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Search results for: PORTFOLIO THEORY, MINIMUM RISK, MAXIMUM EFFICIENCY, NAIVE STRATEGY
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ASSESSMENT OF GOLD AND/OR CRUDE OIL AS INVESTMENTS FOR PORTFOLIO DIVERSIFICATION. A WARSAW STOCK EXCHANGE CASE STUDY
PublicationThe purpose of the study is to assess whether the inclusion of investments in gold and/or crude oil improves an investment portfolio consisting of shares of enterprises included in the WIG20 index (traditional invest-ments). All possible combinations of investment portfolios with minimal risk and maximum efficiency were tested. The portfolios were determined based on Markowitz’s portfolio theory. All results were compared...
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Balkan Stock Exchanges – Consideration of the Length of the Estimation Window in Similar Markets
PublicationPurpose: We study if capital markets in the Balkan are closely and positively related in terms of rate of return, risk, efficiency, and maximum cumulative loss in relation to different lengths of the estimation window. Design/Methodology/Approach: The research was carried out for the period from 01/01/2017 to 31/12/2019 using portfolio analysis. It was divided into an estimation window (01/01/2019 to 31/12/2019) and another with...
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The share of investments in gold and oil using the example of selected European stock exchanges– A comparative analysis
PublicationIn this article, optimal investment portfolios with minimal risk and maximum efficiency were calculated. The portfolios were designated for ten selected European stock exchanges, based on the listings of the twenty largest companies in each of those markets. All calculations were made based on company shares only, company shares and investments in gold, shares of companies and investments in crude oil as well as shares of companies...
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Markowitz’s portfolio theory – optimal length of estimation window for gold and the biggests companies on the Warsaw Stock Exchange
PublicationThe following article is dedicated to the construction of an investment portfolio consisting of 3 investments from the Polish capital market found in the WIG20 index and from investment in gold. The purpose of the study was to determine the optimal length of the estimation window for building a portfolio with minimal risk and maximum efficiency. The length of the estimation window was also assessed in terms of the rate of return...
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A framework estimating the minimum sample size and margin of error for maritime quantitative risk analysis
PublicationThe average accident frequency is essential for quantitative risk analysis and is conventionally estimated from accident statistics. This paper has systematically synthesised the knowledge on statistical errors and offered the missing instructions, a framework, for determining the minimum sample size and the margin of error (MOE) when calculating the average accident frequency from an accident database at hand. We have applied...
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Conditional Value-at-Risk Vs. Value-at-Risk to Multi-Objective Portfolio Optimization
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Downside Risk Approach for Multi-Objective Portfolio Optimization
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A Bi-Objective Portfolio Optimization with Conditional Value-at-Risk
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A rough cut cybersecurity investment using portfolio of security controls with maximum cybersecurity value
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Kriging-assisted hybrid reliability design and optimization of offshore wind turbine support structure based on a portfolio allocation strategy
PublicationIn recent years, offshore wind power generation technology has developed rapidly around the world, making important contributions to the further development of renewable energy. When designing an Offshore Wind Turbine (OWT) system, the uncertainties in parameters and different types of constraints need to be considered to find the optimal design of these systems. Therefore, the Reliability-Based Design Optimization (RBDO) method...
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Triple-objective models for portfolio optimisation with symmetric and percentile risk measures
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Marcin Potrykus dr inż.
PeopleA graduate of the Faculty of Management and Economics at the Gdańsk University of Technology. Since 2008, he has been employed as an Assistant at the Department of Finance at the Faculty of Management and Economics of the Gdańsk University of Technology. In 2015, he defended (in the discipline of economics) his doctoral dissertation entitled "Alternative investments - profitability and risk". Since 2016, he has been employed as...
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Karolina Zielińska-Dąbkowska dr inż. arch.
PeopleKarolina M. Zielinska-Dabkowska, Ph.D., Eng. Arch., M. Arch., is an Assistant Professor at the Faculty of Architecture of Gdańsk University of Technology (GUT). In 2002, she completed her studies of Architecture and Urban Planning at Gdańsk University of Technology (Gdańsk Tech) and in 2004, Architectural Engineering at the University of Applied Sciences and Arts (HAWK) in Hildesheim, Germany. After graduation, she worked for several...
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In vitro to in vivo extrapolation to support the development of the next generation risk assessment (NGRA) strategy for nanomaterials
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GENEVA PAPERS ON RISK AND INSURANCE THEORY
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High-efficiency hybrid PV-TEG system with intelligent control to harvest maximum energy under various non-static operating conditions
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Efficiency of various silicon rich amendments on growth and cadmium accumulation in field grown cereals and health risk assessment
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Tomasz Janowski dr
PeopleTomasz Janowski is the Head of the Department of Informatics in Management, Gdańsk University of Technology, Poland; Invited Professor at the Department for E-Governance and Administration, University for Continuing Education Krems, Austria; and Co-Editor-in-Chief of Government Information Quarterly, Elsevier. Previously, he was the founder and head of the United Nations University Operating Unit on Policy-Driven Electronic Governance...
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Wino – uzupełnienie czy dominujący składnik portfela inwestycyjnego o minimalnym ryzyku
PublicationCel – Określenie struktury portfela inwestycyjnego o minimalnym ryzyku, składającego się z inwestycji na rynku win oraz z inwestycji w akcje spółek notowanych na wybranych giełdach Europy Środkowo-Wschodniej. Metodologia badania – Konstrukcja portfeli inwestycyjnych zgodnie z teorią zaproponowaną przez H.M. Markowitza, poparta badaniami literaturowymi odnoszącymi się do zagadnienia ekonomii wi-na. Wynik – Inwestycja w wino może...
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Złote monety bulionowe – testowanie pasywnego charakteru inwestycji
PublicationCel – Wyznaczenie składu optymalnego portfela inwestycyjnego o minimalnym ryzyku, zawierającego inwestycję w polskie monety bulionowe (Orzeł Bielik) oraz inwestycję na polskiej giełdzie papierów wartościowych. Testowanie pasywnego charakteru inwestycji w monety. Metodologia badania – Konstrukcja portfeli inwestycyjnych o minimalnym ryzyku według teorii H.M. Markowitza. Autorska metoda badania pasywnego charakteru inwestycji...
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Aleksandra Parteka dr hab. inż.
PeopleAbout me: I am an associate professor and head of doctoral studies at the Faculty of Management and Economics, Gdansk University of Technology (GdanskTech, Poland). I got my MSc degree in Economics from Gdansk University of Technology (2003) and Universita’ Politecnica delle Marche (2005), as well as MA degree in Contemporary European Studies from Sussex University (2006, with distinction). I received my PhD in Economics...
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Anna Rzeczycka dr hab.
PeopleAnna Rzeczycka is the deputy head of the Department of Finance at the Faculty of Economics and Management of the Gdańsk University of Technology. Publications are situated in the field of social sciences in the discipline of economics and finance. They include books, monographs, articles, publications and scientific editions of monographs and scientific journals. In terms of numbers, it includes the following items: 12 monographs...
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Inwestycje w surowce w połączeniu z polskim rynkiem kapitałowym, analiza ryzyka i efektywności
PublicationW artykule przedstawiono główne kategorie i rodzaje inwestycji w surowce. Cel opracowania to zbadanie czy inwestycja w Warszawski Indeks Giełdowy stanowi główny składnik optymalnego tj. cechującego się minimalnym ryzykiem portfela inwestycyjnego. Ponadto ustalono czy wspomniana inwestycja tradycyjna stanowi najważniejszy element portfela inwestycyjnego odznaczającego się najwyższą efektywnością. Stwierdzono, że wszystkie z 29 analizowanych...
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Investor confidence and high financial literacy jointly shape investments in risky assets
PublicationHouseholds consistently invest less in equities and bonds than predicted by economic theory. We explain this from a behavioral economics perspective and distributional analysis using rich US survey microdata. We find that higher investor self-confidence in her financial abilities and financial literacy jointly increase the probability of investing in equities. Conditional on participation, confidence in the macroeconomy additionally...
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Investor confidence and high financial literacy jointly shape investments in risky assets
PublicationHouseholds consistently invest less in equities and bonds than predicted by economic theory. We explain this from a behavioral economics perspective and distributional analysis using rich US survey microdata. We find that higher investor self-confidence in her financial abilities and financial literacy jointly increase the probability of investing in equities. Conditional on participation, confidence in the macroeconomy additionally...
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Błażej Prusak dr hab.
PeopleBłażej Prusak is Head of the Department of Finance at the Faculty of Management and Economics, Gdansk University of Technology and Editor-in-Chief of the journal Research on Enterprise in Modern Economy - theory and practice (REME), as well as a member of editorial boards of such journals as Intellectual Economics; Space. Economics. Society; Academy of Management. He is the author or co-author of several scientific monographs including:...
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Innovative Turbine Intake Air Cooling Systems and Their Rational Designing
PublicationThe improved methodology of the engine intake air cooling system designing based on the annual effect due to cooling was developed. It involves determining the optimal value of cooling capacity, providing the minimum system sizes at maximum rate of annual effect increment, and its rational value, providing a close to maximum annual effect without system oversizing at the second maximum rate of annual effect increment within the...
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On minimum cost edge searching
PublicationWe consider the problem of finding edge search strategies of minimum cost. The cost of a search strategy is the sum of searchers used in the clearing steps of the search. One of the natural questions is whether it is possible to find a search strategy that minimizes both the cost and the number of searchers used to clear a given graph G. We call such a strategy ideal. We prove, by an example, that ideal search strategies do not...
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Detailed results of shaping personnel risk factors in enterprise D
Open Research DataThe data presents the shape of all the researched personnel risk factors in the D enterprise (which was tested by the author). Further considerations should be started with the presentation of the synthesis of the obtained results, which is presented in this research data.
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Detailed results of shaping personnel risk factors in enterprise A
Open Research DataThe data presents the shape of all the researched personnel risk factors in the A enterprise (which was tested by the author). Further considerations should be started with the presentation of the synthesis of the obtained results, which is presented in this research data.
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Flood Modelling and Risk Analysis of Cinan Feizuo Flood Protection Area, Huaihe River Basin
PublicationThis study evaluated multiple aspects of flood risks and effects on the Cinan Feizuo flood protection area in the Huaihe River basin. Flooding remains a leading problem for infrastructure, especially in urban, residential areas of the region. Effective flood modeling for urbanized floodplains is challenging, but MIKE (ID-2D) is paramount for analyzing and quantifying the risk in the vulnerable region. The Saint-Venant equation...
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Michał Bernard Pietrzak dr hab.
PeopleMichal Pietrzak is head of the Department of Statistics and Econometrics at the Faculty of Economics and Management, Gdańsk University of Technology, and Deputy Editor-in-Chief for Statistical Reviewing of the journals: Oeconomia Copernicana and Equilibrium. Quarterly Journal of Economics and Economic Policy. Until October 2021, he worked as an associate professor at the Faculty of Economic Sciences and Management, Nicolaus...
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A novel degree-hour method for rational design loading
PublicationCooling degree-hours (CDH) received the broadest application in evaluation of the ambient air cooling efficiency in power engineering (engine intake air cooling systems) and air conditioning. The current CDH numbers are defined as a drop in air temperature multiplied by associated time duration of performance and their summarized annual number is used to estimate the annual effect achieved due to sucked air cooling in power plants...
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Analiza skuteczności wybranych strategii kontrariańskich na warszawskiej GPW w latach 2014–2018
PublicationCapital multiplication is the main goal of investors and for many years they have been looking for methods and strategies that would enable them to achieve it to the greatest possible extent. Due to the fact that the expectations and characteristics of investors, including those concerning the investment period, are diverse, multiple strategies have emerged. One of such strategies, mainly long-term in nature, is the so-called...
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Michał Ryms dr hab. inż.
PeopleMichał Ryms, PhD, DSc, Eng. is the physicist, graduate of the Gdańsk University of Technology. PhD thesis defended at the Chemical Faculty. Since 2011 an employee at the Department of Energy Conversion and Storage, Chemical Faculty, Gdansk University of Technology, POLAND – now as an associate professor. His research interests includes: improvement of energy efficiency and possibilities of new application of phase change materials...
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Investing in wine, precious metals and G-7 stock markets – A co-occurrence analysis for price bubbles
PublicationThis paper used the GSADF test to determine the periods defined in this paper as price bubbles in the three markets studied, i.e. the investment wine market, precious metal market and national stock market indices of G-7 countries. The results obtained enabled the calculation of the values of the phi correlation coefficients, which served the research objective of assessing the co-occurrence of price bubbles in the markets analysed....
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Accidents, victims and risk levels on regional roads in pomorskie voivodeship, 2017-2019 - Medium to High and high road sections
Open Research DataData contain road sections with the highest number of accidents and victims on regional roads (voivodeship roads) in pomorskie voivodeship in 2017-2019. Measures used to assess the level of risk is: minimum 4 accidents or 4 seriously injured or fatalities per one kilometer (5 classes: low, low to medium, medium, medium to high, high):
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Exploring the relationship between investment choices, cognitive abilities risk attitudes and financial literacy
PublicationPurpose The main purpose of this study is to investigate the investment choices' relationship with cognitive abilities, risk aversion, risky investment intentions, subjective financial literacy and objective financial literacy. Design/methodology/approach To examine the relationship, two investment choices were given to 256 subjects from Pakistan. Questionnaire had total 20 questions for measuring five variables. To review this...
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Detailed results of shaping personnel risk factors in enterprise C
Open Research DataThe data presents the shape of all the researched personnel risk factors in the C enterprise (which was tested by the author). Further considerations should be started with the presentation of the synthesis of the obtained results, which is presented in this research data.
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Engineering TADF, Mechanochromism, and Second Harmonic Up- conversion Properties in Regioisomeric Substitution Space
PublicationThis research article explores the distinct TADF efficiency of three donor-acceptor based regio-isomers: DPAOCN (ortho- isomer), DPAMCN (meta-isomer), and DPAPCN (para-isomer). DPAPCN exhibits maximum TADF efficiency in both solution and solid-state with an impressive reverse inter-system crossing (RISC) rate of ~ 106 s-1; the underlying cause being the minimum singlet-triplet splitting energy or ∆EST and maximum SOC (spin-orbit...
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Geometric working volume of a satellite positive displacement machine
PublicationThis article describes a method for determining the geometric working volume of satellite positive displacement machines (pump and motor). The working mechanism of these machines is satellite mechanism consisting of two non-circular gears (rotor and curvature) and circular gears (satellites). Two variants of the satellite mechanism are presented. In the first mechanism, the rolling line of the rotor is a sinusoid "wrapped" around...
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Innovative Bidirectional Isolated High-Power Density On-Board Charge for Vehicle-to-Grid
PublicationThis paper deals with developing and implementing a bidirectional galvanically isolated on-board charger of a high-power density. The power density of the new charger was 4 kW/kg and 2.46 kW/dm3, and the maximum efficiency was 96.4% at 3.4 kW. Due to the requirement to achieve a high-power density, a single-stage inverter topology was used. Regarding switching losses, due to the topology of the circuit with so-called hard switching,...
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INWESTYCJE ALTERNATYWNE – OPŁACALNOŚĆ A RYZYKO
PublicationW rozprawie określono pojęcie oraz miejsce inwestycji alternatywnych na rynku inwestycyjnym. Wskazane zostały atrybuty tych inwestycji. Zbudowano klasyfikację inwestycji alternatywnych w podziale na kategorie oraz typy wraz ze wskazaniem powiązań pomiędzy poszczególnymi produktami. Dokonano autorskiego podziału analizowanych inwestycji na aktywne i pasywne. Zbadano stopę zwrotu i ryzyko pięćdziesięciu inwestycji alternatywnych,...
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Designing efficient A-D-A1-D-A type fullerene free acceptor molecules with enhanced power conversion efficiency for solar cell applications
PublicationThe achievement of highly efficient power conversion efficiency (PCE) is a big concern for non-fullerene organic solar cells (NF-OSCs) because PCE can depend on numerous variables. Here, new five novel acceptor molecules without fullerenes were developed and investigated using DFT (density functional theory) and TD-DFT (time dependent-density functional theory). Compared to the recently synthesized molecule (PZ-dIDTC6), the developed...
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Bankruptcy system model and efficiency versus the entrepreneurship and innovation in selected European countries
Publicationmodel and its efficiency on the development of entrepreneurship and innovation in selected European countries and Turkey. This goal was achieved by examining the relationships between debtor-friendliness of the bankruptcy law model and its efficiency on one side and entrepreneurship and innovation on the other. The cross-sectional ANOVA test and OLS regression method were chosen as the research method. In order to verify the research...
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Selection of Electrode Material for Inconel 617/P92 Steel SMAW Dissimilar Welds
PublicationThe present work aimed to investigate the microstructure and mechanical properties of the dissimilar shielded metal arc welded (SMAW) joint of Alloy 617 and P92 steel for advanced ultrasupercritical boilers. The SMAW joint was produced using three different types of electrodes, namely, ENiCrFe-3, ENiCrMo-3, and ENiCrCoMo-1. During microstructural observation of the welded joints, no possible cracking was detected in the weldments....
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Size reduction of ultra-wideband antennas with efficiency and matching constraints
PublicationAntenna design is a multifaceted task that involves handling of various performance figures concerning both electrical performance of the structure as well as its geometry. Simultaneous control of several objectives through rigorous optimization is very challenging and virtually impossible through conventional approaches such as parameter sweeping. In this work, we investigate size reduction of ultra‐wideband antenna structures...
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Pomiar ryzyka bankowego - propozycja typologii
PublicationW artykule zaproponowano typologię pomiaru ryzyk bankowych. Wyodrębnione kryteria podziału podejść do pomiaru ryzyka to: (1) pomiar bezpośredni/pośredni, (2) pomiar ex post/ex ante, (3) kryterium oparte o składnik ryzyka – częstotliwość, dotkliwość, ekspozycja, całościowa strata, (4) kryterium oparte o parametr rozkładu: pomiar wartości oczekiwanej/przeciętnej, pomiar rozproszenia, pomiar wartości skrajnych. Wśród motywów pomiaru...
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Corporate social responsibility and forward default risk mediated by financial performance and goodwill
PublicationIn today’s business environment, corporate social responsibility (CSR) has become an increasingly significant factor for firms. This study is driven by the motivation to add to the current literature by investigating the mediating elements that explain the relationship between CSR and forward default risk. In this paper, we attempt to identify the important mediators and give a more comprehensive explanation of this connection...
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The estrogenicity of wastewater samples.
Open Research DataThe principle of operation of the kit is based on the fact that the tested sample with endocrine activity (containing compounds capable of binding to the human estrogen receptor α, hERα) releases the fluorescently labeled ligand (FluormoneTM ES2) from the receptor-ligand complex, which results in a reduction of the polarization value fluorescence. The...