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Project Portfolio Construction Using Extreme Value Theory

Jolanta Tamošaitienė (), Vahidreza Yousefi () and Hamed Tabasi ()
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Jolanta Tamošaitienė: Faculty of Civil Engineering, Vilnius Gediminas Technical University, Saulėtekio al. 11, 10223 Vilnius, Lithuania
Vahidreza Yousefi: Project Management Department, University of Tehran, Tehran 1417614418, Iran
Hamed Tabasi: Finance Department, University of Tehran, Tehran 1417614418, Iran

Sustainability, 2021, vol. 13, issue 2, 1-13

Abstract: Choosing proper projects has a great impact on organizational success. Firms have various factors for choosing projects based on their different objectives and strategies. The problem of optimization of projects’ risks and returns is among the most prevalent issues in project portfolio selection. In order to optimize and select proper projects, the amount of projects’ expected risks and returns must be evaluated correctly. Determining the relevant distribution is very important in achieving these expectations. In this research, various types of practical distributions were examined, and considering expected and realized risks, the effects of choosing the different distribution on estimation of risks on construction projects were studied.

Keywords: portfolio optimization; extreme value theory; GARCH (Generalized Autoregressive Conditional Heteroskedasticity) models; volatility clustering; distribution (search for similar items in EconPapers)
JEL-codes: O13 Q Q0 Q2 Q3 Q5 Q56 (search for similar items in EconPapers)
Date: 2021
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