...Premium และคำนวณ Standard Deviationเพื่อนำไปคำนวณหา Sharpe Ratio ที่มีอัตราส่วนที่สูงที่สุด ซึ่งอธิบายถึงผลตอบแทนที่ถูกปรับด้วยความเสี่ยง ที่ดีที่สุด เมื่อได้ทำการวิเคราะห์และคำนวณ Sharpe Ratio แล้ว พบว่า หุ้นที่เหมาะสมที่จะทำการลงทุนเพิ่ม ได้แก่ Pioneer Gypsum โดยลงทุนในสัดส่วน 4% จึงทำให้การลงทุนในตลาดเป็น 96% เนื่องจากเป็นสัดส่วนที่ทำให้ Sharpe Ratio มีค่าสูงที่สุด คือ 0.4702 ซึ่งถือได้ว่าเป็นการกระจายการลงทุนที่ทำให้ความเสี่ยงลดลง ซึ่งสอดคล้องกับทฤษฎี Modern Portfolio Theory ของ Harry M. Markowitz (1952) ที่กล่าวไว้ว่า “Don’t put all your eggs in one basket” สรุปรายละเอียดของ Mini-Case : John & Marsha on Portfolio Selection John ทำหน้าที่บริหาร Portfolio ซึ่งมีมูลค่า 125 ล้านดอลลาร์ของนักลงทุนอยู่ เขาปรึกษากับ Marsha เกี่ยวกับปัญหาของการบริหารจัดการหุ้นใน Portfolio ของเขา โดย John คิดว่าที่ผ่านมาผลตอบแทนจาก portfolio ที่เขาดูแลอยู่นั้นมักจะใกล้เคียงกับอัตราผลตอบแทนของตลาดและอิงจากกราฟ S&P 500 market index ที่จัดทำขึ้น เขาจึงรู้สึกว่าการบริหารของเขาอ้างอิงแต่กับตัวเลขของตลาดมากเกินไป เขาอยากจะบริหารจัดการ portfolio เสียใหม่ให้มีความเป็นตัวของตัวเองมากขึ้น และได้รับผลตอบแทนที่สูงขึ้นกว่าอัตราผลตอบแทนของตลาด เพื่อทำให้การทำงานของเขามีประโยชน์ต่อลูกค้ามากขึ้น โดยเขาเลือกบริษัทที่ราคาตลาดของหุ้นต่ำกว่ามูลค่าที่ประเมินได้ (Undervalued) และที่ราคาตลาดของหุ้นสูงกว่ามูลค่าหุ้นที่ประเมินได้ (Overvalued) ามาส่วนหนึ่ง โดยบริษัทที่เขาคาดว่าน่าจะมีมูลค่า Undervalued และสมควรซื้อมากคือบริษัท Pioneer Gypsum และหุ้นของ Global mining นั้น Overvalued จึงไม่สมควรซื้อโดยข้อมูลต่างๆของทั้ง2บริษัทที่เขาหามาได้มีค่าตามตารางนี้ ...
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...corporations, charities, educational establishments etc.) or private investors (both directly via investment contracts and more commonly via collective investment schemes e.g. mutual funds or exchange-traded funds). The term asset management is often used to refer to the investment management of collective investments, while the more generic fund management may refer to all forms of institutional investment as well as investment management for private investors. Investment managers who specialize in advisory or discretionary management on behalf of (normally wealthy) private investors may often refer to their services as money management or portfolio management often within the context of so-called "private banking". The provision of investment management services includes elements of financial statement analysis, asset selection, stock selection, plan implementation and ongoing monitoring of investments. Coming under the remit of financial services many of the world's largest companies...
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...suggest the retiree to invest in the S&P 500, because it has a lower standard deviation than Harris at 4.34 and a higher average return than Harris at .75. Step 2. The shape of the curve shows the outcome of the risk-return combinations generated by the portfolio of the assets giving you the minimum variance for a given rate of return. Any set of combinations formed by the two assets with less than perfect correlation will lie within the minimum-variance portfolio and will be the convex. A perfect positive correlation +1 implies that as one security moves, either up or down, the other security will move in the same direction making a straight upward line. A perfectly negative correlation of -1 means that if one security moves in either direction the security that is perfectly negatively correlated will move in the opposite direction. Step 3. The older investor would take the portfolio including Harris and Urban, because they have the lowest standard deviation, hence it is a less risky investment. The younger investor would take the portfolio with Maya and Urban, because it has the highest returns, and can they can take on the risk. At an expected return of .75, the S&P 500 has a lower standard deviation than the stock portfolio with a standard deviation of 6.03 with the same return. Step 4. Bonds and stocks will not react in the same way to adverse events. By...
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...C H A P T E R 3 Project Selection and Portfolio Management Chapter Outline 70 Project Management: Achieving Competitive Advantage, Second Edition, by Jeffrey K. Pinto. Published by Prentice Hall. Copyright © 2010 by Pearson Education, Inc. 000200010270649984 PROJECT PROFILE Project Selection Procedures: A Cross-Industry Sampler INTRODUCTION 3.1 PROJECT SELECTION 3.2 APPROACHES TO PROJECT SCREENING AND SELECTION Method One: Checklist Model Method Two: Simplified Scoring Models Limitations of Scoring Models Method Three: The Analytical Hierarchy Process Method Four: Profile Models 3.3 FINANCIAL MODELS Payback Period Net Present Value Discounted Payback Internal Rate of Return Options Models Choosing a Project Selection Approach PROJECT PROFILE Project Selection and Screening at GE: The Tollgate Process 3.4 PROJECT PORTFOLIO MANAGEMENT Objectives and Initiatives Developing a Proactive Portfolio Keys to Successful Project Portfolio Management Problems in Implementing Portfolio Management Summary Key Terms Solved Problems Discussion Questions Problems Case Study 3.1 Keflavik Paper Company Project Profile Case Study 3.2 Project Selection at Nova Western, Inc. Internet Exercises Notes Chapter Objectives After completing this chapter you should be able to: 1. Explain six criteria for a useful project-selection/screening model. 2. Understand how to employ checklists and simple scoring models to select projects. 3. Use more sophisticated...
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...Bill Shackelford From: Zahir Cassam Date: February 3, 2014 ------------------------------------------------- Re: Proposing a Project Portfolio Evaluation and Selection Process Executive Summary Taking into account the poor performance of our current projects due to a weak portfolio management process in place, the Operations SBU has come to the determination that if we are to move forward in accommodating new projects along with our existing ones, the current system must be reviewed and redesigned for better decision-making. This proposal defines a framework for project portfolio evaluation and a project selection for adoption and it elaborates on the two phases that involve project screening, selection, prioritizing and balancing. More emphasis is given to the project selection criteria and score model as this is the main area where the gap of knowledge has been identified. Rationale Our recent organizational determination to sustain by controlling costs and expanding our frontiers shall require much effort from all our SBUs and most importantly, it is crucial that we are able to incubate a proper process that shall boost good decision-making and mitigate conflicts when we come to screening multimillion dollar projects and implementing them as part of our operations. The said process shall be about evaluating our project portfolio and devising a methodology of selecting specific projects with the highest probability of helping our company achieve its strategic goals...
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...The Chinese University of Hong Kong Department of Computer Science and Engineering Final Year Project Trading Strategy and Portfolio Management (LWC 1301) Implementing Portfolio Selection By Using Data mining Tseng Ling Chun (1155005610) Supervisor: Professor Chan Lai Wan Marker: Professor Xu Lei 1 Table of Contents Table of Contents………………………………………….…………………………………………………2 1. Introduction………………………………………….…………………………………………................4 1.1 Financial Portfolios.......................................................................................................4 1.2 Data Mining and Decision Trees………………………………………..................….4 1.3 Flow of Report……………………………………….....................................................….5 2. Classification and Regression Trees (CART) …………………………………..........……….6 2.1 Detailed description of CART……………………………………................................6 2.2 Tree Construction………………………………………..............................................….8 2.2.1 Application of Impurity Function in CART……………………...…...9 2.3 Splitting Rules…………........……………...………….………………………….......……11 3. Optimizing Size of Tree……………………………....………..................................................….12 3.1 Parameterization of Trees…………………………………...........................……….13 3.2 Cost – Complexity Function……………………………………....….........................14 3.3 V – Fold Cross – Validation……………………………………..........................…….15 4. Iterative Dichotomiser 3 (ID3) …………………………………...
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...run. In 2000 Black and Decker Corporation was still reeling from the financial and strategic problems stemming from the company's acquisition of Emhart Corporation in 1989. In late 1998 Black & Decker management celebrated the completion of an almost decade-long effort to divest nonstrategic business gained through its 1989 acquisition of Emhart Corporation and expected the company to enter a long-awaited period of growth as its entire management refocused its attention on its core power tools, plumbing, and security hardware business. Archibald believed that "This portfolio restructuring will allow us to focus on core operations that can deliver dependable and superior operating and financial results." However the portfolio restructuring did little to improve the market performance of the company's securities. Yet Archibald and the management continued to express confidence that the company's streamline portfolio would allow Black & Decker to achieve revenue and earnings growth that the market would find impressive. So far the 1998 divestitures have not produced steady increases in the company's stock price, but look promising for the future due to the efforts to refocus efforts on the successful power tools line. Strategic planning team evaluation Over the years, Black & Decker has branched off into many different directions in order to gain as much market share as possible. The diversification program in the 1980s produced mixed results for shareholders, and later...
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...work and needs to plan accordingly. One main question that is always a difficult one to answer is how long one needs to work before they can comfortably stop working and rely on their financial portfolio to take care of expenses after work. In order to analyze these questions, a deterministic model of an investment portfolio was created and stochastic modeling was used to determine the likelihood of being able to accumulate the necessary finances over the desired period of time. Quantitative Analysis: 1. Using the given deterministic model, the annual outflows were estimated from the retirement portfolio over the retirement years and the estimated return on the account was also calculated. It was determined that under these basic assumptions of salary and portfolio growth rate the portfolio could expect to grow to $452,900 within thirty years. However, this assumed a fixed salary growth rate of 5% as well as a 4% annual investment rate. Given the high rate of inflation and the projected expenses after retirement, it was calculated that if this money was to last for the retirement, then even pulling out $50,000 per year in expenses would cause the account to run out after just a few years. 2. Adjusting the annual rate to 8% from 4% had a major effect. Although the portfolio fell short of the one million dollar goal by only reaching $853,633, this was a major effect as it allows the individual the ability to pull $100,000 each year from this account and still sustain...
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...Kochman’s and Badarinathi’s mathematical case for upside deviation deals with portfolio upside deviations being divided by a market’s upside deviations to so show the resulting ratio and how it facilitates other tests for positive or negative skewness. The article discusses how CAPM is inappropriate for the evaluation of portfolios given that is not only assumed that the returns on distributions are symmetrical, but that the beta (performance and return-to-risk ratios) underestimates the risk of larger numbers of mutual funds. Kochman and Badarinathi needed to answer two questions; can upside deviation be the means for portfolio evaluations and can this be done by taking the upside deviation of portfolios and divide those figure by the upside deviation of the market? Kochman and Badarinathi believe that to make a case for upside deviation as a means for portfolio evaluations is to take the upside deviation of the portfolio(s) and dividing it by the market(s) upside deviation. This would result with a ratio that facilitates another test of positive or negative skewness. To test whether the ratio of portfolio-to-market upside deviations as a success, a test on fund returns would need to be conducted to ensure a meaningful difference between upside deviations, portfolios, and markets. The overall findings showed that the relationships between low betas and low upside volatility appeared to be weaker than the relationships between high betas and high upside volatility. In addition...
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...Rock, Paper, Scissors, and Other Investment Techniques (UOP) FIS 240 Week 5 DQs (UOP) FIS 240 Week 6 CheckPoint: So Many Businesses, So Little Money PART 1 OF 2 (UOP) FIS 240 Week 6 CheckPoint: So Many Businesses, So Little Money PART 2 OF 2 (UOP) FIS 240 Week 6 Assignment: Analyze This (UOP) FIS 240 Week 7 DQs (UOP) FIS 240 Week 7 CheckPoint: Income that Sticks PART 1 OF 2 (UOP) FIS 240 Week 7 CheckPoint: Income that Sticks PART 2 OF 2 (UOP) FIS 240 Week 8 CheckPoint: Lifetime Investment Matrix PART 1 OF 2 (UOP) FIS 240 Week 8 CheckPoint: Lifetime Investment Matrix PART 2 OF 2 (UOP) FIS 240 Week 8 Assignment: Living the Easy Life (UOP) FIS 240 Capstone Discussion Question (UOP) FIS 240 Final Project: Investment Policy and Portfolio Evaluation (UOP) ____________________________________________________ FIS 240 Week 1 CheckPoint: Is Time on My Side (UOP) For more course tutorials visit www.tutorialrank.com Resources: Appendix D and the Time Value of Money multimedia (enter into the Axia College student webpage first then copy and paste the link into the open browser) TUhttps://ecampus.phoenix.edu/secure/aapd/UBAM/Libraries/Flash/TVM.swfUT. Due Date: Day 5 [post to the Individual forum] Complete your responses to this week’s CheckPoint in Appendix D. Post the completed...
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...Judge the Risk by Portfolio When the investors put their money into the stock market, it means that they must take the risk of the stock market, because risk is one of the natural qualities of the stock market. One company easy to get a poor performance and its stocks will go down. Therefore, there will be no way to complete avoid risk, but judge it. In finance, risk is best judged in a portfolio context. Because the possibility that many companies gets serious performances, and their stock price go down at the same time is lower than for only one company. This essay will discuss that why the portfolio context is the best way to judge the risk in the finance market. The first part will introduce the basic theories for portfolios. The methods of measuring risks and value of the portfolio will be explained in the second part to demonstrate that why it is better select portfolios. The third part will give the example of family groupings on performance of portfolio selection in the Hong Kong stock market. The conclusion will be given at the end of the essay. Firstly, the theory of portfolio and the five suppositions of portfolio selection need to be explained before the following discussion of the value of portfolios. The article ‘Portfolio Selection’, which was issued on Journal of Finance in 1952 and the book ‘Portfolio Selection: Efficient Diversification of Investments’ which was published in 1959 was known as the opening if the modern portfolio theory. The author of these...
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...PORTFOLIO CHECK SHEET/100 POINTS POSSIBLE The items listed on this page are worth a maximum of 74 points. Points will be deducted for each missing item. Items should appear in the order listed below. Required Artifacts ________ 3-ring notebook—organized into useable sections (2 points) ________ A title page with your name either on the outside of the portfolio or immediately inside (4 points). Do not add a date. ________ Resume and employment documentation (10 points) ________ A section for you to add documents/artifacts from your major. This section might be empty right now, but it should be there for future coursework. It should be labeled with the name of your major—not the word “Major.” (5 points) ________ Computer skills samples including Excel (5 points) word processing (5 points), PowerPoint (5 points) and any other software artifacts you might have. Note: word processing needs to be included in the computer section even if you have Word documents in other parts of your portfolio as well. Separate multiple pages of artifacts so each page is displayed for easy review* ________ Writing samples (10 points) Separate pages to display each page of your work.* (Must include two writing samples. These samples are intended to demonstrate writing ability, not word processing skills.) ________ Syllabus (plus any from previously taken courses)—put in a back section or pocket (no sleeves needed) (3 points) ________...
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...Decisions of Uncertainty Introduction The Decision What is the probability of hiring a qualified employee upon selecting one from 52 applicants 26 are male and 26 are female? Probability Concepts The probability of the event –hiring a qualified male employee—is the proportion of times the company would expect to obtain a qualified male employee over the long run if the HR managers selected applicants many times. I will refer to each repetition of the situation – in this case the selection of a qualified male future employee—as a sampling experiment. The probability of the event is the proportion of times we would expect the event to occur in an infinitely long series of identical sampling experiments. The Outcome In this case, the probability of selecting a qualified male employee is 0 .50 or 50%. I arrived at this conclusion by using the knowledge that there are 52 applicants who areapplying for the open position, 26 are female and 26 are male. If the company assume that each of the 52 possibilities is equally likely, it is reasonable to expect that the company would select a male applicant that is qualified for the open position 0.50 of the time of a period of time ( 26/52 = ½ = 0.50 ). This illustrates the basic rule for obtaining probabilities in situations in which each of the possible outcomes is equally likely, the probability of the occurrence of an event is equal to the proportion of the possible outcomes characterized by the event. In the case of...
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...Task 1 of 2 Create a Universal Group called Replication Management Admins in an OU you’ve chosen to hold groups for delegated access or other security related task. Open ADSI Edit and connect to the Configuration Naming Context as seen in the image below. Once you've selected Configuration in "Select a well known Naming Context", click OK Expand the Configuration Naming context and right click the Naming Context node below it. See the picture below for the arrow indicating where you should right-click. Next Click Properties Click the Security Tab Click the Advanced button Click Add Enter the name of the Universal Group you created in Step 1 and click OK In the Permission Entry for Configuration box scroll to the bottom and tic the Allow box for the Replication Synchronization permission. Ensure that "This object and all child objects" is selected for the Apply to and click OK Click Apply, then OK, and then click OK once more and you should be back to ADSI Edit with no open dialog boxes. Task 2 of 2 After you’ve completed steps 1-10 in Task 1 you'll need to view all the replicated partitions and do the same process for each partition. Click on CN=Partitions under CN=Configuration, DC= to view the partitions in the Configuration naming context. On each partition right click each object and select New Connection to Naming Context. Note: You don't have to do this for...
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...risks due to potential loss of funding” (Wager, Lee, & Glaser, 2009, para. 9). Implementing a new software system will benefit the Mobile Mammography Van greatly. This paper is intended to identify the process for selecting and acquiring an information system, explain how the organizations goals drive the selection process, and identify the roles each organization’s stakeholders play in the selection process. Selecting and Acquiring an Information System When an organization is selecting and acquiring a new information system there is a great deal of planning and steps they must take to implement the system properly. The first step is to establish a project steering committee. “This committee’s primary function is to plan, organize, coordinate, and manage all aspects of the acquisition process” (Wager, et. al., 2009, pg. 150). After the committee has been formed the project goals should be outlines along with the scope of the project and committee. Many questions will need to be discussed during this step. For example, the committee will need to determine the methods, processes, communication techniques, resources, and type of system that will be used through the selection and acquisition process. Once project goals and the scope of the project are defined the next step is to screen the marketplace and review vendor profiles. “Concurrently with the...
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