Non-smooth optimization methods for computation of the conditional value-at-risk and portfolio optimization

We examine numerical performance of various methods of calculation of the Conditional Value-at-risk (CVaR), and portfolio optimization with respect to this risk measure. We concentrate on the method proposed by Rockafellar and Uryasev in (Rockafellar, R.T. and Uryasev, S., 2000, Optimization of conditional value-at-risk. Journal of Risk, 2, 21-41), which converts this problem to that of convex optimization. We compare the use of linear programming techniques against a non-smooth optimization method of the discrete gradient, and establish the supremacy of the latter. We show that non-smooth optimization can be used efficiently for large portfolio optimization, and also examine parallel execution of this method on computer clusters.

An online student portfolio for the development and assessment of engineering graduate attributes

An online student portfolio was evaluated as a means for engaging students with the concept of graduate attributes, and for documenting student attainment of graduate attributes. Students rated the portfolio system as easy to use, and indicated that it helped them to appreciate the skills and knowledge they had developed.

Dietary portfolio approach to reducing the risk of cardiovascular disease : the polymeal revisited

Aims: The Polymeal was first proposed as a 'tastier and safer' alternative to a polypharmacy approach to cardiovascular disease risk reduction. The present study aimed to examine the affordability of the Polymeal, and to propose modifications based on economic considerations, and the latest scientific evidence, to achieve consistency with current public health recommendations.

Methods: Prices for each food component specified in the Polymeal were obtained from a major and independent supermarket chain in a representative middle socioeconomic demographic region of metropolitan Melbourne, Australia. Items included fish (114 g, four times/week), fruits and vegetables (400 g/day), dark chocolate (100 g/day), garlic (2.7 g/day), almonds (68 g/day) and red wine (150 mL/day). Prices were calculated using an average of the major brands, or the most commonly eaten fruits, vegetables or fish. Modifications of the Polymeal were proposed based on published research and public health recommendations since the Polymeal was first proposed.

Results: Average price of the Polymeal was AU$11.89 per day falling to AU$8.46 if the cheapest food items were chosen. Modifications to the Polymeal included: consuming fish oil capsules instead of fish, reduction in the quantity of dark chocolate and removal of red wine. These modifications halved the cost of the Polymeal, while choosing the cheapest food items further lowered the cost to AU$3.49 per day. Modification of the Polymeal gave substantial reductions in both energy and saturated fat (51% and 84%, respectively).

Conclusion: The modified Polymeal is a more affordable variation of the Polymeal, which takes into account current scientific evidence and public health recommendations.

Narrative and portfolio approaches to teacher professional standards

This paper analyses various uses of narrative in the exploration of teacher identity. It highlights the way many contemporary education writers use terminology such as ‘storying lives’ and ‘storied landscapes’ to describe teacher processes of reflection on practice. In this paper the authors discuss some recent approaches to narrative that incorporate or suggest systematic uses of narrative theory (Conle 2003, Kamler, 2001, Richardson, 2003). Consideration is also given to the links between critical ethnography and narrative in order to critique the use of teacher portfolios, as in a recent Australian initiative for the appraisal of beginning teachers. The authors conclude with an argument for the rehabilitation and refinement of narrative theory in the ‘writing’ of teacher identity.

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.

Wealth holdings and portfolio allocation of the elderly : the role of marital history

This paper investigates the role of marital history in terms of explaining differences in wealth holdings and portfolio allocation of older individuals by studying data from the first wave of Health and Retirement Study which was conducted in 1992. The results generally suggest that both men and women suffer from the negative shocks of past marital dissolutions in terms of household wealth accumulation. The significance level, however, differs across currently married couples, single males, and single females. The examination of the asset components of net worth also indicates that both the probability of owning a particular asset and the fraction of wealth allocated to that asset might vary depending on the elderly individuals’ marital history.

Portfolio diversification and share price behavior : some evidence from the Taiwan Stock Exchange

This dissertation consists of four separate but closely related studies which investigate different aspects of share price behavior on the Taiwan Stock Exchange over the period 1980-89: 1.The benefits of diversification available to investors using the Markowitz model and the Single Model Index. 2. The applicability of the CAPM to the TSE over the decade. 3. Regularities in proce sequences. 4. Market reaction to the announcements of stock dividends, right issues and combinations of both.

Dynamically opted protection envelope (DOPE) - A cost-effective strategy of insuring an investment portfolio

Popular ways of hedging downside risk of a stock portfolio is by means of a constant proportion portfolio insurance (CPPI) strategy or by means of an options-based portfolio insurance strategy (OBPI). However both have drawbacks in terms of practical applicability given transaction costs. Moreover they are not useful in times of very low liquidity e.g. in a market crash. Here we shall first review the common portfolio insurance techniques and then posit an alternative approach using a zero-coupon bond to extract downside coverage to the extent desired by an investor. While the posited strategy will not guarantee full downside protection for the entire investment horizon, it is unaffected by transaction costs resulting from need to periodically reallocate funds and is a lot easier to implement practically compared to options-based strategies. Unlike CPPI and OBPI, it will work in a crash situation too.

The pragmatic portfolio : an assessment approach for distributed learning

Portfolios, especially where they involve some use of or link to online technologies, are currently a popular focus for learning innovation in universities, drawing on a tradition of using portfolios in some areas of higher education and attempting to extend and broaden this practice. In some cases this focus has led to ambitious plans for whole-of-institution approaches, often involving significant technological development. However, the term portfolio can also cover a wider variety of possible learning and assessment activities and there are ways of using portfolios which, while quite traditional in their own form and approach, enable teachers to approach other aspects of their curriculum and pedagogy in far more innovative ways. This paper explores the conceptual basis on which the Department of Internet Studies at Curtin University of Technology is utilising a pragmatic approach to portfolio assessment within individual units of study, so as to enable a more thorough implementation of distributed learning. In this form of learning, where students regularly contribute to their own and others' learning through short tasks and conversations, the evidence of achievement is widely distributed and not easily accessible for either formative or summative assessment. As explained in the paper, students are required to collate, select, and then contextualise a sample of these numerous productive moments of their ongoing study. The paper concludes that while other goals for portfolio assessment (such as encouraging reflection) can also be used with this approach, its primary value is in unleashing the potential of social media creativity in a manner that motivates students via the requirement of assessment, enables feedback to be provided to guide learning, and which promotes shared responsibility between teachers and students in determining the kind and extent of their learning activities.