Gauging risk with higher moments : handrails in measuring and optimising conditional value at risk

The aim of the paper is to study empirically the influence of higher moments of the return distribution on conditional value at risk (CVaR). To be more exact, we attempt to reveal the extent to which the risk given by CVaR can be estimated when relying on the mean, standard deviation, skewness and kurtosis. Furthermore, it is intended to study how this relationship can be utilised in portfolio optimisation. First, based on a database of 600 individual equity returns from 22 emerging world markets, factor models incorporating the first four moments of the return distribution have been constructed at different confidence levels for CVaR, and the contribution of the identified factors in explaining CVaR was determined. Following this the influence of higher moments was examined in portfolio context, i.e. asset allocation decisions were simulated by creating emerging market portfolios from the viewpoint of US investors. This can be regarded as a normal decisionmaking process of a hedge fund focusing on investments into emerging markets. In our analysis we compared and contrasted two approaches with which one can overcome the shortcomings of the variance as a risk measure. First of all, we solved in the presence of conflicting higher moment preferences a multi-objective portfolio optimisation problem for different sets of preferences. In addition, portfolio optimisation was performed in the mean-CVaR framework characterised by using CVaR as a measure of risk. As a part of the analysis, the pair-wise comparison of the different higher moment metrics of the meanvariance and the mean-CVaR efficient portfolios were also made. Throughout the work special attention was given to implied preferences to the different higher moments in optimising CVaR. We also examined the extent to which model risk, namely the risk of wrongly assuming normally-distributed returns can deteriorate our optimal portfolio choice. JEL Classification: G11, G15, C6

Dynamic Asset Allocation with Regime Shifts and Long Horizon CVaR-Constraints

We analyse portfolio policies for investors who invest optimally for given investment horizons with respect to Conditional Value-at-Risk constraints. We account for nonnormally distributed, skewed, and leptokurtic asset return distributions due to regime shifts. The focus is on standard CRRA utility with a money back guarantee at maturity, which is often augmented to individual retirement plans. Optimal solutions for the unconstrained as well as the constrained policy are provided and examined for risk management costs calculated as welfare losses. Our results confirm previous findings that money back guarantees yield mild downside protection at low economic costs for most long term investors

The Leadership Competency in Vietnam Public Administration

Globalization and technological development have changed people’s demand, which leads to many challenges for public and private sectors. Public administration can overcome the challenges by reforming their structure and performance. In this research, the authors affirmed the important roles of leaders in public administration. This research used the integrated leadership theory in the context of Vietnam public administration to build a framework of competency for leaders. The Key Informant Panel and the in-depth interview method were implemented to achieve the research objectives. Research findings have built a leadership competency framework for the public sector, which benefits both researchers and practioners. For researchers, the findings can add to leadership competency theories, especially in the public sector. For policy-makers, the findings can be solid foundations which they can rely on to work out policies for leadership development in Vietnam public sector

The Influence Of Human Resource Policy On Job Satisfaction In Predicting Organizational Commitment

Purpose:  This research aims to explore the relationship among  human resource policy, job  satisfaction and  organizational commitment  through  the perception of employees working in small and medium enterprises in Vietnam.   Theoretical framework: The human resource functions and related distinct processes that help attract, develop, and retain a company's human resources. They involve employees and guide them to help carry out activities aimed at achieving organizational goals employees (Jahanian et al., 2012).  Business leaders are always cautious when reviewing existing human resource policies and constantly improving to make employees satisfied with their jobs, thereby helping them improve their productivity and commitment to the organization.    Design/methodology/approach:   The qualitative method is based on an overview of previous studies, the research team builds the first scale, then the questionnaire is sent to the experts and conducts a trial survey with 30 employees to control the survey, edit and complete the concepts of the questionnaire. For the quantitative research, data was collected using convenience sampling method from a total of 400 employees and managers who are working at SMEs in Viet Nam. The method of  and Confirmatory Factor Analysis (CFA),  Structural Equation Modeling (SEM) were carried out to measure the influence of latent variables on  organizational commitment.   Findings:  The research results show that employees' perceptions of HR policies include selection and recruitment; training and improvement; evaluation of employees’ tasks; stability and promotion in work, remuneration and reward, and encouragement of participation and innovation.  These HR policies have a direct positive impact on job satisfaction and commitment to the organization. In addition, job satisfaction has a significant positive effect on organizational commitment. Therefore, it is necessary to improve the implementation of HR policies to promote employee job satisfaction, which helps to increase commitment to the organization.    Research, Practical & Social implications:  We recommend future research that expands on other components for a comprehensive assessment of HR policies. In addition, it is necessary to analyze in detail the components of organizational commitment such as affective commitment,  Continuance commitment, Normative commitment.   Originality/value: The results of standardized estimation of the parameters of the research model show that the relationship between the concepts in the formal research model is statistically significant (p<0.05). HR policies have been shown to have the most positive impact on job satisfaction in SMEs.&nbsp