scholarly journals Raising the bar on the foreign portfolio to 25 per cent: Strategic implications for South African investors

2015 ◽  
Vol 18 (3) ◽  
pp. 410-424 ◽  
Author(s):  
David John Bradfield ◽  
Brian Munro
Keyword(s):  
South African ◽  
Efficient Frontier ◽  
Strategic Role ◽  
Portfolio Managers ◽  
The Mean ◽  
Nonparametric Procedure ◽  
Mean Variance ◽  
Portfolio Planning

 Regulation 28 of the Pension Funds Act now permits an increased allocation of 25 per cent to foreign investments. The regulation previously only permitted a 20 per cent allocation. Establishing the optimal foreign allocation for South African portfolio managers given the 25 per cent upper bound is an important consideration for strategic portfolio planning. In this paper we consider two methodological approaches to establish a strategic foreign allocation weight. Our first approach considers the strategic role of foreign investment in South African global balanced portfolios by using a mean-variance efficient frontier framework over a long-term period. We also implement a second assessment methodology that utilises a nonparametric procedure. Both the mean-variance and the non-parametric methodology yield compelling evidence for the foreign allocation to be set at the maximum allowable bound of 25 per cent.

Long-term dynamics and destruction of marsh vegetation in the Kolokolkova Bay of the Barents Sea

2012 ◽  
pp. 66-77 ◽  
Author(s):  
I. A. Lavrinenko ◽  
O. V. Lavrinenko ◽  
D. V. Dobrynin
Keyword(s):  
Species Composition ◽  
Plant Communities ◽  
Barents Sea ◽  
Mean Value ◽  
Marsh Vegetation ◽  
Composition And Structure ◽  
The Mean ◽  
Species Composition And Structure

The satellite images show that the area of marshes in the Kolokolkova bay was notstable during the period from 1973 up to 2011. Until 2010 it varied from 357 to 636 ha. After a severe storm happened on July 24–25, 2010 the total area of marshes was reduced up to 43–50 ha. The mean value of NDVI for studied marshes, reflecting the green biomass, varied from 0.13 to 0.32 before the storm in 2010, after the storm the NDVI decreased to 0.10, in 2011 — 0.03. A comparative analysis of species composition and structure of plant communities described in 2002 and 2011, allowed to evaluate the vegetation changes of marshes of the different topographic levels. They are fol­lowing: a total destruction of plant communities of the ass. Puccinellietum phryganodis and ass. Caricetum subspathaceae on low and middle marches; increasing role of halophytic species in plant communities of the ass. Caricetum glareosae vic. Calamagrostis deschampsioides subass. typicum on middle marches; some changes in species composition and structure of plant communities of the ass. Caricetum glareosae vic. Calamagrostis deschampsioides subass. festucetosum rubrae on high marches and ass. Parnassio palustris–Salicetum reptantis in transition zone between marches and tundra without changes of their syntaxonomy; a death of moss cover in plant communities of the ass. Caricetum mackenziei var. Warnstorfia exannulata on brackish coastal bogs. The possible reasons of dramatic vegetation dynamics are discussed. The dating of the storm makes it possible to observe the directions and rates of the succession of marches vegetation.

scholarly journals Development of Algorithm for Clinical Management of Sickle Cell Bone Disease: Evidence for a Role of Vertebral Fractures in Patient Follow-up

2020 ◽  
Vol 9 (5) ◽  
pp. 1601 ◽  
Author(s):  
Lucia De Franceschi ◽  
Daniele Gabbiani ◽  
Andrea Giusti ◽  
Gianluca Forni ◽  
Filippo Stefanoni ◽  
...  
Keyword(s):  
Bone Density ◽  
Sickle Cell ◽  
Bone Disease ◽  
Vertebral Fractures ◽  
Cell Disease ◽  
High Incidence ◽  
The Mean

Sickle-cell disease (SCD) is a worldwide distributed hemoglobinopathy, characterized by hemolytic anemia associated with vaso-occlusive events. These result in acute and chronic multiorgan damage. Bone is early involved, leading to long-term disability, chronic pain and fractures. Here, we carried out a retrospective study to evaluate sickle bone disease (SBD) in a cohort of adults with SCD. We assessed bone density, metabolism and turnover. We also evaluated the presence of fractures and the correlation between SCD severity and skeletal manifestations. A total of 71 patients with SCD were analyzed. The mean age of population was 39 ± 10 years, 56% of which were females. We found osteoporosis in a range between 7% and 18% with a high incidence of vertebral fractures. LDH and AST were predictive for the severity of vertebral fractures, while bone density was not. Noteworthy, we identified -1.4 Standard Deviations T-score as the cutoff for detecting the presence of fractures in patients with SCD. Collectively our data allowed us to develop an algorithm for the management of SBD, which may be useful in daily clinical practice to early intersect and treat SBD.

scholarly journals A Random Parameter Model for Continuous-Time Mean-Variance Asset-Liability Management

2015 ◽  
Vol 2015 ◽  
pp. 1-16 ◽  
Author(s):  
Hui-qiang Ma ◽  
Meng Wu ◽  
Nan-jing Huang
Keyword(s):  
Continuous Time ◽  
Efficient Frontier ◽  
Random Parameter ◽  
Management Problem ◽  
Random Parameters ◽  
Asset Liability Management ◽  
Linear Quadratic ◽  
Liability Management ◽  
The Mean ◽  
Mean Variance

We consider a continuous-time mean-variance asset-liability management problem in a market with random market parameters; that is, interest rate, appreciation rates, and volatility rates are considered to be stochastic processes. By using the theories of stochastic linear-quadratic (LQ) optimal control and backward stochastic differential equations (BSDEs), we tackle this problem and derive optimal investment strategies as well as the mean-variance efficient frontier analytically in terms of the solution of BSDEs. We find that the efficient frontier is still a parabola in a market with random parameters. Comparing with the existing results, we also find that the liability does not affect the feasibility of the mean-variance portfolio selection problem. However, in an incomplete market with random parameters, the liability can not be fully hedged.

scholarly journals Repositioning Industrial Psychology for the creation of new futures in turbulent times

2001 ◽  
Vol 27 (4) ◽  
Author(s):  
K. P. Moalusi
Keyword(s):  
South African ◽  
Cost Reduction ◽  
Financial Statements ◽  
Industrial Psychology ◽  
Bottom Line ◽  
Current Management ◽  
Turbulent Times ◽  
Strategic Role ◽  
The Creation

It is argued that the current management paradigm has an obsession with financial statements and comparisons, or cost reduction, no matter what the price is in long term organisational and societal terms. The author does not suggest that the bottom line is unimportant, rather that we need to look beyond that. The challenge is to seek knowledge that will assist in addressing the issues that are pertinent to the South African workplace without being oblivious to the bottom line. Improperly framed questions will not elevate the discipline and the profession from a marginal to a strategic role, at least not in organisational settings. The author asserts that Industrial Psychology has a great deal to offer managers regarding what the thrust should be in the creation of new futures in turbulent times. This would require focussing on relevant issues rooted in the workplace. Opsomming Die artikel berus op die argument dat die huidige bestuursparadigma plaas ‘n oordrewe klem op finansiële state en vergelykings, of koste-verlaging, ongeag die lang termyn organisatoriese en sosiale prys wat betaal word. Die skrywer stel geensins voor dat finansiële prestasie onbelangrik is nie, eerder dat verder as hierdie prestasie gekyk moet word. Die uitdaging is om kennis te skep wat tersaaklike kwessies in die Suid-Afrikaanse werkplek sal aanspreek sonder om finansiële prestasie te onderbeklemtoon. Onbehoorlik geformuleerde vrae sal die dissipline en professie nie vanaf die kantlyn na ‘n strategiese rol verskuif nie, ten minste nie in ‘n organisatoriese opset nie. Daar word geredeneer dat die Bedryfsielkunde ‘n groter bydrae kan maak aan bestuurders t.o.v. wat beklemtoon behoort te word in die skep van nuwe toekomstige moontlikhede tydens dinamies veranderende tye. Hierdie bydrae vereis egter ‘n fokus op toepaslike kwessies in die werkplek.

scholarly journals Mean-Variance Portfolio Selection with Tracking Error Penalization

Mathematics ◽  
2020 ◽  
Vol 8 (11) ◽  
pp. 1915
Author(s):  
William Lefebvre ◽  
Grégoire Loeper ◽  
Huyên Pham
Keyword(s):  
Portfolio Selection ◽  
Tracking Error ◽  
Efficient Frontier ◽  
Minimum Variance ◽  
Sharpe Ratio ◽  
Portfolio Strategy ◽  
The Mean ◽  
Mean Variance Portfolio ◽  
Mean Variance ◽  
Variance Criterion

This paper studies a variation of the continuous-time mean-variance portfolio selection where a tracking-error penalization is added to the mean-variance criterion. The tracking error term penalizes the distance between the allocation controls and a reference portfolio with same wealth and fixed weights. Such consideration is motivated as follows: (i) On the one hand, it is a way to robustify the mean-variance allocation in the case of misspecified parameters, by “fitting" it to a reference portfolio that can be agnostic to market parameters; (ii) On the other hand, it is a procedure to track a benchmark and improve the Sharpe ratio of the resulting portfolio by considering a mean-variance criterion in the objective function. This problem is formulated as a McKean–Vlasov control problem. We provide explicit solutions for the optimal portfolio strategy and asymptotic expansions of the portfolio strategy and efficient frontier for small values of the tracking error parameter. Finally, we compare the Sharpe ratios obtained by the standard mean-variance allocation and the penalized one for four different reference portfolios: equal-weights, minimum-variance, equal risk contributions and shrinking portfolio. This comparison is done on a simulated misspecified model, and on a backtest performed with historical data. Our results show that in most cases, the penalized portfolio outperforms in terms of Sharpe ratio both the standard mean-variance and the reference portfolio.

Application of the Mean-Variance Theory and Resampling Technique for the Italian Energy Portfolio Settlement

2013 ◽  
Vol 869-870 ◽  
pp. 581-592
Author(s):  
Mauro Arnesano ◽  
Antonio Paolo Carlucci ◽  
Giovanni D'Oria ◽  
Alessio Guadalupi ◽  
Domenico Laforgia
Keyword(s):  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Estimation Error ◽  
Efficient Frontier ◽  
Energy Generation ◽  
Energy System ◽  
Estimation Errors ◽  
Energy Mix ◽  
The Mean ◽  
Mean Variance

The energy planning based on Mean - Variance theory, guides the investors in investment decisions, trying to maximize the return and minimize the risk of investment. However, this theory is based on strong hypotheses and, in addition, input data are often affected by estimation errors. Moreover, this theory determines poor diversification increasing return and risk of the portfolio, and strong variability of the outputs when inputs are varied.In the first part of the paper, the Mean - Variance theory was applied to the energy generation in Italy; in particular, the analysis was on the actual energy mix, but also assuming the use of nuclear technology and taking into account verisimilar improvement, of technologies in the future.On the other hand, in the second part of the paper, a methodology has been applied in order to limit the problems of Mean-Variance theory applied to the energy mix settlement. In particular, the input variables have been calculated using Monte Carlo simulation, in order to reduce the estimation error, and the Resampled EfficiencyTMtechnique has been applied in order to calculate the resulting new “average” efficient frontier. This methodology has been applied either not limiting or limiting the minimum and maximum percentage for every energy generation technology, in order to simulate constraints due, for example, to the technological characteristics of the plant, the availability of the sources and eventually to norms, to the territorial characteristics and to the socio-political choices. The application of Mean - Variance theory allowed to obtain energy portfolio, alternative to the actual, characterized by higher values of expected returns an lower values of risk.It was also shown that the application of the Resampled EfficiencyTMtechnique with data originated with the Monte Carlo simulation effectively tackles the problems of Mean - Variance theory; in this way, the decision maker is helped in making decisions in the energy system policy and development.Thanks to this approach, applied in particular to the Italian energy contest, it was also possible to evaluate the effectiveness of the introduced modifications to the Italian actual energy mix to achieve the 2020 European Energy Directive targets in particular concerning the reduction of CO2levels.

scholarly journals Making strategy work: The role of the middle manager

2014 ◽  
Vol 20 (2) ◽  
pp. 165-186 ◽  
Author(s):  
Mari Jansen Van Rensburg ◽  
Annemarie Davis ◽  
Peet Venter
Keyword(s):  
South African ◽  
Middle Managers ◽  
Strategy Implementation ◽  
Operational Performance ◽  
Middle Manager ◽  
Group Discussions ◽  
Downward Influence ◽  
Strategic Role ◽  
Private And Public

AbstractIn recognition of middle managers as influential strategists we collected 654 responses from South African middle managers detailing their spontaneous and unguided descriptions of their strategic roles in the organisation they represent. The results show that middle managers generally associate their strategic role strongly with the traditional perspectives on the roles as implementers of strategies and communicators linking their subordinates and higher levels of management. We add the roles of ‘advocacy’ and ‘improving operational performance’ to the conventional elements of strategy implementation, and the roles of ‘managing performance’ and ‘driving compliance’ to the role of downward influence. Focus group discussions contextualised and authenticated these roles within the South African private and public sectors.

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