Optimal portfolio analysis of manufacturing entities in the Indonesia Sharia Stock Index

The purpose of this research is to determine the optimal portfolio for manufacturing entities listed on the Indonesian Sharia Stock Index based on a single index model test. The population of this research is manufacturing entities that have been listed in the Indonesian Sharia Stock Index on the Indonesia Stock Exchange for the Period 2019-2020. This study uses a purposive sampling technique using several criteria. Based on this technique, 31 entities meet the criteria. The results showed that the expected return was 5.65%, and the possible risk was 0.22% for 15 (fifteen) stocks included in the optimal portfolio category.

Integrating Renewable Energy in Pacific Island Countries

<p>The purpose of this thesis is to investigate the entry of renewable energy technologies into Pacific Islands' electricity markets, with particular focus on a new technology: the Pelamis, a wave energy converter. Pacific Islands are endowed with various types of renewable energy resources, yet they remain highly dependent on expensive fuel imports for their energy requirements, using little renewable energy. This paradox is investigated by studying the characteristics of Pacific Islands' electricity markets, including a case study on the entry of a new renewable energy technology, the Pelamis, into the electricity market of Hawaii. The integration of renewable energy technologies into Pacific Islands' electricity systems is then analysed from the point of view of an energy planner. The recent application of portfolio analysis to energy planning has provided a new framework to evaluate the different electricity generating options available to energy planners. Taking both the generating cost and financial risk of each technology into account, portfolio theory has been applied to various European countries, by comparing actual generation portfolios to an efficient frontier showing the trade-off between energy security and the cost of electricity generation. This framework has clear relevance to Pacific Island Countries. However, the characteristics inherent to Pacific Island Countries have important implications on the operation of their electricity systems, which are not necessarily taken into account in portfolio analysis. In particular, geographical isolation inhibits these countries from connecting to larger intercontinental grids, which emphasizes the importance of reliability of supply. This thesis presents a mathematical model which establishes a method for computing an optimal intertemporal path for introducing renewable energy into a pre-existing electricity system. The model explicitly allows for the cost of maintaining reliability of supply as intermittent generators are integrated. The framework also incorporates concepts from Integrated Resource Planning and portfolio analysis. Finally, policies for accelerating renewable energy development are reviewed, and a discussion is provided on the policies which are likely to be most suitable to Pacific Islands. One of the main conclusions of this thesis is that the amount of backup capacity for renewable energy can be optimally minimized by diversifying the mix of renewable energy resources in each island. In practice, this would require studying the complementarities and loading curves of the various renewable resources available, and comparing their total potential production, and the variability of this production, to electricity demand. This would allow energy planners to model the inclusion of a maximum amount of renewable energy using a minimum of backup capacity to maintain system reliability, potentially leading to a more efficient implementation and formulation of policies aimed at developing renewable energy generation in Pacific Islands.</p>

Integrating Renewable Energy in Pacific Island Countries

<p>The purpose of this thesis is to investigate the entry of renewable energy technologies into Pacific Islands' electricity markets, with particular focus on a new technology: the Pelamis, a wave energy converter. Pacific Islands are endowed with various types of renewable energy resources, yet they remain highly dependent on expensive fuel imports for their energy requirements, using little renewable energy. This paradox is investigated by studying the characteristics of Pacific Islands' electricity markets, including a case study on the entry of a new renewable energy technology, the Pelamis, into the electricity market of Hawaii. The integration of renewable energy technologies into Pacific Islands' electricity systems is then analysed from the point of view of an energy planner. The recent application of portfolio analysis to energy planning has provided a new framework to evaluate the different electricity generating options available to energy planners. Taking both the generating cost and financial risk of each technology into account, portfolio theory has been applied to various European countries, by comparing actual generation portfolios to an efficient frontier showing the trade-off between energy security and the cost of electricity generation. This framework has clear relevance to Pacific Island Countries. However, the characteristics inherent to Pacific Island Countries have important implications on the operation of their electricity systems, which are not necessarily taken into account in portfolio analysis. In particular, geographical isolation inhibits these countries from connecting to larger intercontinental grids, which emphasizes the importance of reliability of supply. This thesis presents a mathematical model which establishes a method for computing an optimal intertemporal path for introducing renewable energy into a pre-existing electricity system. The model explicitly allows for the cost of maintaining reliability of supply as intermittent generators are integrated. The framework also incorporates concepts from Integrated Resource Planning and portfolio analysis. Finally, policies for accelerating renewable energy development are reviewed, and a discussion is provided on the policies which are likely to be most suitable to Pacific Islands. One of the main conclusions of this thesis is that the amount of backup capacity for renewable energy can be optimally minimized by diversifying the mix of renewable energy resources in each island. In practice, this would require studying the complementarities and loading curves of the various renewable resources available, and comparing their total potential production, and the variability of this production, to electricity demand. This would allow energy planners to model the inclusion of a maximum amount of renewable energy using a minimum of backup capacity to maintain system reliability, potentially leading to a more efficient implementation and formulation of policies aimed at developing renewable energy generation in Pacific Islands.</p>

Estimation of Value-at-Risk using Weibull distribution – portfolio analysis on the precious metals market

In this paper, we present a modification of the Weibull distribution for the Value-at- Risk (VaR) estimation of investment portfolios on the precious metals market. The reason for using the Weibull distribution is the similarity of its shape to that of empirical distributions of metals returns. These distributions are unimodal, leptokurtic and have heavy tails. A portfolio analysis is carried out based on daily log-returns of four precious metals quoted on the London Metal Exchange: gold, silver, platinum and palladium. The estimates of VaR calculated using GARCH-type models with non-classical error distributions are compared with the empirical estimates. The preliminary analysis proves that using conditional models based on the modified Weibull distribution to forecast values of VaR is fully justified.

The Use of Trapezoidal Oriented Fuzzy Numbers in Portfolio Analysis

Oriented fuzzy numbers are a convenient tool to manage an investment portfolio as they enable the inclusion of uncertain and imprecise information about the financial market in a portfolio analysis. This kind of portfolio analysis is based on the discount factor. Thanks to this fact, this analysis is simpler than a portfolio analysis based on the return rate. The present value is imprecise due to the fact that it is modelled with the use of oriented fuzzy numbers. In such a case, the expected discount factor is also an oriented fuzzy number. The main objective of this paper is to conduct a portfolio analysis consisting of the instruments with the present value estimated as a trapezoidal oriented fuzzy number. We consider the portfolio elements as being positively and negatively oriented. We test their discount factor. Due to the fact that adding oriented fuzzy numbers is not associative, a weighted sum of positively oriented discount factors and a weighted sum of negatively oriented factors is calculated and consequently a portfolio discount factor is obtained as a weighted addition of both sums. Also, the imprecision risk of the obtained investment portfolio is estimated using measures of energy and entropy. All theoretical considerations are illustrated by an empirical case study.

Lottery-like preferences and the MAX effect in the cryptocurrency market

We investigate the significance of extreme positive returns in the cross-sectional pricing of cryptocurrencies. Through portfolio-level analyses and weekly cross-sectional regressions on all cryptocurrencies in our sample period, we provide evidence for a positive and statistically significant relationship between the maximum daily return within the previous month (MAX) and the expected returns on cryptocurrencies. In particular, the univariate portfolio analysis shows that weekly average raw and risk-adjusted return differences between portfolios of cryptocurrencies with the highest and lowest MAX deciles are 3.03% and 1.99%, respectively. The results are robust with respect to the differences in size, price, momentum, short-term reversal, liquidity, volatility, skewness, and investor sentiment.

Application of Interaction Effect Multichoice Goal Programming in Project Portfolio Analysis

How to choose the optimal project portfolio based on the enterprise objectives is very important for the survival and development of an enterprise. However, the current portfolio analysis needs to be improved in the aspects of interaction effect analysis, multichoice target planning, and method simplicity and practicability. The method of portfolio selection proposed in this study takes into consideration the complex interaction within the portfolio, which makes up for the deficiency of the existing research on portfolio selection. This paper illustrates the application of the multichoice object programming method in the analysis of the combination of two-project and three-project interaction effects by a series of examples. The results show that the method is applicable in portfolio evaluation. The method of multichoice goal programming of the interaction effect provides the basis for enterprise to measure the complex relationship within the portfolio and also provides a new method and idea for the selection of the enterprise project portfolio.