Institutional investor management of Australian healthcare property assets as a pandemic-proof asset class

PurposeAs the prolonged effect of the COVID-19 pandemic has materially impacted investment returns significantly, it is more crucial than ever for institutional investors to redefine their property portfolios using assets with better investment management potential and meaningful diversification benefits. The “alternative asset revolution” is gaining traction in the property investment space internationally among institutional investors due to the shifting investment attitudes towards the alternative property sectors. Australia's $205bn healthcare property sector is at the forefront of this revolution due to its societal significance, as well as its attractive investment qualities. This paper investigates the institutional investor management of the Australian healthcare property sector via both the direct and listed channels and empirically analyses its investment attributes.Design/methodology/approachUsing the unique Morgan Stanley Capital International/Property Council of Australia quarterly data set for Australian direct healthcare property over 2006–2020, the risk-adjusted performance and portfolio diversification potential direct healthcare property and listed healthcare were assessed. A constrained mean-variance portfolio optimisation framework was used to develop a six-asset portfolio scenario to analyse the portfolio added-value benefits of both direct healthcare property and listed healthcare in a mixed-asset investment strategy. A similar set of analysis was performed using the post-global financial crisis (GFC) quarterly time series of 2009–2020 to investigate the healthcare asset class' performance dynamics in the post-GFC investment timeframe.FindingsThe results indicate that direct healthcare property and listed healthcare offer two key advantages for institutional investors in managing their property portfolios: (1) a stable yet superior risk-adjusted performance and (2) significant portfolio diversification potential in managing their property portfolios. Importantly, both direct healthcare property and listed healthcare provided valuable contributions in strengthening an investment portfolio's performance. The post-GFC sub-period analysis revealed a consistent conclusion regarding the healthcare asset class's performance attributes.Originality/valueThis is the first research that provides an independent empirical examination of the strategic importance of Australian healthcare property as a maturing alternative property sector that can serve both investment and environmental, social and governance goals of investors. This research presents a positive investment prognosis for the Australian healthcare property sector to achieve its institutionalised status as a mainstream asset class of the future.

COSMO: A Conic Operator Splitting Method for Convex Conic Problems

This paper describes the conic operator splitting method (COSMO) solver, an operator splitting algorithm and associated software package for convex optimisation problems with quadratic objective function and conic constraints. At each step, the algorithm alternates between solving a quasi-definite linear system with a constant coefficient matrix and a projection onto convex sets. The low per-iteration computational cost makes the method particularly efficient for large problems, e.g. semidefinite programs that arise in portfolio optimisation, graph theory, and robust control. Moreover, the solver uses chordal decomposition techniques and a new clique merging algorithm to effectively exploit sparsity in large, structured semidefinite programs. Numerical comparisons with other state-of-the-art solvers for a variety of benchmark problems show the effectiveness of our approach. Our Julia implementation is open source, designed to be extended and customised by the user, and is integrated into the Julia optimisation ecosystem.

Quantum walk-based portfolio optimisation

This paper proposes a highly efficient quantum algorithm for portfolio optimisation targeted at near-term noisy intermediate-scale quantum computers. Recent work by Hodson et al. (2019) explored potential application of hybrid quantum-classical algorithms to the problem of financial portfolio rebalancing. In particular, they deal with the portfolio optimisation problem using the Quantum Approximate Optimisation Algorithm and the Quantum Alternating Operator Ansatz. In this paper, we demonstrate substantially better performance using a newly developed Quantum Walk Optimisation Algorithm in finding high-quality solutions to the portfolio optimisation problem.

PROJECT PORTFOLIOS OPTIMISATION OF COLLECTIVE STRATEGIES IMPLEMENTATION IN SUPPLY CHAIN NETWORKS

The actuality of the theme arises from the need to improve and further develop the methodological support of portfolio management processes in the context of the portfolio management introduction of collective strategies implementation in supply chain networks. The purpose of the study is to develop a mathematical model for determining the optimal portfolio components as a means of single system implementation of collective strategies in supply chain networks (SCNs) to meet the target value of selected criteria of efficiency and cost-effectiveness of supply chains as integral objects, taking into account the possibility of presenting these criteria as stochastic variables. The given model is described in the paper in the terms of portfolio implementation optimisation, the components of which are aimed at reducing the delivery time of orders in the supply chain. Objectives of the study: to conduct a comparative analysis of the PMI portfolio management standard versions in order to form a conceptual framework for the study and determine the knowledge base for portfolio management by the subject of the research; to formulate the problem of portfolio components optimisation for the collective strategies implementation in SCNs; to analyse and identify scientific gaps in methodological approaches to solving the problem of optimizing portfolio components of the collective strategies implementation in SCNs in the proposed formulation; to develop a mathematical model for determining the optimal portfolio components for the implementation of collective strategies in SCNs as in the case of portfolio optimisation for a collective logistics strategy implementation, the components of which are aimed at reducing the time of orders delivery in supply chain; to approve the developed mathematical model for portfolio optimisation under the operation conditions of perishable goods supply chains in Ukraine. Utilised techniques of the research. The research is based on the concept of forming, on a single system basis, the collective strategies portfolio implementation in SCNs, which foresees the spread of portfolio management, which is defined to be an effective tool for the strategy implemention of an individual organisation, in a similar way a network of organisations, if the development conditions of the given network foresee the adoption of a collective strategy. Based on a comparative analysis of the four known versions of the PMI portfolio management standard for 2020, portfolio management is identified as a knowledge basis for portfolio management of methods and models for portfolio optimisation and strategies implementation in organisations. Based on the analysis of scientific and other information sources, the objective of optimizing the portfolios composition of collective strategies in SCNs is formulated as one that foresees the single system optimisation of the supply chain portfolio to meet the targets of selected criteria of efficiency and cost­effectiveness of the supply chain as a whole object, taking into account the possibility of presenting these criteria as stochastic variables. Based on the analysis of methodological approaches to solving the problem of optimizing the portfolio composition of collective strategies in SCNs, we identified a scientific gap, including the knowledge basis of portfolio management composition, in terms of lack of models for portfolio components optimisation. They would give the possibility to assess these components from a single system position of SCNs according to the established, in general case, several criteria, taking into account the possibility to present these criteria as stochastic variables. Based on the analysis of methodological approaches to solving multicriteria problems, taking into account the fact that some parameters may be stochastic, to solve the problem of portfolios components optimisation of collective strategies in SCNs in the proposed presentation we chose such an approach to solving multicriteria problems as establishing one (main) criterion transfering others to the rank of restraints. This gave grounds to apply the method of stochastic integer programming and to accept the condition about the random nature of individual parameters, i.e. the method of stochastic integer programming. As a result, the mathematical model for determining the optimal composition of portfolios was introduced as a means of implementing, on a single system basis, collective strategies in SCNs according to the requirements of achieving the target values of the selected criteria as stochastic variables. This model is described in the paper under the conditions of the portfolio optimisation of logistics strategy implementation, the components of which are aimed at reducing the time of order delivery of supply chain. The reliability of the model is confirmed by its practical approval within 2018-2020 in seven types of perishable goods supply chains, which involved companies, such as: FROZEN FRUT LLC, Handikap LLC, AIFT Ukraine LLC, Hroskhandel LLC, Olhopilske Motor Transport Enterprise LLC and Ukrainskyi Product PE. KEY WORDS: COLLECTIVE STRATEGY, SUPPLY CHAIN, LOGISTICS STRATEGY, SUPPLY CHAIN MANAGEMENT, PORTFOLIO-MANAGEMENT.