Australia’s 2000’s decade saw the sharpest rise in mining investments arising from developing Asian emerging economies’ high demand for commodities like coal, iron ore, nickel, oil and gas which drove up prices to a historic level (Connolly & Orsmond, 2011). As of December 2012, 39 % and 9 % of the Australian Securities Exchange’s stocks were of the mining (coal and uranium stocks are included ...

Constraint Programming (CP) is an emergent software technology for declarative description and effective solving of large combinatorial problems especially in the area of integrated production planning. In that context, CP can be considered as an appropriate framework for development of decision making software supporting small and medium sized enterprises (SMEs) in the course of projects portf...

We present a simple adjustment to the single-factor credit capital model, which recognizes the diversification from a multi-factor credit setting. The model can be applied to extend the Basel II regulatory framework to a general multi-factor setting, thus allowing for more accurate modeling of diversification for portfolios across various asset classes, sectors and regions, and in particular wi...

Using pooled cross-sectional data from the Surveys of Consumer Finances, and new panel data from TIAA-CREF, we examine the empirical relationship between age and portfolio choice, focusing on the observed relationship between age and the fraction of wealth held in the stock market. We illustrate and discuss the importance of the well-known identification problem that prevents unrestricted estim...

The “case for property” in the mixed-asset portfolio is a topic of continuing interest to practitioners and academics. Such an analysis typically is performed over a fixed period of time and the optimum allocation to property inferred from the weight assigned to property through the use of mean-variance analysis. It is well known, however, that the parameters used in the portfolio analysis prob...

A number of recent studies find that poor health is empirically associated with a safer portfolio allocation. It is difficult to say, however, whether this relationship is truly causal. Both health status and portfolio choice are influenced by unobserved characteristics such as risk attitudes, impatience, information, and motivation, and these unobserved factors, if not adequately controlled fo...

We propose a new one-parameter family of risk functions defined on portfolio return sample -paths, which is called conditional drawdown-at-risk (CDaR). These risk functions depend on the portfolio drawdown (underwater) curve considered in active portfolio management. For some value of the tolerance parameter α , the CDaR is defined as the mean of the worst % 100 ) 1 ( ∗ − α drawdowns. The CDaR ...

491 Abstract— In this paper, we offer a new strategic portfolio model for national IT R&D project selection in Korea. A risk and return (R-R) portfolio model was developed using an objectively quantified index on the two axes of risk and return, in order to select a strategic project and allocate resources in compliance with a national IT R&D strategy. We strategize using the R-R portfolio mode...

3 We integrate appealing features of Markowitz’s mean-variance portfolio theory (MVT) 4 and Shefrin and Statman’s behavioral portfolio theory (BPT) into a new mental accounting 5 (MA) framework. Features of the MA framework include an MA structure of portfolios, 6 a definition of risk as the probability of failing to reach the threshold level in each mental 7 account, and attitudes toward risk ...

We analyze dynamic portfolio choice problems using an approximate dynamic programming (ADP) algorithm. We extend the algorithm to the case of constraints on borrowing and implement a duality-based simulation procedure for estimating bounds on the true value function. We demonstrate that the ADP solution exhibits a high degree of accuracy in the considered examples, indicating that this is a pro...