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

Do Migrants Send Remittances as a Way of Self-Insurance?

How do risk preferences affect migrant remittance behaviour? Examination of this relationship has only begun to be explored. Using a tailored representative survey of 1500 immigrants in the Greater Dublin Area, Ireland, we find a positive and significant relationship between risk aversion and migrant remittances. Risk-averse individuals are more likely to send remittances home and are, on average, likely to remit a higher amount, after controlling for a broad range of individual and group characteristics. The evidence we obtain is consistent with a “purchase of self-insurance” motive to remit in that we also find support for more remittances being sent by risk-averse immigrants who face higher wage risks and to individuals with more financial resources.

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.

The role of deposit insurance and bank’s asset size in the 2008 financial crisis

In this paper we analyze the role of deposit insurance in providing the market with liquidity in times of financial turmoil. To do so, we look at the variation in insured and uninsured deposits between 2005Q3 and 2011Q3, controlling for liquidity, solvency and capital adequacy indicators, and find evidence that deposit insurance does provide some confidence in keeping funds in banks in times of turmoil. Additionally we follow an event study methodology to assess the impact of deposit insurance oriented policies on bank holding companies stock market returns, and find a TBTF effect.

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

Statistics as a basis for discrimination in the insurance business

The European Court of Justice has held that as from 21 December 2012 insurers may no longer charge men and women differently on the basis of scientific evidence that is statistically linked to their sex, effectively prohibiting the use of sex as a factor in the calculation of premiums and benefits for the purposes of insurance and related financial services throughout the European Union. This ruling marks a sharp turn away from the traditional view that insurers should be allowed to apply just about any risk assessment criterion, so long as it is sustained by the findings of actuarial science. The naïveté behind the assumption that insurers’ recourse to statistical data and probabilistic analysis, given their scientific nature, would suffice to keep them out of harm’s way was exposed. In this article I look at the flaws of this assumption and question whether this judicial decision, whilst constituting a most welcome landmark in the pursuit of equality between men and women, has nonetheless gone too far by saying too little on the million dollar question of what separates admissible criteria of differentiation from inadmissible forms of discrimination.

Insurance segmentation as unfair discrimination: what to expect next in the wake of Test-Achats

Proceedings of the 16th Annual Conference organized by the Insurance Law Association of Serbia and German Foundation for International Legal Co-Operation (IRZ), entitled "Insurance law, governance and transparency: basics of the legal certainty" Palic Serbia, 17-19 April 2015.

Supplementary private health insurance: The characteristics of subscribers

Despite the fact that public medical care has being heavily subsidized through a statutory national health system there has been a growing number of people who opt to enroll in extra private coverage. Using a two part model to infer the insurance decision and subsequent amount of insurance chosen we found out that people’s decision over private health coverage is not related with their health. The pattern of consumption of medical care that is not available in the public sector and a good socio economic background were found significant modeling the demand for private health insurance.

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.

What Fidelidade group should do to convey its human centric brand identity values to millennial insurance consumers

Companies are concerned in attracting and retaining Millennial consumers, especially if their relation with this target audience is weak. This happens in the insurance industry in Portugal and in Fidelidade group specifically. The aim of this study is to recommend a strategy for the insurance group to improve its relationship with these consumers, by conveying its human centric values. In order to address this goal, we developed a qualitative research. The main insight is that Millennials may perceive those values in the industry but do not associate them with insurance brands.