<p>In this thesis, portfolio optimisation is used to evaluate if a specific sample of portfolios have</p><p>a higher risk level or lower expected return, compared to what may be obtained through</p><p>optimisation. It also compares the return of optimised portfolios with the return of the original</p><p>portfolios. The risk analysis software Aegis Portfolio Manager developed by Barra is used for</p><p>the optimisations. With the expected return and risk level used in this thesis, all portfolios can</p><p>obtain a higher expected return and a lower risk. Over a six-month period, the optimised</p><p>portfolios do not consistently outperform the original portfolios and therefore it seems as</p><p>though the optimisation do not improve the return of the portfolios. This might be due to the</p><p>uncertainty of the expected returns used in this thesis.</p>

We present an implicit a-posteriori finite element procedure to compute bounds for functional outputs of finite element solutions in large strain elasticity. The method proposed relies on the existence of a potential energy functional whose local minima, over a space of suitably chosen continuous functions, corresponds to the problem solution. The output of interest is cast as a constrained minimization problem over an enlarged discontinuous finite element space. A Lagrangian is formed were the multipliers are an adjoint solution, which enforces equilibrium, and hybrid fluxes, which constrain the solution to be continuous. By computing approximate values for the multipliers on a coarse mesh, strict upper and lower bounds for the output of interest on a suitably refined mesh, are obtained. This requires a minimization over a discontinuous space, which can be carried out locally at low cost. The computed bounds are uniformly valid regardless of the size of the underlying coarse discretization. The method is demonstrated with two applications involving large strain plane stress incompressible neo-hookean hyperelasticity. / Singapore-MIT Alliance (SMA)

Thesis (M.Ing. (Electrical Engineering))--North-West University, Potchefstroom Campus, 2007.

Persistence of stock returns is an extensively studied and discussed theme in the analysis of financial markets. Antipersistence is usually attributed to volatilities. However, not only volatilities but also stock returns can exhibit antipersistence. Antipersistent noise has a somewhat rougher appearance than Gaussian noise. Heuristically spoken, price movements are more likely followed by movements in the opposite direction than in the same direction. The pertaining integrated process exhibits a smaller range – prices seem to stay in the vicinity of the initial value. We apply a widely used test based upon the modified R/S-Method by Lo [1991] to daily returns of 21 German stocks from 1960 to 2008. Combining this test with the concept of moving windows by Carbone et al. [2004], we are able to determine periods of antipersistence for some of the series under examination. Our results suggest that antipersistence can be found for stocks and periods where extraordinary corporate actions such as mergers & acquisitions or financial distress are present. These effects should be properly accounted for when choosing and designing models for inference.

This thesis consists of four essays, three in the field of random effects models and one in the field of GARCH. The first essay in this thesis, ''Maximum likelihood based inference in the two-way random effects model with serially correlated time effects'', considers maximum likelihood estimation and inference in the two-way random effects model with serial correlation. We derive a straightforward maximum likelihood estimator when the time-specific component follow an AR(1) or MA(1) process. The estimator is also easily generalized to allow for arbitrary stationary and strictly invertible ARMA processes. In addition we consider the model selection problem and derive tests of the null hypothesis of no serial correlation as well as tests for discriminating between the AR(1) and MA(1) specifications. A Monte-Carlo experiment evaluates the finite-sample properties of the estimators, test-statistics and model selection procedures. The second essay, ''Asymptotic properties of the maximum likelihood estimator of random effects models with serial correlation'', considers the large sample behavior of the maximum likelihood estimator of random effects models with serial correlation in the form of AR(1) for the idiosyncratic or time-specific error component. Consistent estimation and asymptotic normality is established for a comprehensive specification which nests these models as well as all commonly used random effects models. The third essay, ''Specification and estimation of random effects models with serial correlation of general form'', is also concerned with maximum likelihood based inference in random effects models with serial correlation. Allowing for individual effects we introduce serial correlation of general form in the time effects as well as the idiosyncratic errors. A straightforward maximum likelihood estimator is derived and a coherent model selection strategy is suggested for determining the orders of serial correlation as well as the importance of time or individual effects. The methods are applied to the estimation of a production function using a sample of 72 Japanese chemical firms observed during 1968-1987. The fourth essay, entitled ''A simple efficient GMM estimator of GARCH models'', considers efficient GMM based estimation of GARCH models. Sufficient conditions for the estimator to be consistent and asymptotically normal are established for the GARCH(1,1) conditional variance process. In addition efficiency results are obtained for a GARCH(1,1) model where the conditional variance is allowed to enter the mean as well. That is, the GARCH(1,1)-M model. An application to the returns to the SP500 index illustrates. / <p>Diss. Stockholm : Handelshögskolan, 2001</p>

Background: A well-known study, similar to ours, was made in 1985 in America, showing that "loser" portfolios outperformed the market while "winner" portfolios earned less return than the market. This finding is not in accordance with the theory of efficient markets. If a market is efficient, there should be no possibility of making sustainable excess returns and prices should follow a random walk. Purpose: The purpose of this thesis is to study a "winner" portfolio and a "loser" portfolio in order to establish whether the Swedish stock market is efficient in the weak form. We will study the efficiency of the A-list at Stockholm Stock Exchange. Delimitations: We test efficiency of the Swedish stock market in the weak form. Our investigation comprises stocks registered on the A-list of the Stockholm Stock Exchange. We do not take tax- and transactions costs into consideration in this study. Methodology: "Winner" and "loser" portfolios are formed for the period 1997- 2002. We keep the portfolios during a test period of one year, i.e. form new portfolios at the end of each year. The first winner and loser portfolios are selected on the last day of trading in 1996 and the last two portfolios are selected on the last day of trading in 2001. Results: Our result indicates that the Swedish stock market is efficient in the weak form during the period 1997-2002.

<p>This study focuses on the impact on service provision arising from uncertainties in the UC Act. There are serious problems with the delivery of basic services in urban areas: including frequent interruptions in water supply, persistent power cuts, uncollected refuse, poor health services and dilapidated infrastructure. The purpose of this study is to highlight specific weaknesses in the UC Act and examine how these contribute to poor service delivery. The specific weaknesses to be examined are the unfettered powers of the minister, lack of legal certainty on powers and functions of UCs, limited revenue generating powers and lack of autonomy in recruiting senior council administration. First, UCs exercise delegated powers from central government. The minister has powers to give directions on matters of policy, suspend, reverse, or rescind council resolutions. There is no legal authority to check and balance the unfettered powers of the minister. Poor service delivery may be attributed in part to the unfettered powers of the minister. Secondly, UCs do not have devolved fiscal powers. As agents of central government, UCs can only levy those taxes and borrow money as authorised by the minister. The limited capacities of UCs to generate own revenue impacts negatively on the capacity of UCs to respond to the needs of the communities they serve.</p>

In today’s tough business environment the need for good and efficient leaders are becoming more and more important. The businesses are in constant change, the world is more unpredictable and the competences of the employees are much greater today, which also calls for a new type of leader, a leader who not only is authoritarian, but also possesses soft skills. In this environment where there is this greater focus on leaders, leadership developments have emerged and increased in number over the last ten to twenty years. They try to develop leaders in all domains of their life, both professional and personal and the model we work with in this paper is Total Leadership, this model implies that you try to accomplish being a better leader throughout your whole life as a leader, to be whole, genuine and innovative, no matter career or position in life. The purpose with this essay is to investigate the outcome of leadership developments and see whether or not these leaders feel that they have become more efficient leaders. This was done by a qualitative research where we interviewed twelve leaders who had undergone a leadership development at a leadership development company called GestaltPartner. We reached the conclusions that all informants have had great value of the development and feel that they have reached a greater personal development that also reflects on their professional skills that in the end makes them more efficient leaders.

Title: Efficient purchasing in an organization: the importance of qualified purchasing personnel (A case study of ABB, Västerås)     Purpose: The purpose of this research is to learn and present how ABB (Västerås) perceives the role of the purchasing function, and the importance of involving qualified purchasing personnel in the purchasing process. By evaluating their: ·           Level of participation in the overall corporate planning process, ·           Relationship to suppliers and other internal units, ·           Responsibilities toward the organization, for determining how they contribute to its efficiency   Method:  This thesis is a case study on ABB (Västerås). We have used a qualitative method to conduct the research. We have also obtained primary data through face-to-face interviews and secondary data by an extensive literature search using peer-reviewed articles, textbooks, search engines, and the MDH database.   Conclusion: Subsequent to our findings, we are of the opinion that there is a positive perception concerning the role of purchasing function and purchasing personnel in ABB. We assert this is due to the recognition that purchasing, contributes significantly to the organization’s profit, helps in making savings and reducing costs compared to what was obtainable a few decades ago. We have also found that there is also a realization on the part of management that the skills and knowledge of the purchasing personnel in devising strategies, coordinating with other internal functions, and dealing with suppliers etc. are major factors responsible for the benefits that purchasing provides to ABB (Västerås).   We have observed through our findings that the efficiency of the purchasing function in ABB is rooted in its purchasing personnel. In our opinion purchasing personnel high involvement in the corporate planning process in ABB, cooperation with top management, and liaison with other functional units are what makes purchasing efficient in the organization.

This paper examines whether the phenomena of price drift around quarterly earnings re-leases exist among firms listed on the large cap. list at the Stockholm Stock Exchange for a time period ranging from the first quarter of 2003 to the second quarter of 2006. It fur-thermore examines the ability of the variables forecast error, relative to analyst’s estimates, and firms’ size to explain the variation in price drift among firms. A sample of some 30 firms were drawn in the first three quarters of each year between 2003 and 2005, for the year of 2006 only the fist two quarters were included in the study. For each quarter all firms were classified into three different portfolios on the basis of earnings deviations relative to mean analyst’s estimates (forecast error). The returns for each firm in all portfolios were investigated during 20 days post- and pre quarterly earnings release date, resulting in an event window totaling 41 days. In order to clear out effects from general market movements the Capital Asset Pricing Model, CAPM, was used in which betas were estimated for all firms each quarter. The findings from this study indicate that price drift, measured by cumulative abnormal re-turn, occur for firms with both negative forecast error as well as positive. For firms with positive error, statistically significant positive price drift was found for both the pre- and post period. As for the firms with earnings below analyst’s mean estimates, negative prean-nouncement drift was statistically supported. The ability of firms size and forecast error to explain the variation in price drift on a stock level was very weak, R2 measures of below 5% was reported. However, forecast error was a strongly significant independent variable in the context of the regressions run for both pre- and post-announcement drift. The firms below the lower market cap. quartile in the sample show, on average, lower pre-announcement drift than the firms belonging in the largest quartile. Concerning market efficiency among the large cap. firms the price drift found is an indica-tion of market inefficiency both it terms of the semi strong and the strong form. However, care should be taken before generalizing the results from this study but. Possible misspeci-fication of the equilibrium return model will skew the price drift measurement. Moreover, speculation is not explicitly controlled for in this test. Finally, this study is done within a li-mited time span; hence generalization over time is not possible