Portfolio optimization with options

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

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.

Renewable Power Sources

Of all of the sources of renewable energies available one can argue that the most abundant and accessible are solar power, radiation, and the energy of the tides (70 % of the earth surface is covered by water). The tidal wave energy hasn’t seen a widespread distribution yet, mainly due to the lack of interest of the governments, most of the coastal areas of the world are exclusive responsibility of the governments, thus not easily open for private venture. Considering solar power, there exist two main fields of application, land based systems and space based systems. The former systems are still in a very embryonic phase, with Japan being the lead researcher in the field, with an experimental satellite-power station to be launched before 2010. Land based systems, on the other hand, are well studied, with major research and application programs in all known forms of solar power production. Given a minimum value of incident radiation, and applying the appropriate system, (i.e. power plant type), for any given area the solar power becomes an income-producing industry.

Design and testing of a radiation hardened 13-bit 80 MS/s pipeline ADC implemented in a 90nm standard CMOS process

Second International Workshop on Analog and Mixed Signal Integrated Circuits for Space Applications (AMICSA 2008), Sintra, Portugal, Setembro de 2008

The European challenge of KM and innovation: a skills and competence portfolio for the knowledge worker in SME's

This chapter appears in Innovations of Knowledge Management edited by Montano, D. Copyright 2004, IGI Global, www.igi-global.com. Posted by permission of the publisher.

Como é que é com o é que? Análise de estruturas com é que em variedades não standard do português europeu

Dissertação de Mestrado em Ciências da Linguagem

The web feature service: transaction standard: an example of prototype implementation

Trabalho de Projecto apresentado como requisito parcial para obtenção do grau de Mestre em Ciência e Sistemas de Informação Geográfica

O portfolio europeu de línguas : a função pedagógica do dossier

Trabalho de Projecto apresentado para cumprimento dos requisitos necessários à obtenção do grau de Mestre em Didáctica do Inglês

GVSOS: A New Client for OGC SOS Interface Standard

Dissertation submitted in partial fulfillment of the requirements for the Degree of Master of Science in Geospatial Technologies.

Creating a GWT web application for the SOS standard enhanced profile

Dissertation submitted in partial fulfillment of the requirements for the Degree of Master of Science in Geospatial Technologies.

Parametric portfolio policies: An application for a global tactical asset allocation model

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

Determinants of venture capital and private equity investments in renewable energy: A cross-country study

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

Strategic assessment of Portugal Ventures' life sciences portfolio

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

EDP Renováveis (EDPR): Renewable Energy: Equity Investment Report

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

Impairment in the mortagage loan portfolio: The example of Banco Popular portugal

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