On the Efficiency of the Benchmarks Used in the Asset Management

In this work we studied the efficiency of the benchmarks used in the asset management industry. In chapter 2 we analyzed the efficiency of the benchmark used for the government bond markets. We found that for the Emerging Market Bonds an equally weighted index for the country weights is probably the more suited because guarantees maximum diversification of country risk but for the Eurozone government bond market we found a GDP weighted index is better because the most important matter is to avoid a higher weight for highly indebted countries. In chapter 3 we analyzed the efficiency of a Derivatives Index to invest in the European corporate bond market instead of a Cash Index. We can state that the two indexes are similar in terms of returns, but that the Derivatives Index is less risky because it has a lower volatility, has values of skewness and kurtosis closer to those of a normal distribution and is a more liquid instrument, as the autocorrelation is not significant. In chapter 4 it is analyzed the impact of fallen angels on the corporate bond portfolios. Our analysis investigated the impact of the month-end rebalancing of the ML Emu Non Financial Corporate Index for the exit of downgraded bond (the event). We can conclude a flexible approach to the month-end rebalancing is better in order to avoid a loss of valued due to the benchmark construction rules. In chapter 5 we did a comparison between the equally weighted and capitalization weighted method for the European equity market. The benefit which results from reweighting the portfolio into equal weights can be attributed to the fact that EW portfolios implicitly follow a contrarian investment strategy, because they mechanically rebalance away from stocks that increase in price.

Computational creativity: an interdisciplinary approach to sequential learning and creative generations

Creativity seems mysterious; when we experience a creative spark, it is difficult to explain how we got that idea, and we often recall notions like ``inspiration" and ``intuition" when we try to explain the phenomenon. The fact that we are clueless about how a creative idea manifests itself does not necessarily imply that a scientific explanation cannot exist. We are unaware of how we perform certain tasks, such as biking or language understanding, but we have more and more computational techniques that can replicate and hopefully explain such activities. We should understand that every creative act is a fruit of experience, society, and culture. Nothing comes from nothing. Novel ideas are never utterly new; they stem from representations that are already in mind. Creativity involves establishing new relations between pieces of information we had already: then, the greater the knowledge, the greater the possibility of finding uncommon connections, and the more the potential to be creative. In this vein, a beneficial approach to a better understanding of creativity must include computational or mechanistic accounts of such inner procedures and the formation of the knowledge that enables such connections. That is the aim of Computational Creativity: to develop computational systems for emulating and studying creativity. Hence, this dissertation focuses on these two related research areas: discussing computational mechanisms to generate creative artifacts and describing some implicit cognitive processes that can form the basis for creative thoughts.