Phillips saw the light

2020 ◽  
Vol 36 (8) ◽  
pp. 29-31
Keyword(s):  
Design Methodology ◽  
Reading Time ◽  
Daily Basis ◽  
Business World ◽  
Content Type ◽  
Freak Show ◽  
The World ◽  
Pertinent Information ◽  
The One ◽  
Practical Implications

Purpose Reviews the latest management developments across the globe and pinpoints practical implications from cutting-edge research and case studies. Design/methodology/approach This briefing is prepared by an independent writer who adds their own impartial comments and places the articles in context. Findings The problem with developing a reputation of being something of an oracle in the business world is that all of a sudden, everyone expects you to pull off the trick of interpreting the future on a daily basis. Like a freak show circus act or one-hit wonder pop singer, people expect you to perform when they see you, and they expect you to perform the thing that made you famous, even if it is the one thing in the world you don’t want to do. And when you fail to deliver on these heightened expectations, you are dismissed as a one trick pony, however good that trick is in the first place. Originality/value The briefing saves busy executives and researchers hours of reading time by selecting only the very best, most pertinent information and presenting it in a condensed and easy-to-digest format.

scholarly journals Examining the accounts of oil spills crises in Nigeria through sensegiving and defensive behaviours

2020 ◽  
Vol 33 (8) ◽  
pp. 2053-2076 ◽  
Author(s):  
Osamuyimen Egbon ◽  
Chijoke Oscar Mgbame
Keyword(s):  
Policy Implication ◽  
Design Methodology ◽  
Oil Spills ◽  
Burden Of Proof ◽  
Multinational Companies ◽  
External Factors ◽  
Content Type ◽  
Political Dynamics ◽  
Defensive Behaviours ◽  
Practical Implications

PurposeThe paper examines how oil multinational companies (MNCs) in Nigeria framed accounts to dissociate themselves from causing oil spills.Design/methodology/approachThe authors utilised data from relevant corporate reports, external accounts and interviews, and used sensegiving with defensive behaviours theoretical framing to explore corporate narratives aimed at altering stakeholders' perceptions.FindingsThe corporations gave sense to their audience by invoking scapegoating blame avoidance narrative in attributing the cause of most oil spills in Nigeria to outsiders (sabotage), despite potentially misclassifying the sabotage-corrosion dichotomy. Corporate stance was reinforced through justifying narrative, which suggested that multi-stakeholders jointly determined the causes of oil spills, thus portraying corporate accounts as transparent, credible and objective.Research limitations/implicationsThe socio-political dynamics in an empirical setting affect corporate accounts and how those accounts appear persuasive, implying that such contextual factors merit consideration when evaluating corporate accounts. For example, despite contradictions in corporate accounts, corporate attribution of oil spills to external factors appeared persuasive due to the inherently complicated socio-political dynamics.Practical implicationsWith compensation to oil spills' victims only legally permitted for non-sabotage-induced spills alongside the burden of proof on the victims, the MNCs are incentivised to attribute most oil spills to sabotage. On policy implication, accountability would be best served when the MNCs are tasked both with the burden of proof and a responsibility to demonstrate their transparency in preventing oil spills, including those caused by sabotage.Originality/valueCrisis situations generate multiple and competing perspectives, but sensegiving and defensive behaviours lenses enrich our understanding of how crisis-ridden companies frame narratives to alter stakeholders' perceptions. Accounts-giving therefore partly satisfies accountability demands, and acts as sensegiving signals aimed at reframing/redefining existing perceptions.

OCIE issues risk alert on the most frequently identified advisory fee and expense compliance issues

2018 ◽  
Vol 19 (4) ◽  
pp. 1-3
Author(s):  
Robert Van Grover
Keyword(s):  
Design Methodology ◽  
Best Practice ◽  
Investment Management ◽  
Content Type ◽  
Informed Decisions ◽  
Policies And Procedures ◽  
The Us ◽  
Investment Advisers ◽  
Practical Implications

Purpose To summarize and interpret a Risk Alert issued on April 12, 2018 by the US SEC’s Office of Compliance Inspections and Examinations (OCIE) on the most frequent advisory fee and expense compliance issues identified in recent examinations of investment advisers. Design/methodology/approach Summarizes deficiencies identified by the OCIE staff pertaining to advisory fees and expenses in the following categories: fee billing based on incorrect account valuations, billing fees in advance or with improper frequency, applying incorrect fee rates, omitting rebates and applying discounts incorrectly, disclosure issues involving advisory fees, and adviser expense misallocations. Findings In the Risk Alert, OCIE staff emphasized the importance of disclosures regarding advisory fees and expenses to the ability of clients to make informed decisions, including whether or not to engage or retain an adviser. Practical implications In light of the issues identified in the Risk Alert, advisers should assess the accuracy of disclosures and adequacy of policies and procedures regarding advisory fee billing and expenses. As a matter of best practice, advisers should implement periodic forensic reviews of billing practices to identify and correct issues relating to fee billing and expenses. Originality/value Expert guidance from experienced investment management lawyer.

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