AZEVEDO, Adailton Cordeiro de. O poder de diversificação internacional de um investidor brasileiro. 2013. 29f. Dissertação (Mestrado Profissional) - Programa de Pós Graduação em Economia, CAEN, Universidade Federal do Ceará, Fortaleza-CE, 2013. / Submitted by Mônica Correia Aquino (monicacorreiaaquino@gmail.com) on 2014-10-16T13:28:25Z No. of bitstreams: 1 2013_dissert_acazevedo.pdf: 825507 bytes, checksum: 7e29f1765de2b2686ffc356b8cb42da5 (MD5) / Approved for entry into archive by Mônica Correia Aquino(monicacorreiaaquino@gmail.com) on 2014-10-16T13:28:42Z (GMT) No. of bitstreams: 1 2013_dissert_acazevedo.pdf: 825507 bytes, checksum: 7e29f1765de2b2686ffc356b8cb42da5 (MD5) / Made available in DSpace on 2014-10-16T13:28:42Z (GMT). No. of bitstreams: 1 2013_dissert_acazevedo.pdf: 825507 bytes, checksum: 7e29f1765de2b2686ffc356b8cb42da5 (MD5) Previous issue date: 2012-11-30 / In this work we enter the debate about the ability of a Brazilian investor intending to diversify risk by allocating resources in international assets. Based on unleveraged strategies of portfolios composition using 35 of the most representative stock market indices worldwide, we evidence that in times of financial crisis one should not follow a fundamental approach, while during periods of recovery or economic stability, the investor Brazilian should observe other countries. To summarize, all equal-weighted and optimization based portfolios have risk levels lower than those reported for the Bovespa Index, signaling the capacity of international diversification of risk. However, in terms of relation risk-return, it is possible that simple investment strategies using only stock market indices of countries of South America have satisfactory results. Although the aspects explaining the home bias, Brazilian investors should be motivated to think of feasible strategies able to reduce exposure to risk sources of political or macroeconomic that comprise the systemic risk of the domestic financial market. / Este trabalho se agrega à discussão sobre a capacidade de um investidor brasileiro diversificar o risco alocando recursos em ativos internacionais. Adotando estratégias não alavancadas de composição de portfólios com 35 índices das mais representativas bolsas de ações no mundo, evidencia-se que em períodos de crise financeira não se deva recorrer aos escassos fundamentos, mas que em períodos de recuperação ou estabilidade econômica, se deva investir em ativos de outros países. Em suma, todos os portfolios equal-weighted e construídos via otimização apresentam níveis de risco inferiores aos registrados para o IBOVESPA, sinalizando capacidade de diversificação internacional de risco. Porém, em termos de ganho ponderado pelo risco, é possível que estratégias simples de composição de portfolios apenas compostos por índices dos mercados dos países da América do Sul já tenham resultados satisfatórios. Apesar dos fatores associados ao home bias, os investidores brasileiros deveriam estar motivados em pensar em estratégias factíveis capazes de reduzir a exposição a fontes de risco de caráter político ou macroeconômico que compõem o risco sistêmico do mercado financeiro nacional.

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This thesis gives the formal derivations of the so-called Rubinstein's measures of risk aversion and their multivariate generalizations. The applications of these measures in portfolio selection models are also presented. Assuming that a decision maker's preferences can be represented by a unidimensional von Neumann and Morgenstern utility function, we consider a model with an uninsurable initial random wealth and an insurable risk. Under the assumption that the two random variables have a bivariate normal distribution, the second-order co-variance operator is developed from Stein/Rubinstein first-order covariance operator and is used to derive Rubinstein's measures of risk aversion from the approximations of risk premiums. Rubinstein's measures of risk aversion are proved to be the appropriate generalizations of the Arrow-Pratt measures of risk aversion. In a portfolio selection model with two risky investments having a bivariate normal distribution, we show that Rubinstein's measures of risk aversion can yield the desirable characterizations of risk aversion and wealth effects on the optimal portfolio. These properties of Rubinstein's measures of risk aversion are analogous to those of the Arrow-Pratt measures of risk aversion in the portfolio selection model with one riskless and one risky investment. In multi-dimensional decision problems, we assume that a decision maker's preferences can be represented by a multivariate utility function. From the model with an uninsurable initial wealth vector and insurable risk vector having a joint normal distribution in the wealth space, we derived the matrix measures of risk aversion which are the multivariate extension of Rubinstein's measures of risk aversion. The derivations are based on the multivariate version of Stein/Rubinstein covariance operator developed by Gassmann and its second-order generalization to be developed in this thesis. We finally present an application of the matrix measures of risk aversion in a portfolio selection model with a multivariate utility function and two risky investments. In this model, if we assume that the random returns on the two investments and other random variables have a joint normal distribution, the optimal portfolio can be characterized by the matrix measures of risk aversion. / Business, Sauder School of / Graduate

M.Comm. / ffntroduction Measuring and evaluating risks are essential in a dynamic derivative market to minimize risks. The management of risks in the derivative market is complex due to the non-linear properties of option pricing Method of study The a first step of the study analyzed the "greek" derivatives of a single option contract (e.g. delta, gamma, vega, theta). The next step was to combine and analyze the derivatives of various option contracts. The study pointed out that the risk profile can be amended by combining option contracts. A risk measurement and evaluation model was constructed by creating a table that will simulate option prices at different time horizons and at different market prices. The model will also simulate all the derivatives of options in a table form at different time horizons and at different market prices. The model finally used the tables to reflect the results graphically. Findings The last section of the study was devoted to scenario simulation to identify risks. Firstly the management of the delta was analyzed, and the use of the gamma to identify delta sensitivity was illustrated. The management of the vega was addressed next. The study showed that a combination of options can minimize the risk of vega. The effect of theta or the time value of a option was illustrated and linked to both gamma and vega. The study demonstrated that the results of volatile movements in the market can be simulated by combining the derivatives of options (e.g. add the deltas of options together), and to stress test the strategy. "What if' scenarios can be simulated to illustrate the effect on a current position combined with some amendments.

Extensive empirical evidence shows that passively managed index-tracking mutual funds and exchange-traded funds (ETFs) outperform actively managed portfolios. On the other hand, there are abundant findings that stocks admitted to an index outperform those deleted from the index. This study tests an issue that has been largely ignored in academic studies but is highly related to the above two seemingly disparate areas of researches. The paper examines the long-term performance of non-index individual stocks and stock portfolios relative to the index. The study proposes that the inclusion and maintenance criteria for index component stocks are long-term performance indicators. Therefore, an index can be regarded as a passively managed and highly diversified portfolio of expected outperformers. Using a complete set of H-shares listed on HKEx for the period 2001 to 2017, the study finds that 44.25% (55.75%) of individual stocks have positive alphas (negative alphas) relative to the index. The average alpha for the family of all non-index stock is negative but statistically insignificant, i.e., 77 positive alphas and 97 negative alphas. Most alphas are statistically insignificant, but only 5 are positive, and 2 are negative at 5% significance level. From the risk and return perspective, the index dominates two-third of the non-index H-shares. Regression analyses show that H-index outperforms non-index H-shares in general and the market capitalization and turnover ratio play an important role in determining the long-term performance of H-shares, which are the major factors for the admission and maintenance criteria of H-index. The findings strongly support our conjecture that the index admission and maintenance criteria are the quality assurance of individual constituent stocks of an index. The paper provides incremental evidence on the widely documented result that index trackers outperform actively managed portfolios. Nevertheless, the study extends the recent literature on the long-term performance of stocks that are admitted to (or excluded from) an index. The findings of the study have significant implications for securities markets participants, including index providers and ETF issuers

The focus of this dissertation is the pupil's portfolio, primarily in electronic portfolio form, and its use in education. The research study considers that the e-portfolio as a means of support for evaluation has considerable didactic potential and its implementation into learning and teaching could improve the effects of evaluation, as well as fostering pupil's self-assessment and self-reflection. The study deals with the definition of the pupil's portfolio as a didactic means of support for evaluation; the structure and functional specifications are identified, and there is verification of ways of using an electronic portfolio as a tool for pupil's self-assessment and self-reflection. Both practical and theoretical methods were used in this study in order to verify if and under what conditions an electronic portfolio can be used to enhance the quality of evaluation in schools and to support the processes and outcomes of pupil's evaluation, self-assessment and self-reflection within the school environment. By developing further the concept of a pupil's portfolio this thesis seeks to contribute to the development of pedagogy, specifically in the area of didactics and in evaluation in schools.

I studien undersöks hur några elever uttrycker sina åsikter och svarar på sin lärares frågor i relation till en bilduppgift i sina portfolio. Syftet med studien är att studera hur elever i grundskolans senare år reflekterar över sina egna lärprocesser och erfarenheter i bildämnet och skapar mening i ämnet, samt hur eleverna ser på hur deras lärare påverkar deras arbeten. Studiens syfte utforskas genom att undersöka högstadieelevers portfolio efter frågeställningarna:• Vad lägger eleverna värde på i sina lärprocesser i bildämnet?• Hur skapar eleverna mening i bildämnet?• Vilka aspekter och egenskaper värderar eleverna hos sin lärare?Eleverna beskriver sina arbetsprocesser och sina resultat samt ger återkoppling till lärarens insats i bilduppgiften. Med hjälp av en hermeneutiskt och sociokulturelltolkningsmetod, framgår det att eleverna värderar tydliga instruktioner, tillgång till tid för arbete och tillgång till hjälp från sin lärare. Resultatet antyder även att det finns ett visst missförstånd mellan vad läraren efterfrågar hos sina elever och vad eleverna antar att läraren efterfrågar.

Med mitt arbete vill jag undersöka hur man arbetar med portfoliometodiken i textilslöjden och hur arbetet med portfolio kan underlätta för läraren att arbeta utifrån de direktiv som finns i kursplanen för slöjd.Undersökningen har genomförts i enkätform där textillärare som arbetar med portfoliometodiken har fått svara på ett antal frågor med olika svarsalternativ.I undersökningen har det framkommit att när man arbetar med portfolio i textilslöjden så sparas alla elevens arbeten. Den färdiga produkten har fotograferats och sparats tillsammans med elevens utvärdering och i de flesta fall även med lärarens kommentar. Däremot är det ingen som sparar någon bild på produkten under arbetets gång. Trots att fokus har flyttats från produkt till process i Lpo 94. Nästan samtliga lärare tycker sig se att portfolion hjälper eleven att se sin egen utveckling i slöjd, att den hjälper eleven att ta ansvar för sitt arbete samt att det är lättare att motivera eleven att skriva en utvärdering. Allt detta är i linje med kursmålen för slöjd.I min undersökning har det visat sig att det finns brister i hur portfolion används utanför klassrummet. Värdefull dokumentation förs t ex inte alltid vidare vid byte av skola.

The main purpose for an aggressive investor is to maximize the return in theinvestments. But in order to do so the risk should be taken into consideration.In this thesis, we utilize Markowitz portfolio theory, one of the standard modelsfor maximizing return while considering risk. The model allows the investorto balance risk tolerance and expected return on the stock market based onhistorical data. Simply put, the goal is to allocate capital to stocks in a mannerthat maximizes expected return while considering risk. The tested cases involvedmodels utilizing historical data from five and ten years ago, respectively. Theresulting allocation distribution of these portfolios depended on the varianceconstraint and, to a large extent, on how many years of historical data were used.These results emphasize the significance of data in portfolio optimization.

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