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Please use this identifier to cite or link to this item: http://dspace.vgtu.lt/handle/1/3563

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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