Search results for: change portfolio

Authors: Kasirga Yildirak, Ismail Gur

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We propose a model to measure hail risk of an Agricultural Insurance portfolio. Hail is one of the major catastrophic event that causes big amount of loss to an insurer. Moreover, it is very hard to predict due to its strange atmospheric characteristics. We make use of parcel based claims data on apricot damage collected by the Turkish Agricultural Insurance Pool (TARSIM). As our ultimate aim is to compute the loadings assigned to specific parcels, we build a portfolio risk model that makes use of PD and the severity of the exposures. PD is computed by Spherical-Linear and Circular –Linear regression models as the data carries coordinate information and seasonality. Severity is mapped into integer brackets so that Probability Generation Function could be employed. Individual regressions are run on each clusters estimated on different criteria. Loss distribution is constructed by Panjer Recursion technique. We also show that one risk-one crop model can easily be extended to the multi risk–multi crop model by assuming conditional independency.

Keywords: hail insurance, spherical regression, circular regression, spherical clustering

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Authors: Enno R. Farahzehan, Wustari L. Mangundjaya

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Organizational change is necessary to develop innovation and to compete with other competitors. Organizational changes were also made to defend the existence of the organization itself. Success in implementing organizational change consists of a variety of factors, one of which is individual (employee) who run changes. The employee must have the willingness and ability in carrying out the changes. Besides, employees must also have a commitment to change for creation of the successful organizational change. This study aims to execute the effect of change communication towards commitment to change through the role of organizational trust. The respondents of this study were employees who work in organizations, which have been or are currently running organizational changes. The data were collected using Change Communication, Commitment to Change, and Organizational Trust Inventory. The data were analyzed using regression. The result showed that there is an effect among change communication towards commitment to change which is higher when mediated by organizational trust. This paper will contribute to the knowledge and implications of organizational change, that shows change communication can affect commitment to change among employee if there is trust in the organization.

Keywords: change communication, commitment to change, organizational trust, organizational change

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Authors: Timothy J. Considine, Edward J. M. Manderson

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This paper develops an econometric forecasting system of energy demand coupled with engineering-economic models of energy supply. The framework is used to quantify the impact of state-level renewable portfolio standards (RPSs) achieved predominately with solar generation on electricity rates, electricity consumption, and environmental quality. We perform the analysis using Arizona’s RPS as a case study. We forecast energy demand in Arizona out to 2035, and find by this time the state will require an additional 35 million MWh of electricity generation. If Arizona implements its RPS when supplying this electricity demand, we find there will be a substantial increase in electricity rates (relative to a business-as-usual scenario of reliance on gas-fired generation). Extending the current regime of tax credits can greatly reduce this increase, at the taxpayers’ expense. We find that by 2025 Arizona’s RPS will implicitly abate carbon dioxide emissions at a cost between $101 and $135 per metric ton, and by 2035 abatement costs are between $64 and $112 per metric ton (depending on the future evolution of nature gas prices).

Keywords: electricity demand, renewable portfolio standard, solar, carbon dioxide

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Authors: Susanna Asatryan

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The author will introduce the Language Portfolio for master course student-teachers of Yerevan Brusov State University of Languages and Social Sciences The overall aim of the Portfolio is to serve as a visual didactic tool for the pedagogical internship of master students in specialization “A Foreign Language Teacher of High Schools and Professional Educational Institutions”, based on the principles and fundamentals of the EPOSTL. The author will present the parts of the Portfolio, including the programme, goal and objectives of student-teacher’s internship, content and organization, expected outputs and the principles of the student’s self-assessment, based on Can-do philosophy suggested by the EPOSTL. The Language Portfolio for master course student-teachers outlines the distinctive stages of their scientific-pedagogical internship. In Lesson Observation and Teaching section student teachers present thematic planning of the syllabus course, including individual lesson plan-description and analysis of the lesson. In Realization of the Scientific-Pedagogical Research section student-teachers introduce the plan of their research work, its goal, objectives, steps of procedure and outcomes. In Educational Activity section student-teachers analyze the educational sides of the lesson, they introduce the plan of the extracurricular activity, provide psycho-pedagogical description of the group or the whole class, and outline extracurricular entertainments. In the Dossier the student-teachers store up the entire instructional “product” during their pedagogical internship: e.g. samples of surveys, tests, recordings, videos, posters, postcards, pupils’ poems, photos, pictures, etc. The author’s presentation will also cover the Self Assessment Checklist, which highlights the main didactic competences of student-teachers, extracted from the EPOSTL. The Self Assessment Checklist is introduced with some innovations, taking into consideration the local educational objectives that Armenian students come across with. The students’ feedback on the use of the Portfolio will also be presented.

Keywords: internship, lesson observation, can-do philosophy, self-assessment

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Authors: Mohammad Z. Ansari, Lisa Brodie, Marilyn Goh

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Change facilitators are individuals who utilize change philosophy to make a positive change to organizations. The application of change facilitators can be seen in various change models; Lewin, Lippitt, etc. The facilitators within numerous change models are considered as internal/external consultants. Whilst most of the scholarly paper considers change facilitation as a consensus attempt to improve organization, there is a lack of a framework that develops both the organization and the change facilitator creating a self-sustaining change environment. This research paper introduces the development of the framework for change Leaders, Planners, and Executers (LPE), aiming at various organizational levels (Process, Departmental, and Organisational). The LPE framework is derived by exploring interrelated characteristics between facilitator(s) and the organization through qualitative research for understanding change management techniques and facilitator(s) behavioral aspect from existing Change Management models and Organisation behavior works of literature. The introduced framework assists in highlighting and identify the most appropriate change team to successfully deliver the change initiative within any organization (s).

Keywords: change initiative, LPE framework, change facilitator(s), sustainable change

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Authors: Cristina Galván-Fernández

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Students differentiate the different contexts of their lives as well as employment, hobbies or studies. In higher education is needed to transfer the experiential knowledge to theory and viceversa. However, is difficult to achieve than students use their personal experiences and social readings for get the learning evidences. In an experience with 178 education students from Chile and Spain we have used an e-portfolio system and a methodology for 4 years with the aims of help them to: 1) self-regulate their learning process and 2) use social networks and professional experiences for make the learning evidences. These two objectives have been controlled by interviews to the same students in different moments and two questionnaires. The results of this study show that students recognize the ownership of their learning and progress in planning and reflection of their own learning.

Keywords: competences, e-portfolio, higher education, self-regulation

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Authors: Pranvera Shehaj

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Unlike any prior analysis on the withholding tax rates negotiated in tax treaties, this study looks at the treaty heterogeneity content, by investigating the impact of the residence country’s double tax relief method and of tax-sparing agreements, on the difference between developing countries’ domestic withholding taxes on dividends on one side, and treaty negotiated withholding taxes at source on portfolio dividends on the other side. Using a dyadic panel dataset of asymmetric double tax treaties between 2005 and 2019, this study suggests first that the difference between domestic and negotiated WHTs on portfolio dividends is higher when the OECD member uses the credit method, as compared to when it uses the exemption method. Second, results suggest that the inclusion of tax-sparing provisions vanishes the positive effect of the credit method at home on the difference between domestic and negotiated WHTs on portfolio dividends, incentivizing developing countries to negotiate higher withholding taxes.

Keywords: double tax treaties, asymmetric investments, withholding tax, dividends, double tax relief method, tax sparing

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Authors: Matthias Nnadi

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This paper investigates the relationship between premiums and returns in the short and long terms in European merger and acquisition (M&A) deals. The study employs Calendar Time Portfolio (CTP) model and find strong evidence that in the long run, premiums have a positive impact on performance, and we also establish evidence of a significant difference between the abnormal returns of the high premium paying portfolio and the low premium paying ones. Even in cases where all sub-portfolios show negative abnormal returns, the high premium category still outperforms the low premium category. Our findings have implications for companies engaging in acquisitions.

Keywords: mergers, premium, performance, returns, acquisitions

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Authors: Denvi Giovanita, Wustari L. H. Mangundjaya

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The pace of globalization and technological development make changes inevitable to organizations. However, organizational change is not easy to implement and is prone to failure. One of the reasons of change failure is due to lack of employees’ commitment to change. There are many variables that can influence employees’ commitment to change. The influencing factors can be sourced from the organization or individuals themselves. This study focuses on the affective form of commitment to change. The objective of this study is to identify the effect of transformational leadership (organizational factor) and employees’ change self-efficacy (individual factor) on affective commitment to change. The respondents of this study were employees who work in organizations that are or have faced organizational change. The data were collected using Affective Commitment to Change, Change Self-Efficacy, and Transformational Leadership Inventory. The data were analyzed using regression. The result showed that both transformational leadership and change self-efficacy have a positive and significant impact on affective commitment to change. The implication of the study can be used for practitioners to enhance the success of organizational change, by developing transformational leadership on the leaders and change self-efficacy on the employees in order to create a high affective commitment to change.

Keywords: affective commitment to change, change self-efficacy, organizational change, transformational leadership

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Authors: Muthmainah Mufidah, Wustari L. H. Mangundjaya

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Organizations nowadays have to change and adjust themselves to the changing external environment in order to survive the globalization era. However, not all the organizational change had been succeeded. Commitment to change is one important factor why the change process often failed. Even so, this commitment to change cannot be separated with the individual’s characteristic. The aim of this study is to identify the role of psychological capital and psychological empowerment as the individual’s positive characteristic on commitment to change. This research was conducted on Indonesian employees who have or are currently experiencing a change in their organization. Data was collected using Commitment to Change Inventory, Psychological Empowerment Questionnaire, and Psychological Capital Questionnaire. The results showed that both psychological capital and psychological empowerment have a positive and significant influence on commitment to change.

Keywords: commitment to change, psychological capital, psychological empowerment, organizational change

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Authors: Tea Poklepović, Zdravka Aljinović, Mario Matković

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Modern Portfolio Theory (MPT) according to Markowitz states that investors form mean-variance efficient portfolios which maximizes their utility. Markowitz proposed the standard deviation as a simple measure for portfolio risk and the lower semi-variance as the only risk measure of interest to rational investors. This paper uses a third volatility estimator based on intraday data and compares three efficient frontiers on the Croatian Stock Market. The results show that range-based volatility estimator outperforms both mean-variance and lower semi-variance model.

Keywords: variance, lower semi-variance, range-based volatility, MPT

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Authors: Guohong Wang, Hao Huang, Rui Xing, Liyan Tang, Yu Wang

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Start-ups are consistently under pressure to overcome liabilities of newness and smallness. They must focus on assembling resource and engaging constant renewal and repeated entrepreneurial activities to survive and grow. As an important form of resource, knowledge is constantly vital to start-ups, which will help start-ups with developing new product in hence forming competitive advantage. However, significant knowledge is usually needed to be identified and exploited from external entities, which makes it difficult to achieve knowledge transfer; with limited resources, it can be quite challenging for start-ups balancing the exploration and exploitation of knowledge. The research on knowledge transfer has become a relatively well-developed domain by indicating that knowledge transfer can be achieved through plenty of patterns, yet it is still under-explored that what processes and organizational practices help start-ups facilitating knowledge transfer for new product in the context portfolio entrepreneurship. Resource orchestration theory emphasizes the initiative and active management of company or the manager to explain the fulfillment of resource utility, which will help understand the process of managing knowledge as a certain kind of resource in start-ups. Drawing on the resource orchestration theory, this research aims to explore how knowledge transfer can be facilitated through resource orchestration. A qualitative single-case study of a sodium-ion battery new venture was conducted. The case company is sampled deliberately from representative industrial agglomeration areas in Liaoning Province, China. It is found that distinctive resource orchestration sub-processes are leveraged to facilitate knowledge transfer: (i) resource structuring makes knowledge available across the portfolio; (ii) resource bundling makes combines internal and external knowledge to form new knowledge; and (iii) resource harmonizing balances specific knowledge configurations across the portfolio. Meanwhile, by purposefully reallocating knowledge configurations to new product development in a certain new venture (exploration) and gradually adjusting knowledge configurations to being applied to existing products across the portfolio (exploitation), resource orchestration processes as a whole make exploration and exploitation of knowledge balanced. This study contributes to the knowledge management literature through proposing a resource orchestration view and depicting how knowledge transfer can be facilitated through different resource orchestration processes and mechanisms. In addition, by revealing the balancing process of exploration and exploitation of knowledge, and laying stress on the significance of the idea of making exploration and exploitation of knowledge balanced in the context of portfolio entrepreneurship, this study also adds specific efforts to entrepreneurship and strategy management literature.

Keywords: exploration and exploitation, knowledge transfer, new product development, portfolio entrepreneur, resource orchestration

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Authors: Yasmine Essafi Zouari, Aya Nasreddine

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Following a long inflationary period from the post-war era to the mid-1980s (+10.1% annually), France went through a moderate inflation period between 1986 and 2001 (+2.1% annually) and even lower inflation between 2002 and 2016 (+1.4% annually). In 2022, inflation in France increased rapidly and reached 4.5% over one year in March, according to INSEE estimates. Over a long period, even low inflation has an impact on portfolio value and households’ purchasing power. In such a context, inflation hedging should remain an important issue for investors. In particular, long-term investors, who are concerned with the protection of their wealth, seek to hold effective hedging assets. Considering a mixed-asset portfolio composed of housing assets (residential real estate in 150 Grand Paris communes) as well as financial assets, and using both correlation and regression analysis, results confirm the attribute of the direct housing investment as an inflation hedge especially particularly against its unexpected component. Further, cash and bonds were found to provide respectively a partial and an over hedge against unexpected inflation. Stocks act as a perverse hedge against unexpected inflation and provide no significant positive hedge against expected inflation.

Keywords: direct housing, inflation, hedging ability, optimal portfolio, Grand Paris metropolis

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Authors: Danika Pieters

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Due to changing societal and economic demands, organizational change has become increasingly prevalent in work life. While a long time change research has focused on the effects of single discrete change events on different employee outcomes such as job satisfaction and organizational commitment, a nascent research stream has begun to look into the potential cumulative effects of change in the context of continuous intense reforms. This case study of a large Belgian public organization aims to add to this growing literature by examining how the frequency and diversity of past changes impact employees’ appraisals of a newly introduced change. Twelve hundred survey results were analyzed using standard ordinary least squares regression. Results showed a correlation between high past change frequency and diversity and a negative appraisal of the new change. Implications for practitioners and future research are discussed.

Keywords: change frequency, change diversity, organizational changes, change appraisal, change evaluation

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Authors: Darrol Stanley, Levan Efremidze, Jannie Rossouw

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We investigate the predictability of the USD/ZAR (South African Rand) exchange rate with sample entropy analytics for the period of 2004-2015. We calculate sample entropy based on the daily data of the exchange rate and conduct empirical implementation of several market timing rules based on these entropy signals. The dynamic investment portfolio based on entropy signals produces better risk adjusted performance than a buy and hold strategy. The returns are estimated on the portfolio values in U.S. dollars. These results are preliminary and do not yet account for reasonable transactions costs, although these are very small in currency markets.

Keywords: currency trading, entropy, market timing, risk factor model

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Authors: Diamantino Ribeiro, António Pedro Costa, Jorge Remondes

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Dubai and the UAE governments have been investing in technology and digital communication for a long time. These governments are pioneers in introducing innovative strategies, policies and projects. They are also recognized worldwide for defining and implementing long term public programs. In terms of eGovernment Dubai and the UAE rank among the world’s most advanced. Both governments have surprised the world a few years ago by creating a Happiness Ministry. This paper focuses on UAE’s government digital strategies and its approach to the next era. The main goal of this exploratory study is to understand the new era of eGovernment and transfer of the happiness and wellness programs. Data were collected from the corpus latente and analysis was anchored in qualitative methodology using content analysis and observation as analysis techniques. The study allowed to highlight that the 2020 government reshuffle has a strong focus on digital reorganisation and digital sustainability, one of the newest trends in sustainability. Regarding happiness and wellbeing portfolio, we were able to observe that there has been a major change within the government organisation: The Ministry of Happiness was extinct and the Ministry of Community Development will manage the so-called ‘Happiness Portfolio’. Additionally, our observation allowed to note the government dual approach to governance: one through digital transformation, thus enhancing the digital sustainability process and, the second one trough government development.

Keywords: ministry of happiness, eGovernment, communication, digital sustainability

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Authors: Ni Made Dian Swandewi, Wustari L. Mangundjaya

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Employees’ commitment to change are required for the success of organizational change in the company. The objective of this study is to identify the correlation between psychological hardiness and psychological resilience on commitment to change. The respondents of current research are permanent employees and employees that have worked for at least two years in a company that has been experiencing organizational change. Data was collected using Commitment to Change Inventory, Dispositional Resilience Scale (DRS), and Modified CD-RISC. The data were analyzed using regression. The results of the research show that both Psychological Hardiness and Psychological Resilience have positive and significant correlation and contribution on Commitment to Change. This research is important for companies who undergo organizational change in order plan and implement change more effectively.

Keywords: commitment to change, organizational change, psychological hardiness, psychological resilience

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Authors: Ali Al-Shehri, Abdulaziz Al-Qasim, Abdulkarim Sofi, Ali Yousef

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The oil and gas industry has played a major role in improving the prosperity of mankind and driving the world economy. According to the International Energy Agency (IEA) and Integrated Environmental Assessment (EIA) estimates, the world will continue to rely heavily on hydrocarbons for decades to come. This growing energy demand mandates taking sustainability measures to prolong the availability of reliable and affordable energy sources, and ensure lowering its environmental impact. Unlike any other industry, the oil and gas upstream operations are energy-intensive and scattered over large zonal areas. These challenging conditions require unique sustainability solutions. In recent years there has been a concerted effort by the oil and gas industry to develop and deploy innovative technologies to: maximize efficiency, reduce carbon footprint, reduce CO2 emissions, and optimize resources and material consumption. In the past, the main driver for research and development (R&D) in the exploration and production sector was primarily driven by maximizing profit through higher hydrocarbon recovery and new discoveries. Environmental-friendly and sustainable technologies are increasingly being deployed to balance sustainability and profitability. Analyzing technology and its sustainability impact is increasingly being used in corporate decision-making for improved portfolio management and allocating valuable resources toward technology R&D.This paper articulates and discusses a novel workflow to identify strategic sustainable technologies for improved portfolio management by addressing existing and future upstream challenges. It uses a systematic approach that relies on sustainability key performance indicators (KPI’s) including energy efficiency quotient, carbon footprint, and CO2 emissions. The paper provides examples of various technologies including CCS, reducing water cuts, automation, using renewables, energy efficiency, etc. The use of 4IR technologies such as Artificial Intelligence, Machine Learning, and Data Analytics are also discussed. Overlapping technologies, areas of collaboration and synergistic relationships are identified. The unique sustainability analyses provide improved decision-making on technology portfolio management.

Keywords: sustainability, oil& gas, technology portfolio, key performance indicator

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Authors: Jeonghwan Jeon

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Recently, the industry and academia have been planning development through industry/university cooperation (IUC), and the government has been promoting alternative methods to achieve successful IUC. Representatively, business cultivation involves the lead university (regarding IUC), research and development (R&D), company support, professional manpower cultivation, and marketing, etc., and the scale of support expands every year. Research is performed by many academic researchers to achieve IUC and although satisfaction of their results is high, expectations are not being met and study of the main factor is insufficient. Therefore, this research improves on theirs by analysing the main factors influencing their satisfaction. Each factor is analysed by AHP, and portfolio analysis is performed on the importance and current satisfaction level. This will help improve satisfaction of business participants and ensure effective IUC in the future.

Keywords: industry/university cooperation, satisfaction, portfolio analysis, business participant

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Authors: Jeonghwan Jeon

Abstract:

Recently, the industry and academia have been planning development through industry/university cooperation (IUC), and the government has been promoting alternative methods to achieve successful IUC. Representatively, business cultivation involves the lead university (regarding IUC), research and development (R&D), company support, professional manpower cultivation, and marketing, etc., and the scale of support expands every year. Research is performed by many academic researchers to achieve IUC and although satisfaction of their results is high, expectations are not being met and study of the main factor is insufficient. Therefore, this research improves on theirs by analysing the main factors influencing their satisfaction. Each factor is analysed by AHP, and portfolio analysis is performed on the importance and current satisfaction level. This will help improve satisfaction of business participants and ensure effective IUC in the future.

Keywords: industry/university cooperation, satisfaction, portfolio analysis, research and development

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Authors: P. Sankar, P. James Daniel Paul, Siddhant Sahu

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A brief review of the empirical studies on the methodology of the stock market decision support would indicate that they are at a threshold of validating the accuracy of the traditional and the fuzzy, artificial neural network and the decision trees. Many researchers have been attempting to compare these models using various data sets worldwide. However, the research community is on the way to the conclusive confidence in the emerged models. This paper attempts to use the automotive sector stock prices from National Stock Exchange (NSE), India and analyze them for the intra-sectorial support for stock market decisions. The study identifies the significant variables and their lags which affect the price of the stocks using OLS analysis and decision tree classifiers.

Keywords: Indian automotive sector, stock market decisions, equity portfolio analysis, decision tree classifiers, statistical data analysis

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Authors: Obioma Uche

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Due to the recent volatility in oil & gas prices as well as increased development of non-conventional resources, it has become even more essential to critically evaluate the profitability of petroleum prospects prior to making any investment decisions. Traditionally, simple Monte Carlo (MC) algorithms have been used to randomly sample probability distributions of economic and geological factors (e.g. price, OPEX, CAPEX, reserves, productive life, etc.) in order to obtain probability distributions for profitability metrics such as Net Present Value (NPV). In recent years, second-order MC algorithms have been shown to offer an advantage over simple MC techniques due to the added consideration of uncertainties associated with the probability distributions of the relevant variables. Here, a strategy for the application of the second-order MC technique to a case study is demonstrated to analyze its effectiveness as a tool for portfolio management.

Keywords: Monte Carlo algorithms, portfolio management, profitability, risk analysis

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Authors: Jihane Abdessadak, Hicham Achelhi, Kamal Reklaoui

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For any company or organization, change must be natural and binding in order to evolve its business, protect its durability and remain competitive. "Adapt or disappear". But how often managers, leaders or employees develop astonishing ideas that could improve several aspects of the organization and the feedback is less that encouraging and people give unrealistic judgments just to escape change. In this paper, we are going to discuss what we do know about change and resistance to change and what we can do to tame this phenomenon and, above all, the main steps that can follow an idea man in the delicate and decisive implementation of innovations.

Keywords: innovation, change, resistance to change/innovation, barriers to innovation, levers of innovation

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Authors: Jiahui Yang, John Quigley, Lesley Walls

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In this paper, the authors develop a stochastic model regarding the investment in supplier delivery performance development from a buyer’s perspective. The authors propose a multivariate model through a Multinomial-Dirichlet distribution within an Empirical Bayesian inference framework, representing both the epistemic and aleatory uncertainties in deliveries. A closed form solution is obtained and the lower and upper bound for both optimal investment level and expected profit under uncertainty are derived. The theoretical properties provide decision makers with useful insights regarding supplier delivery performance improvement problems where multiple delivery statuses are involved. The authors also extend the model from a single supplier investment into a supplier portfolio, using a Lagrangian method to obtain a theoretical expression for an optimal investment level and overall expected profit. The model enables a buyer to know how the marginal expected profit/investment level of each supplier changes with respect to the budget and which supplier should be invested in when additional budget is available. An application of this model is illustrated in a simulation study. Overall, the main contribution of this study is to provide an optimal investment decision making framework for supplier development, taking into account multiple delivery statuses as well as multiple projects.

Keywords: decision making, empirical bayesian, portfolio optimization, supplier development, supply chain management

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Authors: Mohammad Q. M. Momani

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The objective of this study is to examine whether the value relevance of ownership structure changed as the Amman Stock Exchange market conditions changed. Using data from 2005 to 2014, the study finds that the performance of portfolios that contain firms with concentrated ownership structure declines significantly during the post-crisis period. These portfolios exhibit poor performance relative to portfolios that contain firms with dispersed ownership structure during the post-crisis period. The results argue that uninspired performance of the Amman Stock Exchange during the post-crisis period, increased the incentives for controlling shareholders to expropriate. Investors recognized these incentives and discounted firms that were more likely to expropriate.

Keywords: value relevance, ownership structure, portfolio performance, Jordan, ASE

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Authors: Vinayak Bassi, Rajpreet Singh

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Over the years, with the emergence of sophisticated computers and algorithms, finance has been quantified using computational prowess. Asset valuation has been one of the key components of quantitative finance. In fact, it has become one of the embryonic steps in determining risk related to a portfolio, the main goal of quantitative finance. This study comprises a drawing comparison between valuation output generated by two stochastic dynamic models, namely Black-Scholes and Dupire’s bi-dimensionality model. Both of these models are formulated for computing the valuation function for a portfolio of European options using Monte Carlo simulation methods. Although Monte Carlo algorithms have a slower convergence rate than calculus-based simulation techniques (like FDM), they work quite effectively over high-dimensional dynamic models. A fidelity gap is analyzed between the static (historical) and stochastic inputs for a sample portfolio of underlying assets. In order to enhance the performance efficiency of the model, the study emphasized the use of variable reduction methods and customizing random number generators to implement parallelization. An attempt has been made to further implement the Dupire’s model on a GPU to achieve higher computational performance. Furthermore, ideas have been discussed around the performance enhancement and bottleneck identification related to the implementation of options-pricing models on GPUs.

Keywords: monte carlo, stochastic models, computational finance, parallel programming, scientific computing

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Authors: Pratap Chandra Pati, Prabina Rajib, Parama Barai

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The traditional finance theory neglects the role of sentiment factor in asset pricing. However, the behavioral approach to asset-pricing based on noise trader model and limit to arbitrage includes investor sentiment as a priced risk factor in the assist pricing model. Investor sentiment affects stock more that are vulnerable to speculation, hard to value and risky to arbitrage. It includes small stocks, high volatility stocks, growth stocks, distressed stocks, young stocks and non-dividend-paying stocks. Since the introduction of Chicago Board Options Exchange (CBOE) volatility index (VIX) in 1993, it is used as a measure of future volatility in the stock market and also as a measure of investor sentiment. CBOE VIX index, in particular, is often referred to as the ‘investors’ fear gauge’ by public media and prior literature. The upward spikes in the volatility index are associated with bouts of market turmoil and uncertainty. High levels of the volatility index indicate fear, anxiety and pessimistic expectations of investors about the stock market. On the contrary, low levels of the volatility index reflect confident and optimistic attitude of investors. Based on the above discussions, we investigate whether market-wide fear levels measured volatility index is priced factor in the standard asset pricing model for the Indian stock market. First, we investigate the performance and validity of Fama and French three-factor model and Carhart four-factor model in the Indian stock market. Second, we explore whether India volatility index as a proxy for fearful market-based sentiment indicators affect the cross section of stock returns after controlling for well-established risk factors such as market excess return, size, book-to-market, and momentum. Asset pricing tests are performed using monthly data on CNX 500 index constituent stocks listed on the National stock exchange of India Limited (NSE) over the sample period that extends from January 2008 to March 2017. To examine whether India volatility index, as an indicator of fear sentiment, is a priced risk factor, changes in India VIX is included as an explanatory variable in the Fama-French three-factor model as well as Carhart four-factor model. For the empirical testing, we use three different sets of test portfolios used as the dependent variable in the in asset pricing regressions. The first portfolio set is the 4x4 sorts on the size and B/M ratio. The second portfolio set is the 4x4 sort on the size and sensitivity beta of change in IVIX. The third portfolio set is the 2x3x2 independent triple-sorting on size, B/M and sensitivity beta of change in IVIX. We find evidence that size, value and momentum factors continue to exist in Indian stock market. However, VIX index does not constitute a priced risk factor in the cross-section of returns. The inseparability of volatility and jump risk in the VIX is a possible explanation of the current findings in the study.

Keywords: India VIX, Fama-French model, Carhart four-factor model, asset pricing

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Authors: Pulak Swain, A. K. Ojha

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Portfolio optimization is based on dealing with the problems of efficient asset allocation. Risk and Expected return are two conflicting criteria in such problems, where the investor prefers the return to be high and the risk to be low. Using multi-objective approach we can solve those type of problems. However the information which we have for the input parameters are generally ambiguous and the input values can fluctuate around some nominal values. We can not ignore the uncertainty in input values, as they can affect the asset allocation drastically. So we use Robust Optimization approach to the problems where the input parameters comes under box uncertainty. In this paper, we solve the multi criteria robust problem with the help of  E- constraint method.

Keywords: portfolio optimization, multi-objective optimization, ϵ - constraint method, box uncertainty, robust optimization

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Authors: Horaya Mostafa Ahmed

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All cultures are inherently predisposed to change and, at the same time, to resisting change. There are dynamic processes operating that encourage the acceptance of new ideas and things, while there are others that encourage changeless stability. Despite the dramatic changes that have taken place in all human cultures, there are cultures still steadfast and resist change. These cultures resist through some culture mechanisms like, cultural boundaries, ethnocentrism, religion, and cultural relativity. So this paper is an attempt to discover these mechanisms of cultural change resistance and to ask is cultural change always required.

Keywords: cultural change, cultural boundaries, cultural relativity, ethnocentrism, religion, resistance

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Authors: Iulia E. Falcan

Abstract:

The transition of the European power sector towards a clean, renewable energy (RE) system faces the challenge of meeting power demand in times of low wind speed and low solar radiation, at a reasonable cost. This is likely to be achieved through a combination of 1) energy storage technologies, 2) development of the cross-border power grid, 3) installed overcapacity of RE and 4) dispatchable power sources – such as biomass. This paper uses NASA; derived hourly data on weather patterns of sixteen European countries for the past twenty-five years, and load data from the European Network of Transmission System Operators-Electricity (ENTSO-E), to develop a stochastic optimization model. This model aims to understand the synergies between the four classes of technologies mentioned above and to determine the optimal configuration of the energy technologies portfolio. While this issue has been addressed before, it was done so using deterministic models that extrapolated historic data on weather patterns and power demand, as well as ignoring the risk of an unbalanced grid-risk stemming from both the supply and the demand side. This paper aims to explicitly account for the inherent uncertainty in the energy system transition. It articulates two levels of uncertainty: a) the inherent uncertainty in future weather patterns and b) the uncertainty of fully meeting power demand. The first level of uncertainty is addressed by developing probability distributions for future weather data and thus expected power output from RE technologies, rather than known future power output. The latter level of uncertainty is operationalized by introducing a Conditional Value at Risk (CVaR) constraint in the portfolio optimization problem. By setting the risk threshold at different levels – 1%, 5% and 10%, important insights are revealed regarding the synergies of the different energy technologies, i.e., the circumstances under which they behave as either complements or substitutes to each other. The paper concludes that allowing for uncertainty in expected power output - rather than extrapolating historic data - paints a more realistic picture and reveals important departures from results of deterministic models. In addition, explicitly acknowledging the risk of an unbalanced grid - and assigning it different thresholds - reveals non-linearity in the cost functions of different technology portfolio configurations. This finding has significant implications for the design of the European energy mix.

Keywords: cross-border grid extension, energy storage technologies, energy system transition, stochastic portfolio optimization

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