1000 resultados para allocation universelle, mutualité, empathie, sympathie, responsabilité, équité, solidarité
Resumo:
1912/02/01 (A8,N3)-1912/02/15.
Resumo:
1911/07/15 (A7,N14)-1911/08/01.
Resumo:
1913/04/01 (A9,N7)-1913/04/15.
Resumo:
1913/05/01 (A9,N9)-1913/05/15.
Resumo:
1912/03/31 (A8,N7)-1912/04/15.
Resumo:
1913/09/15 (A9,N18)-1913/10/01.
Resumo:
1913/08/01 (A9,N15)-1913/08/15.
Resumo:
Over time the demand for quantitative portfolio management has increased among financial institutions but there is still a lack of practical tools. In 2008 EDHEC Risk and Asset Management Research Centre conducted a survey of European investment practices. It revealed that the majority of asset or fund management companies, pension funds and institutional investors do not use more sophisticated models to compensate the flaws of the Markowitz mean-variance portfolio optimization. Furthermore, tactical asset allocation managers employ a variety of methods to estimate return and risk of assets, but also need sophisticated portfolio management models to outperform their benchmarks. Recent development in portfolio management suggests that new innovations are slowly gaining ground, but still need to be studied carefully. This thesis tries to provide a practical tactical asset allocation (TAA) application to the Black–Litterman (B–L) approach and unbiased evaluation of B–L models’ qualities. Mean-variance framework, issues related to asset allocation decisions and return forecasting are examined carefully to uncover issues effecting active portfolio management. European fixed income data is employed in an empirical study that tries to reveal whether a B–L model based TAA portfolio is able outperform its strategic benchmark. The tactical asset allocation utilizes Vector Autoregressive (VAR) model to create return forecasts from lagged values of asset classes as well as economic variables. Sample data (31.12.1999–31.12.2012) is divided into two. In-sample data is used for calibrating a strategic portfolio and the out-of-sample period is for testing the tactical portfolio against the strategic benchmark. Results show that B–L model based tactical asset allocation outperforms the benchmark portfolio in terms of risk-adjusted return and mean excess return. The VAR-model is able to pick up the change in investor sentiment and the B–L model adjusts portfolio weights in a controlled manner. TAA portfolio shows promise especially in moderately shifting allocation to more risky assets while market is turning bullish, but without overweighting investments with high beta. Based on findings in thesis, Black–Litterman model offers a good platform for active asset managers to quantify their views on investments and implement their strategies. B–L model shows potential and offers interesting research avenues. However, success of tactical asset allocation is still highly dependent on the quality of input estimates.
Resumo:
For my Licentiate thesis, I conducted research on risk measures. Continuing with this research, I now focus on capital allocation. In the proportional capital allocation principle, the choice of risk measure plays a very important part. In the chapters Introduction and Basic concepts, we introduce three definitions of economic capital, discuss the purpose of capital allocation, give different viewpoints of capital allocation and present an overview of relevant literature. Risk measures are defined and the concept of coherent risk measure is introduced. Examples of important risk measures are given, e. g., Value at Risk (VaR), Tail Value at Risk (TVaR). We also discuss the implications of dependence and review some important distributions. In the following chapter on Capital allocation we introduce different principles for allocating capital. We prefer to work with the proportional allocation method. In the following chapter, Capital allocation based on tails, we focus on insurance business lines with heavy-tailed loss distribution. To emphasize capital allocation based on tails, we define the following risk measures: Conditional Expectation, Upper Tail Covariance and Tail Covariance Premium Adjusted (TCPA). In the final chapter, called Illustrative case study, we simulate two sets of data with five insurance business lines using Normal copulas and Cauchy copulas. The proportional capital allocation is calculated using TCPA as risk measure. It is compared with the result when VaR is used as risk measure and with covariance capital allocation. In this thesis, it is emphasized that no single allocation principle is perfect for all purposes. When focusing on the tail of losses, the allocation based on TCPA is a good one, since TCPA in a sense includes features of TVaR and Tail covariance.
Resumo:
Variante(s) de titre : La Paix universelle : revue indépendante de magnétisme, spiritisme, psychisme, hermétisme : organe de la Fédération lyonnaise et régionale des spiritualistes modernes
Resumo:
1908 (A18).
Resumo:
1868/08 (T2)-1868/12.
Resumo:
1884/07 (SER2,T20)-1884/12.
Resumo:
1883/07 (SER2,T18)-1883/12.
Resumo:
1875 (SER2,T1).
