Multitrend Conditional Value at Risk for Portfolio Optimization

Lai, Zhao-Rong; Li, Cheng; Wu, Xiaotian; Guan, Quanlong; Fang, Liangda

doi:10.1109/tnnls.2022.3183891

Cited by 6 publications

(1 citation statement)

References 37 publications

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“…Furthermore, the conditional value at risk (CVaR) measure was adopted to model financial portfolio return under uncertainty [20,21]. Moreover, a multitrend CVaR was proposed to consider multiple trends and their impacts in finance portfolio optimization then the interior point method was applied for computing the portfolio [22]. In order to aid decisionmaking for risk averse investors, it is formulated a dynamic portfolio selection problem based on benchmark process combined with a dynamic valueat-risk constraint using stochastic dynamic programming techniques, and adopted the lagrange multiplier method for optimal portfolio strategies [23].…”

Section: Literature Reviewmentioning

confidence: 99%

A New Strategic Value for Money Methodology for IS/IT Project Portfolio under Variability

2023

IJIES

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Information system (IS) and information technology (IT) Portfolio value management enables to measure the intended IS/IT project portfolio value, in pursuit of strategic objectives. Yet, the captured IS/IT project portfolio value should be articulated in the different IS/IT project portfolio segments in order to measure each category value contribution. Moreover, it should consider the strategic objectives variability throughout the portfolio lifespan. Therefore, this study proposes a novel methodology for the strategic portfolio value (𝑆𝑃𝑉) calculation, using the rank order distribution (ROD) weights model for strategic objectives variability modelling, and the value for money (VfM) technique of the management of portfolios (MoP TM ) guidance based on expert judgments. Besides, this study provides a new IS/IT project portfolio categorization. An IS/IT project management office (PMO) case study demonstrates the outcome of the new methodology, which is the calculated 𝑆𝑃𝑉 of 0.68, and how it aids, decision-making and performance management, identify under uncertainty the most strategically valuable IS/IT Project Portfolio categories.

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