摘要：In this study, the effect of selecting an appropriate risk measure and the impact of this choice on the efficient frontier of the organization’s project portfolio, has been studied. Proper choice of firm’s project portfolio has a great impact on organizational success. Each portfolio manager selects the best projects with different criteria, and consistent with firm’s strategic objectives. We have selected the best projects of the organization, using Markowitz efficient frontier method. The choice of proper measures is influential in making this decision and can change the organization’s portfolio. For doing this, the standard deviation is applied and the relevant optimization have been done. Then, in order to differentiate favorable and unfavorable opportunities, semi-standard deviation has also been applied. Afterwards, Value at Risk and Expected Shortfall are applied as the appropriate risk measures, to have a better estimate of the tail risks. With all of these risk measures the best possible projects were selected. Managers should select the appropriate risk measures according to their objectives, estimation of their projects’ distribution, and characteristic of the projects. In this research, the best measures consistent with construction projects and the effect of changes in these measures have been studied.
其他摘要：In this study, the effect of selecting an appropriate risk measure and the impact of this choice on the efficient frontier of the organization’s project portfolio, has been studied. Proper choice of firm’s project portfolio has a great impact on organizational success. Each portfolio manager selects the best projects with different criteria, and consistent with firm’s strategic objectives. We have selected the best projects of the organization, using Markowitz efficient frontier method. The choice of proper measures is influential in making this decision and can change the organization’s portfolio. For doing this, the standard deviation is applied and the relevant optimization have been done. Then, in order to differentiate favorable and unfavorable opportunities, semi-standard deviation has also been applied. Afterwards, Value at Risk and Expected Shortfall are applied as the appropriate risk measures, to have a better estimate of the tail risks. With all of these risk measures the best possible projects were selected. Managers should select the appropriate risk measures according to their objectives, estimation of their projects’ distribution, and characteristic of the projects. In this research, the best measures consistent with construction projects and the effect of changes in these measures have been studied. DOI: http://dx.doi.org/10.5755/j01.ee.29.2.17405
关键词：Portfolio Optimization;Risk Measures;Monte Carlo Simulation;Downside Risk;Value at Risk;Expected Shortfall.
其他关键词：Portfolio Optimization;Risk Measures;Monte Carlo Simulation;Downside Risk;Value at Risk;Expected Shortfall.
