https://www.um.edu.mt/library/oar/handle/123456789/4653 2026-10-25T07:55:31Z 2026-10-25T07:55:31Z https://www.um.edu.mt/library/oar/handle/123456789/150262 2026-10-20T12:10:03Z 2023-01-01T00:00:00Z

Title: Editorial note : decision making in resource management : exploring problems, methods, and tools Abstract: The field of resource management plays a crucial role in addressing the complex challenges of allocating resources within societal frameworks while considering ecological, legal, and practical considerations. This editorial note introduces a special issue titled “Decision Making in Resources Management: Problems, Methods, and Tools,” dedicated to the 17th edition of the ICABE conference. The issue aims to shed light on various aspects of decision-making in resource management, including theoretical, methodological, practical, ecological, and legal considerations. [excerpt]

2023-01-01T00:00:00Z Amira, Hakim Thalassinos, Eleftherios https://www.um.edu.mt/library/oar/handle/123456789/150104 2026-10-16T08:37:59Z 2024-01-01T00:00:00Z

Title: The global business cycle within the new commodities and the financial cycle : an empirical evidence based on a multivariate unobserved components model (UCM) Authors: Amira, Hakim; Thalassinos, Eleftherios Abstract: The recent analysis focused on gold and energy as hedge fund and channel for the cyclicity of the economic system. Within the occurrence of the prominent crisis, the financial cycle became a nexus relation with the real sphere. The aim of this chapter is to investigate the impact of the commodities and the stock market on the global business cycle within filtering based on HP and Band Pass filter for the period Q1– 1984 to Q4–2020. We review the literature on the business cycle, commodities, and financial cycle research. We find which HP trend is close to the estimated trend of global GDP based on a multivariate UC model. We provide a Band-Pass filter to examine the upswing and downswing commodities cycle as well as the financial cycle. We construct a multivariate unobserved component model that includes the gold price, the crude oil price, and the financial cycle as the independent component within the model. The estimation of the model found that oil has a lag impact on the fluctuation of the business cycle, it reacts as an impulsion for the crisis, compared to the gold and the global financial cycle which reacts simultaneously with the trend of the global business cycle.

2024-01-01T00:00:00Z Petropoulos, Theofanis Liapis, Konstantinos Thalassinos, Eleftherios https://www.um.edu.mt/library/oar/handle/123456789/148685 2026-08-25T11:07:25Z 2023-01-01T00:00:00Z

Title: Optimal structure of real estate portfolio using EVA : a stochastic Markowitz model using data from Greek real estate market Authors: Petropoulos, Theofanis; Liapis, Konstantinos; Thalassinos, Eleftherios Abstract: The purpose of this paper is to examine the issue of portfolio optimization. Optimization consists of minimizing the risk for a given rate of return or achieving a bigger return for a given level of risk. We use historical data from the Bank of Greece to calculate the net return and the standard deviation (std) for each type of property that is available. The objective is to maximize the economic value added (EVA) of a property’s assets portfolio under a specific rate of standard deviation, following the classic Markowitz model (M-V). The stochastic procedure entry in the model uses the Monte Carlo Simulation method with debt to equity (DTE) following PERT distribution for the portfolio’s invested budget, and the net return for the normal distribution with the mean of the expected return and std are taken from historical data, correspondingly. The returns verify that they follow the base assumption of normality through the Lilliefors test in the Greek real estate market. We observe the maximization of EVA and the expected return maximizing concurrently, but the minimizing risk of EVA is diversified with the minimization of portfolio risk. We observe that the max weight that a residential asset takes is 22.7% because a bigger percent reduces both mean and std. The study provides an explicit portfolio optimization procedure under uncertainty in the real estate market and enriches the academic debate about EVA and revenue.

2023-01-01T00:00:00Z Thalassinos, Eleftherios Khan, Naveed Ahmed, Shakeel Zada, Hassan Ihsan, Anjum https://www.um.edu.mt/library/oar/handle/123456789/146203 2026-05-07T07:35:24Z 2023-01-01T00:00:00Z

Title: A comparison of competing asset pricing models : empirical evidence from Pakistan Authors: Thalassinos, Eleftherios; Khan, Naveed; Ahmed, Shakeel; Zada, Hassan; Ihsan, Anjum Abstract: In recent years, the rapid and significant development of emerging markets has globally led to insight from potential investors and academicians seeking to assess these markets in terms of risk inheritance. Therefore, this study aims to explore the validity and applicability of the capital asset pricing model (henceforth CAPM) and multi-factor models, namely Fama–French models, in Pakistan’s stock market for the period of June 2010–June 2020. This study collects data on 173 non-financial firms listed on the Pakistan stock exchange, namely the KSE-100 index, and follows Fama-MacBeth’s regression methodology for empirical estimation. The empirical findings of this study conclude that small portfolios (small-size companies) earn considerably higher returns than big portfolios (large-size companies). Ultimately, the risk associated with portfolio returns is reported to be higher for small portfolios (small-size companies) than for big portfolios (large-size companies). According to the regression output, the CAPM was found to be valid for explaining the market risk premium above the risk-free rate. Similarly, the FF three-factor model was found to be valid for explaining time-series variation in excess portfolio returns. Later, we added human capital into FF three- and five-factor models. This study found that the human capital base six-factor model outperformed the other competing asset pricing models. The findings of this study indicate that small portfolios (small-size companies) earn more returns than big portfolios (large-size companies) to reward the investor for taking extra risks. Investors may benefit by timing their investments to maximize stock returns. Company investment in human capital adds reliable information, replicates the value of the company and, in the long term, helps investors make rational decisions.

2023-01-01T00:00:00Z