Inhibitors to optimal project portfolio selection

The selection of projects and programs of work is a key function of both public and private sector organisations. Ideally, projects and programs that are selected to be undertaken are consistent with strategic objectives for the organisation; will provide value for money and return on investment; will be adequately resourced and prioritised; will not compete with general operations for resources and not restrict the ability of operations to provide income to the organisation; will match the capacity and capability of the organisation to deliver; and will produce outputs that are willingly accepted by end users and customers. Unfortunately,this is not always the case. Possible inhibitors to optimal project portfolio selection include: processes that are inconsistent with the needs of the organisation; reluctance to use an approach that may not produce predetermined preferences; loss of control and perceived decision making power; reliance on quantitative methods rather than qualitative methods for justification; ineffective project and program sponsorship; unclear project governance, processes and linkage to business strategies; ignorance, taboos and perceived effectiveness; inadequate education and training about the processes and their importance.

Return distribution predictability and its implications for portfolio selection

The inquiries to return predictability are traditionally limited to conditional mean, while literature on portfolio selection is replete with moment-based analysis with up to the fourth moment being considered. This paper develops a distribution-based framework for both return prediction and portfolio selection. More specifically, a time-varying return distribution is modeled through quantile regressions and copulas, using quantile regressions to extract information in marginal distributions and copulas to capture dependence structure. A preference function which captures higher moments is proposed for portfolio selection. An empirical application highlights the additional information provided by the distributional approach which cannot be captured by the traditional moment-based methods.

Contributing factors to optimal project portfolio selection

A modified Delphi approach has been applied in this study to investigate best practice and to determine the factors that contribute to optimal selection of projects. There are various standards and practices that some may recognise as representing best practice in this area. Many of these have similar characteristics and this study has found no single best practice. The study identified the factors that contribute to the optimal selection of projects as: culture, process, knowledge of the business, knowledge of the work, education, experience, governance, risk awareness, selection of players, preconceptions, and time pressures. All these factors were found to be significant; to be appropriate to public sector organisations, private sector organisations and government owned corporations; and to have a strong linkage to research on strategic decision making. These factors can be consolidated into two underlying factors of organisation culture and leadership.

Portfolio selection using artificial intelligence

The application of artificial intelligence in finance is relatively new area of research. This project employed artificial neural networks (ANNs) that use both fundamental and technical inputs to predict future prices of widely held Australian stocks and use these predicted prices for stock portfolio selection over a long investment horizon. The research involved the creation and testing of a large number of possible network configurations and draws conclusions about ANN architectures and their overall suitability for the purpose of stock portfolio selection.

A sequencing approach for creating new train timetables

Train scheduling is a complex and time consuming task of vital importance. To schedule trains more accurately and efficiently than permitted by current techniques a novel hybrid job shop approach has been proposed and implemented. Unique characteristics of train scheduling are first incorporated into a disjunctive graph model of train operations. A constructive algorithm that utilises this model is then developed. The constructive algorithm is a general procedure that constructs a schedule using insertion, backtracking and dynamic route selection mechanisms. It provides a significant search capability and is valid for any objective criteria. Simulated Annealing and Local Search meta-heuristic improvement algorithms are also adapted and extended. An important feature of these approaches is a new compound perturbation operator that consists of many unitary moves that allows trains to be shifted feasibly and more easily within the solution. A numerical investigation and case study is provided and demonstrates that high quality solutions are obtainable on real sized applications.

From the editor

In this Project Management Journal issue, the reader will “travel” from human capital to portfolio selection through knowledge development and maturity, systems thinking and problem (dis)solving, and development of combinative capabilities...

THE quest for alpha : can artificial neural networks help?

The application of artificial neural networks (ANN) in finance is relatively new area of research. We employed ANNs that used both fundamental and technical inputs to predict future prices of widely held Australian stocks and used these predicted prices for stock portfolio selection over a 10-year period (2001-2011). We found that the ANNs generally do well in predicting the direction of stock price movements. The stock portfolios selected by the ANNs with median accuracy are able to generate positive alpha over the 10-year period. More importantly, we found that a portfolio based on randomly selected network configuration had zero chance of resulting in a significantly negative alpha but a 27% chance of yielding a significantly positive alpha. This is in stark contrast to the findings of the research on mutual fund performance where active fund managers with negative alphas outnumber those with positive alphas.

A robust optimization approach for index tracking problem

Index tracking is an investment approach where the primary objective is to keep portfolio return as close as possible to a target index without purchasing all index components. The main purpose is to minimize the tracking error between the returns of the selected portfolio and a benchmark. In this paper, quadratic as well as linear models are presented for minimizing the tracking error. The uncertainty is considered in the input data using a tractable robust framework that controls the level of conservatism while maintaining linearity. The linearity of the proposed robust optimization models allows a simple implementation of an ordinary optimization software package to find the optimal robust solution. The proposed model of this paper employs Morgan Stanley Capital International Index as the target index and the results are reported for six national indices including Japan, the USA, the UK, Germany, Switzerland and France. The performance of the proposed models is evaluated using several financial criteria e.g. information ratio, market ratio, Sharpe ratio and Treynor ratio. The preliminary results demonstrate that the proposed model lowers the amount of tracking error while raising values of portfolio performance measures.

Selection of energy storage system for a regenerative dynamic dynamometer

This paper presents a design technique of a fully regenerative dynamic dynamometer. It incorporates an energy storage system to absorb the energy variation due to dynamometer transients. This allows the minimum power electronics requirement at the grid to supply the losses. The simulation results of the full system over a driving cycle show the amount of energy required to complete a driving cycle, therefore the size of the energy storage system can be determined.

Developing authentic achievement for disengaged young people using an electronic portfolio system

Credentials are a salient form of cultural capital and if a student’s learning and productions are not assessed, they are invisible in current social systems of education and employment. In this field, invisible equals non-existent. This paper arises from the context of an alternative education institution where conventional educational assessment techniques currently fail to recognise the creativity and skills of a cohort of marginalised young people. In order to facilitate a new assessment model an electronic portfolio system (EPS) is being developed and trialled to capture evidence of students’ learning and their productions. In so doing a dynamic system of arranging, exhibiting, exploiting and disseminating assessment data in the form of coherent, meaningful and valuable reports will be maintained. The paper investigates the notion of assessing development of creative thinking and skills through the means of a computerised system that operates in an area described as the efield. A model of the efield is delineated and is explained as a zone existing within the internet where free users exploit the cloud and cultivate social and cultural capital. Drawing largely on sociocultural theory and Bourdieu’s concepts of field, habitus and capitals, the article positions the efield as a potentially productive instrument in assessment for learning practices. An important aspect of the dynamics of this instrument is the recognition of teachers as learners. This is seen as an integral factor in the sociocultural approach to assessment for learning practices that will be deployed with the EPS. What actually takes place is argued to be assessment for learning as a field of exchange. The model produced in this research is aimed at delivering visibility and recognition through an engaging instrument that will enhance the prospects of marginalised young people and shift the paradigm for assessment in a creative world.

Modeling and exploiting behavior patterns in dynamic environments

This paper presents a new approach to improving the effectiveness of autonomous systems that deal with dynamic environments. The basis of the approach is to find repeating patterns of behavior in the dynamic elements of the system, and then to use predictions of the repeating elements to better plan goal directed behavior. It is a layered approach involving classifying, modeling, predicting and exploiting. Classifying involves using observations to place the moving elements into previously defined classes. Modeling involves recording features of the behavior on a coarse grained grid. Exploitation is achieved by integrating predictions from the model into the behavior selection module to improve the utility of the robot's actions. This is in contrast to typical approaches that use the model to select between different strategies or plays. Three methods of adaptation to the dynamic features of the environment are explored. The effectiveness of each method is determined using statistical tests over a number of repeated experiments. The work is presented in the context of predicting opponent behavior in the highly dynamic and multi-agent robot soccer domain (RoboCup).

Monte Carlo simulations of dynamic radiotherapy treatments

The effects of tumour motion during radiation therapy delivery have been widely investigated. Motion effects have become increasingly important with the introduction of dynamic radiotherapy delivery modalities such as enhanced dynamic wedges (EDWs) and intensity modulated radiation therapy (IMRT) where a dynamically collimated radiation beam is delivered to the moving target, resulting in dose blurring and interplay effects which are a consequence of the combined tumor and beam motion. Prior to this work, reported studies on the EDW based interplay effects have been restricted to the use of experimental methods for assessing single-field non-fractionated treatments. In this work, the interplay effects have been investigated for EDW treatments. Single and multiple field treatments have been studied using experimental and Monte Carlo (MC) methods. Initially this work experimentally studies interplay effects for single-field non-fractionated EDW treatments, using radiation dosimetry systems placed on a sinusoidaly moving platform. A number of wedge angles (60º, 45º and 15º), field sizes (20 × 20, 10 × 10 and 5 × 5 cm2), amplitudes (10-40 mm in step of 10 mm) and periods (2 s, 3 s, 4.5 s and 6 s) of tumor motion are analysed (using gamma analysis) for parallel and perpendicular motions (where the tumor and jaw motions are either parallel or perpendicular to each other). For parallel motion it was found that both the amplitude and period of tumor motion affect the interplay, this becomes more prominent where the collimator tumor speeds become identical. For perpendicular motion the amplitude of tumor motion is the dominant factor where as varying the period of tumor motion has no observable effect on the dose distribution. The wedge angle results suggest that the use of a large wedge angle generates greater dose variation for both parallel and perpendicular motions. The use of small field size with a large tumor motion results in the loss of wedged dose distribution for both parallel and perpendicular motion. From these single field measurements a motion amplitude and period have been identified which show the poorest agreement between the target motion and dynamic delivery and these are used as the „worst case motion parameters.. The experimental work is then extended to multiple-field fractionated treatments. Here a number of pre-existing, multiple–field, wedged lung plans are delivered to the radiation dosimetry systems, employing the worst case motion parameters. Moreover a four field EDW lung plan (using a 4D CT data set) is delivered to the IMRT quality control phantom with dummy tumor insert over four fractions using the worst case parameters i.e. 40 mm amplitude and 6 s period values. The analysis of the film doses using gamma analysis at 3%-3mm indicate the non averaging of the interplay effects for this particular study with a gamma pass rate of 49%. To enable Monte Carlo modelling of the problem, the DYNJAWS component module (CM) of the BEAMnrc user code is validated and automated. DYNJAWS has been recently introduced to model the dynamic wedges. DYNJAWS is therefore commissioned for 6 MV and 10 MV photon energies. It is shown that this CM can accurately model the EDWs for a number of wedge angles and field sizes. The dynamic and step and shoot modes of the CM are compared for their accuracy in modelling the EDW. It is shown that dynamic mode is more accurate. An automation of the DYNJAWS specific input file has been carried out. This file specifies the probability of selection of a subfield and the respective jaw coordinates. This automation simplifies the generation of the BEAMnrc input files for DYNJAWS. The DYNJAWS commissioned model is then used to study multiple field EDW treatments using MC methods. The 4D CT data of an IMRT phantom with the dummy tumor is used to produce a set of Monte Carlo simulation phantoms, onto which the delivery of single field and multiple field EDW treatments is simulated. A number of static and motion multiple field EDW plans have been simulated. The comparison of dose volume histograms (DVHs) and gamma volume histograms (GVHs) for four field EDW treatments (where the collimator and patient motion is in the same direction) using small (15º) and large wedge angles (60º) indicates a greater mismatch between the static and motion cases for the large wedge angle. Finally, to use gel dosimetry as a validation tool, a new technique called the „zero-scan method. is developed for reading the gel dosimeters with x-ray computed tomography (CT). It has been shown that multiple scans of a gel dosimeter (in this case 360 scans) can be used to reconstruct a zero scan image. This zero scan image has a similar precision to an image obtained by averaging the CT images, without the additional dose delivered by the CT scans. In this investigation the interplay effects have been studied for single and multiple field fractionated EDW treatments using experimental and Monte Carlo methods. For using the Monte Carlo methods the DYNJAWS component module of the BEAMnrc code has been validated and automated and further used to study the interplay for multiple field EDW treatments. Zero-scan method, a new gel dosimetry readout technique has been developed for reading the gel images using x-ray CT without losing the precision and accuracy.

Variations on a routine : how selection-adaptation-retention dynamics create variety in organisational routines

The question "what causes variety in organisational routines" is of considerable interest to organisational scholars, and one to which this thesis seeks to answer. To this end an evolutionary theory of change is advanced which holds that the dynamics of selection, adaptation and retention explain the creation of variety in organisational routines. A longitudinal, multi-level, multi-case analysis is undertaken in this thesis, using multiple data collection strategies. In each case, different types of variety were identified, according to a typology, together with how selection, adaptation and retention contribute to variety in a positive or negative sense. Methodologically, the thesis makes a contribution to our understanding of variety, as certain types of variety only become evident when examined by specific types of research design. The research also makes a theoretical contribution by explaining how selection, adaptation and retention individually and collectively contribute to variety in organisational routines. Moreover, showing that routines could be stable, diverse, adaptive and dynamic at the same time; is a significant, and novel, theoretical contribution.

Dynamic lifecycle strategies for target date retirement funds

Target date retirement funds have gained favor with retirement plan investors in recent years. Typically, these funds initially have a high allocation to stocks but move towards less volatile assets, such as bonds and cash, as the target retirement date approaches. Empirical research has generally found that a switch to low-risk assets prior to retirement can reduce the risk of confronting the most extreme negative outcomes. This article questions the rationale for lifecycle switching based solely on age or target retirement date as is the prevalent practice among target date funds. The authors argue that a dynamic switching strategy, which takes into consideration achieved investment returns, will produce superior returns for most investors compared to conventional lifecycle switching. In this article, the authors put forward a dynamic lifecycle switching strategy that is conditional on the attainment of the plan member's wealth accumulation objective at every stage of switching.