Essays on Risk Modeling. Applications to Portfolio and Risk Management (summary section only)

In this thesis we deal with the concept of risk. The objective is to bring together and conclude on some normative information regarding quantitative portfolio management and risk assessment. The first essay concentrates on return dependency. We propose an algorithm for classifying markets into rising and falling. Given the algorithm, we derive a statistic: the Trend Switch Probability, for detection of long-term return dependency in the first moment. The empirical results suggest that the Trend Switch Probability is robust over various volatility specifications. The serial dependency in bear and bull markets behaves however differently. It is strongly positive in rising market whereas in bear markets it is closer to a random walk. Realized volatility, a technique for estimating volatility from high frequency data, is investigated in essays two and three. In the second essay we find, when measuring realized variance on a set of German stocks, that the second moment dependency structure is highly unstable and changes randomly. Results also suggest that volatility is non-stationary from time to time. In the third essay we examine the impact from market microstructure on the error between estimated realized volatility and the volatility of the underlying process. With simulation-based techniques we show that autocorrelation in returns leads to biased variance estimates and that lower sampling frequency and non-constant volatility increases the error variation between the estimated variance and the variance of the underlying process. From these essays we can conclude that volatility is not easily estimated, even from high frequency data. It is neither very well behaved in terms of stability nor dependency over time. Based on these observations, we would recommend the use of simple, transparent methods that are likely to be more robust over differing volatility regimes than models with a complex parameter universe. In analyzing long-term return dependency in the first moment we find that the Trend Switch Probability is a robust estimator. This is an interesting area for further research, with important implications for active asset allocation.

Multiple Perspectives on Networks: Conceptual Development, Application and Integration in an Entrepreneurial Context

Multiple Perspectives on Networks: Conceptual Development, Application and Integration in an Entrepreneurial Context. The purpose of this thesis is to enhance cross-fertilization between three different approaches to network research. The business network approach may contribute in terms of how relationships are created, developed and how tie content changes within ties, not only between them. The social network approach adds to the discussion by offering concepts of structural change on a network level. The network approach in entrepreneurship contributes by emphasizing network content, governance and structure as a way of understanding and capturing networks. This is discussed in the conceptual articles, Articles 2 and 3. The ultimate purpose of this thesis is to develop a theoretical and empirical understanding of network development processes. This is fulfilled by presenting a theoretical framework, which offers multiple views on process as a developmental outcome. The framework implies that change ought to be captured both within and among relationships over time in the firm as well as in the network. Consequently, changes in structure and interaction taking place simultaneously need to be included when doing research on network development. The connection between micro and macro levels is also stressed. Therefore, the entrepreneur or firm level needs to be implemented together with the network level. The surrounding environment impacts firm and network development and vice versa and hence needs to be integrated. Further, it is necessary to view network development not only as a way forward but to include both progression and regression as inevitable parts of the process. Finally, both stability and change should be taken into account as part of network development. Empirical results in Article 1 show support for a positive impact of networks on SME internationalization. Article 4 compares networks of novice, serial and portfolio entrepreneurs but the empirical results show little support for differences in the networks by type of entrepreneur. The results demonstrate that network interaction and structure is not directly impacted by type of entrepreneur involved. It indicates instead that network structure and interaction is more impacted by the development phase of the firm. This in turn is in line with the theoretical implications, stating that the development of the network and the firm impacts each other, as they co-evolve.

Tiering Effects in Third-party Logistics: A First-tier Buyer Perspective

This doctoral dissertation takes a buy side perspective to third-party logistics (3PL) providers’ service tiering by applying a linear serial dyadic view to transactions. It takes its point of departure not only from the unalterable focus on the dyad levels as units of analysis and how to manage them, but also the characteristics both creating and determining purposeful conditions for a longer duration. A conceptual framework is proposed and evaluated on its ability to capture logistics service buyers’ perceptions of service tiering. The problem discussed is in the theoretical context of logistics and reflects value appropriation, power dependencies, visibility in linear serial dyads, a movement towards the more market governed modes of transactions (i.e. service tiering) and buyers’ risk perception of broader utilisation of the logistics services market. Service tiering, in a supply chain setting, with the lack of multilateral agreements between supply chain members, is new. The deductive research approach applied, in which theoretically based propositions are empirically tested with quantitative and qualitative data, provides new insight into (contractual) transactions in 3PL. The study findings imply that the understanding of power dependencies and supply chain dynamics in a 3PL context is still in its infancy. The issues found include separation of service responsibilities, supply chain visibility, price-making behaviour and supply chain strategies under changing circumstances or influence of non-immediate supply chain actors. Understanding (or failing to understand) these issues may mean remarkable implications for the industry. Thus, the contingencies may trigger more open-book policies, larger liability scope of 3PL service providers or insourcing of critical logistics activities from the first-tier buyer core business and customer service perspectives. In addition, a sufficient understanding of the issues surrounding service tiering enables proactive responses to devise appropriate supply chain strategies. The author concludes that qualitative research designs, facilitating data collection on multiple supply chain actors, may capture and increase understanding of the impact of broader supply chain strategies. This would enable pattern-matching through an examination of two or more sides of exchange transactions to measure relational symmetries across linear serial dyads. Indeed, the performance of the firm depends not only on how efficiently it cooperates with its partners, but also on how well exchange partners cooperate with an organisation’s own business.

Pre-eclampsia : The role of soluble VEGF receptor-1 and related anti-angiogenic factors beyond

Pre-eclampsia is a pregnancy complication that affects about 5% of all pregnancies. It is known to be associated with alterations in angiogenesis -related factors, such as vascular endothelial growth factor (VEGF). An excess of antiangiogenic substances, especially the soluble receptor-1 of VEGF (sVEGFR-1), has been observed in maternal circulation after the onset of the disease, probably reflecting their increased placental production. Smoking reduces circulating concentrations of sVEGFR-1 in non-pregnant women, and in pregnant women it reduces the risk of pre-eclampsia. Soluble VEGFR-1 acts as a natural antagonist of VEGF and placental growth factor (PlGF) in human circulation, holding a promise for potential therapeutic use. In fact, it has been used as a model to generate a fusion protein, VEGF Trap , which has been found effective in anti-angiogenic treatment of certain tumors and ocular diseases. In the present study, we evaluated the potential use of maternal serum sVEGFR-1, Angiopoietin-2 (Ang-2) and endostatin, three central anti-angiogenic markers, in early prediction of subsequent pre-eclampsia. We also studied whether smoking affects circulating sVEGFR-1 concentrations in pregnant women or their first trimester placental secretion and expression in vitro. Last, in order to allow future discussion on the potential therapy based on sVEGFR-1, we determined the biological half-life of endogenous sVEGFR-1 in human circulation, and measured the concomitant changes in free VEGF concentrations. Blood or placental samples were collected from a total of 268 pregnant women between the years 2001 2007 in Helsinki University Central Hospital for the purposes above. The biomarkers were measured using commercially available enzyme-linked immunosorbent assays (ELISA). For the analyses of sVEGFR-1, Ang-2 and endostatin, a total of 3 240 pregnant women in the Helsinki area were admitted to blood sample collection during two routine ultrasoundscreening visits at 13.7 ± 0.5 (mean ± SD) and 19.2 ± 0.6 weeks of gestation. Of them, 49 women later developing pre-eclampsia were included in the study. Their disease was further classified as mild in 29 and severe in 20 patients. Isolated early-onset intrauterine growth retardation (IUGR) was diagnosed in 16 women with otherwise normal medical histories and uncomplicated pregnancies. Fifty-nine women remaining normotensive, non-proteinuric and finally giving birth to normal-weight infants were picked to serve as the control population of the study. Maternal serum concentrations of Ang-2, endostatin and sVEGFR-1, were increased already at 16 20 weeks of pregnancy, about 13 weeks before the clinical manifestation of preeclampsia. In addition, these biomarkers could be used to identify women at risk with a moderate precision. However, larger patient series are needed to determine whether these markers could be applied for clinical use to predict preeclampsia. Intrauterine growth retardation (IUGR), especially if noted at early stages of pregnancy and not secondary to any other pregnancy complication, has been suggested to be a form of preeclampsia compromising only the placental sufficiency and the fetus, but not affecting the maternal endothelium. In fact, IUGR and preeclampsia have been proposed to share a common vascular etiology in which factors regulating early placental angiogenesis are likely to play a central role. Thus, these factors have been suggested to be involved in the pathogenesis of IUGR. However, circulating sVEGFR-1, Ang-2 and endostatin concentrations were unaffected by subsequent IUGR at early second trimester. Furthermore, smoking was not associated with alterations in maternal circulating sVEGFR-1 or its placental production. The elimination of endogenous sVEGFR-1 after pregnancy was calculated from serial samples of eight pregnant women undergoing elective Caesarean section. As typical for proteins in human compartments, the elimination of sVEGFR-1 was biphasic, containing a rapid halflife of 3.4 h and a slow one of 29 h. The decline in sVEGFR-1 concentrations after mid-trimester legal termination of pregnancy was accompanied with a simultaneous increase in the serum levels of free VEGF so that within a few days after pregnancy VEGF dominated in the maternal circulation. Our study provides novel information on the kinetics of endogenous sVEGFR-1, which serves as a potential tool in the development of new strategies against diseases associated with angiogenic imbalance and alterations in VEGF signaling.

Una gramática descriptiva del chabacano de Ternate

This dissertation is a descriptive grammar of Ternate Chabacano, a Spanish-lexifier Creole spoken by 3.000 people in the town of Ternate, Philippines. The dissertation offers an analysis of the phonological, morphological, and syntactic system of the language. It includes an overview of the historical background, the current situation of the speech community and a collection of annotated texts. Ternate Chabacano shares many characteristics with its main adstrate language Tagalog as well as the dialectal varieties of Spanish. At present, English also exerts an influence, nevertheless mainly affecting its lexicon. The description offered is based on fieldwork conducted in Ternate. Spoken language collected through thematic interviews forms the main type of the material analysed. Information regarding the informants and text types is included in the examples. Ternate Chabacano has a five-vowel system and 17 consonant phonemes. The morphology of the language is largely isolating. Clitics are used extensively for expressing adverbial relations. The verbal system is based on the preverbal markers that express the category of tense, modality and aspect, among which aspect is the main dimension. Complex predicates and verbal chains are used in order to further distinguish aspect and modality, as well as changes of voice and valency. Intransitive verbs express motion, states, and reflexive actions, even though the majority of verbs can occur in both intransitive and transitive clauses. Ternate Chabacano is a nominative-accusative type language but the typological configuration of the Philippine languages influences the marking of its constituents. A case in point is constituted by the nominal determination system. The basic constituent order in a clause is VSO. Equative and attibutive clauses are formed by juxtaposition while the locative clauses feature a copula. Indefinite terms are expressed through existential constructions. The negation of existential clauses differs from standard negation but both are intensified in the same way. In spoken discourse, tag-questions are common. Pragmatic elements and social formulas reflect largely the corresponding Tagalog expressions. Coordination and subordination occur typically without overt markers but a variety of markers exists for expressing different relations, especially those made explicit by adverbial clauses. Verbal chains form a continuum from serial verbs to complementation and ultimately to coordination.