How to relaunch Programa 100%?

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Management from the NOVA – School of Business and Economics

Managing marginal capital requirements in solvency II: Analysis of a real insurance portfolio

This thesis provides a complete analysis of the Standard Capital Requirements given by Solvency II for a real insurance portfolio. We analyze the investment portfolio of BPI Vida e Pensões, an insurance company affiliated with a Portuguese bank BPI, both at security, sub-portfolio and asset class levels. By using the Standard Formula from EIOPA, Total SCR amounts to 239M€. This value is mostly explained by Market and Default Risk whereas the former is driven by Spread and Concentration Risks. Following the methodology of Leblanc (2011), we examine the Marginal Contribution of an asset to the SCR which allows for the evaluation of the risks of each security given its characteristics and interactions in the portfolio. The top contributors to the SCR are Corporate Bonds and Term Deposits. By exploring further the composition of the portfolio, our results show that slight changes in allocation of Term and Cash Deposits have severe impacts on the total Concentration and Default Risks, respectively. Also, diversification effects are very relevant by representing savings of 122M€. Finally, Solvency II represents an opportunity for the portfolio optimization. By constructing efficient frontiers, we find that as the target expected return increases, a shift from Term Deposits/ Commercial Papers to Eurozone/Peripheral and finally Equities occurs.

A comparative review of risk based portfolio allocations: An empirical study throughout rising yields

Since the financial crisis, risk based portfolio allocations have gained a great deal in popularity. This increase in popularity is primarily due to the fact that they make no assumptions as to the expected return of the assets in the portfolio. These portfolios implicitly put risk management at the heart of asset allocation and thus their recent appeal. This paper will serve as a comparison of four well-known risk based portfolio allocation methods; minimum variance, maximum diversification, inverse volatility and equally weighted risk contribution. Empirical backtests will be performed throughout rising interest rate periods from 1953 to 2015. Additionally, I will compare these portfolios to more simple allocation methods, such as equally weighted and a 60/40 asset-allocation mix. This paper will help to answer the question if these portfolios can survive in a rising interest rate environment.

Oysters return to the Tagus estuary through an ecological model

Dissertation submitted to the Faculty of Sciences and Technology of New University of Lisbon for obtaining the degree of Master in Environmental Management Systems

A go-to-market strategy for vertebral metrics

Dissertação para obtenção do Grau de Mestre em Engenharia Biomédica

The Fed policy announcement effect on the equity market

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Measuring the impact with the social return on investment: the case of the social innovation HUB

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Economics from the NOVA – School of Business and Economics

Return on equity: A comparison between companies in Portugal and Brazil: Similarities and differences

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Risk and return: The international expansion of EDP Renováveis

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

The impact of banks dimension on profitability, sustainability and efficiency: An analysis for the Iberian financial system

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Management from the NOVA – School of Business and Economics

Return on entrepreneurial passion: A study of funding success and timely delivery in crowdfunding

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Management from the NOVA – School of Business and Economics

Return Migration, Self-Selection and Entrepreneurship in Mozambique

Does return migration affect entrepreneurship? This question has important implications for the debate on the economic development effects of migration for origin countries. The existing literature has, however, not addressed how the estimation of the impact of return migration on entrepreneurship is affected by double unobservable migrant self-selection, both at the initial outward migration and at the final inward return migration stages. This paper uses a representative household survey conducted in Mozambique in order to address this research question. We exploit variation provided by displacement caused by civil war in Mozambique, as well as social unrest and other shocks in migrant destination countries. The results lend support to negative unobservable self-selection at both and each of the initial and return stages of migration, which results in an under-estimation of the effects of return migration on entrepreneurial outcomes when using a ‘naïve’ estimator not controlling for self-selection. Indeed, ‘naïve’ estimates point to a 13 pp increase in the probability of owning a business when there is a return migrant in the household relative to non-migrants only, whereas excluding the double effect of unobservable self-selection, this effect becomes significantly larger - between 24 pp and 29 pp, depending on the method of estimation and source of variation used.

Return migration and entrepreneurship: An IV approach

Double Degree. A Work Project, presented as part of the requirements for the Award of a Master’s Degree in Management from NOVA – School of Business and Economics and a Masters Degree in Economics from Louvain School of Management

Productivity gains from migration: An analysis of Cape Verdean return migrants

Are return migrants more productive than non-migrants? If so, is it a causal effect or simply self-selection? Existing literature has not reached a consensus on the role of return migration for origin countries. To answer these research questions, an empirical analysis was performed based on household data collected in Cape Verde. One of the most common identification problems in the migration literature is the presence of migrant self-selection. In order to disentangle potential selection bias, we use instrumental variable estimation using variation provided by unemployment rates in migrant destination countries, which is compared with OLS and Nearest Neighbor Matching (NNM) methods. The results using the instrumental variable approach provide evidence of labour income gains due to return migration, while OLS underestimates the coefficient of interest. This bias points towards negative self-selection of return migrants on unobserved characteristics, although the different estimates cannot be distinguished statistically. Interestingly, migration duration and occupational changes after migration do not seem to influence post-migration income. There is weak evidence that return migrants from the United States have higher income gains caused by migration than the ones who returned from Portugal.

Measuring impact with the social return on investment: the case of the social innovation hub

There is a growing interest in social impact assessment across the private, the public and the nonprofit sector. However, there is still limited academic research produced in this area, particularly in what concerns to the application of the Social Return of Investment (SROI) methodology. The goal of this Work Project is to give an overview of the social impact measurement literature and apply the Social Return on Investment, a flagship methodology to measure impact, to the specific case of the Social Innovation Hub (SIH). The findings suggest that each 1€ invested on the SIH generates 1,21€ in terms of social value. While this value seems very appealing to use, there are some risks in monetizing impact in such way, mainly due to the lack of reliable data available for benchmarking purposes.