Thesis (M. Phil.)--University of Hong Kong, 2009. / Includes bibliographical references (p. 104-109) Also available in print.

Thesis (Ph. D.)--University of Missouri-Columbia, 2005. / The entire dissertation/thesis text is included in the research.pdf file; the official abstract appears in the short.pdf file (which also appears in the research.pdf); a non-technical general description, or public abstract, appears in the public.pdf file. Title from title screen of research.pdf file viewed on (May 15, 2007) Vita. Includes bibliographical references.

Thesis (Ph. D.)--University of Texas at Austin, 2008. / Vita. Includes bibliographical references.

The two main questions arising from the problem of optimal bond portfolio management concern the formulation of an optimal trading rule and the specification of an appropriate dynamic risk measure in which to express portfolio objectives. We study these questions in two related essays: (l) a theoretical study of optimal trading policies in view of, as yet unspecified, portfolio objectives when trading is costly; and (2) an empirical, comparative study of several bond risk measures, proposed in the literature or in use by practitioners, for the government or default-free bond market. The theoretical study considers a delegated portfolio management setting, in which the manager optimizes a cumulative reward over a finite time period and where the reward rate increases with portfolio value and decreases with deviations from the given risk objectives. Trading is then often not worthwhile, as the possible gains from smaller objective deviations are offset by losses on account of transactions costs. This setting obviates the need for separate ex post performance evaluation. The trading problem is formulated as one of optimal impulse control in the framework of stochastic dynamic programming; this formulation improves upon prior results in the literature using continuous control theory. A myopic optimal trading rule is characterized, which is also applicable to time-homogeneous problems and more general preferences. An algorithm for its use in applications is derived. The empirical study applies the usual methods of stock market tests to the returns of constant risk bond portfolios. These portfolios are artificial constructs composed, at varying risk levels, of traded bonds on the basis of six different one or two dimensional risk measures. These risk measures are selected in order to obtain a cross-section of term structure variabilities; they include duration, short interest rate risk, long (13-year) interest rate risk, combined short and consol rate risks, duration combined with convexity, and average time-to-maturity. The sample period is the 1970s decade, for which parameter estimates for the risk measures— where necessary—are available from source papers. This period is known to be one with wide-ranging term structure movements and is therefore ideally suited for the tests of this paper. Portfolios are formed at two levels of diversification: bullet and ladder selection. We confirm that all of these risk measures are reasonably effective in capturing relevant bond market risk: the state space of bond returns has in all cases a low dimension (two or three), with only a single factor significantly priced. Best fit is found for portfolios selected by duration, the 13-year spot yield risk, and the two-dimensional short/consol rate risk, all of which consist predominantly of "long" rate risk. The short rate-based risk measure does not explain portfolio returns as well: it has difficulty discriminating between portfolios with long remaining times-to-maturity. Convexity, furthermore, adds nothing to the explanatory power of duration. Average time-to-maturity compares reasonably well with the above risk measures, provided the portfolios are well-diversified across the maturity spectrum; this lends some support to the use of yield curves. A strong diversification effect has also been found, to the extent that the returns on ladder portfolios are practically linear combinations of two or three of the portfolios, typically the lowest and highest risk portfolios in the one dimensional risk cases, with an intermediate portfolio added in the two-dimensional cases. Provided that diversified portfolios are used, the comparatively easy to implement duration measure is as good as any of the risk measures tested. / Business, Sauder School of / Finance, Division of / Graduate

Thesis (MBA)--Stellenbosch University, 2015. / ENGLISH ABSTRACT: The academic view on project portfolio management is not as well formulated as in commercial literature (PMI / APM / IPMA). It is not understood if there is sufficient agreement in academia for a universally accepted definition of project portfolio management and its value contribution. A structured literature review was conducted to determine if there are commonly reoccurring project portfolio management principles identified in academic literature and to find the most suited definition of PPM. The research revealed a number of principles that are consistently referenced by the various articles. A suitable definition to satisfy the majority of the articles was not identified and the author proposes a definition to suit the academic content.

published_or_final_version / Mathematics / Master / Master of Philosophy

Student Number : 0204111E - M Com research report - School of Economic and Business Sciences - Faculty of Commerce / As organisations continuously attempt to do more with less, Chief Information Officers (CIOs) must manage their portfolio of IT investments more effectively and efficiently. In order to achieve this, CIOs can adopt a portfolio management approach; however, there are barriers to the adoption to IT portfolio management. The purpose of this research was to explore the barriers to adoption of IT portfolio management. The barriers were identified by respondents from various sectors and across various levels in their organisations and then ranked in order to determine the most critical factors that impede adoption of IT portfolio management. Data was collected using the Delphi ranking type method, and targeted at CIOs, IT executives, and project managers. The questionnaire was designed to identify perceptions of the most significant barriers to IT portfolio management adoption and strategies for mitigating the effects of these barriers were drawn from the literature. The rank order of 11 barriers was determined from the individual ratings and rank orders of 38 respondents in the final phase with ‘the lack of executive sponsorship, support, and understanding of IT portfolio management’ being ranked as the most critical barrier.

Institutional investors have typically involved commercial property in their core portfolios for stable and income-oriented returns, particularly concentrated on low-risk traditional property sectors including office, retail and industrial property. Recent years have seen the strong growth in demand for quality commercial properties resulting in an imbalanced property investment market, with significant capital flows available (eg: growth in superannuation fund assets) for property investment from this increased appetite for commercial property. This has also been driven by some basic factors such as changing demographics. The demographic change has affected savings, investment and capital flows as the elderly prefer investments with the characteristics of higher yield and stability. Due to the ageing population, a compulsory superannuation system was introduced by the Australian government in 1992 which has driven significant increased capital flowing into investment markets. Since the increased capital flowed into investment markets with significantly compressed property yields, institutional investors have considered a range of emerging property sector investments such as self-storage, retirement, healthcare, and leisure properties to enhance the performance and provide diversification benefits in their portfolios. Specifically, recent years have also seen infrastructure emerge as a separate asset class for institutional capital, with the infrastructure asset class having distinctive characteristics and attractive features; particularly in a climate of significantly reduced government spending on infrastructure in most countries, as governments seek alternative funding options for infrastructure development and maintenance. However, only limited studies regarding the performance of the emerging property sectors and infrastructure investments have been conducted. As such, this PhD thesis focuses on both quantitative and qualitative aspects of the investment issues for the emerging property sectors and infrastructure. To provide a fuller view of the emerging property sectors and infrastructure, the empirical analysis in this thesis provided the performance assessments of Australian emerging property sector LPTs, US non-traditional REITs, UK direct leisure property, Australian infrastructure, US infrastructure and European infrastructure, as well as the strategic investment issues regarding emerging property sector and infrastructure investment via surveys with Australian emerging property sector LPT and infrastructure fund managers. With the development of an emerging property sector LPT index, the results of the empirical analysis indicate Australian emerging properties are characterised as higher risk-higher return property investments. The diversification benefit has been confirmed as adding emerging properties to an investment portfolio. The emerging property sector LPT fund managers’ survey has found new product diversity, strong performance, enhanced yield, greater choice of property and significant capital inflow available for property as the essential motivating factors for emerging property sector investment; whilst the quality and availability of data, the competition of emerging property investments/acquisitions, the depth of market and identifying reliable/strategic business partners, and the policy and regulation issues have been identified as the most significant risks in emerging property sector investment. For US non-traditional REIT analysis, self-storage REITs presented strong performance over the study period. The efficient frontier of portfolios consisting of self-storage REITs also presented enhanced efficiency, while healthcare and specialty REIT portfolios showed less significant efficiency. Due to no equivalent public emerging property series being available for UK, a direct leisure property total return series is obtained from IPD as the proxy of leisure property investment performance. Leisure property outperformed the other property sectors, as well as the other asset classes over the 26-year period to 2006. Similarly, the findings of the property portfolio and mixed-asset portfolio analyses suggest that adding leisure property to the UK property portfolios or mixed-asset portfolios has resulted in significant diversification gains. The findings of the infrastructure analyses have shown the consistent results of enhanced returns, lower risk and significantly improved diversification benefits by infrastructure investments over the three major infrastructure markets including Australia, US and Europe. With the rapidly expanding market in recent years, the strong performance and volatility of infrastructure investment has been moderate when the infrastructure markets are maturing. The Australian infrastructure fund managers’ survey has found stable cash flows, long duration, greater understanding of infrastructure, monopoly characteristics, inflation hedging and diversification benefits as the essential motivating factors for infrastructure investment; whilst infrastructure policy and over-valued infrastructure have been identified as the most significant risks in infrastructure investment. As the emerging property sectors and infrastructure are maturing as effective and significant investment vehicles in Australia and internationally, the issues assessed in this thesis taking on increased significance in the future. It is clearly evident that the property and infrastructure research in this thesis has lead to the enhanced understanding of alternative property and property-related assets and a fuller understanding of the investment dynamics of the emerging property sectors and infrastructure. / Doctor of Philosophy (PhD)

Techn. Univ., Diss.--Berlin, 2006.

Includes bibliographical references (p. 36-38).