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

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

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

State detection in a financial portfolio: a self-organizing maps approach for financial time series

This study analyses financial data using the result characterization of a self-organized neural network model. The goal was prototyping a tool that may help an economist or a market analyst to analyse stock market series. To reach this goal, the tool shows economic dependencies and statistics measures over stock market series. The neural network SOM (self-organizing maps) model was used to ex-tract behavioural patterns of the data analysed. Based on this model, it was de-veloped an application to analyse financial data. This application uses a portfo-lio of correlated markets or inverse-correlated markets as input. After the anal-ysis with SOM, the result is represented by micro clusters that are organized by its behaviour tendency. During the study appeared the need of a better analysis for SOM algo-rithm results. This problem was solved with a cluster solution technique, which groups the micro clusters from SOM U-Matrix analyses. The study showed that the correlation and inverse-correlation markets projects multiple clusters of data. These clusters represent multiple trend states that may be useful for technical professionals.

Are the L'oreal hair care brands currently operating in the Kenyan mass market adequately positioned and adapted to the Kenyan consumers?: A recommendation to the new L'oreal East Africa Office concerning the hair care brand positioning and portfolio in Kenya

NSBE - UNL

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.

Bond portfolio diversification

Portfolio diversification benefits have been extensively documented and acknowledge in the literature since 1952. However, the majority of the studies have focus on an equity context, and only very few on bonds. The study purposed tries to understand and measure the diversification benefits for a pure bond portfolio by investing in securities with different credit risks, maturities and even geographies. Diversification benefits were achieved under the proposed model and some conclusions were withdrawn.

Quadratic programming versus second order con programming in portfolio optimization

Despite the extensive literature in finding new models to replace the Markowitz model or trying to increase the accuracy of its input estimations, there is less studies about the impact on the results of using different optimization algorithms. This paper aims to add some research to this field by comparing the performance of two optimization algorithms in drawing the Markowitz Efficient Frontier and in real world investment strategies. Second order cone programming is a faster algorithm, appears to be more efficient, but is impossible to assert which algorithm is better. Quadratic Programming often shows superior performance in real investment strategies.

Hybrid investment strategy active portfolio management – US stock market

This thesis aims to develop an alternative active managed portfolio strategy based on companies‟ Fundamental and Technical Analysis and analyze its finals results. There is a big distinction between the two approaches and the main objective is to understand if it is possible to take advantage of both. With this in mind a Hybrid investment strategy for the US stock market, due to its dimension and liquidity, which was able to outperform the S&P 500 index, the benchmark, during both Bear and Bull Markets between 2000 and 2015.

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.

Evaluación de fondos de inversión garantizados por medio de portfolio insurance

La elaboración de un índice de performance para la evaluación de carteras de inversión tiene como base la correcta definición de la medida de riesgo a emplear. Este trabajo tiene como objetivo proponer una medida de performance adecuada a la evaluación de carteras de fondos de inversión garantizados. Las particularidades de este tipo de fondos hacen necesario definir una medida explicativa de las características especificas de riesgo de este tipo de carteras. Partiendo de la estrategia de porfolio insurance se define una nueva medida de riesgo basada en el downside risk. Proponemos como medida de downside risk aquella parte del riesgo total de una cartera de títulos que se elimina con la estrategia de portfolio insurance. Por contraposición, proponemos como medida de upside risk aquella otra parte del riesgo total de la cartera que no desaparece con la estrategia de portfolio insurance. De este modo, la suma del upside risk y del downside risk es el riesgo total. Partiendo de la medida de riesgo upside risk y del modelo de valoración de activos C.A.P.M. se propone una medida de performance específica para evaluar los fondos de inversión garantizados.

Single period Markowitz portfolio selection, performance gauging and duality: a variation on Luenberger's shortage function

Markowitz portfolio theory (1952) has induced research into the efficiency of portfolio management. This paper studies existing nonparametric efficiency measurement approaches for single period portfolio selection from a theoretical perspective and generalises currently used efficiency measures into the full mean-variance space. Therefore, we introduce the efficiency improvement possibility function (a variation on the shortage function), study its axiomatic properties in the context of Markowitz efficient frontier, and establish a link to the indirect mean-variance utility function. This framework allows distinguishing between portfolio efficiency and allocative efficiency. Furthermore, it permits retrieving information about the revealed risk aversion of investors. The efficiency improvement possibility function thus provides a more general framework for gauging the efficiency of portfolio management using nonparametric frontier envelopment methods based on quadratic optimisation.

Clean Development Mechanism and Sustainable Development: a discussion on the link between the CDM and Sustainable Development, an analysis of the current status of the CDM portfolio, and an multicriteria evaluation of the effects of additional incentives in order to foster broad local Sustainable Development dividends from the CDM projects

vegeu resum en el fitxer adjunt a l'inici del treball de recerca

The regional electricity generation mix in Scotland: A portfolio selection approach

Standalone levelised cost assessments of electricity supply options miss an important contribution that renewable and non-fossil fuel technologies can make to the electricity portfolio: that of reducing the variability of electricity costs, and their potentially damaging impact upon economic activity. Portfolio theory applications to the electricity generation mix have shown that renewable technologies, their costs being largely uncorrelated with non-renewable technologies, can offer such benefits. We look at the existing Scottish generation mix and examine drivers of changes out to 2020. We assess recent scenarios for the Scottish generation mix in 2020 against mean-variance efficient portfolios of electricity-generating technologies. Each of the scenarios studied implies a portfolio cost of electricity that is between 22% and 38% higher than the portfolio cost of electricity in 2007. These scenarios prove to be “inefficient” in the sense that, for example, lower variance portfolios can be obtained without increasing portfolio costs, typically by expanding the share of renewables. As part of extensive sensitivity analysis, we find that Wave and Tidal technologies can contribute to lower risk electricity portfolios, while not increasing portfolio cost.