Sensitivity analysis of asset allocation : in the presence of correlation

Linearization of portfolio optimization plays a central role in financial studies, since linear problem allows for performing sensitivity analysis. This concept makes it possible to measure the variation of parameters as a result of variation of one parameter in a linear problem, without solving the problem from scratch. Based on the existing literatures, the approach of CVaR (conditional value at risk) method outperforms other methods, therefore in this study CVaR is applied as a constraint to change portfolio optimization problem into a linear problem. The coefficient of objective function of mentioned method for a portfolio includes average of asset returns, which are highly correlated. Here principal component analysis is employed to convert the correlation of the functional relations. An example of stock market is employed to substantiate the validity of method. Finally, we verify that the result of the presented method is closer to the ideal result.peer-reviewe

Defining CSFs for information systems strategic planning in holding companies: a case study of an Iranian managerial holding company (system group)

Holding companies (HCs) differ in their nature and behavior from other types of companies. Their role is to support, control and budget their subsidiaries. In general, HCs do not compete directly with one another, as it is difficult to find two HCs with the same product and service portfolios. Competition occurs instead at the subsidiary level against companies, which may or may not be part of other HCs, in overlapping markets with similar products and services. This concept of competition, which differs from that of typical commercial companies, is central to the development of HC strategies for supporting and controlling their subsidiaries. Information Systems Strategic Planning (ISSP) attempts to align information systems strategy with business strategy by directing the investment in information systems so as to satisfy strategic goals. Traditionally, ISSP methodologies have addressed the definition of information systems for Strategic Business Units (SBU). This research demonstrates, using a case study of an Iranian Managerial Holding Company, how ISSP can be applied instead to Strategic Business Processes (SBP). It illustrates how to define Critical Success Factors (CSFs) and Information System Needs (ISN) on Strategic Processes instead of Strategic Units. Moreover, this study combines the Balanced Scorecard (BSC) with a statistical questionnaire survey to define strategic processes

Exploring the consequence of social media usage on firm performance

This study aims to identify the consequence of social media usage on firm performance. To this end, it proposes a conceptual map that shows promising linkages between the maturity level realization of an organization in social media usage and its corresponding performance consequences. The conceptual map was developed by combining two theories: performance theory and theory of growth and maturity in social media, and then through systematic mapping. This map can predict what performance consequences will emerge in the organization for each stage of maturity in social media usage. According to this conceptual map, the organization is expected to benefit from accessing and sharing knowledge by realizing the first stage of maturity. The realization of the second stage is expected to establish more relationships with the customers, and the third stage will be followed by product and new processes development. By promoting the organization to the fourth stage, it is expected that communication with the organization\u27s stakeholders emerges via social media. In the fifth stage, social media will help with value creation. Thus, managers and professionals can predict what performance consequences they will benefit from if each stage of maturity is realized

Robust Net Present Value With Infinite Lifetime

In this study, Robust Net Present Value (RNPV) has been developed for evaluation of projects with infinite life. In this method, the changes of uncertain net incomes in a financial cash flow are postulated in a convex, continuous, and closed region. It has been indicated that RNPV, in the infinite life horizon, is calculable only when the net incomes are uncorrelated. Compared to traditional methods, this study considers the variance matrix of net incomes, takes uncertainty into account during the evaluation of investment projects with infinite life period. One important finding when using this method is that one does not need to calculate the covariance matrix in the evaluation of projects with infinite life. The only requirement is to estimate the value of maximum variance for the given financial cash flow. The proposed method is also easy to both calculate and understand in practice. MATLAB software is used for implementation. Lastly, the features of the developed method have been analyzed using some numerical examples for a project with infinite lifetime

Business process modelling to improve incident management process

Business process management (BPM) is an approach focused on the continuous improvement of business processes, providing for this a collection of best practices. These best practices enable the redesign of business processes to meet the desired performance. IT service management (ITSM) defines the management of IT operations as a service. There are several ITSM frameworks available, consisting in best practices that propose standardizing these pro- cesses for the respective operations. By adopting these frameworks, organisations can align IT with their business objectives. Therefore, the objective of this research is to understand how BPM can be used to improve of ITSM processes. An exploratory case study in a multinational company based in Lisbon, Portugal, is conducted for the improvement of the time performance of an inci- dent management process. Data were gained through documentation, archival records, interviews and focus groups with a team involved in IT support service. So far, the as-is process was elicited, and respective incongruences clarified. During the next months the authors intend to identify the main problems and simulate the appropriate BPM heuristics to understand the impact in the busi- ness organisation.info:eu-repo/semantics/acceptedVersio

Knowledge-based Lean Six Sigma Maintenance System for Sustainable Buildings

YesPurpose– This paper develops a Knowledge-based (KB) System for Lean Six Sigma (LSS) Maintenance in environmentally Sustainable Buildings (Lean6-SBM). Design/methodology/approach– The Lean6-SBM conceptual framework has been developed using the rule base approach of KB system and joint integration with Gauge Absence Prerequisites (GAP) technique. A comprehensive literature review is given for the main pillars of the framework with a typical output of GAP analysis. Findings– Implementation of LSS in the sustainable building maintenance context requires a pre-assessment of the organisation’s capabilities. A conceptual framework with a design structure is proposed to tackle this issue with the provision of an enhancing strategic and operational decision making hierarchy. Research limitations/implications– Future research work might consider validating this framework in other type of industries. Practical implications– Maintenance activities in environmentally sustainable buildings must take prodigious standards into consideration and, therefore, a robust quality assurance measure has to be integrated. Originality/value– The significance of this research is to present a novel use of hybrid KB/GAP methodologies to develop a Lean6-SBM system. The originality and novelty of this approach will assist in identifying quality perspectives while implementing different maintenance strategies in the sustainable building context.Ministry of Defence Engineering Services (Sultanate of Oman

Understanding and conceptualising the adoption, use and diffusion of mobile banking in older adults: A research agenda and conceptual framework

Mobile banking has become increasingly important to society; however, not all members of society adopt and/or use it as much as others: older adults, the disabled and lower-income families remain behind in their use and adoption of this service. This finding helped us recognise a research gap and led us to form our primary aim: to understand and explain the factors that influence the adoption, use and diffusion of mobile banking among one of those groups in particular, older adults, in the UK. To form a theoretical understanding, this paper presents a comprehensive review of the surrounding literature in the area and proposes a conceptual framework that can be used for future research. The implications of this research for academia and businesses are also provided in this paper

Problematic smartphone use: an empirically validated model

Given the prominent role that smartphones have in everyday life, research in the field has proliferated. From a theoretical perspective, problematic smartphone use (PSPU) is described as a multi-faceted phenomenon entailing a variety of dysfunctional manifestations (e.g., addictive, antisocial and dangerous use). To date, however, there is still a lack of empirical evidence supporting the identification of PSPU as a potential behavioural addiction. Driven by theory, the aim of the present study was to provide an empirically validated model by testing the contribution of specific factors leading to PSPU. Relationships among individual characteristics (internalised psychopathology, impulsivity and personality traits) and PSPU uses (addictive, antisocial and dangerous) were investigated according to the updated version of the theoretical framework provided by the Pathway Model of problematic smartphone use (Billieux et al., 2015). An online survey was administered to a convenience sample (N = 511) of smartphone users in order to examine their daily engagement, problematic usage patterns and related psychological correlates. Path analysis revealed important information about different PSPU components and results are discussed in light of the available literature. Recommendations for future research are proposed to further investigate the problematic behaviour, including the study of additional variables, such as the fear of missing out (FoMO), nomophobia and excessive social media use

Digital Divide and e-Readiness: Trends and Gaps

This paper reviews the literature on digital divide and e-readiness in different fields with an eye to identifying trends and gaps in prominent research areas. In this study, 411 articles, conference papers, master\u27s and doctoral dissertations, textbooks, and working papers on digital divide and e-readiness are classified and elaborated and their results are presented. Drawing upon this literature review and analysis of digital divide and e-readiness, several important research areas surrounding digital divide and e-readiness are discussed and examined from a critical standpoint. In the paper, a comprehensive list of references is presented and, to the best of the authors\u27 knowledge, this is the most complete study of digital divide and e-readiness, even in the field of IT, in terms of its references. This paper reviews the literature on the digital divide and e-readiness from three perspectives with the purpose of identifying trends and gaps in this field: definition, methodology and scale. This review reveals that most modelers do not take sound theoretical and policy concerns into consideration, rather they tend to provide an empirical summarized measure for digitalization. Also, they develop digital divide and e-readiness models by building static composite indexes from individual indicators and tend to apply dynamic models to a lesser degree. Finally, there is a lack of research in the micro level vis-\ue0-vis macro level that the authors attempt to compensate for. \ua9 2013, IGI Global. All rights reserved

An index for cross-country analysis of ICT infrastructure and access

The purpose of the present article is to devise an index for measuring and analyzing the divide among countries in the area of information and communication technology (ICT) infrastructure and access. Understanding the fact that there are many factors influencing the digital divide, this research is not intended to measure the digital divide in terms of different inequalities, but it rather attempts to take only one of the most important of these factors (maybe the most important of them) into consideration for measuring and analyzing divide between countries, that is, ICT infrastructure and access. In contrast to the majority of the indices in this context, the proposed index is built upon defining and conceptualizing ICT infrastructure and access. In addition, the index uses core ICT indicators on which the international community and experienced modelers have consensus that they measure the information society suitably. Therefore, the index can be exploited as the basis and standard for internationally comparable statistics in ICT infrastructure and access area. Moreover, it is the second index based on core ICT indicators after the Digital Opportunity Index (DOI) that was developed by the International Telecommunication Union (ITU) in 2005. However, in the current article, using Data Mining methods, Markov Chain Monte Carlo (MCMC) (to impute missing data) and Multi-Stage Factor Analysis (FA) (for aggregating the indicators), many problems and limits of the existing indices, the DOI in particular, such as the lack of data for analyzing ICT infrastructure and access, use of equal weighting or experts' opinions to aggregate the indicators, are avoided. Since this index is developed by statistical procedures, it is flexible, adaptable, and modifiable over time while it sustains its original structure. It is comprised of two main dimensions: 'ICT access' and 'coverage of mobile and access tariffs' and 10 indicators. Finally, comparing the proposed index with the other indices in this field and gross national income (GNI) per capita of 150 countries, this index is tested; then, it is utilized to measure and analyze the divide between countries in the two dimensions, different geographical areas, economic conditions, and levels of ICT infrastructure and access.ICT infrastructure Composite index Factor analysis (FA) Markov Chain Monte Carlo (MCMC)