Portfolio Risk Management Using Six Sigma Quality Principles

Mefford, Robert N.; Tay, Nicholas S. P.; Doyle, Barry; Ohara, Frank

doi:10.1080/10686967.2017.11918506

Cited by 4 publications

(5 citation statements)

References 6 publications

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“…In other words, a 100% increase in all three variables will give rise to 27.78%, 61.45%, and 48.56% contributions from FDI, GCF, and PER respectively. (Tay et al, 2014).…”

Section: Pooled Pdlram Resultsmentioning

confidence: 99%

Foreign Direct Investment, Gross Capital Formation, Foreign Remittances, and Economic Growth in Zimbabwe

Maune,

Matanda,

Chitombo

2023

Folia Oeconomica Stetinensia

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Research background Capital investment financing has been cited as a critical element in economic growth the world over although there is no consensus regarding the significance, direction, and magnitude of the relationship. Purpose The article investigated the relationship between foreign direct investment, gross capital formation, personal remittances, and gross domestic product in Zimbabwe from 1960–2020. Research methodology The random effects model was used to examine this relationship using data collected from the World Development Indicators database. The random effects model was selected after performing the Hausman test. Results All the regression coefficients of the country’s gross domestic product reveal a direct or positive relationship with the three independent variables. Furthermore, the study reveals that gross capital formation had the highest contribution to Zimbabwe’s gross domestic product compared to that of foreign direct investment and personal remittances for the period under study. The coefficients of determination of the independent variables were significant. In other words, foreign direct investment accounted for 57.24%, gross capital formation 68.47%, and personal remittances 48.76% to foreign direct investment for the same period. Novelty The article closed the gap in knowledge by drawing attention to the relationship between foreign direct investment, gross capital formation, personal remittances, and gross domestic product in Zimbabwe.

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“…In other words, a 100% increase in all three variables will give rise to 27.78%, 61.45%, and 48.56% contributions from FDI, GCF, and PER respectively. (Tay et al, 2014).…”

Section: Pooled Pdlram Resultsmentioning

confidence: 99%

Foreign Direct Investment, Gross Capital Formation, Foreign Remittances, and Economic Growth in Zimbabwe

Maune,

Matanda,

Chitombo

2023

Folia Oeconomica Stetinensia

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“…A bibliometric analysis would provide a snapshot of the literature and performing the analysis would be the starting point to develop a research agenda to drive future research. 2014;Jebari, 2015;Jore et al, 2018;Lakshmi, 2018;Lee and Su, 2010;Lindaas and Pettersen, 2016;Loizzo et al, 2015;de Loo and Davis, 2003;Luria et al, 2017;Makridakis and Taleb, 2009;Maslen and Hayes, 2016;Mefford et al, 2017;Millett, 2010;Mueller and Stewart, 2016;Nafday, 2009;Ndubisi et al, 2016;Oh and Lee, 2017;Olivares-Aguila and ElMaraghy, 2020;de Palma et al, 2014;Payzan-LeNestour, 2018;Perera et al, 2018;Pilkington and Meredith, 2009;Reut et al, 2019;van Rijmenam et al, 2019;Schurr et al, 2014;Sengar et al, 2017;Sniedovich, 2012;Taleb and Dearlove, 2009;Vetter and Vetter, 2019;Wardman and Mythen, 2016;Wells et al, 2017;Werther, 2013;Zafft, 2012;Zaman et al, 2019) falling under the timespan from 1997 to 2020 (articles published till 30 April 2020). The full record of the articles bibliographical information was downloaded in BibTex format for further use in analysis using R package and VOSviewer.…”

Section: Overview Of Research On Black Swan Eventsmentioning

confidence: 99%

“…On the other hand, the article by Henderson, 1997 discussed the importance of organisation to analyse the environment and emphasised on the need for continuous learning for efficient environmental analysis. Further, these two articles provided further direction for Source(s): Analysis of Bibliographic Data from SCOPUS using R Bibliometrix package (Akkermans and Van Wassenhove, 2013;Fink et al, 2009;de Loo and Davis, 2003;Mefford et al, 2017;Ndubisi et al, 2016;de Palma et al, 2014;Payzan-LeNestour, 2018;Reut et al, 2019). Table 4 provides the list of top 10 articles based on the total citations.…”

Section: Citation Analysismentioning

confidence: 99%

Black swan: bibliometric analysis and development of research agenda

Parameswar

Chaubey

Dhir

2021

BIJ

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PurposeThere has been an increasing interest amongst the researchers to work and explore, “Black Swan” events which are not well studied. However, the “Black Swan” events hold an eminent relevance amongst academicians and practitioners. The present study offers nuanced understanding of “Black Swan” events.Design/methodology/approachWe undertook an extensive bibliometric analysis of the extant literature using “Black Swan” as guiding keyword with the help of SCOPUS database.FindingsThe search for articles only yielded 59 articles. Our analyses highlight the prominent works, authors and journals. Further, this study reveal the research gaps that may help guide future scholars interested in “Black Swan” events to examine in different context.Research limitations/implicationsThe current study develops a research agenda and offers numerous research directions. Research on “Black Swan” events can be apprehended at three different stages – pre-black swan event, about black swan event and post-black swan event with identified sub-themes.Originality/valueThis paper is the pioneer research work to dedicatedly analyse the existing set of literature with “Black Swan”.

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“…Nonetheless, their descriptions were of a very vague and nonspecific nature, and they just communicated for the profession of risk management ideas borrowed in business management. A more advanced version is Mefford et al (2017) who showed how the basic philosophy of Six Sigma to portfolio risk management and provided and empirical demonstration. The common denominator of the efforts borne by Doyle et al (2010) and Mefford et al (2017) is the deficiency of value at risk as the most popular method for measuring risk in finance.…”

Section: Literature Reviewmentioning

confidence: 99%

“…A more advanced version is Mefford et al (2017) who showed how the basic philosophy of Six Sigma to portfolio risk management and provided and empirical demonstration. The common denominator of the efforts borne by Doyle et al (2010) and Mefford et al (2017) is the deficiency of value at risk as the most popular method for measuring risk in finance.…”

Section: Literature Reviewmentioning

confidence: 99%

Performance of Six Sigma Rebalancing for Portfolios Mixing Polar Investment Styles

Boďa

Kanderová

2020

Acta Univ. Agric. Silvic. Mendelianae Brun.

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The paper investigates usefulness of a rebalancing strategy that was proposed in 2014 by Boďa and Roháčová and is based on ideas borrowed from the managerial concept Six Sigma. Centring upon a small investor who is willing to invest into S&P 500 Index components in an attempt to track the S&P 500 Index, the paper compares the performance of different rebalancing strategies for four different sets of monthly data ranging from 2011 to 2017. Rebalancing is undertaken on a monthly basis and tracking portfolios are diversified by investing in proportions into stocks belonging to investment styles defined by size (big/small caps) and market-to-book ratio (growth/value stocks). The results show that the Six Sigma rebalancing strategy is superior in a transaction-cost-free environment, but when transaction costs are accounted for, it is dominated by the buy-and hold strategy and a liberal threshold rebalancing strategy. Overall, periodic rebalancing fares unsatisfactorily with respect to criteria adopted for performance assessment.

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Portfolio Risk Management Using Six Sigma Quality Principles

Cited by 4 publications

References 6 publications

Foreign Direct Investment, Gross Capital Formation, Foreign Remittances, and Economic Growth in Zimbabwe

Foreign Direct Investment, Gross Capital Formation, Foreign Remittances, and Economic Growth in Zimbabwe

Black swan: bibliometric analysis and development of research agenda

Performance of Six Sigma Rebalancing for Portfolios Mixing Polar Investment Styles

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