Corporate social responsibility in portfolio selection: A "goal games" against nature approach

Nowadays, there is an uprising social pressure on big companies to incorporate into their decision-making process elements of the so-called social responsibility. Among the many implications of this fact, one relevant one is the need to include this new element in classic portfolio selection models. This paper meets this challenge by formulating a model that combines goal programming with "goal games" against nature in a scenario where the social responsibility is defined through the introduction of a battery of sustainability indicators amalgamated into a synthetic index. In this way, we have obtained an efficient model that only implies solving a small number of linear programming problems. The proposed approach has been tested and illustrated by using a case study related to the selection of securities in international markets.

Building International CSR on Solid Foundations: Location and Network Aspects of Nonmarket Environments in Europe and Non-Europe Markets. ACES Working Papers, 2011

Multinational companies' (MNCs) corporate social responsibility (CSR) programs frequently comprise a portfolio of disconnected country-level programs or, alternatively, consist of blanket corporate policies that apply in the same way across the geographies where the company operates. Yet, the international nonmarket environment in which CSR programs operate is neither a completely fragmented nor a perfectly homogeneous one. Building on the concept of stakeholder-issue-networks, we develop a model that explicitly takes into consideration the role of geography in the characterization of a firm's nonmarket environment. This allows us to develop a taxonomy of nonmarket environments on the basis of their geographic spread and their degree of cross-border connectedness. We then explore the strategic and organizational implications that different ideal types of (cross-border) nonmarket environments have for the development of international CSR policies.

International competition of the Carnegie Foundation : the Palace of Peace at the Hague : the 6 premiated and 40 other designs chosen by the Society of Architecture at Amsterdam and reproduced under its direction.

Vignette by K. Sluyterman on portfolio cover, fasc. wrappers, and t.p.

Essays on International Asset Allocation and Pricing

Thesis (Ph.D.)--University of Washington, 2016-06

Risk exposures and international diversification: Evidence from iShares

We examine the newly developed international diversification instruments–iShares traded on the American Stock Exchange. Given the fact that iShares can be created and redeemed at will, the daily price of an iShare is expected to be equal to the daily portfolio value of the underlying assets in the home-country market. Therefore, theoretically, iShare pricing should be influenced by the risk from the iShare's home-country market and not the risk from the US market, per se. We evaluate the risk exposure of iShare prices to the US market (non-fundamental effect) as well as the home-country market (the fundamental effect). We find that most iShare returns are significantly influenced by and sensitive to the US market risk. Moreover, the US market appears to be the key permanent driving factor and the home-country market is a pronounced transitory driving force for iShare prices. These findings indicate the presence of limits of international arbitrage for iShares. As a result, the international diversification benefits of iShares become questionable.

Integrating skills profiling and purchasing portfolio management:an opportunity for building purchasing capability

Kralijc’s (1983) purchasing portfolio approach holds that different types of purchases need different sourcing strategies, underpinned by distinct sets of resources and practices. The approach is widely deployed in business and extensively researched, and yet little research has been conducted on how knowledge and skills vary across a portfolio of purchases. This study extends the body of knowledge on purchasing portfolio management, and its application in the strategic development of purchasing in an organization, and on human resource management in the purchasing function. A novel approach to profiling purchasing skills is proposed, which is well suited to dynamic environments which require flexibility. In a survey, experienced purchasing personnel described a specific purchase and profiled the skills required for effective performance in purchasing that item. Purchases were categorized according to their importance to the organization (internally-oriented evaluation of cost and production factors) and to the supply market (externally-oriented evaluation of commercial risk and uncertainty). Through cluster analysis three key types of purchase situations were identified. The skills required for effective purchasing vary significantly across the three clusters (for 22 skills, p<0.01). Prior research shows that global organizations use the purchasing portfolio approach to develop sourcing strategies, but also aggregate analyses to inform the design of purchasing arrangements (local vs global) and to develop their improvement plans. Such organizations would also benefit from profiling skills by purchase type. We demonstrate how the survey can be adapted to provide a management tool for global firms seeking to improve procurement capability, flexibility and performance.

Portfolio size, non-trading frequency and portfolio return autocorrelation

In this paper we re-examine the relationship between non-trading frequency and portfolio return autocorrelation. We show that in portfolios where security specific effects have not been completely diversified, portfolio autocorrelation will not increase monotonically with increasing non-trading, as indicated in Lo and MacKinlay (1990). We show that at high levels of non-trading, portfolio autocorrelation will become a decreasing function of non-trading probability and may take negative values. We find that heterogeneity among the means, variances and betas of the component securities in a portfolio can act to increase the induced autocorrelation, particularly in portfolios containing fewer stocks. Security specific effects remain even when the number of securities in the portfolio is far in excess of that considered necessary to diversify security risk. © 2014 Elsevier B.V.

Theory of foreign portfolio investment

This dissertation examines one category of international capital flows, private portfolio investments (private refers to the source of capital). There is an overall lack of a coherent and consistent definition of foreign portfolio investment. We clarify these definitional issues.^ Two main questions that pertain to private foreign portfolio investments (FPI) are explored. The first problem is the phenomenon of home preference, often referred to as home bias. Related to this are the observed cross-investment flows between countries that seem to contradict the textbook rendition of private FPI. A description of the theories purporting to resolve the home preference puzzle (and the cross-investment one) are summarized and evaluated. Most of this literature considers investors from major developed countries. I consider--as well--whether investors in less developed countries have home preference.^ The dissertation shows that home preference is indeed pervasive and profound across countries, in both developed and emerging markets. For the U.S., I examine home bias in both equity and bond holdings as well. I find that home bias is greater when we look at equity and bond holdings than equity holdings solely.^ In this dissertation a model is developed to explain home bias. This model is original and fills a gap in the literature as there have been no satisfactory models that handle at the same time both home preference and cross-border holdings in the context of information asymmetries. This model reflects what we see in the data and permits us to reach certain results by the use of comparative statics methods. The model suggests, counter-intuitively, that as the rate of return in a country relative to the world rate of return increases, home preference decreases. In the context of our relatively simple model we ascribe this result to the higher variance of the now higher return for home assets. We also find, this time as intended, that as risk aversion increases, investors diversify further so that home preference decreases.^ The second question that the dissertation deals with is the volatility of private foreign portfolio investment. Countries that are recipients of these flows have been wary of such flows because of their perceived volatility. Often the contrast is made with the perceived absence of volatility in foreign direct investment flows. I analyze the validity of these concerns using first net flow data and then gross flow data. The results show that FPI is not, in relative terms, more volatile than other flows in our sample of eight countries (half were developed countries and the rest were emerging markets).^ The implication therefore is that restricting FPI flows may be harmful in the sense that private capital may not be allocated efficiently worldwide to the detriment of capital poor economies. More to the point, any such restrictions would in fact be misguided. ^

Essays of strategic alliance portfolio configuration—Its performance properties, strategic antecedents and consequential effects on multinational firms' continuing foreign expansion

This dissertation focused on an increasingly prevalent phenomenon in today's global business environment—strategic alliance portfolio. Building on resource-based view, resource dependency theory and real options theory, this dissertation adopted a multi-dimensional perspective to examine the performance implications, strategic antecedents of alliance portfolio configuration, and its strategic effects on firms' decision-making on their continuing foreign expansion. The dissertation consisted of three interrelated essays, each of which dealt with a specific research question. In the first essay I applied a two-dimensional construct that embraces both alliance relations' and alliance partners' attributes to illustrate alliance portfolio configuration. Based on this framework, a longitudinal study was conducted attempting to explore the performance properties of alliance portfolio configuration. The results revealed that alliance diversity and partner diversity have different relative contributions to firms' economic performance. The relationship between alliance portfolio configuration and firm performance was shaped by degree of multinationality in a curvilinear pattern. The second essay attempted to identify the firm level driving forces of alliance portfolio configuration and how these forces interacting with firms' internationalization influence firms' strategic choices on alliance portfolio configuration. The empirical results indicated that past alliance experience, slack resource and firms' brand images are three critical determinants shaping alliance portfolios, but those shaping relationships are conditioned by firms' multinationality. The third essay primarily employed real options theory to build a conceptual framework, revealing how country-, alliance portfolio-, firm-, and industry level factors and their interactions influence firms' strategic decision-making on post-entry continuing expansion in foreign markets. The two empirical studies were resided in global hospitality and travel industries and use panel data to test the relevant theoretical models. Overall, the dissertation advanced and enriched the theoretical domain of alliance portfolio. It particularly shed valuable insights on three fundamental questions in the domain of alliance portfolio research, namely "if and how alliance portfolios contribute to firms' economic performance"; "what determines the appearance of alliance portfolios”; and "how alliance portfolios affect firms' strategic decision-making". This dissertation also extended the international business and strategic management research on service multinationals' foreign expansion and performance.

Reputation performance: a portfolio selection approach

This paper introduces a normative view on corporate reputation strategic management. Reputation performance is conceptualised as the outcome of complex processes and social interactions and the lack of a holistic reputation performance management framework is identified. In an attempt to fill this gap, a portfolio-based approach is put forward. Drawing on the foundations of modern portfolio theory we create a portfolio-based reputation management algorithmic model where reputation components and priorities are weighted by decision makers and shape organisational change in an attempt to formulate a corporate reputation strategy. The rationale of this paper is based on the foundational consideration of organisations as choosing he optimal strategy by seeking to maximise their reputation performance while maintaining organisational stability and minimising organisational risk.

Reputation Performance: a portfolio selection approach

This paper introduces a normative view on corporate reputation management; an algorithmic model for reputation-driven strategic decision making is proposed and corporate reputation is conceptualized as influenced by a selection among organizational priorities. A portfolio-based approach is put forward; we draw on the foundations of portfolio theory and we create a portfolio-based reputation management model where reputation components and priorities are weighted by decision makers and shape organizational change in an attempt to formulate a corporate reputation strategy. The rationale of this paper is based on the foundational consideration of organizations as choosing the optimal strategy by seeking to maximize performance on corporate reputation capital while maintaining organizational stability and minimizing organizational risk.