Disertacijoje nagrinėjama investicijų portfelio sudarymo ir valdymo rinkų dinamikos sąlygomis problematika. Globali finansų krizė parodė, kad investuojant atsiranda ne tik uždarbio galimybės, bet ir gana didelė praradimų rizika. Pagrindinis disertacijos tikslas – pasiūlyti ir empiriškai aprobuoti šiuolaikinių rinkų dinamikos iššūkius atitinkančius investicijų portfelio sudarymo ir valdymo sprendimus skirtingus investavimo polinkius turintiems investuotojams. Daktaro disertaciją sudaro įvadas, trys skyriai ir bendrosios išvados. Įvade suformuluojama mokslinė darbo problema, pagrindžiamas jos aktualumas, įvardijamas tyrimo objektas, darbo tikslas ir uždaviniai, pristatoma tyrimo metodika, darbo mokslinis naujumas ir gautų rezultatų praktinė reikšmė, įvardijami ginamieji teiginiai. Pirmajame skyriuje nagrinėjamos plačiai diversifikuoto investicijų portfelio sudarymo galimybės. Įvertinami mokslininkų pasiūlymai dėl skirtingų aktyvų (investicinio turto klasių) įtraukimo į investicijų portfelį, sudarytas biržoje prekiaujamų fondų portfelis ir įvertintas jo efektyvumas. Pasiūlytas investuotojo realiai patirtos rizikos vertinimo metodas. Antrajame skyriuje detalizuoti aktyvaus investicijų portfelio valdymo taikant finansinį svertą sprendimai. Įvertinti efektyviosios portfelių ribos pokyčiai bei aktyvaus portfelio valdymo taikant finansinį svertą tikslingumas. Pasiūlytas prognozavimo tikslumu praeityje paremtas prognozių integravimo metodas ir įvertintas jo efektyvumas integruojant... [toliau žr. visą tekstą] / The dissertation analyses the topic and problems of selection and management of investment portfolio in terms of market dynamics. The global financial crisis has revealed that investments bear not only return possibilities but also a relatively high risk of loss. The main aim of the Thesis is to propose and test empirically investment portfolio selection and management solutions matching the tendencies of modern markets for the investors with different investing preferences. The Doctoral Thesis consists of the introduction, three body chapters and conclusions. The introduction presents the scientific problem, its relevance, the object of the research, the aim and tasks of the research, methods of research, scientific novelty of the Thesis, practical significance of its results and defended statements. The first chapter provides analysis of possibilities for a widely diversified investment portfolio selection. The study of proposals of scientists on different assets combining into an investment portfolio is carried out. Portfolio of exchange traded funds is created and its efficiency is evaluated. The method for actually incurred risk evaluation is suggested. Solutions for active investment portfolio management with financial leverage are specified in the second chapter. The changes of efficient set of portfolios and expediency of active portfolio management with financial leverage are evaluated. Forecasts integration method, based on prediction accuracy in the past, is... [to full text]

Univ., Diss.--Mainz, 2003. / Literaturverz. S. [165] - 170.

Zugl.: Bremen, Universiẗat, Diss., 2009.

The master's thesis is focused on Stock portfolio optimalization on Czech capital market. The analysis of each stock, estimation and portfolio optimalization proposal are included. In the practical part the Fundamental analysis is applied. The portfolio optimalization is estemated by portfolio theory which is consist in the relationship between stock price and market trends represents by PX Index and expressing correlation of them by beta coefficient.

Klausuren und Tests sind Prüfungsformen, die geeignet sind, die fachliche Kompetenz von Studierenden zu bewerten. Dabei sind es gerade soziale, personelle und methodische Kompetenzen, über die zukünftigen Lehrerinnen und Lehrer im Unterrichtsalltag verfügen sollten. E-Portfolios scheinen das Potential zu haben, Prüfungen offener und im ganzheitlichen Sinne kompetenzorientierter zu gestalten. Vorliegende Arbeit thematisiert Mehrwerte sowie problematische Aspekte bei der Einführung von E-Portfolio-Arbeit in der akademischen Ausbildung von Lehrerinnen und Lehrern und formuliert Empfehlungen für die erfolgreiche Implementierung dieser Methode und der notwendigen Werkzeuge. Dazu wird untersucht, welchen Stellenwert Portfolios und E-Portfolios derzeit in der Lehrerausbildung an der Technischen Universität Dresden haben, welche Software speziell für die vorherrschenden Rahmenbedingungen geeignet ist und welche positiven und negativen Aspekte bei der didaktischen Konzeption eines Lernszenarios mit E-Portfolio als Lern- und Prüfungsform zu berücksichtigen sind.

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Thesis (MBA)--Stellenbosch University, 2015. / ENGLISH ABSTRACT: Portfolio managers and investors have developed numerous stock-picking strategies for managing stock market portfolios, many of which have been researched extensively in international markets. For example, research has shown that value stocks have higher returns than growth stocks in markets around the world (Fama & French 1998). A very popular value investing strategy is the ‘magic formula’ developed and published by Joel Greenblatt, in 2006, in his book The little book that beats the market. This strategy is based on constructing portfolios where return on capital and earnings yield are used as selection criteria. Greenblatt (2010) provided results that showed that the magic formula strategy was able to persistently outperform the United States stock market from 1988 to 2009. This study provides a back-test of the magic formula on stocks listed on the Johannesburg Stock Exchange for the period 1 January 1998 to 31 December 2013. The return was benchmarked against the FTSE/JSE J203 All Share Total Return Index and several other popular value investing strategies over the same period. It was found that, even after adjusting for risk, the magic formula was able to consistently outperform the market index. While the magic formula was able to outperform the market index, it was not the top performing value investing strategy evaluated in this study. The magic formula was outperformed by the combination of size and book-to-market, book-to-market alone, dividend yield, and earnings yield value investing strategies. While the magic formula, and the above mentioned value investing strategies, were able to outperform the market index in terms of overall geometric mean returns, there is not enough evidence to conclude that these value investing strategies outperformed the market index by a statistically significant margin.

Thesis (MBA)--Stellenbosch University, 2015. / ENGLISH ABSTRACT:The main aim of this study was to determine the effect of unanticipated information, or noise, on the returns of cap-weighted portfolios in various segments of the JSE for the period 1995 to 2014. Capital Market Theory states that the optimal ex ante portfolio comprises all shares in a market/segment weighted by ex ante market capitalisation. The optimal ex ante portfolio is however rarely the optimal ex post portfolio, because it is underweighted in shares that will unexpectedly become ‘winners’ during the investment period and overweighted in those that will become ‘losers’. According to Fuller, Han and Tung (2012), all investors in a segment would gain maximum alpha from a portfolio weighted by ex post market capitalisation – in other words, a ‘perfect foresight’ (PF) portfolio. The excess return of the PF portfolio over the benchmark portfolio therefore is an estimate of the negative effect of noise on the return of the benchmark portfolio. In this study, the returns of PF portfolios were compared with the All Share, Large Cap, Mid Cap, Small Cap, Financials, Industrials and Resources segments of the JSE. Intuitively, information to guide decisions on portfolio weighting would be more valuable and deliver more profit when the cross-sectional standard deviation of share returns is high. A secondary aim was therefore to investigate the correlation between cross-sectional standard deviation and PF excess return. It was found that a strong positive correlation (more than 88%) existed between cross-sectional standard deviation and PF excess return in all segments. In ascending order of cross-sectional standard deviation and PF excess return, the results for the segments were Financials (25% and 5%), Resources (28% and 6%), Large Cap (29% and 8%), Industrials (30% and 9%), All Share (32% and 9%), Mid Cap (36% and 13%) and Small Cap (43% and 17%).

Thesis (PhD)--Stellenbosch University, 2015. / ENGLISH ABSTRACT: Analysts are valuation specialists who advise both institutional clients and non-professional investors on the choice and timing of security purchases and sales. The analysts’ advice may have hugely beneficial or unfavourable outcomes for those who rely on them. This study investigated the possible influence of 901 local and international analysts’ recommendations that were issued from 1993 to 2011 on shares listed on the Johannesburg Stock Exchange (JSE). The short-term impact of recommendations on prices and possible behavioural tendencies among analysts, including a reported inclination to issue overly-positive recommendations, were respectively investigated in the first two empirical chapters. Thirdly, the success rate of analysts to issue recommendations with an advised directional impact and possible herding behaviour among analysts were researched. The empirical chapters conclude with an investigation into changes in investor attention (as proxied by traded volumes) and price volatility around analysts’ recommendations. The efficient market hypothesis and the ‘differences of opinion’ theories were used as fundamental points of departure and interpretation. More than 37 000 recommendations, ranging from strong buy to strong sell, were used in an event-study methodology to analyse the market’s reaction to these recommendations. Advanced modelling techniques were implemented in Excel and VBA to analyse daily consensus opinions, positive- versus negative sentiment, analyst activity and reactions, the frequency of abnormal price reactions, abnormal price movements, abnormal traded volumes, and changes in price volatility surrounding recommendation revisions. The study found that analyst recommendations were followed by an abnormal reaction in prices and that the magnitude of a recommendation’s change (e.g. a three-step change from strong sell to buy versus a one-step change hold to buy) had a greater impact than a recommendation’s absolute level. A portfolio strategy revealed the possible benefit of recommendations for investors. Analysts issued their opinions using different patterns within the five possible recommendation categories, and issued the same proportion of negative recommendations during periods of low business confidence and economic contraction than during growth- and economic upswing phases. Analysts who issued more recommendations in total were not more influential than less active analysts, and not all analysts were able to issue recommendations with a large advised directional abnormal impact. As expected, recommendations that had a large abnormal price impact generated some herding activity among the other analysts who covered the same share. Investor attention increased around the issuance of recommendation revisions, and price volatility increased after large recommendation upgrades. In support of market efficiency, investors seemed able to trade at new price levels and execute their trades with sufficient liquidity following recommendations. Results that infer differences of opinion were present both among analysts and investors: competing analysts did not issue the same recommendations for the same shares and favoured different recommendations categories; and investors only acted on some of the recommendations. Furthermore, analysts did not have the same propensity to cause abnormal price reactions. Traded volumes increased around recommendation revisions, showing that investors paid attention to recommendations. / AFRIKAANSE OPSOMMING: Analiste spesialiseer in die waardasie van maatskappye en adviseer beide institusionele- en nie-professionele beleggers rakende die keuse en tydsberekening van hul kope en verkope. Díé advies kan baie voordelige of nadelige gevolge hê vir diegene wat daarop staatmaak. Hierdie studie het die moontlike invloed ondersoek van 901 Suid-Afrikaanse en internasionale analiste se aanbevelings rakende JSE-genoteerde aandele tussen 1993 en 2011. Die eerste twee empiriese hoofstukke ondersoek (i) die korttermyn impak van analiste se aanbevelings op pryse en (ii) moontlike gedragspatrone onder analiste, insluitend ‘n gerapporteerde neiging om oor-positiewe aanbevelings uit te reik. Derdens is analiste se sukseskoers om aanbevelings met ‘n verwagte impak uit te reik en moontlike ‘trop’-gedrag onder analiste nagevors. Die empiriese hoofstukke sluit af met ‘n ontleding van veranderinge in beleggers se aandag (soos aangedui deur verhandelde volumes) en prysvolatiliteit rondom analiste se aanbevelings. Die effektiewe markhipotese en die ‘verskil in opinie’ teorie was gebruik as fundamentele grondslag en om resultate te interpreteer. ‘n Gebeurtenis-studie metodologie is gebruik om die mark se reaksie op meer as 37 000 aanbevelings, wat van sterk koop tot sterk verkoop strek, te analiseer. Gevorderde modelleringstegnieke is in Excel en VBA geïmplementeer om konsensus opinies, positiewe- vs. negatiewe sentimentsperiodes, analiste se aktiwiteitsvlakke en reaksies, abnormale prysreaksies en die voorkoms daarvan, abnormale verhandelde volumes, en veranderinge in prysvolatiliteit rondom aanbevelings hersienings te bereken en te analiseer. Die studie het bevind dat analiste se aanbevelings wel gevolg is deur abnormale prysbewegings, en dat die grootte van aanbevelings se hersienings (bv. ‘n drie-stap hersiening van sterk verkoop na koop versus ‘n een-stap hersiening van hou na koop) ‘n groter impak as die aanbeveling se absolute vlak gehad het. ‘n Portefeulje strategie het ook die moontlike voordeel van aanbevelings vir beleggers uitgelig. Analiste het verskillende patrone binne die vyf-punt aanbevelingskategorieë gebruik om hul opinies te kommunikeer, en het dieselfde proporsie negatiewe aanbevelings tydens periodes van swak besigheidsvertroue en ekonomiese afswaai uitgereik as tydens periodes van groei en ekonomiese opswaai. Analiste wat meer aanbevelings in totaal uitgereik het, was nie meer invloedryk as ander analiste nie, en nie alle analiste het aanbevelings wat ‘n groot abnormale prysreaksie veroorsaak het, uitgereik nie. Soos verwag het aanbevelings, wat groot abnormale prysbewegings veroorsaak het (invloedryke aanbevelings), ‘trop’-gedrag veroorsaak onder kompeterende analiste. Beleggers se aandag het toegeneem met die uitreik van hersienings, en prysvolatitliteit het toegeneem ná groot aanbeveling-opgraderings. Beleggers kon teen nuwe prysvlakke verhandel en hul besluite uitvoer met genoeg likiditeit nadat aanbevelings uitgereik is, wat indikatief van mark-effektiwiteit is. Resultate dui ook op verskillende opinies tussen beleggers en analiste: analiste het verskillende aanbevelings vir dieselfde aandele uitgereik en het verskillende aanbevelings-kategorieë verkies, en beleggers het nie op alle analiste se aanbevelings gereageer nie soos aangedui deur pryse en volumes. Analiste het verder nie dieselfde geneigdheid gehad om abnormale prysveranderinge te veroorsaak nie. Verhandelde volumes het toegeneem rondom aanbevelingshersienings, wat aandui dat beleggers wel aandag aan die analiste se aanbevelings gegee het.

This report discusses a multi-stage stochastic programming model that maximizes expected ending time profit assuming investors can forecast a bull or bear market trend. If an investor can always predict the market trend correctly and pick the optimal stochastic strategy that matches the real market trend, intuitively his return will beat the market performance. For investors with different levels of prediction accuracy, our analytical results support their decision of selecting the highest return strategy. Real stock prices of 154 stocks on 73 trading days are collected. The computational results verify that accurate prediction helps to exceed market return while portfolio profit drops if investors partially predict or forecast incorrectly part of the time. A sensitivity analysis shows how risk control requirements affect the investor's decision on selecting stochastic strategies under the same prediction accuracy. / text