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Project portfolio management

About: Project portfolio management is a research topic. Over the lifetime, 8237 publications have been published within this topic receiving 162045 citations.


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Book
01 Jan 1981
TL;DR: The Modern Portfolio Theory as discussed by the authors examines the characteristics and analysis of individual securities as well as the theory and practice of optimally combining securities into portfolios, while presenting advanced concepts of investment analysis and portfolio management.
Abstract: An update of a classic book in the field, Modern Portfolio Theory examines the characteristics and analysis of individual securities as well as the theory and practice of optimally combining securities into portfolios. It stresses the economic intuition behind the subject matter while presenting advanced concepts of investment analysis and portfolio management. Readers will also discover the strengths and weaknesses of modern portfolio theory as well as the latest breakthroughs.

2,476 citations

Journal ArticleDOI
TL;DR: In this paper, the authors explored the development of a bankruptcy classification model which incorporates comprehensive inputs with respect to discriminant analysis and utilizes a sample of bankrupt firms essentially covering the period 1969-1975.
Abstract: The paper explores the development of a bankruptcy classification model which incorporates comprehensive inputs with respect to discriminant analysis and utilizes a sample of bankrupt firms essentially covering the period 1969–1975. Financial statement data and market related measures are transformed along guidelines suggested by traditional security analysis to promote comparability of companies and to reflect the most recent reporting standards so as to make the model relevant to future analysis. The results of the study are compared with alternative bankruptcy classification strategies via the explicit introduction of prior probabilities of group membership, observed accuracies, and estimates of costs of errors in misclassification. The latter is based on cost estimates derived from commercial bank lending errors. The results of the study indicate potential significant application to credit worthiness assessment, portfolio management, and to external and internal performance analysis.

1,779 citations

Journal ArticleDOI
TL;DR: In this article, the authors present a synthesized framework of the innovation management process consisting of seven categories: inputs management, knowledge management, innovation strategy, organizational culture and structure, portfolio management, project management and commercialization.
Abstract: Measurement of the process of innovation is critical for both practitioners and academics, yet the literature is characterized by a diversity of approaches, prescriptions and practices that can be confusing and contradictory. Conceptualized as a process, innovation measurement lends itself to disaggregation into a series of separate studies. The consequence of this is the absence of a holistic framework covering the range of activities required to turn ideas into useful and marketable products. We attempt to address this gap by reviewing the literature pertaining to the measurement of innovation management at the level of the firm. Drawing on a wide body of literature, we first develop a synthesized framework of the innovation management process consisting of seven categories: inputs management, knowledge management, innovation strategy, organizational culture and structure, portfolio management, project management and commercialization. Second, we populate each category of the framework with factors empirically demonstrated to be significant in the innovation process, and illustrative measures to map the territory of innovation management measurement. The review makes two important contributions. First, it takes the difficult step of incorporating a vastly diverse literature into a single framework. Second, it provides a framework against which managers can evaluate their own innovation activity, explore the extent to which their organization is nominally innovative or whether or not innovation is embedded throughout their organization, and identify areas for improvement.

1,219 citations

Journal ArticleDOI
TL;DR: In this article, the authors derive dynamic optimal trading strategies that minimize the expected cost of trading a large block of equity over a fixed time horizon, given a fixed block of shares to be executed within a fixed finite number of periods.

1,094 citations

Journal ArticleDOI
TL;DR: In this article, a general framework for finding portfolios that perform well out-of-sample in the presence of estimation error is proposed, which relies on solving the traditional minimum-variance problem but subject to the additional constraint that the norm of the portfolio-weight vector be smaller than a given threshold.
Abstract: We provide a general framework for finding portfolios that perform well out-of-sample in the presence of estimation error. This framework relies on solving the traditional minimum-variance problem but subject to the additional constraint that the norm of the portfolio-weight vector be smaller than a given threshold. We show that our framework nests as special cases the shrinkage approaches of Jagannathan and Ma (Jagannathan, R., T. Ma. 2003. Risk reduction in large portfolios: Why imposing the wrong constraints helps. J. Finance58 1651--1684) and Ledoit and Wolf (Ledoit, O., M. Wolf. 2003. Improved estimation of the covariance matrix of stock returns with an application to portfolio selection. J. Empirical Finance10 603--621, and Ledoit, O., M. Wolf. 2004. A well-conditioned estimator for large-dimensional covariance matrices. J. Multivariate Anal.88 365--411) and the 1/N portfolio studied in DeMiguel et al. (DeMiguel, V., L. Garlappi, R. Uppal. 2009. Optimal versus naive diversification: How inefficient is the 1/N portfolio strategy? Rev. Financial Stud.22 1915--1953). We also use our framework to propose several new portfolio strategies. For the proposed portfolios, we provide a moment-shrinkage interpretation and a Bayesian interpretation where the investor has a prior belief on portfolio weights rather than on moments of asset returns. Finally, we compare empirically the out-of-sample performance of the new portfolios we propose to 10 strategies in the literature across five data sets. We find that the norm-constrained portfolios often have a higher Sharpe ratio than the portfolio strategies in Jagannathan and Ma (2003), Ledoit and Wolf (2003, 2004), the 1/N portfolio, and other strategies in the literature, such as factor portfolios.

913 citations


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Performance
Metrics
No. of papers in the topic in previous years
YearPapers
202399
2022236
2021268
2020342
2019301
2018279