scholarly journals Analysis of Optimization Model of Haji Financial Investment Portfolio in BPKH RI (Haji Financial Management Agency of the Republic of Indonesia)

2020 ◽  
Vol 8 (1) ◽  
pp. 5-27
Author(s):  
Arif Setyawan ◽  
Hendro Wibowo ◽  
Mustafa Kamal
Keyword(s):  
Financial Management ◽  
Investment Portfolio ◽  
Expected Return ◽  
Investment Funds ◽  
Financial Investment ◽  
Management Board ◽  
The Republic ◽  
Excel Solver ◽  
Risk Scenario ◽  
Risk Investment

Financial management board hajj is an institution in which manages investment funds haji who uses the shariah principle in Indonesia. This study aims to analyze the optimization of Indonesian BPKH investment in a period of the year 2017-2019 in diversified portfolios by adopting both Markowitz. The research data is historical data on investment is being done by BPKH in 2017-2019 which includes instruments, deposits sharia bonds, and a projection on the stocks, and the real sector accommodation. This study used a quantitative approach with the study descriptive. The technique of analysis that was used in this research is the solutions to the results of the portfolio equation optimal with the help of a computer program ms excel solver. The research results show the portfolio BPKH scenario of Indonesia concerning the period of 2017-2019 which showed the level of expected return and 3 on risk scenario investment composition. About the scenario conservative expected return 7,76 % and on the risk 1,09 % , scenario moderate expected return 14,70 % and on the risk 3,22 %, scenario aggressive expected return 26,62 % and on the risk 6,39 %.Keywords: BPKH; Return; Risk Investment; Portfolio Investment; Markowitz.

scholarly journals Analisis Kelayakan Investasi Keuangan Haji dalam Pembiayaan Infrastruktur dan Tingkat Imbal Hasil Badan Pengelola Keuangan Haji (Bpkh)

Performance ◽  
2020 ◽  
Vol 27 (1) ◽  
pp. 30
Author(s):  
Beny Witjaksono
Keyword(s):  
Case Studies ◽  
Financial Management ◽  
Secondary Data ◽  
Investment Portfolio ◽  
Management Board ◽  
Financial Investments ◽  
Optimal Value

This paper analyzes the investment portfolio of hajj funds in infrastructure financing and the level of returns managed by the Hajj Financial Management Board (BPKH). This research was conducted through case studies and literature studies to obtain secondary data. Data collected were analyzed quantitatively and qualitatively descriptive. The results showed that the feasibility of investment in hajj funds in infrastructure financing is feasible in sharia perspective. Under Law 34/2014, Hajj financial investments are aimed at obtaining optimal value benefits for improving the service of Hajj implementation by prioritizing aspects of the safety/integrity of the funds of prospective pilgrims.

DEA Window Analysis of Insurance Sector Efficiency in the Republic of Serbia

2020 ◽  
Vol 58 (3) ◽  
pp. 291-310
Author(s):  
Zlata Đurić ◽  
Milena Jakšić ◽  
Ana Krstić
Keyword(s):  
Financial Stability ◽  
Theoretical Research ◽  
Insurance Companies ◽  
Scale Efficiency ◽  
Financial Investment ◽  
Main Research ◽  
Insurance Sector ◽  
Window Analysis ◽  
The Republic ◽  
Dea Window Analysis

Abstract Insurance market is characterized by growing competition. This has imposed needs relating to the continuous capacity building of insurance companies, the continuous improvement of operating results and the assessment of the effects of insurers’ financial investment. The ultimate goal of these activities is to implement the planned goals and achieve positive business results. It is evident that the financial stability and efficiency of the insurance sector strengthens the confidence of citizens in this type of financial intermediaries. Bearing in mind the importance of the insurance sector for the financial system and economic system growth and development, the research subject is the analysis of the insurance sector efficiency in the Republic of Serbia. The main research objective is to look at the insurance sector efficiency through the performance analysis of nine selected insurance companies in the period 2007-2018, using DEA window analysis. The analysis and systematization of theoretical research findings, along with empirical data interpretation, description and comparison yielded results pointing to very poor performance of the insurance sector as a whole, because in all years of the observed period the relative average efficiency (technical, pure technical and scale efficiency) was below 100%, especially in the period 2015-2018.

PORTFOLIO MANAGEMENT OF ENERGY SAVING PROJECTS BASED ON THE MARKOVITS THEORY

2021 ◽  
pp. 79-91
Author(s):  
S. Kiyko ◽  
L. Deineha ◽  
M. Basanets ◽  
D. Kamienskyi ◽  
A. Didenko
Keyword(s):  
Energy Saving ◽  
Portfolio Optimization ◽  
Portfolio Management ◽  
Quadratic Function ◽  
Subject Area ◽  
Linear Constraints ◽  
Point Of View ◽  
Investment Portfolio ◽  
Financial Investment ◽  
Software Application

The goal of the work was to identify research and compare methods of portfolio management of energy saving projects and to develop software for optimizing portfolio investments using several methods. The key elements and strategies of creating an effective investment portfolio are considered: diversification, rebalancing, active portfolio management, passive portfolio management. Given the basic principles of investment theory, the task of portfolio investment is to form an investment portfolio with known shares of certain assets to maximize returns and minimize risk. To solve this problem, the method of Harry Markowitz, known as modern portfolio theory, was chosen. This is the theory of financial investment, in which statistical methods are used to make the most profitable risk distribution of the securities portfolio and income valuation, its components are asset valuation, investment decisions, portfolio optimization, evaluation of results. From a mathematical point of view, the problem of forming an optimal portfolio is the problem of optimizing a quadratic function (finding the minimum) with linear constraints on the arguments of the function. Methods of optimization of portfolios of energy saving projects taking into account the specifics of the subject area are analyzed. According to the results of the analysis, the methods of finding the maximum Sharpe’s ratio and the minimum volatility from randomly generated portfolios were chosen. A software application has been developed that allows you to download data, generate random portfolios and optimize them with selected methods. A graphical display of portfolio optimization results has also been implemented. The program was tested on data on shares of energy saving companies. The graphs built by the program allow the operator to better assess the created portfolio of the energy saving project.

scholarly journals Application and Comparative Study of Optimization Algorithms in Financial Investment Portfolio Problems

2021 ◽  
Vol 2021 ◽  
pp. 1-10
Author(s):  
Shuai Liu ◽  
Chenglin Xiao
Keyword(s):  
Genetic Algorithm ◽  
Comparative Study ◽  
Capital Markets ◽  
Asset Allocation ◽  
Optimization Algorithms ◽  
Economic Benefits ◽  
Investment Portfolio ◽  
Financial Investment ◽  
Financial Products ◽  
Financial Portfolio

Portfolio theory mainly studies how to optimize the allocation of assets under the premise of maximizing expected returns and minimizing investment risks. In view of the instability of the financial market, a diversified investment portfolio can help control the loss of the investment portfolio. In addition to paying attention to the safety and return of asset allocation, we cannot ignore the liquidity of assets, that is, their liquidity. Adding high-liquidity products to asset allocation, such as equity investment, can better control the financial cash flow in response to emergencies. One of the ways to make assets flow is to securitize assets and sell them to the market. In order to revitalize the stock assets, good investment efficiency is a necessary choice for financial investment. Various financial products and their derivatives continue to enter people’s vision. There are many financial products in reality, and optimizing the investment portfolio can bring high economic benefits. The purpose of this paper is to study the application of optimization algorithms in financial portfolio problems. (1) Monetary policy remains prudent and neutral. It is not easy to expect flooding, but flexibility is required in complex situations. (2) Financial resources are tilted towards innovation and transformation and capital markets, which is beneficial to the development of capital markets in the medium and long term. (3) Unblocking the transmission mechanism is conducive to lenient credit and tapping the wrong killing opportunities in private enterprise debt. (4) Banks and other financial institutions have moderate pressure to give benefits to entities, but in the long run, the interests of the two are consistent. (5) Finance risk prevention will continue, orderly breaking the rigid exchange and reshaping the financial structure and ecology. (6) The pace of opening up of the financial industry has accelerated, and the bond market investor structure has improved. In this paper, we establish different optimization schemes to compare and study the portfolio problem and then use MATLAB to solve the modeling and programming problem, calculate the highest return rate and the lowest risk value before and after optimization, and then make a comparative analysis to get a better optimization scheme. The results show that the genetic algorithm model is superior to the quadratic programming method in terms of risk control. The minimum risk of portfolio optimization through genetic algorithm has been reduced by about 40%, and the maximum return has increased by about 25%. The comprehensive optimization effect is better than the quadratic planning method and ultimately can obtain higher economic benefits. It can be seen that the optimization algorithm is of great significance for the comparative study of financial portfolio problems.

scholarly journals (The impact of financial performance assessment on the quality of banking performance An applied study on the Commercial Bank of Chad in the Republic of Chad for the period (2008-2013: أثر تقويم الأداء المالي على جودة الأداء المصرفي دراسة تطبيقية على مصرف شاري التجاري بجمهورية تشاد للفترة (2008-2013م)

2017 ◽  
Vol 1 (6) ◽  
Author(s):  
Mohammed Bukhari Hassan Ali
Keyword(s):  
Commercial Bank ◽  
Financial Distress ◽  
Financial Management ◽  
Financial Analysis ◽  
High Ratio ◽  
Bank Loans ◽  
General Classification ◽  
The Republic ◽  
The Impact

The study addressed the issue of the quality of financial Shari commercial bank management and the extent of their relationship to the funding of competence, to see how the quality of financial management, and to identify its transparency when granting credit, and to identify the general classification of the bank on CAMELS index of the banking classification. Study the problem in the following questions: Are the financial and credit policies of the bank bank?. It is that the bank actually applied followed in the granting of credit financial procedures? Is bank financing of the bank efficient? Is that the bank applied to all financial regulations and decisions of the Organization of the banking business? The study sought to analyze and test the hypotheses: The bank's reliance on financial analysis to rationalize decisions granting Alaitmat lead to the efficiency of the funding. The Bank’s general classification in term of quality, liquidity adequacy, financial level of default and loan-to deposit ratio are within the good classification. The Chari commercial Bank's performance is good. Used in the study are: descriptive analytical method and the historical approach in addition to the deductive approach. The study reached the following findings: The results of the study that there is a positive relationship between the quality of financial management bank (Shari) commercial financing and efficiency, the bank loans relative to deposits above the industry the desired level standard, the bank in case of default Mali due to the high ratio of non-performing loans and by passed the industry standard, the bank is suffering from an acute shortage of liquidity, causing falter in the bank's operations. The most important recommendations of the study: the need for Shari Commercial Bank to measure and find out the loans to deposits ratio and liquidity of the bank continuously to meet the obligations and withdrawals daily is expected, should the bank not to grant loans only after making sure it fits with deposits and ensure liquidity of the bank to avoid potential financial distress, the need to seek to provide all types of banking services offered by the rest of the workforce in the country's banks.

scholarly journals CURRENT ISSUES OF PUBLIC FINANCE MANAGEMENT IN UKRAINE

2021 ◽  
Vol 5 (40) ◽  
pp. 135-144
Author(s):  
V. Marhasova ◽  
I. Ruzhytskyi ◽  
N. Tkalenko ◽  
T. Shestakovska ◽  
O. Mykhailovska
Keyword(s):  
Public Finance ◽  
Economic Development ◽  
Asset Management ◽  
Financial Management ◽  
Local Economic Development ◽  
Public Confidence ◽  
Financial Assets ◽  
Investment Funds ◽  
Financial Capacity ◽  
Finance Management

Abstract. The article describes the approaches to defining the essence of understanding «public finance» and «public finance management» in the context of administrative and financial decentralization. A study on the current state of economic development of Ukraine is carried and the public financial management system is analyzed. The dynamics of the ratio of revenues and expenditures of the State and local budgets is shown and the national and subnational levels in the financing of public expenditures are described. The sequence of achieving a new level of welfare of the population is presented and the ways of state influence on local economic development are outlined. The content of the state’s activity on financial resources management and public importance of finances is given. Particular attention is paid to the financial capacity of UTC and the existing positive developments within the decentralization reform in Ukraine. The need to improve the management of public finances was emphasized, as it was evidenced by the size of the budget deficit. The division of budget expenditures by functional classification between the national and subnational levels is presented and the decline of financial independence of subnational budgets is witnessed. An assessment of the level of confidence in financial asset management services of territorial communities based on the calculation of the relevant index is made, and the relationship between the selected indicators (the monetary expenditures of the population; deposits of individuals in investment funds; population savings; volume of capital investments; volume of investments in Ukraine; assets of investment funds) and the level of public confidence in the management of UTC financial assets is researched.  Keywords: financial management, public finance, financial capacity of territorial communities, financial assets. JEL Classification H70, H89, R59, Q01 Formulas: 1; fig.: 5; tabl.: 3; bibl.: 20.

Optimal selection of financial risk investment portfolio based on random matrix method

2020 ◽  
Vol 20 (3) ◽  
pp. 859-868
Author(s):  
Jie Tian ◽  
Kun Zhao
Keyword(s):  
Covariance Matrix ◽  
Random Matrix ◽  
Financial Risk ◽  
Good Effect ◽  
Investment Portfolio ◽  
Variance Model ◽  
Minimum Risk ◽  
The Mean ◽  
Risk Investment ◽  
Mean Variance

The optimization of investment portfolio is the key to financial risk investment. In this study, the investment portfolio was optimized by removing the noise of covariance matrix in the mean-variance model. Firstly, the mean-variance model and noise in covariance matrix were briefly introduced. Then, the correlation matrix was denoised by KR method (Sharifi S, Grane M, Shamaie A) from random matrix theory (RMT). Then, an example was given to analyze the application of the method in financial stock investment portfolio. It was found that the stability of the matrix was improved and the minimum risk was reduced after denoising. The study of minimum risk under different M values and stock number suggested that calculating the optimal value of M and stock number based on RMT could achieve optimal financial risk investment portfolio result. It shows that RMT has a good effect on portfolio optimization and is worth promoting widely.

scholarly journals What happened to financially sustainable firms in the Corona crisis?

2020 ◽  
Vol 28 (3-4) ◽  
pp. 83-90 ◽  
Author(s):  
Thomas Günther ◽  
Werner Gleißner ◽  
Christian Walkshäusl
Keyword(s):  
Financial Management ◽  
Firm Growth ◽  
Investment Strategy ◽  
Risk Profile ◽  
Management Control ◽  
Risk Exposure ◽  
Financial Sustainability ◽  
Investment Portfolio ◽  
Investment Portfolios ◽  
Earnings Risk

AbstractPurpose: Financial sustainability is underrepresented in both research on and the practice of sustainability management and reporting. In this article, we examine empirically how financially sustainable firms performed in the Corona crisis.Methods: We measure financial sustainability by four conditions: (1) firm growth, (2) the company’s ability to survive, (3) an acceptable overall level of earnings risk exposure, and (4) an attractive earnings risk profile. We apply this measurement to investment portfolios of a broad sample of firms from 15 European countries of the MSCI Europe using typical investment portfolio characteristics.Results: We find that financially sustainable firms outperform both the broad market and firms with low financial sustainability for the time span July 2019 to March 2020.Conclusion: An investment strategy that invests in financially sustainable firms seems to be better capable of overcoming economic breakdowns such as the Corona crisis. We find that the returns increase with each of the four conditions that are included in the investment strategy. This underlines that considering financial sustainability is interesting for financial management, corporate governance and management control.

scholarly journals FINANCIAL MANAGEMENT IN ECONOMIC GROWTH OF TRANSITION COUNTRIES IN KOSOVO WILL BE SPECIAL

2018 ◽  
Vol 28 (1) ◽  
pp. 165-169
Author(s):  
Baki Koleci
Keyword(s):  
Economic Growth ◽  
Economic Development ◽  
Financial Management ◽  
Banking Industry ◽  
Negative Impact ◽  
Banking System ◽  
Transition Countries ◽  
Investment Funds ◽  
Ongoing Research ◽  
Explanatory Variables

The link between financial management and economic growth is a matter that is constantly being studied and discussed by various authors. The banking industry is an important source of economic development in the country, both in the private and public sectors. The lack of data for a multi-annual period remains a continuing problem for Kosovo's economy. Through multiannual data researchers and scholars will be able to draw the most accurate conclusions for transition countries.Through this study, we will show the empirical link between financial management, the banking system, economic growth in transition countries, and especially data from Kosovo. We will domenstrate throw the Regression Model (OLS) and three explanatory variables: Inflation, Credit to Household Economics and Credit Enterprise, we will reach the hypothesis conclusion.The results of regression show a positive and negative correlation between financial management, credit, and economic growth. From the results obtained, lies the hypothesis: where credit to households has a negative impact on economic growth. But the hypothesis is based: where the credit of the enterprise has a positive economic growth, while the offspring turns negative with economic growth.The purpose of this work is to fill this poor gap. New and ongoing research makes data completion, delivering the most accurate results and scope for improving financial policies.Various banking functions point to their importance for an effective and stable banking system as indispensable for the country's economy. Therefore, bank supervisors have an increased responsibility for monitoring and maintaining the healthy operation of a banking industry in a country. Moreover, individual entrepreneurs or investors usually lack sufficient capital to continue with their projects. Commercial banks provide mediation services that unite savers and investors by channeling theoretically investment funds for uses that bring the highest rate of return, increasing the specialization and division of labor (Todaro, 2003). The neoclassical growth model tells us that an increase in effective savings investments in new and innovative projects is one of the main economic growth generators (quoted in Armenta). The provision of credit is of utmost importance because mobilized assets can be rationally utilized, using them in the sphere of production, speeding up the reproduction process, turnover and other sectors, which are accounted for as sectors that accelerate economic development. Loans are very important and one of the main factors in stimulating economic development in the region, so the focus in the first part of this paper will be analysis of the role of loans and their impact on economic growth (credit growth in GDP) , where the main interest in this paper will be Kosovo.

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