Portfolio selection under higher moments using fuzzy multi-objective linear programming

Since asset returns have been recognized as not normally distributed, the avenue of research regarding portfolio higher moments soon emerged. To account for uncertainty and vagueness of portfolio returns as well as of higher moment risks, we proposed a new portfolio selection model employing fuzzy sets in this paper. A fuzzy multi-objective linear programming (MOLP) for portfolio optimization is formulated using marginal impacts of assets on portfolio higher moments, which are modelled by trapezoidal fuzzy numbers. Through a consistent centroid-based ranking of fuzzy numbers, the fuzzy MOLP is transformed into an MOLP that is then solved by the maximin method. By taking portfolio higher moments into account, the approach enables investors to optimize not only the normal risk (variance) but also the asymmetric risk (skewness) and the risk of fat-tails (kurtosis). An illustrative example demonstrates the efficiency of the proposed methodology comparing to previous portfolio optimization models.

Selection of the right risk measures for portfolio allocation

 An optimisation framework is proposed to enable investors to select the right risk measures in portfolio selection. Verification is deployed by performing experiments in developed markets (e.g., the US stock market), emerging markets (e.g., the South Korean stock market) and global investments. A preselection procedure dealing with large datasets is also introduced to eliminate stocks that have low diversification potential before running the portfolio optimisation model. Portfolios are evaluated by four performance indices, i.e., the Sortino ratio, the Sharpe ratio, the Stutzer performance index, and the Omega measure. Experimental results demonstrate that high performance and also well-diversified portfolios are obtained if modified value-at-risk, variance, or semi-variance is concerned whereas emphasising only skewness, kurtosis or higher moments in general produces low performance and poorly diversified portfolios. In addition, the preselection applied to large datasets results in portfolios that have not only high performance but also high diversification degree.

Selection, exclusion and assimilation: the project lambert of 1931 on the reform of French immigration policy

The unemployment crisis of 1926-7 focused attention onto the question of immigration. Historians of this period have generally focused on the crisis of public policy and popular antipathies towards foreigners; more recently historians have become attuned to voices of racism. Less attention has been paid to attempts to redress the policy weaknesses through a new legislative regime on immigration. This paper reviews one such proposal, made by Charles Lambert, a deputy from the Rhone, in 1931. Instrumental in a revision of the naturalization law in 1927 to encourage the assimilation of foreigners through the acquisition of French citizenship, Lambert proposed a comprehensive statute on immigration to select “desirable” foreigners and exclude the “undesirables” to promote the assimilation of the “better” elements. The paper argues that his rationale betrays a profound fear of mounting French weakness in the face of economic and demographic decline, and grave anxieties for the future health of the French nation.

Information system strategy for promoting demolition project management

Building demolition has been undergoing evolutionary development in its technologies for several decades. In order to achieve a high level of demolition material reuse and recycling, new management approaches are also necessitated, in particular in conjunction with the applications of information technologies. The development of an information system for demolition project management is an impactful strategy to support various demolition activities including waste exchange, demolition visualization, and demolition method selection and evaluation. This paper aims to develop a framework of an integrated information system for building demolition project demolition decision-making and waste minimization. The components of this information system and their interactions are demonstrated through a specifical demolition project.

A new approach to assessing the health benefit from obesity interventions in children and adolescents: the assessing cost-effectiveness in obesity project

OBJECTIVE: To report on a new modelling approach developed for the assessing cost-effectiveness in obesity (ACE-Obesity) project and the likely population health benefit and strength of evidence for 13 potential obesity prevention interventions in children and adolescents in Australia. METHODS: We used the best available evidence, including evidence from non-traditional epidemiological study designs, to determine the health benefits as body mass index (BMI) units saved and disability-adjusted life years (DALYs) saved. We developed new methods to model the impact of behaviours on BMI post-intervention where this was not measured and the impacts on DALYs over the child's lifetime (on the assumption that changes in BMI were maintained into adulthood). A working group of stakeholders provided input into decisions on the selection of interventions, the assumptions for modelling and the strength of the evidence. RESULTS: The likely health benefit varied considerably, as did the strength of the evidence from which that health benefit was calculated. The greatest health benefit is likely to be achieved by the 'Reduction of TV advertising of high fat and/or high sugar foods and drinks to children', 'Laparoscopic adjustable gastric banding' and the 'multi-faceted school-based programme with an active physical education component' interventions. CONCLUSIONS: The use of consistent methods and common health outcome measures enables valid comparison of the potential impact of interventions, but comparisons must take into account the strength of the evidence used. Other considerations, including cost-effectiveness and acceptability to stakeholders, will be presented in future ACE-Obesity papers. Information gaps identified include the need for new and more effective initiatives for the prevention of overweight and obesity and for better evaluations of public health interventions.

Preparing construction project managers to document professional growth

Deakin University’s School of Architecture and Building is renowned for producing graduates who possess relevant attributes that make them job ready for the building and construction industry. Graduate destination surveys indicate that in the last eight (8) years, 100% of all Infrastructure Logistics (Construction and Facility Management) course graduates found relevant employment. This success is a direct result of a curriculum that is responsive to industry needs alongside educational methodology that focuses on excellent teaching and research while seeking new ways of developing and delivering courses.

The Infrastructure Logistics course prepares graduates to successfully compete in today’s global job market, and allows them to showcase relevant knowledge and skills that are critical in seeking and sustaining employment. Traditionally, tailored resumes served this purpose; however, in many professional fields, professional portfolios are now becoming a more desirable way of providing a summary of relevant attributes alongside evidence of professional abilities.

Sustaining employment, appraisals, and applying for a promotion are often subject to adequate evidence of professional standards and growth. Professional bodies require records of contribution to Continuing Professional Development (CPD) schemes; and accrediting organisations require professionals applying for professional registration to provide documented evidence of their relevant experience and abilities. The Australian Institute of Project Management (AIPM 2007) requires candidates wanting to become Registered Project Managers (RegPM) to demonstrate their current work-based experience and competencies.

This paper reports on a teaching strategy adopted in the Project Management (PM) stream, offered as part of Infrastructure Logistic courses. The teaching strategy is based on a combination of constructivism theory of learning, problem and project based learning, and active learning. The strategy requires systematic reflection and conscious creation of documented evidence of PM attributes and competences in the form of a portfolio.

Preliminary results of action research monitoring the effectiveness of systematic reflection indicate that students respond very positively to the idea of professional journals and professional portfolios. Preliminary results also indicate that students accept reflection and conscious documentation of their achievements as an integral part of their study and future practice.

Modelling multi-criteria decision analysis for benchmarking management practices in project management

The link between management practices and worker’s motivations impacting construction productivity is being considered as significant among the research community. This research aimed to identify and analyse the underlying attributes impacting construction productivity from the site management perspective. This research presents a framework designed to analyse and quantify the relative relevance of different drivers in the determination of productivity levels and the degree of effectiveness of potential opportunities for improving performance of overall projects. Owing to the complexity of construction projects and underlying conflicting drivers influencing higher worker’s productivity, the Analytical Hierarchy Process (AHP) is employed to deal with interdependent relationships within a multi-criteria decision-making model. In the analytical approach, the large unstructured decision parameters are identified first and then are broken down into the manageable and measurable components using a top down hierarchical structure. This paper demonstrates an example to illustrate how to empirically analyse and prioritise a set of influencing parameters as selection criteria in devising appropriate management practices to ensure higher productivity vis-à-vis optimum performance of projects.

Building information modelling project decision support framework

Building Information Modelling (BIM) is an information technology [IT] enabled approach to managing design data in the AEC/FM (Architecture, Engineering and Construction/ Facilities Management) industry. BIM enables improved interdisciplinary collaboration across distributed teams, intelligent documentation and information retrieval, greater consistency in building data, better conflict detection and enhanced facilities management. Despite the apparent benefits the adoption of BIM in practice has been slow. Workshops with industry focus groups were conducted to identify the industry needs, concerns and expectations from participants who had implemented BIM or were BIM “ready”. Factors inhibiting BIM adoption include lack of training, low business incentives, perception of lack of rewards, technological concerns, industry fragmentation related to uneven ICT adoption practices, contractual matters and resistance to changing current work practice. Successful BIM usage depends on collective adoption of BIM across the different disciplines and support by the client. The relationship of current work practices to future BIM scenarios was identified as an important strategy as the participants believed that BIM cannot be efficiently used with traditional practices and methods. The key to successful implementation is to explore the extent to which current work practices must change. Currently there is a perception that all work practices and processes must adopt and change for effective usage of BIM. It is acknowledged that new roles and responsibilities are emerging and that different parties will lead BIM on different projects. A contingency based approach to the problem of implementation was taken which relies upon integration of BIM project champion, procurement strategy, team capability analysis, commercial software availability/applicability and phase decision making and event analysis. Organizations need to understand: (a) their own work processes and requirements; (b) the range of BIM applications available in the market and their capabilities (c) the potential benefits of different BIM applications and their roles in different phases of the project lifecycle, and (d) collective supply chain adoption capabilities. A framework is proposed to support organizations selection of BIM usage strategies that meet their project requirements. Case studies are being conducted to develop the framework. The results of the preliminary design management case study is presented for contractor led BIM specific to the design and construct procurement strategy.

IT security certifications : stakeholder evaluation and selection

Information technology (IT) security certifications have proliferated in recent years. However they differ in regards to stakeholder considerations of credibility, accessibility and relevance. Key stakeholders with an interest in selecting an IT security certification (IT security professionals, employers, governments and higher education institutes) lack a systematic approach for differentiating between candidate certifications and selecting the “best” certification to satisfy requirements. The paper focuses on reporting a confirmatory focus group from a recent research project. It provides a framework for supporting stakeholder evaluation and selection of IT security certifications and discusses key implications for the IT security industry, IT security certifications, and the higher education sector.

Relating practice to theory in indigenous entrepreneurship : a pilot investigation of the Kitsaki partnership portfolio

In Canada and elsewhere around the world, Indigenous Peoples are struggling to rebuild their "nations" and improve the socioeconomic circumstances of their people. Many see economic development as the key to success. This is certainly true for Indigenous people in Canada (the First Nations, Metis, and Inuit, collectively called Aboriginal or Indigenous people). Among them, participation in the global economy through entrepreneurship and business development is widely accepted as the key to economy building and nation "re-building." As elaborated in the next section, the demand is that this participation must be on their own terms for their own purposes, and traditional lands, history, culture, and values play a critical role. There is an intriguing symmetry between the modernity of the desire for global business competence and competitiveness and the insistence upon the distinctive importance of cultural heritage in developing new enterprise. The way that the two superficially contrasting concepts of innovation and heritage are combined in the field of Indigenous entrepreneurship has been expounded by Hindle and Lansdowne.1

Recognizing the challenges they face in attempting to compete in the global economy on their own terms, Indigenous people are increasingly developing enterprises in the form of partnerships of all types among themselves and with non-Indigenous enterprises. As both a form and a context of business organization, the partnership or alliance model is particularly fraught with the need to blend the old with the new, heritage with innovation. This study is a preliminary investigation of the Kitsaki initiative of the Lac La Ronge Indian band. In it we:

* explore several ventures involved in the partnership, asking key operatives for their opinions about the factors that explain success and failure;

* distill the explanations into as few, all-embracing factors as possible;

* relate the findings to the emerging theory of Indigenous entrepreneurship, with particular reference to the suggested paradigm of Indigenous entrepreneurship developed by Hindle and Lansdowne (2002);

* project the results of the investigation into suggestions for a more structured program of future research.

Constructing a framework for building relationships and trust in project organisations : two case studies of building projects in China

A framework is constructed that can be used to foster trust and build relationships in construction project organizations in China. The research method was based on in-depth study of two building projects in China and data were collected via face-to-face interviews. The results show that as the project progresses, the dominant relationship within each stage deepens. The deepening relationship gives rise to different types of inherent risks such as a partner's self-interest seeking behaviour and opportunistic actions. To counterbalance these risks, trust fostering tools must be employed such as careful selection and effective management of partners. The framework for fostering trust and building relationship developed in the study suggests that (1) relationship deepens from shallow dependence to deep interdependence as the project progresses; (2) different relationships bring about distinct inherent risks; and (3) different trust-fostering tools counterbalance specific inherent risks. This framework could aid in reducing adversarial relationships by suggesting ways to foster trustworthy relationships.

Process improvement and ICTs in Australian SMEs: a selection and implementation framework

This article describes the development, modification and testing of a tool designed to assist small firms in making more appropriate decisions regarding information and communication technology (ICT) selection and implementation. Using a combination of quantitative and qualitative methods, a number of possible tools were initially developed to support firm-based self-diagnostic exercises. Research outcomes from a joint European–Australian research project were regionalised for Australian conditions through collaborative product development with a number of Australian SME manufacturing firms. This article reports on the pilot implementations and the outcomes achieved with these Australian SMEs. These implementations have shown successful outcomes for the trial SME participants and have led to the creation of an online self-assessment tool to allow wider access by interested SMEs

Towards the development of a project decision support framework for adoption of an integrated building information model using a model server

This chapter discusses an action research study towards the development of a decision framework to support a fully integrated multi disciplinary Building Information Model (BIM) using a Model Server. The framework was proposed to facilitate multi disciplinary collaborative BIM adoption through, informed selection of a project specific BIM approach and tools contingent upon project collaborators’ readiness, tool capabilities and workflow dependencies. The aim of the research was to explore the technical concerns in relation to Model Servers to support multi disciplinary model integration and collaboration; however it became clear that there were both technical and non technical issues that needed consideration. The evidence also suggests that there are varying levels of adoption which impacts upon further diffusion of the technologies. Therefore the need for a decision framework was identified based on the findings from an exploratory study conducted to investigate industry expectations. The study revealed that even the market leaders who are early technology adopters in the Australian industry in many cases have varying degrees of practical experiential knowledge of BIM and hence at times low levels of confidence of the future diffusion of BIM technology throughout the industry. The study did not focus on the benefits of BIM implementation as this was not the intention, as the industry partners involved are market leaders and early adopters of the technology and did not need convincing of the benefits. Coupled with this there are various other past studies that have contributed to the ‘benefits’ debate. There were numerous factors affecting BIM adoption which were grouped in to two main areas; technical tool functional requirements and needs, and non technical strategic issues. The need for guidance on where to start, what tools were available and how to work through the legal, procurement and cultural challenges was evidenced in the exploratory study. Therefore a BIM decision framework was initiated, based upon these industry concerns. Eight case studies informed the development of the framework and a summary of the key findings is presented. Primary and secondary case studies from firms that have adopted a structured approach to technology adoption are presented. The Framework consists of four interrelated key elements including a strategic purpose and scoping matrix, work process mapping, technical requirements for BIM tools and Model Servers, and framework implementation guide. The BIM framework was presented in draft format again to key industry stakeholders and considered in comparison with current best practice BIM adoption to further validate the framework. There was no request to change any part of the Framework. However, it is an ongoing process and it will be presented again to industry through the various project partners. The Framework may be refined within the boundaries of the action research process as an ongoing activity as more experiential knowledge can be incorporated.