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 Diversification benefits were achieved under the proposed model and some conclusions were withdrawn.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.

Optimum dietary protein requirement for Amazonian Tambaqui, Colossoma macropomum Cuvier, 1818, fed fish meal free diets

Fish meal free diets were formulated to contain graded protein levels as 25% (diet 1), 30% (diet 2), 35% (diet 3) and 40% (diet 4). The diets were fed to tambaqui juveniles (Colossoma macropomum) (46.4 ± 6.3g) in randomly designed recirculating systems for 60 days, to determine the optimum protein requirement for the fish. The final weight of the fish, weight gain (28.1, 28.5, 32.2, 28.0g) and specific growth rate increased (P>0.05) consistently with increasing dietary protein up to treatment with 35% protein diet and then showed a declining trend. Feed intake followed the same trend resulting in best feed efficiency (62.5%) in fish fed diet with 35% protein. Similarly, the protein intake increased significantly with increasing dietary protein levels and reduced after the fish fed with 35% protein; while protein efficiency ratio (2.28, 1.99, 1.87, 1.74) decreased with increasing dietary protein levels. Carcass ash and protein had linear relationship with dietary protein levels while the lipid showed a decreasing trend. Ammonia content (0.68, 0.73, 0.81, 1.21 mg L-1) of the experimental waters also increased (P<0.05) with increasing protein levels while pH, dissolved oxygen and temperature remained fairly constant without any clear pattern of inclination. Broken-line estimation of the weight gain indicated 30% protein as the optimum requirement for the fish.

Personalized-based dietary recommendation for weightlifting

Dissertação de mestrado integrado em Engenharia Eletrónica Industrial e Computadores

Physical activity, cardiorespiratory fitness, dietary content, and risk factors that cause a predisposition towards cardiovascular disease

OBJECTIVE: To analyze associations between levels of physical activity, cardiorespiratory fitness, dietary content, and risk factors that cause a predisposition towards cardiovascular disease. METHODS: Sixty-two individuals aged between 20 and 45 years were evaluated. Levels of physical activity were established by estimates of energy demand corresponding to everyday activity; indices for cardiorespiratory fitness were obtained from estimates of maximal oxygen consumption; information about dietary content was obtained from dietary records kept on seven consecutive days. To indicate risk factors that cause a predisposition towards cardiovascular disease, use was made of body mass indexes, waist-hip circumference relationships, levels of arterial pressure and of plasma lipid-lipoprotein concentration. To establish associations between the variables studied, multiple regression analysis was used. RESULTS: Physical activity levels and cardiorespiratory fitness levels were inversely correlated with the amount and distribution of body fat and arterial pressure. Taken together, the two variables were responsible for between 16% and 19% of the variation in arterial pressure. Total and saturated fat ingestion was associated with higher serum lipid levels. Both dietary components were responsible for between 49% and 61% of the variation in LDL-cholesterol. CONCLUSION: High ingestion of food rich in total and saturated fat and decreased levels of physical activity and of cardiorespiratory fitness are associated with an increased risk of cardiovascular disease, which supports previous data.

Adaptação transcultural para o Brasil do Dietary Sodium Restriction Questionnaire (Questionário Restritivo da Dieta de Sódio) (DSRQ)

FUNDAMENTO: A restrição de sódio é uma medida não farmacológica frequentemente orientada aos pacientes com Insuficiência Cardíaca (IC). No entanto, a adesão é de baixa prevalência, ficando entre as causas mais frequentes de descompensação da IC. O Dietary Sodium Restriction Questionnaire (DSRQ) tem como objetivo identificar fatores que afetam a adesão à restrição dietética de sódio para pacientes com IC. No Brasil, não existem instrumentos que avaliem tais fatores. OBJETIVO: Realizar a adaptação transcultural do DSRQ. MÉTODOS: Estudo metodológico que envolveu as seguintes etapas: tradução, síntese, retrotradução, revisão por um comitê de especialistas, pré-teste da versão final e análise de concordância interobservador. No pré-teste foram avaliados os itens e sua compreensão, além da consistência interna pelo coeficiente alfa de Cronbach. O instrumento foi aplicado por dois pesquisadores simultânea e independentemente, sendo utilizado o teste Kappa para análise da concordância. RESULTADOS: Apenas uma questão sofreu alterações semânticas e/ou culturais maiores. No pré-teste, o alfa de Cronbach obtido para o total foi de 0,77, e para as escalas de Atitude, Norma subjetiva e Controle Comportamental obtiveram-se, respectivamente, 0,66, 0,50 e 0,85. Na etapa de concordância, o Kappa foi calculado para 12 das 16 questões, com valores que variaram de 0,62 a 1,00. Nos itens em que o cálculo não foi possível, a incidência de respostas iguais variou de 95% a 97,5%. CONCLUSÃO: A partir da adaptação transcultural do DSRQ foi possível propor uma versão do questionário para posterior avaliação das propriedades psicométricas.

The importance of dietary calcium consumption in two species of semi-terrestrial grapsoid crabs

Calcium (Ca) is essential for crustaceans, due to calcium carbonate (CaCO3) deposition in the new exoskeleton to harden it. The purpose of this work was to study short term Ca balance in terms of dietary Ca ingestion in two phylogenetically related crabs (Superfamily Grapsoidea) showing different degrees of terrestrial adaptations: Sesarma rectum Randall, 1840 and Neohelice granulata (Dana, 1851). Dietary Ca ingestion was studied using purified diets with different Ca concentrations (0, 2.2 and 6.66 % Ca), together with measurements of Ca excretion and Ca hemolymph levels. The results showed that both crabs had the same response to foods containing different levels of Ca, with both species eating more of the high Ca diet. However, S. rectum consumed more per mg body mass at all Ca concentrations (6 mg.g-1 for S. rectum against 3 mg.g-1 for N. granulata). Both species excreted/egested Ca differently: S. rectum excreted Ca proportionally to ingestion, whereas N. granulata maintained constant faecal Ca output at all dietary Ca levels. Moreover, Ca hemolymph levels for crabs fed the different diets were independent of dietary Ca. In conclusion, both S. rectum and N. granulata seem to regulate the consumption of diets containing more Ca, which suggests a fine balance for Ca intake.

Comparative dietary analysis of Eurycheilichthys pantherinus and Pareiorhaphis hystrix: two Loricariidae species (Ostariophysi, Siluriformes) from Campos Sulinos biome, southern Brazil

This work was carried out in Marco river, São José dos Ausentes municipality, state of Rio Grande do Sul, southern Brazil. This region is located within the Campos Sulinos biome, an area of great biological importance due to its high diversity and endemism of fish. The feeding habits and food overlap between Eurycheilichthys pantherinus (Reis & Schaefer, 1992) (n=108) and Pareiorhaphis hystrix Pereira & Reis, 2002 (n=60) are described. Monthly samples were obtained between September 2000 and July 2001 with dipnets using the kick sampling technique. Stomach contents were analyzed based on frequency of occurrence, volumetric frequency and index of alimentary importance. The level of dietary specialization and food overlap were determined by the Levins measure and the Morisita index, respectively. Eurycheilichthys pantherinus fed mainly on immature aquatic insects, such as Dipterans and Ephemeropterans, and was classified as insectivore. Pareiorhaphis hystrix fed mainly on detritus associated with small amounts of aquatic insects, and was classified as detritivore. Species are clearly segregated by the use of food resources in Marco River. Their diets did not overlap and the differences observed in their feeding habits probably contribute for their coexistence.

Morphological characterization and sex-related differences of the mandible of the armadillos Chaetophractus vellerosus and Zaedyus pichiy (Xenarthra, Dasypodidae), with consideration of dietary aspects

The morphological characteristics of the mandible of adult Chaetophractus vellerosus (Gray, 1865) and Zaedyus pichiy (Desmarest, 1804) were studied to establish its generalized design and to identify inter- and intra- (sexual) specific differences. Morphological descriptions were complemented with the application of univariate and multivariate (analysis of correlation matrices, PCA, discriminant analysis) techniques. The mandible of both species is very similar, and is characterized by elevated condyle, well developed angular process, distinct coronoid process, tooth row which extends to the rear end of the angle between body and ramus, and unfused but firm symphysis. Although both armadillos are omnivorous, a more slender configuration of the jaw in Z. pichiy could be indicative of a better adaptation of its masticatory apparatus to insectivory. The PCA showed an almost total segregation of both species on PC1 (47.7% of the total variance), with C. vellerosus being associated to mandibles taller and with wider body and ramus. Zaedyus pichiy was characterized by heavy loadings of length parameters on PC2 (22.6% of the variance). A small degree of sexual dimorphism was found, with size-based differences in C. vellerosus (larger mandibles in females) and shape-based differences in Z. pichiy (taller mandibles in males, longer ones in females). Correlations between variables were higher in males of both species, indicating a more stable shape of the mandible than in females. The selected parameters to discriminate sexes were the body length of the mandible in C. vellerosus (correct classification: ca. 86% in males, 81% in females), and the height of the mandible at the level of the last tooth in Z. pichiy (near 85% of right assignment in both sexes). The inclusion of a new variable (body length) in the latter species improved the classification of the females to 100%. Teeth are typically 10 in C. vellerosus and 9 in Z. pichiy, but aberrancies in this basic number, such as unilateral or bilateral extra or fewer teeth, are common.

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.