Dissertationen zum Thema „Portfolio management“
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1
Tolonen, A. (Arto). „Product portfolio management over horizontal and vertical portfolios“. Doctoral thesis, Oulun yliopisto, 2016. http://urn.fi/urn:isbn:9789526212678.
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Abstract The main objective of this study is to clarify the current challenges and preconditions relating to product portfolio management (PPM) and widen the PPM framework over horizontal and vertical portfolios, including a related governance model, strategic performance management and the PPM process. This study analyses comprehensively the current PPM literature and the relevant practices of 10 case companies representing business areas such as hardware (HW), software (SW) and Services. This study approaches PPM from a more comprehensive viewpoint as all product life cycle phases and product structure levels are not covered well in this context by the earlier literature. The principal results of this study involve revealing the need for a new PPM governance model including strategic targets, KPIs and the PPM process according to vertical and horizontal portfolios. The created PPM framework clarifies the strategic role of PPM in cross-functional analysis and decision making for commercial and technical portfolios. The role and the impact of strategic PPM have been further enhanced by positioning the PPM process on the level of other business processes. The created PPM framework enhances the collaboration between business and engineering teams. The managerial implications include the potential preconditions of clarifying the dynamic and active role of PPM at the level of other business processes. The findings can aid business managers in understanding PPM as an entity that has a role in managing the entire product portfolio and its renewal based on strategic performance measures over horizontal and vertical portfolios according to cross-functional governance bodies. This highlights the criticality of managing all items both in commercial and technical portfolios. The role of other business processes should be highly operational by executing product development, marketing and sales, delivery and care activities according to PPM decisions. The primary role of PPM should be active management of the entire product portfolio over product life cycle phases and product structure levels, instead of merely focusing on new product development, to ensure product portfolio renewalTiivistelmä Tämä tutkimus selventää tuoteportfolion hallintaan liittyviä edellytyksiä ja haasteita, sekä laajentaa tuoteportfolion hallintamallia, suorituskyvyn johtamista ja prosessia horisontaalisesti ja vertikaalisesti. Tuoteportfolion hallintaa on lähestytty kattavasti analysoimalla nykyistä kirjallisuutta, sekä kymmenen kohdeyrityksen käytänteitä nykytila-analyysin keinoin. Kohdeyritykset edustavat useita liiketoiminta- ja tuotealueita kattaen laitteiston, ohjelmiston ja palvelut. Tämä tutkimus lähestyy tuoteportfolion hallintaa laajemmalta katsantokannalta kuin nykyinen kirjallisuus joka ei kata kaikkia tuotteen elinkaaren vaiheita ja tuoterakennetasoja. Tämän väitöstutkimuksen tärkeimmät tulokset liittyvät uuden tuoteportfolion hallintamallin tarpeellisuuden esille tuomiseen, sisältäen tuoteportfolion strategiset tavoitteet, suorituskykymittarit ja hallintaprosessin perustuen vertikaalisiin ja horisontaalisiin tuoteportfolioihin. Luotu viitekehys selkeyttää tuoteportfolion hallinnan strategista roolia organisaatiorajat ja liiketoimintaprosessit ylittävässä analyysissa ja päätöksenteossa liittyen kaupallisiin ja teknisiin tuoteportfolioihin. Strategisen tuoteportfolion hallinnan roolia ja merkitystä on erityisesti korostettu nostamalla tuoteportfolion hallintaprosessi muiden liiketoimintaprosessien tasolle. Tässä tutkimuksessa luotu tuoteportfolion hallinnan viitekehys vahvistaa yhteistyötä liiketoiminnanjohto- ja insinööritiimien välillä kaikilla organisaatiotasoilla. Työn kontribuutiot yritysjohdolle korostavat tuoteportfolion hallintaprosessin keskitettyä, dynaamista ja aktiivista roolia johtaa yrityksen kaupallisia ja teknisiä nimikkeitä horisontaalisesti ja vertikaalisesti kokonaisuutena perustuen strategisiin suorituskykymittareihin. Tuoteportfolion hallinta yli horisontaalisten ja vertikaalisten portfolioiden mahdollistaa tuoteportfolion uudistumisen yli kaikkien elinkaarivaiheiden ja tuoterakennetasojen. Muiden liiketoimintaprosessien roolin tulisi olla selkeästi operatiivinen toteuttaen tuotekehitykseen, markkinointiin, myyntiin, tilaamiseen, hankintaan, toimittamiseen ja huoltoon liittyviä tehtäviä perustuen strategisiin tuoteportfolion hallinnan tavoitteisiin ja suorituskykymittareihin
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Pachtová, Iva. „Portfolio management v projektovém řízení“. Master's thesis, Vysoká škola ekonomická v Praze, 2007. http://www.nusl.cz/ntk/nusl-2098.
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Hlavním cílem této práce je poskytnout přehledné a ucelené informace o aplikaci portfolia managementu v projektovém řízení, zprostředkovat zkušenosti a doporučení ze zahraničních aplikací a také seznámit potencionální zájemce s návody, jak v případě zájmu postupovat při aplikaci v praxi. Práce vychází z obecného pohledu klasické teorie portfolia, na tuto část navazuje teoreticky zaměřený úsek věnující se teorii portfolio managementu. Poslední část je věnována aplikaci portfolia managementu a konkrétní ukázce implementace z praxe.
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Phillips, Brandis. „Information systems portfolio management the impact of portfolio management practices /“. Diss., Connect to online resource - MSU authorized users, 2008.
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Thesis (Ph. D.)--Michigan State University. Dept. of Accounting and Information Systems, 2008.Title from PDF t.p. (viewed on July 2, 2009) Includes bibliographical references (p. 98-102). Also issued in print.
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Fu, Qi. „Portfolio procurement management /“. View abstract or full-text, 2007. http://library.ust.hk/cgi/db/thesis.pl?IELM%202007%20FU.
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Alimohammadi, Reza. „Portfolio strategic control and portfolio management performance“. Thesis, Queensland University of Technology, 2016. https://eprints.qut.edu.au/102162/4/Reza_Alimohammadi_Thesis.pdf.
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This thesis presents the development of a new control mechanism for managing portfolio of projects in today’s rapidly changing environment and fierce global competitions. “Portfolio Strategic Control” combines elements of portfolio management and functions of strategic management to control portfolios in a strategic manner and improve portfolio’s performance. This feedforward approach can be applied in parallel with traditional feedback control system to prepare portfolio for future environments by aligning its objectives with organisational strategy, managing resources, risks, and opportunities in an integrated fashion, and adding elements of flexibility and learning to portfolio.
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Wong, Kwok Chuen. „Topics in portfolio management“. Thesis, Imperial College London, 2016. http://hdl.handle.net/10044/1/56044.
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In this thesis, two topics in portfolio management have been studied: utility-risk portfolio selection and a paradox in time consistency in mean-variance problem. The first topic is a comprehensive study on utility maximization subject to deviation risk constraints. Under the complete Black-Scholes framework, by using the martingale approach and mean-field heuristic, a static problem including a variational inequality and some constraints on nonlinear moments, called Nonlinear Moment Problem, has been obtained to completely characterize the optimal terminal payoff. By solving the Nonlinear Moment Problem, the various well-posed mean-risk problems already known in the literature have been revisited, and also the existence of the optimal solutions for both utility-downside-risk and utility-strictly-convex-risk problems has been established under the assumption that the underlying utility satisfies the Inada Condition. To the best of our knowledge, the positive answers to the latter two problems have long been absent in the literature. In particular, the existence of an optimal solution for utility-semivariance problem, an example of the utility-downside-risk problem, is in substantial contrast to the nonexistence of an optimal solution for the mean-semivariance problem. This existence result allows us to utilize semivariance as a risk measure in portfolio management. Furthermore, it has been shown that the continuity of the optimal terminal wealth in pricing kernel, thus the solutions in the binomial tree models converge to the solution in the continuous-time Black-Scholes model. The convergence can be applied to provide a numerical method to compute the optimal solution for utility-deviation-risk problem by using the optimal portfolios in the binomial tree models, which are easily computed; such numerical algorithm for optimal solution to utility-risk problem has been absent in the literature. In the second part of this thesis, a paradox in time consistency in mean-variance has been established. People often change their preference over time, so the maximizer for current preference may not be optimal in the future. We call this phenomenon time inconsistency or dynamic inconsistency. To manage the issues of time inconsistency, a game-theoretic approach is widely utilized to provide a time-consistent equilibrium solution for dynamic optimization problem. It has been established that, if investors with mean-variance preference adopt the equilibrium solutions, an investor facing short-selling prohibition can acquire a greater objective value than his counterpart without the prohibition in a buoyant market. It has been further shown that the pure strategy of solely investing in bond can sometimes simultaneously dominate both constrained and unconstrained equilibrium strategies. With numerical experiments, the constrained investor can dominate the unconstrained one for more than 90% of the time horizon. The source of paradox is rooted from the nature of game-theoretic approach on time consistency, which purposely seeks for an equilibrium solution but not the ultimate maximizer. Our obtained results actually advocate that, to properly implement the concept of time consistency in various financial problems, all economic aspects should be critically taken into account at a time.
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Du, Plooy A. P. „Coal contract portfolio management“. Thesis, Stellenbosch : University of Stellenbosch, 2010. http://hdl.handle.net/10019.1/6404.
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Herr, David Lloyd. „Modern Portfolio Management Techniques“. Thesis, The University of Arizona, 2011. http://hdl.handle.net/10150/144328.
9
Silli, Bernhard. „Essays on delegated portfolio management“. Doctoral thesis, Universitat Pompeu Fabra, 2009. http://hdl.handle.net/10803/7400.
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En el capítulo I, se examina el rendimiento de los activos financieros que representan las "mejores ideas" de los gestores de los fondos de inversión. Las inversiones para las que un gestor activo augura un buen rendimiento obtienen mejor retorno de mercado, asi como el resto de inversiones en sus carteras. En el capítulo II, se muestra explicitamente que los gestores que concentran sus carteras en un número reducido de activos, superan reiteradamente sus benchmarks y otros fondos más diversificados. Esta diferencia de rendimiento se puede explicar gracias a las diferencias en la exposición a factores de riesgo valorados por el mercado y al mayor talento de los gestores que se centran en invertir en activos de alta incertidumbre. En el capítulo III, se estudia la información contenida en las transacciones de activos y se muestra que las decisiones recientes de los gestores predicen el rendimiento futuro de las inversiones. Mientras que las compras llevadas a cabo por gestores con una habilidad superior se asocian a un rendimiento futuro anormalmente positivo, los gestores poco hábiles cometen errores de forma sistemática en la selección y en las transacciones de activos.In Chapter I, we examine the performance of stocks that represent mutual fund managers' "best ideas". The stock that active managers display the most conviction towards ex-ante, significantly outperforms the market, as well as the other stocks in those managers' portfolios. In Chapter II, I explicitly show that managers, who concentrate their portfolios into a small number of stocks, consistently beat their benchmarks and their more diversified peers. This performance gap can be explained by differing portfolio exposures towards priced risk factors as well as stronger abilities of concentrated managers when investing in stocks with high uncertainty of information. In Chapter III, I study the information content of portfolio rebalances by mutual fund managers and show that their recent trading decisions predict future stock returns. While purchases by skilled managers are associated with positive future abnormal performance, unskilled managers systematically commit errors in the selection and trading of stocks.
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Kouch, Richard Banking & Finance Australian School of Business UNSW. „Efficient estimation in portfolio management“. Awarded by:University of New South Wales. School of Banking and Finance, 2006. http://handle.unsw.edu.au/1959.4/26943.
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This thesis investigates whether estimating the inputs of the Markowitz (1952) Mean- Variance framework using various econometric techniques leads to improved optimal portfolio allocations at the country, sector and stock levels over a number of time periods. We build upon previous work by using various combinations of conventional and Bayesian expected returns and covariance matrix estimators in a Mean-Variance framework that incorporates a benchmark reference, an allowable deviation range from the benchmark weights and short-selling constraints so as to achieve meaningful and realistic outcomes. We found that models based on the classical maximum likelihood method performed just as well as the more sophisticated Bayesian return estimators in the study. We also found that the covariance matrix estimators analysed created covariance matrices that were similar to one another and, as a result, did not seem to have a large effect on the overall portfolio allocation. A sensitivity analysis on the level of risk aversion confirmed that the simulation results were robust for the different levels of risk aversion.
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Leibundgut, Reto. „Moral hazard in portfolio management /“. [S.l.] : [s.n.], 2004. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=012921509&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.
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Parida, Sitikantha. „Essays on delegated portfolio management“. Thesis, London School of Economics and Political Science (University of London), 2012. http://etheses.lse.ac.uk/356/.
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This thesis contains three essays on delegated portfolio management and deals with issues such as impact of regulations on mutual fund performance, impact of competition on transparency in financial markets and strategic trading behaviour of agents in illiquid markets. Chapter 1 analyses the impact of more frequent portfolio disclosure on mutual funds performance. Since 2004, SEC requires all U.S. mutual funds to disclose their portfolio holdings on a quarterly basis from semi-annual previously. This change in regulation provides a natural setting to study the impact of disclosure frequency on the performance of mutual funds. Prior to the policy change, it finds that the semi-annual funds with high abnormal returns in the past year outperform the corresponding quarterly funds by 17-20 basis points a month. This difference in performance disappears after 2004. The reduction in performance is higher for semi-annual funds holding illiquid assets than those holding liquid assets. These results support the hypothesis that performance of funds with more disclosure suffers more from activities such as front running. Chapter 2 analyses the impact of competition in financial markets on incentives to re- veal information. It finds that discretionary portfolio disclosure and advertising expenses of mutual funds decrease with competition. This supports the theory that mutual funds use portfolio disclosure and advertising as marketing tools to attract new investments in a financial market, where superior relative performance and greater visibility are rewarded with convex payoffs. With higher competition, the likelihood of landing new investments goes down for each fund while the cost of disclosure goes up. Funds respond by cutting down on costly disclosures and advertising activities. Thus competition seems to have adverse impact on market transparency and search cost. 3Chapter 3 develops a model of strategic trading to study forced liquidation. Traders who hold an illiquid risky security have to satisfy minimum capital requirements, or liquidate their position. Therefore, traders with price impact can induce the fire sale of others to benefit from future low prices. It shows that if traders have similar proportions of wealth invested in the risky security, or the market is sufficiently liquid, they behave cooperatively and smooth their orders over several trading periods. However, if the proportions are significantly different across agents, and market liquidity is low, the strong agent, who is less exposed to the risky asset, predates on the weak agent, and forces her to exit the market.
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Liao, Chien-Hui. „Essays on dynamic portfolio management“. Thesis, University of Warwick, 2003. http://wrap.warwick.ac.uk/1254/.
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Over the last three decades, there has been an increasing interest in the problem of the investor's optimal consumption and portfolio rules. Despite the substantial amount of related literature, there remain many areas for further investigation. The thesis, therefore, addresses a number of important issues relating to the theory and practice of dynamic portfolio strategies. The thesis consists of five essays. The first two essays, Chapters 3 and 4, are concerned with efficient dynamic asset allocation programs under alternative market assumptions. Chapter 3 studies a situation where the simple time-invariant portfolio strategies are efficient and provides a complete characterisation of the strategies using the efficiency arguments. The popularised constant proportion portfolio insurance (CPPI) is embedded as a special case. Chapter 4 relaxes the assumption of a constant interest rate to allow the interest rate to follow a one factor stochastic process. The factor risk premium is then determined in a way that is consistent with the underlying equilibrium. These results are then applied to solve explicitly for an investor's optimal portfolio choice problem under the special case of a Vacisek short rate model and alternative utility functions. The third essay, Chapter 5, relaxes the assumption of a constant equity risk premium to allow the risk premium to vary through time. The evolution of the market risk premium in a representative agent equilibrium (consistent with the Black-Scholes option pricing) is investigated using a unified approach. The presence of dividends and intermediate consumption proves to be the key element that enables us to obtain a stationary economy with decreasing relative risk aversion, a theoretical result that has not be established in the existing literature. The last two essays. Chapters 6 and 7. are concerned with issues of portfolio efficiency and performance measurement. Chapter 6 uses the result from Chapter 5 that, without dividends and intermediate consumption, the market risk premium must satisfy the Burgers' equation, and applies Dybvig's payoff distribution pricing model to measure the inefficiency costs incurred when this condition is violated. The numerical results show that the degree of inefficiency is not very significant, at least for the cases which we postulate, but the findings also reassure negative result predicted from the model. Finally, Chapter 7 proposes a new utility based performance measure that can be applied in the ex-post evaluation of dynamic portfolio strategies. We construct a contingent claim estimation approach to estimate the nearest efficient strategy from a single realisation and then quantify the opportunity cost resulting from the departure of the observed strategy from the nearest efficient one. The numerical examples show that the technique is remarkably robust.
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Bisias, Dimitrios. „Applications of optimal portfolio management“. Thesis, Massachusetts Institute of Technology, 2015. http://hdl.handle.net/1721.1/101292.
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Thesis: Ph. D., Massachusetts Institute of Technology, Sloan School of Management, Operations Research Center, 2015.This electronic version was submitted by the student author. The certified thesis is available in the Institute Archives and Special Collections.
Cataloged from student-submitted PDF version of thesis.
Includes bibliographical references (pages 183-188).
This thesis revolves around applications of optimal portfolio theory. In the first essay, we study the optimal portfolio allocation among convergence trades and mean reversion trading strategies for a risk averse investor who faces Value-at-Risk and collateral constraints with and without fear of model misspecification. We investigate the properties of the optimal trading strategy, when the investor fully trusts his model dynamics. Subsequently, we investigate how the optimal trading strategy of the investor changes when he mistrusts the model. In particular, we assume that the investor believes that the data will come from an unknown member of a set of unspecified alternative models near his approximating model. The investor believes that his model is a pretty good approximation in the sense that the relative entropy of the alternative models with respect to his nominal model is small. Concern about model misspecification leads the investor to choose a robust optimal portfolio allocation that works well over that set of alternative models. In the second essay, we study how portfolio theory can be used as a framework for making biomedical funding allocation decisions focusing on the National Institutes of Health (NIH). Prioritizing research efforts is analogous to managing an investment portfolio. In both cases, there are competing opportunities to invest limited resources, and expected returns, risk, correlations, and the cost of lost opportunities are important factors in determining the return of those investments. Can we apply portfolio theory as a systematic framework of making biomedical funding allocation decisions? Does NIH manage its research risk in an efficient way? What are the challenges and limitations of portfolio theory as a way of making biomedical funding allocation decisions? Finally in the third essay, we investigate how risk constraints in portfolio optimization and fear of model misspecification affect the statistical properties of the market returns. Risk sensitive regulation has become the cornerstone of international financial regulations. How does this kind of regulation affect the statistical properties of the financial market? Does it affect the risk premium of the market? What about the volatility or the liquidity of the market?
by Dimitrios Bisias.
Ph. D.
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Papastaikoudi, Ioanna 1977. „Essays in delegated portfolio management“. Thesis, Massachusetts Institute of Technology, 2004. http://hdl.handle.net/1721.1/28603.
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Thesis (Ph. D.)--Massachusetts Institute of Technology, Sloan School of Management, 2004.Includes bibliographical references (leaves 126-129).
This thesis consists of three chapters of independent but related work that investigate theoretically and empirically the organizational forms of delegated portfolio management. The first chapter proposes a theory of the organizational forms of investment vehicles based on adverse selection. Investors delegate the management of a pool of assets to an agent because of her superior but privately known ability. To tell managerial types apart, investors design compensation contracts that allow them to screen between managers of different abilities. We demonstrate that such a separation is possible in equilibrium when the proposed form of investment vehicle offers to investors debt and equity claims, such as a collateralized debt obligation. This organizational form will attract managers of high ability. Instead, lower ability managers will choose to manage structures that offer pure equity claims to investors, such as closed end funds, an organizational form arising only in a pooling equilibrium. The second chapter builds upon Chapter 1 and extends the theoretical framework to analyze the organizational determinants of equity structures such as open-end funds, closed-end funds and hedge funds. The analysis determines conditions for which each type of structure will arise in equilibrium. We show that managers will self select and choose a hedge fund structure when their investment skills exceed a minimum level. Managers below that threshold level will choose to manage either a closed-end or an open-end fund. The decision to open or close a fund does not only depend on managerial ability but also on the liquidity of the underlying assets. As such, it might well be the case that the decision to open a fund, given prior beliefs of low managerial ability,
(cont.) is reversed because of the high costs of liquidations when unexpectedly unwinding the positions. The third chapter is joint work with Ilan Guedj. We examine whether mutual fund families affect the performance of the funds they manage. From a sample of funds belonging only to large families we find that last year's best performing funds outperform last year's worst performing funds by 58 basis points. We also show that there exists persistence of performance of these funds inside their respective families. Supporting these findings, we also show that the better performing funds in a family have a higher probability of being allocated more managers, one of the main resources available. This is consistent with the view that fund families allocate resources in proportion to fund performance and not fund needs.
by Ioanna Papastaikoudi.
Ph.D.
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Fonseca, Raquel João. „International portfolio management under uncertainty“. Thesis, Imperial College London, 2011. http://hdl.handle.net/10044/1/7115.
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Although the consideration of foreign investments may have a positive impact on the overall market risk of the portfolio through diversi cation, it also adds a new source of uncertainty due to changes in the value of the currency. We investigate portfolio optimization models that account separately for the local asset returns and the currency returns, providing the investor with a full investment strategy. We tackle the uncertainty inherent to the estimation of the parameters with the aid of robust optimization techniques. We show how, by using appropriate assumptions regarding the formulation of the uncertainty sets, the original non-linear and non-convex models may be reformulated as second order cone or as semide nite programs. Additionally to the guarantees provided by robust optimization, we consider the use of hedging instruments such as forward contracts and options. The proposed hedging strategies are implemented from a portfolio perspective, and therefore do not depend on the individual value or behavior of any particular asset or currency. Hedging decisions are taken at the same time as investment decisions in a holistic approach to portfolio management. While dynamic decision making has traditionally been represented as scenario trees, these may become severely intractable and di cult to compute with an increasing number of time periods. We present an alternative approach to multiperiod international portfolio optimization based on an a ne dependence between the decision variables and the past returns. We add to our formulation the minimization of the worst case value-at-risk and show the close relationship with robust optimization. The proposed theoretical framework is supported by various numerical experiments with simulated and historical market data demonstrating its potential bene ts.
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Corbett, Adam James. „Essays on equity portfolio management“. Thesis, The University of Sydney, 2014. http://hdl.handle.net/2123/12922.
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Essays on Equity Portfolio Management This dissertation contains three essays involving empirical research in the area of equity portfolio management. Specifically, two of the essays contribute to the existing funds management literature by examining issues concerning portfolio performance evaluation and asset allocations. These being, equity fund benchmark mismatching, and equity fund industry allocations during the Australian mining boom. The third essay investigates issues relating to socially responsible investing. The first essay uses Australian equity fund data to examine the appropriateness of equity funds’ self-reported benchmarks. Given the lack of regulation surrounding the benchmarking of Australian managed funds and the absence of publicly available equity style indices, this essay explores if fund benchmarks are able to adequately capture passive investment styles and whether funds are better suited to alternative benchmarks. This essay further explores if funds with inappropriate benchmarks are able to outperform relatively, on account of the strategic nature of managers to report underperforming benchmarks, and whether this influences asset flows. The final essay of this dissertation provides a measure for the value of this non-financial satisfaction that accrues to individuals from investing in a socially responsible manner. This non-financial benefit is referred to as the “psychic dividend” of SRI. Previous studies attempt to quantify this value as the difference in certainty equivalent returns of SRI and non-SRI portfolios. This chapter extends the definition of certainty equivalence to consider constant relative risk aversion and loss aversion.
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Spachis, Alexandra Sofia Evangelia. „Optimal stopping for portfolio management“. Thesis, Imperial College London, 2013. http://hdl.handle.net/10044/1/33134.
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This thesis is concerned with the modelling and algorithmic development of a Stopping Rule Problem (SRP) in the area of Portfolio Management. More specifically, the objective is to provide an exit strategy for an invested portfolio containing one or more assets. The exit strategy aims to protect gains in addition to limiting losses. The thesis focuses on the investment/disinvestment in the portfolio and is not concerned with the composition of the portfolio. A new Finite Horizon SRP, referred to as the Portfolio Management Problem (PMP), has been proposed that allows future scenarios to be considered in the optimisation of the exit time. The PMP aims at maximizing the expected reward of a Portfolio Manager (PM) through an optimal policy. A Dynamic Programming approach is proposed and the DP algorithm developed is capable of solving real-life problems for short- and long-term trades. The applicability of the PMP is limited to cases where no constraints have been imposed by the PM. In view of adding more realism into the model, a Stop Loss and Target Return has been encapsulated in the formulation of the PMP model and thus, in the optimisation of the exit time. The impact of the model with enhanced managerial capabilities, is a better control of the maximum drawdown which restricts the risk of investment, influencing positively metrics of performance. An efficient tradeoff between computational time and size of problem solved has been developed. The final part of this thesis focuses on a PMP which takes into consideration in a dynamic way the new market information for the determination of the optimal policy for assets exhibiting Mean-reversion (MR). This has been achieved through the insertion of a MR Rule specifically developed for the PMP which quantifies future tendencies of the asset prices based on its varying average. An algorithm dealing with the further additional memory requirements has been developed, capable of solving problems of size identical to the original PMP.
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BACK, OLIVER, und EMIR ISAKOVIC. „Agile Project Portfolio Management Challenges“. Thesis, KTH, Industriell ekonomi och organisation (Inst.), 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-236485.
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Globalization allows companies to reach a larger customer base and to focus on niche markets, driving specialization. Conversely, it also lets customers choose from a wider array of options on any given market, which all together leads to increased competition. Such global scale competition is straining profitability and urges companies to innovate both strategy and operations in search of competitive advantages. The ensuing increased rate of change has placed an emphasis on achieving flexibility to ensure alignment with market needs, with companies successful in quick modifications flourishing even in face of unpredictable and unceasing turbulence. The trend toward increasing turbulence is acutely experienced by the automotive industry. Due to the commoditization of hardware in light of digitalization, the automotive industry is undergoing a shift in profitability toward software. The adaptation of strategy to the market is vital to survival, which in turn means that the operationalization of the strategy is crucial. One way to actualize the strategy is through project portfolio management (PPM). As corporate strategy and project portfolios are tightly connected, PPM is essential to implementing the strategy. It is of interest to study the flexible qualities of PPM in an individual industry moving from stable to turbulent, in order to gain insight into the challenges of that industry. The flexible properties of PPM in the automotive industry is thus of utmost importance to the survival of companies. The built-in flexibility of PPM is however not always enough and there is an increasing interest in agile PPM (APPM). So far, there is little advancement on the topic of APPM, and the need for further understanding is obvious with consideration to recent market developments, especially in the automotive industry. This thesis has employed a single case study to understand what challenges traditional companies in the automotive industry face when trying to become more agile in their project portfolio management in order to align their organization around agile practices on the team level and increase responsiveness to external changes. Adopting an abductive approach, empirical data was collected using interviews, observations, documents as well as a survey. The results of this study are twofold. Firstly, an exhaustive mapping of a major automotive company’s PPM process is presented. Secondly, this mapping is utilized to establish what PPM processes could be made more agile and what the main challenges are.Globalisering möjliggör för företag att utöka sin kundbas och fokusera på nischmarknader, vilket driver specialisering. Kunderna kan samtidigt välja från ett större utbud av alternativ på marknaden som leder till en ökad konkurrens. Sådan global konkurrens bidrar till en lägre lönsamhet och tvingar företag att förnya sin strategi och verksamhet, i jakt på konkurrensfördelar. Den snabba förändringen har ökat kravet på att uppnå flexibilitet för att säkerställa anpassning till marknadens behov, där företag som lyckats med snabba förändringar kan prestera trots oförutsägbar och oupphörlig turbulens. Trenden mot ökad turbulens är tydligt märkbar inom bilindustrin. Allt eftersom differentierbarheten för hårdvara minskar i ljuset av digitalisering, pågår en förskjutning av lönsamheten mot mjukvara inom bilindustrin. Anpassning av strategin till marknaden är avgörande för överlevnad, vilket i sin tur innebär att strategins operationalisering är avgörande. Ett sätt att realisera strategin är genom hantering av projektportföljen (PPM). Eftersom företagsstrategi och projektportföljer är tätt sammankopplade, är PPM viktigt för att uppnå strategiska mål. PPM:s flexibla egenskaper inom bilindustrin är således av största vikt för företagens överlevnad. Det är intressant att studera flexibla egenskaper inom PPM i en stabil bransch som är under förändring för att få insikt i utmaningarna som branschen står inför. Den inbyggda flexibiliteten hos PPM är dock inte alltid tillräcklig och det finns ett ökande intresse för agil PPM (APPM). Hittills finns det få framsteg på APPM-området och behovet av ytterligare kunskap är uppenbart med tanke på den senaste marknadsutvecklingen, särskilt inom bilindustrin. I denna avhandling används en enskild fallstudie för att förstå vilka utmaningar som traditionella företag inom bilindustrin står inför när de försöker bli mer agila i sin projektportföljshantering, för att kunna linjera företaget kring agila rutiner på teamnivå och öka responsförmågan gentemot externa förändringar. Genom att utnyttja ett abduktivt tillvägagångssätt samlades empiriska data in med hjälp av intervjuer, observationer, dokument samt en enkätundersökning. Resultatet av denna studie är tvåfaldigt. Först och främst presenteras en uttömmande kartläggning av ett omfattande bilföretags PPM-process. Sedan används denna kartläggning för att fastställa vilka PPM-processer som kan göras mer agila och vilka huvudsakliga utmaningar som finns i samband med detta.
20
Punz, Michael. „Essays on delegated portfolio management“. Thesis, London School of Economics and Political Science (University of London), 2017. http://etheses.lse.ac.uk/3558/.
Annotation:
This thesis studies how financial market outcomes are affected by the reputational concerns of fund managers. The first chapter presents a model in which a fund manager trades in an environment with uncertain market liquidity. The fund manager trades off expected profits in the initial period and learning relating to the investment strategy in the successive period. Surprisingly, the indirect incentives do not cause the manager to focus on short-term returns to impress investors but result in a behaviour that may be described as inefficient "long termism". The model may help explain empirical puzzles such as the limits of arbitrage, the convex flow-performance relationship and the excessive trading of fund managers. The second chapter focuses on the asset pricing implications of fund flows motivated by past performance. By investing in an out-performing asset, fund managers can improve their reputations and therefore experience inflows of money into their funds. In my model, the value of a fund manager’s reputation is state dependent. In the case of an inefficient asset management market, I show that asset prices are increasing in their beta. Furthermore, the asset price depends on asset supply in my model. The third chapter analyses the size of the active management sector in a model where fund managers have reputational concerns. I show that the size of the active management sector depends on the skill of the fund managers in the sector in a non-monotone manner. The asset choices of fund managers are influenced by reputational concerns, and the information revelation of the skill of the individual fund managers depends on market outcomes. The model predicts that the amount of money invested in the active management sector may shrink sharply following rare events.
21
Antonov, Andriy <1995>. „Climate Risk in Portfolio Management“. Master's Degree Thesis, Università Ca' Foscari Venezia, 2021. http://hdl.handle.net/10579/19994.
Annotation:
The risk climate change poses to the economy is evident, however not all firms will be impacted homogeneously. This thesis aims to identify whether climate indicators, particularly those related to emissions and energy use, are reflected in the financial performance of the entities. Several portfolios of global stocks are constructed based on their climate credentials. The financial performance and characteristics of these portfolios are then compared with the aim to identify a relationship, if any, between key financial and key climate indicators.
22
Parviainen, A. (Antti). „Product portfolio management requirements for product data management“. Master's thesis, University of Oulu, 2014. http://urn.fi/URN:NBN:fi:oulu-201409021800.
Annotation:
In large organisations today the amount of products is numerous and it is challenging for senior management to have proper control and understanding over all products. As the product is the most important aspect for an organisation to consider, senior management must have ability to manage investments on products and follow development of product related indicators. Managing products as investment on portfolio level, where products are divided into a limited amount of portfolios is a solution for achieving decent control over product investments on senior management level.
Product portfolio management is decision making oriented, where the goal is to make the best possible strategic and financial decisions when allocating constraint resources across the entire product portfolio. The product portfolio management aims to increase strategic fit of chosen new product projects, balance in product portfolio and maximizing value of the products. The product portfolio management is constantly ongoing, cross-functional decision making function which is present in all lifecycle states of the portfolios.
In this research the product portfolios are seen as investments for mainly internal use of a decision making process. The product portfolios are items that are embodied into the case company’s product data management system and the product portfolios have own lifecycle states. Approach in this research is constructive, where a current state of the case company is analysed and based on the analysis and the literature review a construction is established. The Research questions are:
1) What are the required product structures in product data management systems to support product portfolio management practices?
2) What are the information elements and their lifecycle states and what they should be in product data management systems to support product portfolio decisions?
Results of this research are the current state analysis committed in the case company and the construction of product portfolio management structure and lifecycle states. In the construction a portfolio package is defined. The portfolio package is the item used for embodying portfolios into the information systems. An information model for implementing the portfolio packages into the product data management system is introduced. The construction also presents product structure for implementing the portfolio package into the product data management system. Relation of lifecycle states between the portfolio package and other items in a product hierarchy is assessed in a nested lifecycle model. Two models, required and recommended, are suggested for the company to consider for managing the lifecycle of the portfolio package item. All the results are validated from several perspectives.
23
So, Yuk-ming Theresa. „A practical approach to portfolio management /“. Hong Kong : [University of Hong Kong], 1985. http://sunzi.lib.hku.hk/hkuto/record.jsp?B12316714.
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Dzikevičius, Audrius. „Trading portfolio risk management in banking“. Doctoral thesis, Lithuanian Academic Libraries Network (LABT), 2006. http://vddb.library.lt/obj/LT-eLABa-0001:E.02~2006~D_20060404_150317-58493.
Annotation:
The scientific problem of the dissertation is search of adequacy of the trading portfolio risk management methods and models to the current economic, technological, and informational circumstances of financial institutions. The main features of science novelty characteristic to this research are the following: (i)the comparative study on Value at Risk estimation methods allowed to make important theoretic conclusion that selection of Value at Risk estimation methods depends mostly on characteristics of the portfolio under investigation; theoretic recommendations regarding selection of Value at Risk estimation methods were suggested as well; (ii) the comparative study on performance of volatility forecasting models allowed to make important theoretic conclusion that selection of Value at Risk estimation methods depends on characteristics of the data under investigation and selected criteria for assessment of forecasting accuracy; in the context of risk management, the priority was given to operational rather than statistical accuracy assessment techniques in the context of risk management; (iii)the comparative study on risk adjustment measures allowed making important theoretic conclusion that selection of risk adjustment measures depends mostly on characteristics of the portfolio under investigation; theoretic recommendations regarding selection of risk adjustment measures were suggested as well.Sparčiai kintant finansinių institucijų veiklos sąlygoms, didėjant finansinių rinkų nepastovumui bei apimčiai, atsirandant vis naujoms finansinėms priemonėms, o kartu su jomis ir naujoms finansinių institucijų rizikos rūšims, ypač išaugo prekybinio portfelio rizikos valdymo poreikis. Prekybinio portfelio rizikos valdymas tampa vis aktualesnis ir Lietuvos finansinėms institucijoms, ypač investicinių bei pensijų fondų valdytojams, investuojantiems į užsienio vertybinius popierius, denominuotus kitomis valiutomis nei litai ar eurai. Prekybinio portfelio rizikos valdymas yra labai aktuali tema ir atskirų šalių centriniams bankams bei tarptautinėms finansų sistemos priežiūros institucijoms.
25
Eftekhari, Babak. „Essays on risk and portfolio management“. Thesis, University of Cambridge, 1997. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.363958.
26
Liu, Cheng-Wei. „Portfolio Management - Project Selection & Prioritisation“. Thesis, University of Canterbury. Engineering Management, 2012. http://hdl.handle.net/10092/7456.
Annotation:
Selecting the right project is critical for an organisation's success because resources are limited. From an economics perspective, the loss in opportunity for an organisation in doing the wrong project is expensive. This investment can be used for doing the right project for achieving competitive advantage and implementing business strategies. As a result, there are many frameworks with techniques and tools available in the literature for assisting organisations in project selection and prioritisation. All techniques or tools have their own advantages and disadvantages and these frameworks do not fit “one for all”. The framework can be business specific; therefore it is necessary to understand what the targeted industry considers as the “best practice”.
27
So, Yuk-ming Theresa, und 蘇鈺明. „A practical approach to portfolio management“. Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1985. http://hub.hku.hk/bib/B31263409.
28
Pelizzon, Loriana. „Bank portfolio management and regulatory policies“. Thesis, London Business School (University of London), 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.271455.
29
Norvell, Joakim. „Statistical forecasting and product portfolio management“. Thesis, Umeå universitet, Institutionen för matematik och matematisk statistik, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-116866.
Annotation:
For a company to stay profitable and be competitive, the customer satisfaction must be very high. This means that the company must provide the right item at the right place at the right time, or the customer may bring its business to the competitor. But these factors bring uncertainty for the company in the supply chain of when, what and how much of the item to produce and distribute. For reducing this uncertainty and for making better plans for future demand, some sort of forecasting method must be provided. A forecast can however be statistically based and also completed with a judgmental knowledge if the statistics are not sufficient. This thesis has been done in cooperation with the Sales and Operations (S&OP) department at Sandvik Mining Rock Tools in Sandviken, where a statistical forecast is currently used in combination with manual changes from sales. The forecasts are used as base for planning inventory levels and making production plans and are created by looking at the history of sales. This is done in order to meet market expectations and continuously be in sync with market fluctuations. The purpose with this thesis has been to study the item- customer combination demand and the statistical forecasting process that is currently used at the S&OP department. One problem when creating forecast is how to forecast irregular demand accurately. This thesis has therefore been examining the history of sales too see in what extent irregular demand exists and how it can be treated. The result is a basic tool for mapping customers' demand behavior, where the behavior is decomposed into average monthly demand and volatility. Another result is that history of sales can get decomposed into Volatility, Volume, Value, Number of sales and Sales interval for better analysis. These variables can also be considered whenever analyzing and forecasting irregular demand. A third result is a classification of time series working as a guideline if demand should be statistically or judgmentally forecasted or being event based. The study analyzed 36 months history of sales for 56 850 time series of item- customer specific demand. The findings were that customers should have at least one year of continuous sales before the demand can be entirely statistically forecasted. The limits for demand to even be forecasted, the history of sales should at least occur every third month in average and contain at least six sales. Then the demand is defined as irregular and the forecast method is set to judgmental forecasting, which can be forecasted using statistical methods with manual adjustments. The results showed that the class of irregular demand represents approximately 70 percent in the aspect of revenue and therefore requires attention.För att ett företag ska kunna vara lönsamt och konkurrenskraftigt måste kundnöjdheten vara mycket hög. Detta betyder att ett företag måste kunna förse rätt produkt i rätt tid på rätt plats, annars kommer kunden troligtvis att vända sig till konkurrenten. Men dessa faktorer kommer med osäkerhet för företaget i försörjningskedjan i när, vad och hur mycket av produkten de ska producera och distribuera. För att minska osäkerheten och för att planera bättre för framtida efterfrågan, måste någon typ av prognos upprättas. En prognos kan vara baserad på statistiska metoder men också kompletterad med subjektiv marknadsinformation om statistiken inte är tillräcklig. Studien som denna rapport beskriver är gjord i samarbete med Sales och Operations- avdelning (S&OP) på Sandvik Mining Rock Tools i Sandviken. Där används statistiska prognoser i kombination med manuella förändringar av säljare samt regionala planerare som bas för planering av lagernivåer och produktion. Detta gör man för att möta marknadens efterfråga och för att kontinuerligt vara uppdaterad med marknadens variationer. Syftet med detta arbete har varit att studera kunders efterfrågan av produkt- kund kombination och den metod som används vid statistiska prognoser hos S&OP- avdelningen. Ett problem som finns när man vill skapa prognoser är hur man ska prognostisera oregelbunden försäljning korrekt. Detta arbete har därför analyserat historisk försäljning för att se i vilken utsträckning oregelbunden efterfrågan finns och hur den kan hanteras. Resultatet är ett enkelt verktyg för att kunna kartlägga kunders köpbeteende. Ett till resultat är att historisk försäljning kan bli uppdelat i Volatilitet, Volym, Värde, Antalet köptillfällen och Tidsintervallet mellan köptillfällena. Dessa variabler kan även tas till hänsyn när man analyserar och prognostiserar oregelbunden försäljning. Ett tredje resultat är en klassificering av tidsserier som kan fungera som riktmärken om efterfrågan ska vara statistisk eller manuellt prognostiserade eller inte bör ha en prognos över huvud taget. Denna studie analyserade 36 månaders historik för 56 850 tidsserier av försäljning per produkt- kund kombination. Resultaten var att en kund bör ha åtminstone ett år av kontinuerlig efterfrågan innan man kan ha en prognos med statistiska modeller. Gränsen för att ens ha en prognos är att efterfrågan bör återkomma var tredje månad i genomsnitt och ha en historik av åtminstone sex försäljningstillfällen. Då klassificeras efterfrågan som oregelbunden och prognosen kan vara baserad på statistiska metoder men med manuella ändringar. I resultatet framkom det att oregelbunden efterfrågan representerar cirka 70 procent i avseende på intäkter och kräver således mycket uppmärksamhet.
30
Bergling, Fredrik. „Applications of Quantiles In Portfolio Management“. Thesis, Uppsala universitet, Tillämpad matematik och statistik, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-355367.
31
Otto, Hans-Philipp. „Portfolio optimization : equally weighting strategies vs. index investing vs. efficient frontier portfolios : an empirical analysis“. Thesis, Stellenbosch : Stellenbosch University, 2012. http://hdl.handle.net/10019.1/95621.
Annotation:
Thesis (MBA)--Stellenbosch University, 2012.This research report is conducted in the field of portfolio optimization. Regarding the existing literature this research paper is set in context of the academic discussion triggered by DeMiguel, Garlappi and Uppal (2009) concerning the perfomance of the naïve investment strategy in comparison to optimized portfolios and extended by the indexing approach. Therefore, it investigates on the question whether the naïve investment strategies outperform the strategy of index investing as well as the minimum and mean variance portfolios in the investment horizon of the EURO STOXX 50 in the timeframe from 03.01.2003 to 02.07.2010. Outperforming is defined via the following measurements, namely return, variance, Sharpe ratio, value at risk, certainty equivalent return and turnover rate. In addition, modifications of the investment strategies are applied such as the rebalancing of the naïve investment strategy and different scenarios are included such as the consideration of transaction costs and costs of index investing as well as the usage of two different data frequencies in order to conduct the robustness test. The two main measurements Sharpe ratio and value at risk are verified regarding their explanatory power by the usage of the robust inference method for the bootstrapping of the Sharpe ratio and the Jarque-Bera test for the normal distribution required for the value at risk measurement. The research in this paper is conducted through MATLAB which is a numerical computing environment and fourth-generation programming language. The aggregated outcome of this research paper in regard to the respective timeframe and investment horizon is that in the main scenario which is based on weekly input data the minimum variance investment strategy outperforms all other investment strategies consistently in all measurements except for the turnover which is compensated by consistent results in case of inclusion of transaction costs and costs of index investing. Furthermore, the rebalanced naïve investment strategy and the index investing strategy share the second place with a slight advantage in the overall perspective for the rebalanced naïve investment strategy as it dominates the index investing strategy in regard of return, Sharpe ratio and certainty equivalent return while it is only outranked by the index investing strategy in the risk related measurements variance and value at risk. All other investment strategies underperform their peers.
32
Musilika, Oskar. „Long term portfolio construction“. Master's thesis, University of Cape Town, 2016. http://hdl.handle.net/11427/20977.
Annotation:
Financial analyst commonly advice individual investors with a long investment horizon to invest in portfolios comprised more of equities. This advice is usually coupled with the practice of shifting the investor's portfolio from risky asset holdings towards bonds and cash as the investor's target date gets closer. This view rests on the notion that equities tend to be less risky over the long horizon and that stock returns exhibit mean reversion overtime. The purpose of this dissertation is to find the optimal asset allocation over various investment horizons; and investigate how the optimal asset allocation changes over the long investment horizon. The study uses data from South Africa's financial market covering the period December 2001 to December 2014. The mean - variance framework generated the optimal asset allocation over 12 investment horizons. The study finds that, over 90 percent of the portfolio should be vested into fixed - income South African bonds, with little over 5 percent equities allocation, over longer investment periods. In addition, the study found evidence of time diversification on the JSE all shares index and the presence of mean reversion properties for the all s hares index. With these conclusions, implications and recommendations are suggested
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Adams, Albert Bala Eric Minner William Woodland Thomas. „Defense portfolio analysis“. Monterey, California : Naval Postgraduate School, 2009. http://handle.dtic.mil/100.2/ADA501278.
Annotation:
"Submitted in partial fulfillment of the requirements for the degree of Master of Science in Program Management from the Naval Postgraduate School, June 2009."Advisor(s): Franck, Raymond E. ; Mun, Johnathan. "June 2009." "Joint applied project"--Cover. Joint authors: Adams, Albert ; Bala, Eric ; Minner, William ; Woodland, Thomas. Description based on title screen as viewed on July 14, 2009. DTIC Identifier(s): Portfolio Analysis, EMV(Estimated Military Value). Author(s) subject terms: Portfolio Analysis, Portfolio Management, Markowitz Efficient Frontier, Risk Simulation, Risk Modeling, Real Options Valuation, Strategic Planning, Decision Support Analysis. Includes bibliographical references (p. 67-69). Also available in print.
34
Dieffenbacher, Jason W. „Managing portfolios of complex systems with the portfolio-level epoch-era analysis for affordability framework“. Thesis, Massachusetts Institute of Technology, 2018. http://hdl.handle.net/1721.1/118552.
Annotation:
Thesis: S.M. in Engineering and Management, Massachusetts Institute of Technology, System Design and Management Program, 2018.Cataloged from PDF version of thesis.
Includes bibliographical references (pages 231-237).
The effects of Sequestration on U.S. Defense spending in the mid-2010s serve as a reminder that complex defense weapons systems are funded by a finite budget. These defense systems have become increasingly complex over time, and with that complexity has come substantial cost. The ability to afford those systems, many of whose burgeoning lifecycle costs have far exceeded initial estimates, has been strained. The Nunn-McCurdy Act is the means of notifying Congress of cost overruns in major defense development programs, and often sets in motion program terminations. But it is, however, an incomplete means of managing a portfolio of systems. It addresses affordability, but does not assess the utility of the subject assets to the stakeholders, either as standalone assets or as part of a synergistic collection. Utility-at-cost provides a more useful figure of merit that can be evaluated objectively and unemotionally, not just in a static context, but over a range of possible future contexts-and not only for a single system, but also a collection of disparate systems and systems of systems. The Portfolio-Level Epoch-Era Analysis for Affordability (PLEEAA) method (Vascik, Ross, and Rhodes, 2015, 2016) builds upon established analytical techniques including Multi-Attribute Tradespace Exploration, Epoch-Era Analysis, and the Responsive Systems Comparison framework. It notably introduced elements of Modern Portfolio Theory, which hitherto were constrained to portfolios of financial assets like stocks and bonds. This research illustrates the general applicability of PLEEAA by exploring two case studies, the U.S. Air Force airborne Intelligence, Surveillance and Reconnaissance portfolio, and the U.S. space-based geospatial intelligence portfolio inclusive of both government-owned and commercial assets. On the whole, these case studies are "top-down" in nature, levying emerging and potentially disruptive technologies on the asset mix. A more rigorous analytical method would be to conduct the "bottom-up" or "as-is" case using only established assets, and compare the two results. Such an approach could illustrate the incremental and potentially synergistic behavior of new assets introduced to the portfolio design problem.
by Jason W. Dieffenbacher.
S.M. in Engineering and Management
35
Grant, Peter. „Developing risk management strategies for stock market investment portfolio management“. Thesis, Port Elizabeth Technikon, 2004. http://hdl.handle.net/10948/215.
Annotation:
This study was conducted to establish whether risk management strategies could be developed to enable stock market investment portfolio managers to reduce the risk involved in stock market trading. The awareness of stock market risk elevates the requirement for risk management strategies as discussed in Chapter 1. The research scope is identified, and an overview of the study gives further guidance as to what lies ahead. The theory behind macroeconomic forces and how they influence share prices is discussed in Chapter 2. It is established that market sectors and companies within those sectors react differently to macroeconomic forces. Technical analysis is discussed as a mechanism to identify buying and selling signals. In Chapter 3, risk management strategies are developed from the literature. The hypothesis of the study as described in Chapter 4 is that these risk management strategies are able to reduce the risk associated with trading in the stock market. The market simulation in Chapter 5 offers the opportunity to observe the risk management strategies at work in a simulated stock market investment portfolio. In Chapter 6, the outcome of the market simulation is compared to the criteria set in Chapter 4, and the conclusion that the risk management strategies were able to reduce the risk involved in stock market trading is drawn.
36
Huang, Jennifer 1973. „Portfolio choices with taxes“. Thesis, Massachusetts Institute of Technology, 2003. http://hdl.handle.net/1721.1/29616.
Annotation:
Thesis (Ph. D.)--Massachusetts Institute of Technology, Sloan School of Management, 2003.Includes bibliographical references (p. 129-130).
I analyze the intertemporal portfolio problem of an investor who has access to both taxable and tax-deferred (retirement) accounts. In a complete-market setting, through a tax-arbitrage argument, I show that tax-deferred accounts have only a wealth effect on overall portfolio decisions through the effective tax subsidy provided, and the optimal location decision of where to place an asset is separable from the allocation decision of overall portfolio composition among different assets. Investors optimally hold only the asset that provides the highest effective tax subsidy in their tax-deferred accounts, and their optimal portfolio allocation is determined by reducing the two-account problem to a taxable-account-only problem with the wealth level adjusted for tax subsidies. I also provide heuristic rules to rank assets by their corresponding effective tax subsidies for application purposes. In incomplete markets when investors face borrowing and short-selling constraints, I first solve a reduced-form version of the general model to provide conditions under which the complete-market optimal location decision of preferring the higher-taxed assets in the tax-deferred account is violated, and derive analytical solutions for the optimal portfolio allocation by transforming the two-account problem into a mixture of two single-account problems (one with only a taxable account and one with only a tax-deferred account). For financial planning purposes, I also derive convenient "rules of thumb" to approximate theoretical results. I finally solve a version of the general model numerically both to access the performance of heuristic rules in approximating the optimal portfolio decisions, and to quantify the impact of tax-deferred investing on individual saving decisions.
by Jennifer Huang.
Ph.D.
37
Herbertsson, Alexander. „Pricing portfolio credit derivatives“. Göteborg : Göteborg University, 2007. https://gupea.ub.gu.se/dspace/bitstream/2077/4731/1/Herbertsson%20avhandl.pdf.
38
Wendin, Jonathan Erik Purvis. „Bayesian methods in portfolio credit risk management“. Zürich : ETH, 2006. http://e-collection.ethbib.ethz.ch/ecol-pool/diss/abstracts/p16481.pdf.
39
Mårtensson, Jonathan. „Visualisation of Risk Level in Portfolio Management“. Thesis, Uppsala University, Department of Mathematics, 2005. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-121375.
40
Ahn, Chan. „Robust risk management of portfolio of derivatives“. Thesis, Imperial College London, 2006. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.429620.
41
Chan, Kwei-sang, und 陳貴生. „Hongkong stock index future and portfolio management“. Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1989. http://hub.hku.hk/bib/B31264232.
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Wong, Kwok-chuen, und 黃國全. „Mean variance portfolio management : time consistent approach“. Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2013. http://hdl.handle.net/10722/196026.
Annotation:
In this thesis, two problems of time consistent mean-variance portfolio selection have been studied: mean-variance asset-liability management with regime switchings and mean-variance optimization with state-dependent risk aversion under short-selling prohibition.
Due to the non-linear expectation term in the mean-variance utility, the usual Tower Property fails to hold, and the corresponding optimal portfolio selection problem becomes time-inconsistent in the sense that it does not admit the Bellman Optimality Principle. Because of this, in this thesis, time-consistent equilibrium solution of two mean-variance optimization problems is established via a game theoretic approach.
In the first part of this thesis, the time consistent solution of the mean-variance asset-liability management is sought for. By using the extended Hamilton-Jacobi- Bellman equation for equilibrium solution, equilibrium feedback control of this MVALM and the corresponding equilibrium value function can be obtained. The equilibrium control is found to be affine in liability. Hence, the time consistent equilibrium control of this problem is state dependent in the sense that it depends on the uncontrollable liability process, which is in substantial contrast with the time consistent solution of the simple classical mean-variance problem in Björk and Murgoci (2010), in which it was independent of the state.
In the second part of this thesis, the time consistent equilibrium strategies for the mean-variance portfolio selection with state dependent risk aversion under short-selling prohibition is studied in both a discrete and a continuous time set- tings. The motivation that urges us to study this problem is the recent work in Björk et al. (2012) that considered the mean-variance problem with state dependent risk aversion in the sense that the risk aversion is inversely proportional to the current wealth. There is no short-selling restriction in their problem and the corresponding time consistent control was shown to be linear in wealth. However, we discovered that the counterpart of their continuous time equilibrium control in the discrete time framework behaves unsatisfactory, in the sense that the corresponding “optimal” wealth process can take negative values. This negativity in wealth will change the investor into a risk seeker which results in an unbounded value function that is economically unsound. Therefore, the discretized version of the problem in Bjork et al. (2012) might yield solutions with bankruptcy possibility. Furthermore, such “bankruptcy” solution can converge to the solution in continuous counterpart as Björk et al. (2012). This means that the negative risk aversion drawback could appear in implementing the solution in Björk et al. (2012) discretely in practice. This drawback urges us to prohibit short-selling in order to eliminate the chance of getting non-positive wealth. Using backward induction, the equilibrium control in discrete time setting is explicit solvable and is shown to be linear in wealth. An application of the extended Hamilton-Jacobi-Bellman equation leads us to conclude that the continuous time equilibrium control is also linear in wealth. Also, the investment to wealth ratio would satisfy an integral equation which is uniquely solvable. The discrete time equilibrium controls are shown to converge to that in continuous time setting.published_or_final_version
Mathematics
Master
Master of Philosophy
43
Zhang, Haifei. „University Technology Transfer and Research Portfolio Management“. Thesis, Harvard University, 2013. http://dissertations.umi.com/gsas.harvard:11038.
Annotation:
University technology transfer is of critical importance to the U.S. innovation economy. Understanding the drivers of technology transfer efficiency will shed light on University research portfolio management. In this dissertation, survey data from The Association of University Technology Managers is analyzed in various aspects to offer a overall understanding of the technology transfer industry, which include University research fund composition, technology transfer office staffing, licenses executed to start-ups, small companies, and large companies, license income composition, legal fee expenditures, new patents applications, provisional patents, utility patents, and non USA patents, invention disclosures, U.S. patents issued, start-ups initiated, and annual averages of U.S. University technology transfer offices. Then, a two-stage technology transfer model based on Data Envelopment Analysis is proposed to address the limitation of the single-stage model. The two-stage model provides the capacity to evaluate the efficiencies of university research and technology transfer office separately and also as a whole, offering better insights for university technology transfer management. Year to year productivity changes are also measured using Malmquist Index. It is found the productivity growth has stemmed primarily from a growth in commercialization by all universities rather than a catching up by the inefficient universities. Finally, technology transfer efficiency and academic reputation is studied for the first time. Counter intuitively, they are not correlated. To further understand University research portfolio management, Modern Portfolio Theory is applied for the first time in this field. University disciplines are categorized into three major disciplines: engineering, physical and mathematical sciences, and biological and life sciences. The risk and return of technology transfer are defined and research portfolio risk-return curve are solved. Then correlation between portfolio balance and technology transfer efficiency are studied. It is found that a balanced portfolio is correlated to technology transfer efficiency, which means Universities can structure its research portfolio to increase technology transfer efficiency.Engineering and Applied Sciences
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Rajapakse, Thiaga Anuradha. „Biopharmaceutical drug development modelling and portfolio management“. Thesis, University College London (University of London), 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.413689.
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Lu, I.-Chen (Jennifer). „Robust portfolio management with multiple financial analysts“. Thesis, Loughborough University, 2015. https://dspace.lboro.ac.uk/2134/18045.
Annotation:
Portfolio selection theory, developed by Markowitz (1952), is one of the best known and widely applied methods for allocating funds among possible investment choices, where investment decision making is a trade-off between the expected return and risk of the portfolio. Many portfolio selection models have been developed on the basis of Markowitz's theory. Most of them assume that complete investment information is available and that it can be accurately extracted from the historical data. However, this complete information never exists in reality. There are many kinds of ambiguity and vagueness which cannot be dealt with in the historical data but still need to be considered in portfolio selection. For example, to address the issue of uncertainty caused by estimation errors, the robust counterpart approach of Ben-Tal and Nemirovski (1998) has been employed frequently in recent years. Robustification, however, often leads to a more conservative solution. As a consequence, one of the most common critiques against the robust counterpart approach is the excessively pessimistic character of the robust asset allocation. This thesis attempts to develop new approaches to improve on the respective performances of the robust counterpart approach by incorporating additional investment information sources, so that the optimal portfolio can be more reliable and, at the same time, achieve a greater return.
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PERLINGEIRO, ALEXANDRE GASTELITURRE. „THE PROCESS OF SUCCESSFUL ACTIVE PORTFOLIO MANAGEMENT“. PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2001. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=1939@1.
Annotation:
COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOREsta dissertação mostra o processo de um gerenciamento ativo de carteiras de sucesso. Basicamente, existem duas etapas neste processo: achar uma informação superior (melhor do que a de consenso de mercado, alto valor de IR e valor positivo de IC) e implementa-la de forma eficiente em carteiras. Durante o período de 1997 á 2000, o momentum foi verificado como uma informação superior. Historicamente, as ações que tem a característica momentum são ações que superaram o mercado nos últimos 12 meses e continuam a manter esta performance nos próximos meses. Depois, utilizando a análise de informação foi possível verificar que esta informação superior adicionava valor ao processo de investimento. Após identificar a informação superior, uma fórmula básica de previsão desenvolvida por Grinold (1994) foi sugerida para transformar a informação bruta em previsão de retorno. Os parâmetros desta formula são ajustados para uma escala correspondente à informação contida na previsão bruta. Finalmente, com a previsão de retorno três técnicas de construção de carteiras (estratificação, janelas e programação quadrática) foram utilizadas. Depois, para cada técnica de construção a performance foi medida nos períodos a fim de identificar qual dos métodos foi mais consistente ao longo do tempo.
This dissertation shows the process of successful active portfolio management. Basically, it has two key elements: finding superior information (better than consensus, high information ratio and positive information coefficient) and efficiently building portfolios based on that information. During the period from 1997 to 2000, the momentum was the superior information. Historically, momentum represents stocks outperforming the market over 12 months and have continue their performance into the next several months. Then using information analysis, it was possible to verify that this superior information add value to the investment process. After identifying the superior information, a basic forecast formula developed by Grinold (1994) was suggest to transform raw information into refined forecast. The outputs of this formula are in the form and units of exceptional return adjusted for the information content of the raw forecast. Finally, with the refined information three techniques for portfolio construction (stratification, screen and quadratic programming) were applied based on this information. Next, for each technique the portfolio performance was track over the period in order to find a consistent technique over time.
Esta disertación muestra el proceso de gerenciamiento activo de carteras de suceso. Básicamente, existen dos etapas en este proceso: buscar una información superior (mejor que la de consenso de mercado, alto valor de IR y valor positivo de IC) e implementarla de forma eficiente en carteras. Durante el período de 1997 al 2000, el momentum fue verificado como una información superior. Históricamente, las acciones que tiene la característica momentum son acciones que superaran el mercado en los últimos 12 meses y continúan a mantener ese comportamiento en los próximos meses. Utilizando análisis de información, fue posible verificar que la información extra adicionava valor al proceso de inversión. Después de identificar la información superior, se sugiere una fórmula básica de previsión desarrollada por Grinold (1994) para transformar la información bruta en previsión de retorno. Los parámetros de esta fórmula son ajustados para una escala correspondiente a la información contenida en la previsión bruta. Finalmente, con la previsión de retorno, se utilizaron tres técnicas de construcción de carteras (estratificación, ventanas y programación cuadrática). Después, para cada técnica de construcción, se mide la performance en los períodos con el objetivo de identificar cual de los métodos fue más consistente a lo largo del tiempo.
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BOUERI, ADRIANA MARIA RIBEIRO. „ACTIVE PORTFOLIO MANAGEMENT BASED IN PENSION FUNDS“. PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2002. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=2781@1.
Annotation:
COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIORMuitos dos trabalhos em finanças, como os que envolvem modelos financeiros,concentram-se na busca de formas de rejeitar as suposições sobre as quais estes se baseiam. Contudo, uma questão importante, é verificar se um determinado modelo supera ou é superado pelas alternativas existentes.Assim foi feito nesta pesquisa, que tem como objetivo principal mostrar que o gerenciamento ativo de carteiras dos fundos de pensão, com todas as limitações constantes em sua legislação cria valor, se comparado ao gerenciamento passivo. Ou seja, o gerenciamento ativo supera o gerenciamento passivo de carteiras.Basicamente, neste trabalho são apresentadas as limitantes presentes na legislação dos fundos de pensão e metodologias para a construção de carteiras.A carteira passiva foi construída segundo os conceitos presentes no algoritmo de Elton, Gruber e Padberg.A carteira ativa foi construída segundo um processo proposto por Grinold e Kahn de transformar sinais / informações em alphas / previsões.Para a segunda etapa do processo de geração de uma carteira ativa foram utilizadas três técnicas de construção de carteiras: a metodologia das janelas; a metodologia da estratificação; e a metodologia de programação quadrática onde foi utilizado o programa AEGIS 3.0 da consultoria BARRA. Após a construção das carteiras uma comparação, entre ambas, valida o objetivo proposto.
Many of the works in finance, as the ones that involves financial models, are concentrated in fetching the forms to reject the assumptions on which these are based.However, an important question is to verify if one specific model surpasses or is surpassed by the other alternatives. Thus, it was made in this work, which main objective is showing that the active pension funds portfolio management, with all those legislation restrictions, creates value when it was compared to the passive management. In other words, the active portfolio management surpasses the passive management. Basically, in this work, we present the restrictions of the pension funds legislation and the methodology of the portfolio construction.The passive portfolio was built according to the concepts presented in the Elton, Gruber and Padberg algorithm. The active portfolio was built according to the process considered by Grinold and Kahn to transform signs / information into alphas / forecasts. For the second step of the process of the portfolio construction, there are three generic classes of procedures that cover the vast majority of institutional portfolio management, that are used: Screens; Stratification; and Quadratic Programming, in which we used AEGIS 3.0 of BARRA consult. After the portfolio construction we match the results to validate the main objective.
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Horrigan, Matthew John 1967. „Portfolio management and deferred maintenance at universities“. Thesis, Massachusetts Institute of Technology, 1999. http://hdl.handle.net/1721.1/80917.
Annotation:
Thesis (S.M.)--Massachusetts Institute of Technology, Dept. of Civil and Environmental Engineering, February 2000.Includes bibliographical references (leaf 134).
by Matthew John Horrigan.
S.M.
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Masoudi, Mohammad Amin. „Robust Deep Reinforcement Learning for Portfolio Management“. Thesis, Université d'Ottawa / University of Ottawa, 2021. http://hdl.handle.net/10393/42743.
Annotation:
In Finance, the use of Automated Trading Systems (ATS) on markets is growing every year and the trades generated by an algorithm now account for most of orders that arrive at stock exchanges (Kissell, 2020). Historically, these systems were based on advanced statistical methods and signal processing designed to extract trading signals from financial data. The recent success of Machine Learning has attracted the interest of the financial community. Reinforcement Learning is a subcategory of machine learning and has been broadly applied by investors and researchers in building trading systems (Kissell, 2020). In this thesis, we address the issue that deep reinforcement learning may be susceptible to sampling errors and over-fitting and propose a robust deep reinforcement learning method that integrates techniques from reinforcement learning and robust optimization. We back-test and compare the performance of the developed algorithm, Robust DDPG, with UBAH (Uniform Buy and Hold) benchmark and other RL algorithms and show that the robust algorithm of this research can reduce the downside risk of an investment strategy significantly and can ensure a safer path for the investor’s portfolio value.
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Bouhakkou, Léa. „Essays on investments, portfolio management and pensions“. Thesis, Paris 10, 2019. http://www.theses.fr/2019PA100134.
Annotation:
Cette thèse étudie la stabilité financière des systèmes de retraite, le financement des retraites ainsi que les stratégies d’allocation de portefeuille optimales pour la gestion de l’épargne retraite. La stabilité financière des systèmes de retraite est une condition nécessaire afin que ces derniers puissent remplir leurs objectifs de redistribution des richesses, d’assurance contre les risques, de lissage de la consommation ainsi que de garantie d’une sécurité financière aux personnes retraitées. Cette thèse met l’accent sur les propriétés de diversification et de hedging intrinsèques au système de retraite par répartition. Le mix optimal entre système de retraite par répartition et système de retraite par capitalisation est abordé dans le cadre d’un modèle stochastique de gestion de portefeuille ; d’abord dans le cadre une modélisation moyenne variance puis dans le cadre d’une modélisation linéaire exponentielle. Des solutions théoriques et estimations empiriques sont présentées pour un échantillon de plusieurs pays couvrant une période allant de 1897 jusqu’à 2016. La dernière partie de la thèse traite des allocations optimales de portefeuille de l’épargne retraite ; deux nouvelles mesures d’évaluation des stratégies de retraites sont introduites. Ces mesures sont construites de façon à pallier aux manquements des mesures d’évaluation déjà existantes dans la littérature. Cette thèse présente plusieurs intérêts à la fois académiques, mais aussi en termes d’investissement et de politique économiqueThis thesis deals with key topics related to the financial sustainability of pension systems, the funding of pensions and finding optimal strategies for the management of retirees’ savings. Pensions schemes need to be financially viable in order to meet their objectives of risk insurance, income redistribution, consumption smoothing and economic safety at old age. The dissertation starts with providing a global view about pension systems and the main challenges that they face as well as the current trends across countries. It then deals with the optimal combination of unfunded Paygo and funded pensions as well as the diversification and hedging properties of the Paygo system. A portfolio choice approach is used to solve for the optimal social security design in a stochastic framework both within a mean variance model and within Bell linear exponential model. The asymmetry and tail risks that are typical of equity markets are captured. Finally, the thesis addresses the issue of the optimal portfolio allocation of retirees’ savings and introduces novel valuation measures designed to assess retirement strategies. With the increase of defined contribution pension arrangements, retirees and their advisors need to make essential decisions about investments and portfolio asset allocation both before and after retirement. The main issue is how to make these decisions optimally. This dissertation sheds light on the importance of diversification when designing pension schemes. This is relevant for both academics and policy makers