IT portfolio management

The modern portfolio theory was based on risk and return trade-offs and was developed in earlier works of Harry Markowitz (1952, 1959) and Roy (1952). According to Markowitz (1952), risk can be eliminated through diversification by spreading the wealth across the assets. In his work, Markowitz (1959) implemented the theory of mean-variance of market portfolio which provided the initial foundation for capital asset pricing model. His model was a static model which assumed that investors tend to…

return of the market. E(Rm) – Rf = Market premium. From the above equation, it is shown that the CAPM is an equilibrium model that specifies the relationship between the risk and the expected return for assets that is held in a well-diversified portfolio. Sharpe (1964) stated that the single determinant of return is beta. Beta computes the systematic risk and betas can be aggressive, defensive or neutral. Aggressive stocks have a beta greater than 1. Their returns proceed with a higher…

CAPM is to evaluate the performance of managed portfolios and to estimate the cost of capital in the companies (Fama, French, 2004). As highlighted by Lucy (7777)…

Theoretical Framework The Proportional Odds Model A binary logistic regression model estimates the odds and the probability of experiencing an event for the dichotomous outcome variable on a set of predictors. The logistic regression model is defined as: ln(Y′) = logit [π(x)] = ln = α + β1X1 + β2X2 + …+ βpXp. (1) where logit [π(x)] is the log odds of success, and the odds is a ratio between the probability of having an event and the probability of not having that event.…

theoretically should reduce bid-ask spread in NPL portfolio market. In order to examine this theory, hypothetical CDS was priced using real-world data for both CO date and most recent 2017 date. CDS form is selected following Italian securitization law where CDS was used as the guarantee. However, a single-name derivative is priced (versus basket CDS applied in Italian securitization law). As an underlying asset of hypothetical CDS Target portfolio is selected. The price of CDS is then compared…

The only REIT (Real Estate Investment Trust) in the S&P 100 Index is a self-administered and self-managed largest mall landlord in the United States. Simon Property Group, Inc (NYSE: SPG) established in Indianapolis, Indiana, during 1993 when the shopping center division of Melvin Simon & Associates became a publicly-traded company that owns, develops, manages, leases and acquires primarily regional malls and community shopping centers. With a market cap of $60.8 billion, they are more than…

Banking Corporation (OCBC) I am attached to one of the departments in the Group Risk Management division. At a glance, Group Risk Management (GRM) is an independent function that reports to the Group Chief Risk Officer, Vincent Choo, who is responsible for ensuring that risk management practices in OCBC are effective and comprehensive. GRM has financial responsibility in contributing independent risk control and management of credit, market, operational, liquidity and other key risks for the…

On my career portfolio the first thing that display are my accomplishments, and this is a list of not only employment accomplishments but also educational, volunteer and leisure. The next page has the detail information of my major accomplishments, not all of them because it would be too much information but it describes exactly what I did, what lead up to the accomplishment and how this is related to any aspect of my life. The next pages include a list of several skills that though my…

environment through your daily communication with store and sales representatives. In addition, you try to work in concert with credit personnel, collection management and the sales team to achieve the goals of the team. You follow credit guidelines at appropriate times. You maintain a goal to provide optimum customer service with not only your portfolio of the business but also within the…

CIMB-Principal Asset Management Berhad (CIMB-Principal) is a premier asset management corporation with local investment abilities. Established in 1995, it is one of the largest asset management corporations in Malaysia with local footmark covering Singapore, Indonesia and Thailand. CIMB-Principal aims to be Southeast Asia’s most valued investment management company offering whole asset management solutions. It manufactures and allocates a comprehensive range of unit trust funds, and achieves…