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Title: | The impact made on project portfolio optimisation by the selection of various risk measures |
Authors: | Yousefi, Vahidreza Yakhchali, Siamak Haji Šaparauskas, Jonas Kiani, Sarmad |
Keywords: | Portfolio Optimisation Risk Measures Downside Risk Value at Risk Expected Shortfall Monte Carlo Simulation |
Issue Date: | 2018 |
Publisher: | Kaunas University of Technology |
Citation: | Yousefi, V., Yakhchali, S.H., Šaparauskas, J., Kiani, S. 2018. The impact made on project portfolio optimisation by the selection of various risk measures. Engineering economics. Kaunas University of Technology.. 29(2), 168-175 |
Series/Report no.: | 29;2 |
Abstract: | This study addresses the effect of selecting an appropriate risk measure and the impact of this choice on the efficient frontier of the
project portfolio of an organisation. The appropriate choice of a firm’s project portfolio has a great impact on the organisational
success. Each portfolio manager selects the best projects with different criteria and consistent with firm’s strategic objectives. We
used the Markowitz efficient frontier method to select the best projects of the organisation. The choice of proper measures impacts
on this decision and can change the organisation’s portfolio. The standard deviation was applied, and the relevant optimisation
was made for this purpose. Then, the semi-standard deviation was used to differentiate between favourable and unfavourable
opportunities. Afterwards, Value at Risk and Expected Shortfall were applied as appropriate risk measures to make a better
estimate of the tail risks. All these risk measures were used to select the best possible projects. Managers should select the
appropriate risk measures according to their objectives, estimation of their project distribution, and characteristics of the projects.
This research studied the best measures consistent with construction projects and the effect of changes in these measures. |
URI: | http://dspace.vgtu.lt/handle/1/3563 |
ISSN: | 1392-2785 |
Appears in Collections: | Moksliniai straipsniai / Research articles
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