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

Novos poderes: Cidadania / ativismo digitais e tactical media

Cidadania digital. Ativismo na net. Redes de cidadãos: Projeto 1: Interesses dos cidadãos e redes sociais. Movimentos sociais: Projeto 2: Movimentos sociais na rede; Mobilizaçao online: Manuel Castells. Ação política online. Media táticos (tactical media); Reflexão sobre os media táticos: Geert Lovink. Táticas dos media táticos. Ação direta virtual de massa (Mass Virtual Direct Action – MVDA). Desobediência civil eletrónica (Electronic Civil Desobedience - ECD). Guerras da (des)informação (Infowar).

Inter-regional redistribution through infrastructure investment: tactical or programmatic?

In this paper we analyze the effects of both tactical and programmatic politics on the inter-regional allocation of infrastructure investment. We use a panel of data for the Spanish electoral districts during the period 1964-2004 to estimate an equation where investment depends both on economic and political variables. The results show that tactical politics do matter since, after controlling for economic traits, the districts with more ‘Political power’ still receive more investment. These districts are those where the incumbents’ Vote margin of victory/ defeat in the past election is low, where the Marginal seat price is low, where there is Partisan alignment between the executives at the central and regional layers of government, and where there are Pivotal regional parties which are influential in the formation of the central executive. However, the results also show that programmatic politics matter, since inter-regional redistribution (measured as the elasticity of investment to per capita income) is shown to increase with the arrival of the Democracy and EU Funds, with Left governments, and to decrease the higher is the correlation between a measure of ‘Political power’ and per capita income.

A participatory approach to tactical forest planning

Jyrki Kangas ... [et al.]

The Role of Tactical Marketing Decisions on New Product Performance: The Moderating Effect of Entry Timing

This study focuses on observing how Finnish companies execute their new product launch processes. The main objective was to find out how entry timing moderates the relationship between launch tactics (namely product innovativeness, price and emotional advertising) and new product performance (namely sales volume and customer profitability). The empirical analysis was based on data collected in Lappeenranta University of Technology. The sample consisted of Finnish companies representing different industries and innovation activities. Altogether 272 usable responses were received representing a response rate of 37.67%. The measures were first assessed by using exploratory factor analysis (EFA) in PASW Statistics 18 and then further verified with confirmatory factor analysis (CFA) in LISREL 8.80. To test the hypotheses of the moderating effects of entry timing, hierarchical regression analysis was used in PASW Statistics 18. The results of the study revealed that the effect of product innovativeness on new product sales volume is dependent on entry timing. This implies that companies should carefully consider what would be the best time for entering the market when launching highly innovative new products. The results also depict a positive relationship between emotional advertising and new product sales volume. In addition, partial support was found for a positive relationship between pricing and new product customer profitability.

Computational methods for tactical simulations

Tämä taktiikan tutkimus keskittyy tietokoneavusteisen simuloinnin laskennallisiin menetelmiin, joita voidaan käyttää taktisen tason sotapeleissä. Työn tärkeimmät tuotokset ovat laskennalliset mallit todennäköisyyspohjaisen analyysin mahdollistaviin taktisen tason taistelusimulaattoreihin, joita voidaan käyttää vertailevaan analyysiin joukkue-prikaatitason tarkastelutilanteissa. Laskentamallit keskittyvät vaikuttamiseen. Mallit liittyvät vahingoittavan osuman todennäköisyyteen, jonka perusteella vaikutus joukossa on mallinnettu tilakoneina ja Markovin ketjuina. Edelleen näiden tulokset siirretään tapahtumapuuanalyysiin operaation onnistumisen todennäköisyyden osalta. Pienimmän laskentayksikön mallinnustaso on joukkue- tai ryhmätasolla, jotta laskenta-aika prikaatitason sotapelitarkasteluissa pysyisi riittävän lyhyenä samalla, kun tulokset ovat riittävän tarkkoja suomalaiseen maastoon. Joukkueiden mies- ja asejärjestelmävahvuudet ovat jakaumamuodossa, eivätkä yksittäisiä lukuja. Simuloinnin integroinnissa voidaan käyttää asejärjestelmäkohtaisia predictor corrector –parametreja, mikä mahdollistaa aika-askelta lyhytaikaisempien taistelukentän ilmiöiden mallintamisen. Asemallien pohjana ovat aiemmat tutkimukset ja kenttäkokeet, joista osa kuuluu tähän väitöstutkimukseen. Laskentamallien ohjelmoitavuus ja käytettävyys osana simulointityökalua on osoitettu tekijän johtaman tutkijaryhmän ohjelmoiman ”Sandis”- taistelusimulointiohjelmiston avulla, jota on kehitetty ja käytetty Puolustusvoimien Teknillisessä Tutkimuslaitoksessa. Sandikseen on ohjelmoitu karttakäyttöliittymä ja taistelun kulkua simuloivia laskennallisia malleja. Käyttäjä tai käyttäjäryhmä tekee taktiset päätökset ja syöttää nämä karttakäyttöliittymän avulla simulointiin, jonka tuloksena saadaan kunkin joukkuetason peliyksikön tappioiden jakauma, keskimääräisten tappioiden osalta kunkin asejärjestelmän aiheuttamat tappiot kuhunkin maaliin, ammuskulutus ja radioyhteydet ja niiden tila sekä haavoittuneiden evakuointi-tilanne joukkuetasolta evakuointisairaalaan asti. Tutkimuksen keskeisiä tuloksia (kontribuutio) ovat 1) uusi prikaatitason sotapelitilanteiden laskentamalli, jonka pienin yksikkö on joukkue tai ryhmä; 2) joukon murtumispisteen määritys tappioiden ja haavoittuneiden evakuointiin sitoutuvien taistelijoiden avulla; 3) todennäköisyyspohjaisen riskianalyysin käyttömahdollisuus vertailevassa tutkimuksessa sekä 4) kokeellisesti testatut tulen vaikutusmallit ja 5) toimivat integrointiratkaisut. Työ rajataan maavoimien taistelun joukkuetason todennäköisyysjakaumat luovaan laskentamalliin, kenttälääkinnän malliin ja epäsuoran tulen malliin integrointimenetelmineen sekä niiden antamien tulosten sovellettavuuteen. Ilmasta ja mereltä maahan -asevaikutusta voidaan tarkastella, mutta ei ilma- ja meritaistelua. Menetelmiä soveltavan Sandis -ohjelmiston malleja, käyttötapaa ja ohjelmistotekniikkaa kehitetään edelleen. Merkittäviä jatkotutkimuskohteita mallinnukseen osalta ovat muun muassa kaupunkitaistelu, vaunujen kaksintaistelu ja maaston vaikutus tykistön tuleen sekä materiaalikulutuksen arviointi.

The duality of tactical thought : a study of how Swedish land forces' commanders view tactics in irregular warfare

This is a sociological study of the views of officers in the Swedish Army and its Amphibious Forces on tactics in Irregular Warfare (IW), in particular, Counterinsurgency (COIN). IW comprises struggles, where the military weaker part uses an indirect approach with smaller units and integrates the civilian and military dimensions in a violence spectrum including subversion, terrorism, Guerrilla Warfare and infantry actions. IW is the main armed warfare style in insurgencies. COIN is the combined political, military, economic, social and legal actions in counter insurgencies. Data has been collected by means of interviews with almost all (n =43) officers, who were either commanding battalions or rifle and manoeuvre companies while undergoing training for general warfare and international operations. The main theoretical and methodological inspiration is the traditional one for research on social fields, inaugurated by the French sociologist Pierre Bourdieu. The statistical technique used is Multiple Correspondence Analysis. As a background and context base, an inquiry inspired by the Begriffsgechichte (Conceptual History) tradition explores the genesis and development of understandings of the term Irregular Warfare. The research question is outlined as; “how can contemporary Swedish military thought on tactics in Irregular Warfare be characterized using descriptive patterns, mapped in relation to background factors and normative standards? The most significant findings are that there are two main opposing notions separating the officers’ views on tactics in Irregular Warfare: (1) a focus on larger, combat oriented and collectively operating military units versus smaller and larger, more intelligence oriented and dispersed operating units, and (2) a focus on military tasks and kinetic effects versus military and civilian tasks as well as “soft” effects. The distribution of these views can be presented as a two-dimensional space structured by the two axes. This space represents four categories of tactics, partly diverging from normative military standards for Counterinsurgency. This social space of standpoints shows different structural tendencies for background factors of social and cultural character, particularly dominant concerning military backgrounds, international mission experiences and civilian education. Compared to military standards for Counterinsurgency, the two tactical types characterized by a Regular Warfare mind-set stands out as counter-normative. Signs of creative thought on military practice and theory, as well as a still persistent Regular Warfare doxa are apparent. Power struggles might thus develop, effecting the transformation to a broadened warfare culture with an enhanced focus also on Irregular Warfare. The result does not support research results arguing for a convergence of military thought in the European transformation of Armed Forces. The main argument goes beyond tactics and suggests sociological analysis on reciprocal effects regarding strategy, operational art, tactics as well as leadership, concerning the mind-set and preferences for Regular, Irregular and Hybrid Warfare.

Tactical sourcing, fast lane for medium value purchases

Medium value purchases make up a vast portion of organisations’ purchases. Medium value purchases differ from large purchases that the purchases value is smaller and quantity higher. They are not managed efficiently if they are managed as large purchases. However, they should not be managed as small purchases as they have savings possibilities that are not obtained with a process that is designed for small purchases. This study offers a solution for medium value spend management. The solution is tactical sourcing. The tactical sourcing is designed for Tieto Corporation’s need and it was influenced by Six Sigma methods and tools.

Market anomalies and tactical asset allocation: Utilising market anomalies in multiple asset class portfolios with the Black−Litterman model

This thesis discusses the basic problem of the modern portfolio theory about how to optimise the perfect allocation for an investment portfolio. The theory provides a solution for an efficient portfolio, which minimises the risk of the portfolio with respect to the expected return. A central feature for all the portfolios on the efficient frontier is that the investor needs to provide the expected return for each asset. Market anomalies are persistent patterns seen in the financial markets, which cannot be explained with the current asset pricing theory. The goal of this thesis is to study whether these anomalies can be observed among different asset classes. Finally, if persistent patterns are found, it is investigated whether the anomalies hold valuable information for determining the expected returns used in the portfolio optimization Market anomalies and investment strategies based on them are studied with a rolling estimation window, where the return for the following period is always based on historical information. This is also crucial when rebalancing the portfolio. The anomalies investigated within this thesis are value, momentum, reversal, and idiosyncratic volatility. The research data includes price series of country level stock indices, government bonds, currencies, and commodities. The modern portfolio theory and the views given by the anomalies are combined by utilising the Black-Litterman model. This makes it possible to optimise the portfolio so that investor’s views are taken into account. When constructing the portfolios, the goal is to maximise the Sharpe ratio. Significance of the results is studied by assessing if the strategy yields excess returns in a relation to those explained by the threefactormodel. The most outstanding finding is that anomaly based factors include valuable information to enhance efficient portfolio diversification. When the highest Sharpe ratios for each asset class are picked from the test factors and applied to the Black−Litterman model, the final portfolio results in superior riskreturn combination. The highest Sharpe ratios are provided by momentum strategy for stocks and long-term reversal for the rest of the asset classes. Additionally, a strategy based on the value effect was highly appealing, and it basically performs as well as the previously mentioned Sharpe strategy. When studying the anomalies, it is found, that 12-month momentum is the strongest effect, especially for stock indices. In addition, a high idiosyncratic volatility seems to be positively correlated with country indices on stocks.