|
VGTU talpykla >
Statybos fakultetas / Faculty of Civil Engineering >
Moksliniai straipsniai / Research articles >
Please use this identifier to cite or link to this item:
http://dspace.vgtu.lt/handle/1/4186
|
| Title: | Project Portfolio Construction Using Extreme Value Theory |
| Authors: | Tamošaitienė, Jolanta
Yousefi, Vahidreza
Tabasi, Hamed |
| Keywords: | portfolio optimization
extreme value theory
GARCH (Generalized Autoregressive Conditional Heteroskedasticity) models
volatility clustering
distribution |
| Issue Date: | 2021 |
| Publisher: | MDPI |
| Citation: | Tamošaitienė, J.; Yousefi, V.; Tabasi, H. Project Portfolio Construction Using Extreme Value Theory. Sustainability 2021, 13, 855. https://doi.org/10.3390/su13020855 |
| Series/Report no.: | 13;2 |
| Abstract: | Choosing proper projects has a great impact on organizational success. Firms have various factors for choosing projects based on their different objectives and strategies. The problem of optimization of projects’ risks and returns is among the most prevalent issues in project portfolio selection. In order to optimize and select proper projects, the amount of projects’ expected risks and returns must be evaluated correctly. Determining the relevant distribution is very important in achieving these expectations. In this research, various types of practical distributions were examined, and considering expected and realized risks, the effects of choosing the different distribution on estimation of risks on construction projects were studied. |
| Description: | This article belongs to the Special Issue Sustainable Decision Making in Civil and Construction Engineering |
| URI: | http://dspace.vgtu.lt/handle/1/4186 |
| ISSN: | 2071-1050 |
| Appears in Collections: | Moksliniai straipsniai / Research articles
|
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.
|
