The Impact Made on Project Portfolio Optimisation by the Selection of Various Risk Measures
| Autor: | Jonas Šaparauskas, Siamak Haji Yakhchali, Sarmad Kiani, Vahidreza Yousefi |
|---|---|
| Rok vydání: | 2018 |
| Předmět: |
Economics and Econometrics
Actuarial science Computer science Risk measure 05 social sciences Downside risk Monte Carlo Simulation Efficient frontier 010501 environmental sciences Risk Measures 01 natural sciences Portfolio Optimisation Downside Risk Expected shortfall 0502 economics and business Value at Risk Portfolio Business and International Management Portfolio optimization Project portfolio management Expected Shortfall Engineering (miscellaneous) 050203 business & management Value at risk 0105 earth and related environmental sciences |
| Zdroj: | Engineering Economics. 29 |
| ISSN: | 2029-5839 1392-2785 |
| DOI: | 10.5755/j01.ee.29.2.17405 |
| Popis: | In this study, the effect of selecting an appropriate risk measure and the impact of this choice on the efficient frontier of the organization’s project portfolio, has been studied. Proper choice of firm’s project portfolio has a great impact on organizational success. Each portfolio manager selects the best projects with different criteria, and consistent with firm’s strategic objectives. We have selected the best projects of the organization, using Markowitz efficient frontier method. The choice of proper measures is influential in making this decision and can change the organization’s portfolio. For doing this, the standard deviation is applied and the relevant optimization have been done. Then, in order to differentiate favorable and unfavorable opportunities, semi-standard deviation has also been applied. Afterwards, Value at Risk and Expected Shortfall are applied as the appropriate risk measures, to have a better estimate of the tail risks. With all of these risk measures the best possible projects were selected. Managers should select the appropriate risk measures according to their objectives, estimation of their projects’ distribution, and characteristic of the projects. In this research, the best measures consistent with construction projects and the effect of changes in these measures have been studied.DOI: http://dx.doi.org/10.5755/j01.ee.29.2.17405 |
| Databáze: | OpenAIRE |
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