Statistical Estimation of Composite Risk Functionals and Risk Optimization Problems

We address the statistical estimation of composite functionals which may be nonlinear in the probability measure. Our study is motivated by the need to estimate coherent measures of risk, which become increasingly popular in finance, insurance, and other areas associated with optimization under uncertainty and risk. We establish central limit formulae for composite risk functionals. Furthermore, we discuss the asymptotic behavior of optimization problems whose objectives are composite risk functionals and we establish a central limit formula of their optimal values when an estimator of the risk functional is used. While the mathematical structures accommodate commonly used coherent measures of risk, they have more general character, which may be of independent interest

Strategies for Improving the Performance of Project Managers in South Sudan

Business leaders persistently face the challenges of project failures. Lack of proper project alignment with business strategies is a major contributor to less successful project outcomes. One major concern of project managers in South Sudan is that misalignment of the project management processes with business strategies could result in project delays and cost overruns. The purpose of this multiple case study was to explore strategies 8 project managers from 2 telecommunication companies use to align project management processes with business strategies to improve project performance in Juba, South Sudan. Using hoshin kanri as the conceptual framework for this study, semistructured face-to-face interviews were conducted with purposely selected participants. Four themes that emerged from the thematic analysis of the interview data and archival documents are effective communication among project stakeholders, stakeholder engagement in project management processes, competence of project manager in leadership decisions, and executive commitment and support to project team. The findings of the study may lead to proper project alignment and successful project outcome. Business leaders should involve project managers during the development of business strategies. The results from this study may contribute to positive social change by enabling project managers and business leaders to execute sustainable projects that can offer employment opportunities for the local citizens and help the recovery of the South Sudan economy

TWO-STAGE PORTFOLIO OPTIMIZATION WITH HIGHER-ORDER CONDITIONAL MEASURES OF RISK

Bachelor'sBACHELOR OF SCIENCE (HONOURS

Two-stage portfolio optimization with higher-order conditional measures of risk

In this study, an application of novel risk modeling and optimization techniques to daily portfolio management will be described. In the first part, I develop and compare specialized methods for scenario generation and scenario tree construction. The quality of multi-stage stochastic optimization models depends heavily on the quality of the underlying scenario model. First, multivariate GO-GARCH model is used to generate adequate number of scenarios. Then, five different methods, a multi-facility location based backward scenario tree generation method, and forward and backward modified K-Means and Two-Step Cluster methods are used to generate scenario trees. Next, these five methods are tested on two-stage portfolio problems with different number of scenario sets. Finally, a Monge-Kantorovich transportation model is developed to compare the probability distribution of the GARCH-generated scenarios with the probability distribution in the constructed scenario trees. In the second part, I construct a two-stage stochastic programming problem with conditional measures of risk, which is used to re-balance the portfolio on a rolling horizon basis, with transaction costs included in the model. A conditional risk mapping approach will be used in the model so that information from the previous investment period can be used in the decision for the next investment period. Artzner et al. introduced coherent risk measures that reflect the interests of risk-averse investors. I will use coherent risk measures, such as semideviation risk function of order two or higher in this study. Next, the risk-averse multicut method, which is an extension of Bender’s decomposition and proposed originally for first-order risk measure by Miller and Ruszczy´nski, will be generalized to higher order risk measures in order to solve two-stage mean-risk portfolio problem. Performance of this method with the stated risk functions are evaluated on the scenario tree which is constructed in the first part. In the third part, I present an extensive simulation study on daily returns of Dow Jones companies by using several versions of the methodology. We show that two-stage models outperform single-stage models in terms of long-term performance. We also show that using high-order risk measures are superior to first-order measures.Ph.D.Includes bibliographical referencesIncludes vitaby Sitki Gülte

Project Managers\u27 Strategies for Megaproject Success

In Africa, most oil and gas megaprojects exceed their original budget and time deadlines despite advancement in project management processes and systems. This study explored strategies project managers used for megaprojects\u27 success in the oil and gas industry in Nigeria, from the perspectives of the owner and contractor organizations. Multiple case study design was utilized to collect data by asking open-ended questions in separate interviews with 4 project managers. Archival project data was also reviewed to eliminate information incongruences. The conceptual framework for the study is the contingency theory that there is no universal management structure for every project. The data analysis approach was thematic coding. Study findings from the data analysis were aggregated into 5 themes. The 1st, 2nd, and 3rd themes include the project managers\u27 view of measures of megaproject successes, project managers\u27 strategies for managing the business environment, and the strategies for achieving megaproject execution excellence. The 4th and 5th themes are the strategies for facilitating employee performance and the typical social change development and social change performance initiatives to benefit neighboring communities because of a megaproject. The conclusion from the evidences gathered is that megaproject success is contingent on the ability of the project manager to unravel and address complexity leveraging strategic leadership and systems thinking. From these findings, project managers from the client and contractor organizations may use, adapt, learn, refresh, and improve their project management skills. The significance of the study to positive social change from improving the success rates of megaprojects includes improvement in human capacity development and infrastructural additions that can facilitate economic growth in the region