scholarly journals The Efficient Frontier: A Note on the Curious Difference between Variance and Standard Deviation

2021 ◽  
pp. jpm.2021.1.300
Author(s):  
Richard Roll
Keyword(s):  
Standard Deviation ◽  
Efficient Frontier

Petroleum Exploration Risk in Prospect Portfolio Selection

2017 ◽  
pp. 40-65
Keyword(s):  
Standard Deviation ◽  
Portfolio Selection ◽  
Six Sigma ◽  
Efficient Frontier ◽  
Sharpe Ratio ◽  
Petroleum Exploration ◽  
Management Approach ◽  
Portfolio Optimisation ◽  
Exploration Risk ◽  
Return Variance

Presented method is applied to petroleum exploration for prospect portfolio selection to achieve investment objectives controlling risk. DMAIC framework applies stochastic techniques to risk management. Optimisation resolves Efficient Frontier of portfolios for desired range of expected return with initially defined increment. Simulation measures Efficient Frontier portfolios calculating mean return, variance, standard deviation, Sharpe Ratio, and Six Sigma metrics versus pre-specified target limits. Analysis considers mean return, Six Sigma metrics and Sharpe Ratio and selects the portfolio with maximal Sharpe Ratio as initially the best portfolio. Optimisation resolves Efficient Frontier in a narrow interval with smaller increments. Simulation measures Efficient Frontier performance including mean return, variance, standard deviation, Sharpe Ratio, and Six Sigma metrics versus pre-specified target. Analysis identifies the maximal Sharpe Ratio portfolio, i.e. the best portfolio for implementation. Selected prospects in the portfolio are individual projects. So, Project Management approach is used for control.

Research and Development Risk in Projects Selection

2017 ◽  
pp. 66-91
Keyword(s):  
Standard Deviation ◽  
Six Sigma ◽  
Efficient Frontier ◽  
Sharpe Ratio ◽  
Management Approach ◽  
Portfolio Optimisation ◽  
Expected Return ◽  
Return Variance ◽  
Stochastic Techniques ◽  
Development Risk

Elaborated method is applied to R&D for project portfolio selection to achieve investment objectives controlling risk. DMAIC framework applies stochastic techniques to risk management. Optimisation resolves Efficient Frontier of portfolios for desired range of expected return with initially defined increment. Simulation measures Efficient Frontier portfolios calculating mean return, variance, standard deviation, Sharpe Ratio, and Six Sigma metrics versus pre-specified target limits. Analysis considers mean return, Six Sigma metrics and Sharpe Ratio and selects the portfolio with maximal Sharpe Ratio as initially the best portfolio. Optimisation resolves Efficient Frontier in a narrow interval with smaller increments. Simulation measures Efficient Frontier performance including mean return, variance, standard deviation, Sharpe Ratio, and Six Sigma metrics versus pre-specified target. Analysis identifies the maximal Sharpe Ratio portfolio, i.e. the best portfolio for implementation. Selected projects in the portfolio are individual projects. So, Project Management approach is used for control.

Managing Foreign Exchange Risk

2018 ◽  
pp. 172-191
Keyword(s):  
Standard Deviation ◽  
Foreign Exchange ◽  
Efficient Frontier ◽  
Interest Rate Risk ◽  
Foreign Exchange Risk ◽  
Hedging Strategies ◽  
Optimal Hedging ◽  
Exchange Risk ◽  
The Interest Rate ◽  
Exchange Options

This chapter discusses the method's application to foreign exchange risk management by elaborating how to use foreign exchange options for hedging the interest rate risk. The problem is to determine how many European Put options to purchase for optimal hedging of the foreign exchange risk: 1) Stochastic Optimisation is used to construct Efficient Frontier of optimal hedging strategies of the foreign exchange risk with minimal Standard Deviation; 2) Monte Carlo simulation is utilised to stochastically calculate and measure the Total Amount Hedged (US $), Variance, Standard Deviation and VAR of Efficient Frontier optimal hedging strategies; 3) Six Sigma process capability metrics are also stochastically calculated against desired specified target limits for Total Amount Hedged and associated VAR of Efficient Frontier optimal hedging strategies; 4) Simulation results are analysed and the optimal hedging strategy is selected based on the criteria of minimal VAR.

scholarly journals Unit trusts and portfolio selection on the Johannesburg Stock Exchange

1982 ◽  
Vol 13 (4) ◽  
pp. 169-175
Author(s):  
K. J. Carter ◽  
J. F. Affleck-Graves ◽  
A. H. Money
Keyword(s):  
Standard Deviation ◽  
Portfolio Selection ◽  
Stock Exchange ◽  
Efficient Frontier ◽  
Expected Return ◽  
Earnings Volatility ◽  
Johannesburg Stock Exchange ◽  
Market Index ◽  
Efficient Portfolios ◽  
Unit Trust

The application of the standard techniques of portfolio selection on the 34 sectors comprising the JSE All Share index is undertaken for the three equal non-overlapping five-year periods between February 1965 and January 1980. Efficient portfolios in each period which carry the same risk as the market index are seen to outperform the market substantially. Portfolios chosen at random to span the efficient frontier in each period reveal the consistent inefficiency of 10 sectors over the 15-year period. Three of these sectors, namely Mining Holding, Mining Houses and Industrial Holding are shown to be favoured in the Association of Unit Trusts portfolio relative to these sectors' proportion of the market. On the presumption that unit trust managers attempt to act efficiently, holding these sectors is only justified if the measure of risk used in the portfolio selection algorithm, namely standard deviation of expected return, is less appropriate than other measures of risk such as earnings volatility. If standard deviation of expected return is a more appropriate measure of risk in the selection of efficient portfolios, it must be concluded that the large sophisticated investors managing the unit trusts act inefficiently.

scholarly journals Cryptocurrency Portfolio Selection—A Multicriteria Approach

Mathematics ◽  
2021 ◽  
Vol 9 (14) ◽  
pp. 1677
Author(s):  
Zdravka Aljinović ◽  
Branka Marasović ◽  
Tea Šestanović
Keyword(s):  
At Risk ◽  
Standard Deviation ◽  
Portfolio Selection ◽  
Value At Risk ◽  
Selection Process ◽  
Efficient Frontier ◽  
Conditional Value At Risk ◽  
Optimal Portfolios ◽  
Promethee Ii ◽  
Proposed Model

This paper proposes the PROMETHEE II based multicriteria approach for cryptocurrency portfolio selection. Such an approach allows considering a number of variables important for cryptocurrencies rather than limiting them to the commonly employed return and risk. The proposed multiobjective decision making model gives the best cryptocurrency portfolio considering the daily return, standard deviation, value-at-risk, conditional value-at-risk, volume, market capitalization and attractiveness of nine cryptocurrencies from January 2017 to February 2020. The optimal portfolios are calculated at the first of each month by taking the previous 6 months of daily data for the calculations yielding with 32 optimal portfolios in 32 successive months. The out-of-sample performances of the proposed model are compared with five commonly used optimal portfolio models, i.e., naïve portfolio, two mean-variance models (in the middle and at the end of the efficient frontier), maximum Sharpe ratio and the middle of the mean-CVaR (conditional value-at-risk) efficient frontier, based on the average return, standard deviation and VaR (value-at-risk) of the returns in the next 30 days and the return in the next trading day for all portfolios on 32 dates. The proposed model wins against all other models according to all observed indicators, with the winnings spanning from 50% up to 94%, proving the benefits of employing more criteria and the appropriate multicriteria approach in the cryptocurrency portfolio selection process.

scholarly journals Introducing REITs (Real Estate Investment Trusts) to Enhance the Risk Adjusted Returns of the Risky Direct Real Estate Portfolio

2016 ◽  
Vol 2 (2) ◽  
pp. 323
Author(s):  
David HO Kim Hin ◽  
Justin WONG Chia Chern
Keyword(s):  
Standard Deviation ◽  
Real Estate ◽  
Asset Allocation ◽  
Efficient Frontier ◽  
Investment Strategy ◽  
Sharpe Ratio ◽  
Expert Opinions ◽  
Allocation Process ◽  
Asian Cities ◽  
Ex Ante

<p><strong><em>Purpose</em></strong><strong><em>:</em></strong><em> </em><em>The paper has several objectives in mind: to examine whether or not </em><em>a dynamic, ex ante AHP-SAA model and a dynamic Markowitz QP TAA model that utilizes de-smoothed data, produces an investment strategy, which further optimizes the risk-adjusted return of the pan-Asian real estate portfolio. It examines the required de-smoothing and Modern Portfolio Theory (MPT) for the TAA. </em><em></em></p><p><strong><em>Design/Methodology/Approach</em></strong><strong><em>:</em></strong><em> </em><em>This paper reveals that the efficient frontier of risk-adjusted returns for direct real estate portfolio is enhanced by introducing REITS. The portfolio comprises the Pan-Asian office and industrial real estate markets for 13 major Asian cities, to which Asian REITS are added. Direct real estate total return data is in its </em><em>“</em><em>smooth</em><em>”</em><em> form while the REIT data is </em><em>“</em><em>de-smoothed</em><em>”</em><em> under the 1<sup>st</sup> and 4<sup>th</sup> order autoregressive model. The efficient frontier is constructed under a dynamic Strategic Asset Allocation (SAA) model, incorporating the Analytic Hierarchy Process (AHP) approach. Secondly, the dynamic Markowitz quadratic-programming Tactical Asset Allocation (TAA) model is adopted to obtain a geographically and real estate sector diversified portfolio.</em><em></em></p><p><strong><em>Findings</em></strong><strong><em>:</em></strong><em> </em><em>The resulting efficient frontier with the de-smoothed data reveals a higher overall TR for every corresponding standard deviation as compared to the smoothed data. TAA for the de-smoothed returns would lie on the efficient frontier at the maximum Sharpe ratio of 1.44 with a TR on 15.30% and a standard deviation of 7.31%. Conversely, TAA for the smoothed returns would lie on the efficient frontier at the maximum Sharpe ratio of 1.31 with a lower TR of 14.2% and a standard deviation of 7.18%.</em><em></em></p><p><strong><em>Practical implications</em></strong><strong><em>: </em></strong><em>This paper should serve as a meaningful guide to look at </em><em>an alternative asset allocation process that can be effectively adopted and refined by practitioners and researchers. It enables asset managers/or investors to deploy expert opinions on an ex ante basis for a longer term dynamic SAA model and a short term dynamic Markowitz QP TAA model. </em><em></em></p><p><strong><em>Originality/Value</em></strong><strong><em>:</em></strong><em> The paper offers insightful information for </em><em>in adopting the AHP to develop a dynamic SAA and the dynamic Markowitz QP TAA model in utilizing de-smoothed direct real estate TR data. This paper is specific to a Pan Asian direct real estate portfolio of 13 Asian cities together with the introduction of Asian REITS, to provide greater diversification and risk-return benefits.</em><em></em></p>

Nucleic Acid Molecules Prepared by Monolayer Techniques

1972 ◽  
Vol 30 ◽  
pp. 178-179
Author(s):  
Dimitrij Lang
Keyword(s):  
Electron Microscopy ◽  
Standard Deviation ◽  
Nucleic Acid ◽  
Cytochrome C ◽  
Nucleic Acids ◽  
Contour Length ◽  
Sample Standard Deviation ◽  
Molecular Weights ◽  
Length Measurements ◽  
Protein Monolayer

The success of the protein monolayer technique for electron microscopy of individual DNA molecules is based on the prevention of aggregation and orientation of the molecules during drying on specimen grids. DNA adsorbs first to a surface-denatured, insoluble cytochrome c monolayer which is then transferred to grids, without major distortion, by touching. Fig. 1 shows three basic procedures which, modified or not, permit the study of various important properties of nucleic acids, either in concert with other methods or exclusively:1) Molecular weights relative to DNA standards as well as number distributions of molecular weights can be obtained from contour length measurements with a sample standard deviation between 1 and 4%.

Reliability of the Minimum Masking Level as Outcome Variable in Tinnitus Clinical Research

2020 ◽  
Vol 29 (3) ◽  
pp. 429-435
Author(s):  
Patricia C. Mancini ◽  
Richard S. Tyler ◽  
Hyung Jin Jun ◽  
Tang-Chuan Wang ◽  
Helena Ji ◽  
...  
Keyword(s):  
Standard Deviation ◽  
High Frequency ◽  
Pearson Correlation ◽  
Correlation Coefficients ◽  
Outcome Variable ◽  
Reliable Estimate ◽  
Moderate Correlation ◽  
Trained Subjects ◽  
The Relationship ◽  
Minimum Intensity

Purpose The minimum masking level (MML) is the minimum intensity of a stimulus required to just totally mask the tinnitus. Treatments aimed at reducing the tinnitus itself should attempt to measure the magnitude of the tinnitus. The objective of this study was to evaluate the reliability of the MML. Method Sample consisted of 59 tinnitus patients who reported stable tinnitus. We obtained MML measures on two visits, separated by about 2–3 weeks. We used two noise types: speech-shaped noise and high-frequency emphasis noise. We also investigated the relationship between the MML and tinnitus loudness estimates and the Tinnitus Handicap Questionnaire (THQ). Results There were differences across the different noise types. The within-session standard deviation averaged across subjects varied between 1.3 and 1.8 dB. Across the two sessions, the Pearson correlation coefficients, range was r = .84. There was a weak relationship between the dB SL MML and loudness, and between the MML and the THQ. A moderate correlation ( r = .44) was found between the THQ and loudness estimates. Conclusions We conclude that the dB SL MML can be a reliable estimate of tinnitus magnitude, with expected standard deviations in trained subjects of about 1.5 dB. It appears that the dB SL MML and loudness estimates are not closely related.

Bedingungen für den Erfolg übergewichtiger und adipöser Kinder in einem ambulanten Programm zur Gewichtsreduktion durch Veränderungen des Lebensstils

2010 ◽  
Vol 38 (5) ◽  
pp. 351-360 ◽  
Author(s):  
Wilfried Pott ◽  
Georg Fröhlich ◽  
Özgür Albayrak ◽  
Johannes Hebebrand ◽  
Ursula Pauli-Pott
Keyword(s):  
Body Mass Index ◽  
Standard Deviation ◽  
Body Mass ◽  
Standard Deviation Score ◽  
Psychische Belastung ◽  
Deviation Score ◽  
Höheres Alter

Fragestellung: Es wurde der Frage nachgegangen, ob sich erfolgreiche Teilnehmer eines ambulanten familienzentrierten Gewichtskontrollprogramms durch spezifische familiäre und psychologische Charakteristiken auszeichnen. Einbezogen wurden die psychosoziale Risikobelastung der Familie, Depressivität und Bindungsstil der Hauptbezugsperson, der Body mass index (BMI) und der BMI-Standardabweichungswert («Standard deviation score», SDS) des teilnehmenden Kindes und der Familienmitglieder sowie die individuelle psychische Belastung des teilnehmenden Kindes. Methodik: Die Daten wurden per Interview und Fragebogen vor dem Behandlungsbeginn erhoben. Von 136 in das Programm aufgenommenen übergewichtigen und adipösen Kindern zwischen 7 und 15 Jahren beendeten 116 das 12-monatige Interventionsprogramm. Von diesen zeigten 100 (85,3 %) eine Reduktion des BMI-SDS und 79 (68.1 %) eine mehr als 5 %ige Reduktion des BMI-SDS. Diese «erfolgreichen» Kinder wurden mit 56 «nicht erfolgreichen» (Abbrecher und Kinder mit einer 5 %igen oder geringeren Reduktion des BMI-SDS) verglichen. Ergebnisse: Nicht erfolgreiche Kinder unterschieden sich von den erfolgreichen durch ein höheres Alter, eine höhere psychosoziale Risikobelastung, Depressivität und einen vermeidenden Bindungsstil der Mutter sowie durch das Vorhandensein adipöser Geschwister. In einer logistischen Regressionsanalyse zeigten sich mütterliche Depressivität und das Vorhandensein adipöser Geschwister als beste und voneinander unabhängige Prädiktoren. Schlussfolgerungen: Um die spezifischen Bedürfnisse der Familien zu erfüllen und einen Misserfolg zu verhindern, sollten zusätzliche Programmbausteine zur spezifischen Unterstützung von Jugendlichen mit adipösen Geschwistern und Müttern mit Depressionen und vermeidenden Bindungsstil entwickelt werden. Die Wirksamkeit dieser Module muss dann in weiteren Studien überprüft werden.

Sign in / Sign up

Export Citation Format

Share Document