The objectives of the thesis - which comprises six parts – can be summarized in i) implementing linear and nonlinear/nonparametric approaches toward detecting, measuring and analyzing the nature and directionality of causal relationships in financial markets, ii) elaborating on modern topics in financial investment analysis, iii) probing into the role of commodity futures in constructing optimal portfolios as well as iv) investigating growth dynamics via aggregated and disaggregated indices. The first paper named “Analyzing causal interactions between sectoral equity returns and commodity futures returns in the aftermath of the global financial crisis: The case of the US and EU equity returns”, aims to explore and compare the dependence and co-movement structure between commodity and various asset classes’ returns including the USA and EU stock markets via the use of linear and non-linear causality testing in a comparative context with the additional adjustment for cointegration and conditional heteroscedasticity. The findings provide important implications for optimal asset allocation and portfolio diversification with respect to various market conditions, namely both in “good” and “bad” (crisis) times. The second paper is entitled “On the time scale behaviour of Equity-Commodity links: Implications for Portfolio Management”, and has been published in the Journal of International Financial Markets, Institutions and Money (2016). The study is co-authored with Professors S. Bekiros, D.K. Nguyen, and B. Sjö. It develops a holistic framework for the investigation of the multi-horizon and intra-frequency causal directionalities of various asset classes, by means of multi-resolution analysis. The results verify the assumption that financial markets exhibit time-varying co-movement patterns, which are fundamentally important in a) generating profitable trading strategies according to different investor horizon expectations and b) decoding the financialization mechanism across various asset classes. The third paper entitled “Business Cycle (de) Synchronization in the aftermath of the Global Financial Crisis: Implications for the Euro Area”, was published at Studies in Nonlinear Dynamics and Econometrics (2015) and is co-authored with S. Bekiros, D.K Nguyen and B. Sjö. In this work, the scale-dependent time-varying (de)synchronization effects between the Eurozone and the broad Euro area business cycles are revealed, before and after the global financial crisis. The results, which point towards an increased observed comovement during the crisis period for the Euro area, could be catalytic for the introduction of a more efficient monetary policy by EU institutions and in particular by the European Central Bank. In the fourth paper, “Do financial stress and policy uncertainty have an impact on the energy and metals markets? A quantile regression approach”, which was published in the International Review of Economics and Finance (2016) and co-authored with J.C. Reboredo, the financial and policy uncertainty is investigated in relation to the price dynamics of energy and metal commodity futures’ markets. This work lead to the analysis of the asymmetric interrelationships with respect to changes in the perceptions of various risk measures, covering various periods, i.e., “normal” vs. “turbulent” such as upward or downward market episodes. The fifth paper, co-authored with P. Andreasson, S. Bekiros and D.K. Nguyen, is entitled “The impact of speculation and economic uncertainty on commodity markets”, and is published in the International Review of Financial Analysis (2016). This paper attempts a novel methodological approach to measuring speculation in commodity markets, in particular whether market speculation drives agricultural commodity prices or viceversa. The assessment of the empirical analysis demonstrates that agricultural prices are not affected by speculation. Finally, the sixth paper “Energy and Output Dynamics in Bangladesh”, co-authored with B.P. Paul, was published in Energy Economics (2011) and explores the relationship between energy utilization and economic growth in Bangladesh. Specifically, it deals with the important issue of whether energy consumption can be reduced without affecting economic growth while at the same time implicitly may lead to poverty reduction. The findings substantiate the fact that a) energy usage has become more efficient in recent times, as well as indicate that b) fluctuations in energy consumption did not have a significant impact on economic output.

D.Ing. / The task of managing an investment portfolio is one that continues to challenge both professionals and private individuals on a daily basis. Contrary to popular belief, the desire of these actors is not in all (or even most) instances to generate the highest profits imaginable, but rather to achieve an acceptable return for a given level of risk. In other words, the investor desires to have his funds generate money for him, while not feeling that he is gambling away his (or his clients’) funds. The reasons for a given risk tolerance (or risk appetite) are as varied as the clients themselves – in some instances, clients will simply have their own arbitrary risk appetites, while other may need to maintain certain values to satisfy their mandates, while other may need to meet regulatory requirements. In order to accomplish this task, many measures and representations of performance data are employed to both communicate and understand the risk-reward trade-offs involved in the investment process. In light of the recent economic crisis, greater understanding and control of investment is being clamoured for around the globe, along with the concomitant finger-pointing and blame-assignation that inevitably follows such turmoil, and such heavy costs. The reputation of the industry, always dubious in the best of times, has also taken a significant knock after the events, and while this author would not like to point fingers, clearly the managers of funds, custodians of other people’s money, are in no small measure responsible for the loss of the funds under their care. It is with these concerns in mind that this thesis explores the potential for utilising the powerful tools found within the disciplines of artificial intelligence and machine learning in order to aid fund managers in the balancing of portfolios, tailoring specifically to their clients’ individual needs. These fields hold particular promise due to their focus on generalised pattern recognition, multivariable optimisation and continuous learning. With these tools in hand, a fund manager is able to continuously rebalance a portfolio for a client, given the client’s specific needs, and achieve optimal results while staying within the client’s risk parameters (in other words, keeping within the clients comfort zone in terms of price / value fluctuations).This thesis will first explore the drivers and constraints behind the investment process, as well as the process undertaken by the fund manager as recommended by the CFA (Certified Financial Analyst) Institute. The thesis will then elaborate on the existing theory behind modern investment theory, and the mathematics and statistics that underlie the process. Some common tools from the field of Technical Analysis will be examined, and their implicit assumptions and limitations will be shown, both for understanding and to show how they can still be utilised once their limitations are explicitly known. Thereafter the thesis will show the various tools from within the fields of machine learning and artificial intelligence that form the heart of the thesis herein. A highlight will be placed on data structuring, and the inherent dangers to be aware of when structuring data representations for computational use. The thesis will then illustrate how to create an optimiser using a genetic algorithm for the purpose of balancing a portfolio. Lastly, it will be shown how to create a learning system that continues to update its own understanding, and create a hybrid learning optimiser to enable fund managers to do their job effectively and safely.

In my thesis I will try to compare the profitability of investment strategies based on the books of the eight famous financial gurus. I'll try to explain the process of selection of stocks to model portfolios, and describe its pitfalls and ideas hidden behind them.I will evaluate the performance of model portfolios under current market conditions based on observation of their development. I will try to clarify the trend observed in stocks moves not only in terms of the criteria of tested strategies, but also in terms of important company news that occurred at the time of observation. I will look on the chosen strategies from the short-term point of view, the observation will last several weeks. The outcome of my work should be my own scoring model for finding undervalued stocks based on chosen strategies and criteria that will appear to be successful within my own observation.

From the beginning of 20th century many studies proved randomness in price evolution of investment instruments. Therefore models respecting this randomness must be used in portfolio management. This thesis' aim is to provide basic theory regarding some of the stochastic methods and show their practical use in real situations.

Thesis advisor: Pierluigi Balduzzi / This dissertation consists of two essays in empirical asset pricing. Chapter I, "Skewness and Co-skewness in Bond Returns," explores skewness and co-skewness in discrete-horizon bond returns. Using data for 1976-2005, we find bond skewness is comparable to that in equities, varies with the holding period and varies over time. Speculative-grade bonds and collateralized securities have substantial negative skewness. The sign of the price of co-skewness risk in fixed income market is in general consistent with the theoretical prediction of the three-moment CAPM. Co-skewness against the market portfolio is priced differently in various bond sectors: taking a unit of co-skewness risk is rewarded with 0.43% and 2.47% per month for corporate bonds and collateralized securities, respectively. Co-skewness risk helps explain the cross section of expected bond returns when state variables such as inflation, real activity, or short term interest rates are included, or when conditioning information is exploited. Chapter II, "Modern Portfolio Management with Conditioning Information," studies models in which active portfolio managers optimize performance relative to a benchmark and utilize conditioning information unavailable to their clients. We provide explicit solutions for the optimal strategies with multiple risky assets, with or without a risk free asset, and also consider various constraints on portfolio risk or on portfolio weights. The equilibrium implications of the models are discussed. A currency portfolio example shows that the optimal solutions improve the measured performance by 53% out of sample, compared with portfolios ignoring conditioning information. / Thesis (PhD) — Boston College, 2009. / Submitted to: Boston College. Carroll School of Management. / Discipline: Finance.

A research report submitted to the Faculty of Commerce, Law and Management, University of the Witwatersrand, in partial fulfilment of the requirements for the degree of Master of Management (in the field Finance and Investment Management) , 2016 / Style investing is a well-documented global phenomenon that refers to the manner in which investors formulate their capital allocation decisions. The two broad styles of investing to be discussed in this report are the ‘value style’ and the ‘growth style’ investing. Recent empirical research suggests that value style of investing outperforms growth style investing over the long term. Rational theories suggest that a value premium exist because value counters have higher unsystematic risk. However, theories such as behavioural finance attribute the value premium to more psychological social factors such as emotional and heuristic biases. The aim of this study was to determine whether value style investing outperforms growth style investing in South Africa. For the purposes of this study, we evaluated the performance of various portfolios for the period of December 2000 to December 2015. In addition, the study determined the relative risk of the two styles, by testing whether value outperforms growth during periods of financial crisis, and during a period of slow economic growth. In defining the parameters of our study, we divided the constituents of Financial Times and London Stock Exchange/Johannesburg Stock Exchange (FTSE /JSE) index into growth and value based on their relative Price to book (P/B) going back to December 2000. This created four portfolios; namely, Deep value, Relative value, Relative growth and Super growth. Portfolio Analytics were employed to determine which style outperforms over the period. Regression analyses was used to ascertain which portfolio generated abnormal risk adjusted returns over the period. Relative risk is also analysed. The results of this research indicate that there is limited evidence of value premium in South Africa over the period of the study, albeit there are some periods where one style is dominant over the other. Regressions suggest that none of the portfolios constructed using market capital weighted generate abnormal returns. However, deep value, relative value and relative growth portfolios generate abnormal returns when constructed on equalweighted basis. On a relative risk basis, deep value outperforms during the financial crisis, whereas relative value outperforms during economic slowdowns. / GR2018

Submitted in partial fulfilment of the requirements for the degree of Masters of Management in Finance and Investments In the Faculty of Commerce, Law and Management University of the Witwatersrand, Wits Business School, 2016 / This paper presents a first time application of a variant of the concepts underpinning the Fed Model, amalgamated with the Bond-Stock Earnings Yield Differential, by applying it to the dividend yields of REIT indices. This modification is termed the yield gap, quantitatively constructed and adapted in this paper as the Reverse REIT-Bond Yield Gap. This metric is then used as the variable of interest in a multivariate Markov regime switching model framework, along with a set of three regressors. The REIT indices trailing dividend yield and associated metrics are the FTSE/EPRA NAREIT series. All data are from Bloomberg Terminals. This paper examines 11 markets, of which the EMEs are classified as Brazil, Mexico, Turkey and South Africa, whereas the advanced market counterparts are Australia, France, Japan, the Netherlands, Singapore, the United Kingdom, and the United States. The time-frame spans the period June 2013 until November 2015 for the EMEs, whilst their advanced market counterparts time-span covers the period November 2009 until November 2015. This paper encompasses a tri-fold research objective, and aims to accomplish them in a scientifically-based, objective and coherent fashion. Specifically, the purpose is in an attempt to gauge the reasons underlying EMEs observed anomalies entailing reverse REIT-Bond yield gaps, whereby their tenyear nominal government bonds out-yield their trailing dividend yields on their associated REIT indices; what drives fluctuations in this metric; and whether or not profitable tactical asset allocation strategies can be formulated to exploit any arbitrage mispricing opportunities. The Markov models were unable to generate clear-cut, definitive reasons regarding why EMEs experience this anomaly. Objectives two and three were achieved, except for France and Mexico. The third objective was also met. The REIT-Bond Yield Gaps static conditions have high probabilities of continuing in the same direction and magnitude into the future. In retrospection, the results suggest that by positioning an investment strategy, taking cognisance of the chain of economic events that are likely to occur following static REIT-Bond Yield Gaps, then investors, portfolio rebalancing and risk management techniques, hedging, targeted, tactical and strategic asset allocation strategies could be formulated to exploit any potential arbitrage profits. The REIT-Bond Yield Gaps are considered highly contentious, yet encompasses the potential for significant reward. The Fed Model insinuates that EME REIT markets are overvalued relative to their respective government bonds, whereas their advanced market counterparts exhibit the opposite phenomenon. / XL2018

A research report submitted to the School of Economic and Business Sciences, Faculty of Commerce, Law and Management, University of the Witwatersrand, in partial fulfilment (50%) of the requirements for degree of Master of Commerce in Finance. March 2016 / This study attempts to determine the possible effects of individualism on industry volatility. The implications of this for behavioural finance are extensive, showing firstly that different industries react differently to behavioural biases and secondly that overconfidence is a possible driver of the positive effect of individualism on industry volatility. The country selection process was relatively objective, taking two countries with high individualism indexes and two with low indexes and including one with a medium index value. The result was a sample of the United States of America, the United Kingdom, South Africa, China and Taiwan. The industry selection process was more subjective. Industries were selected which should have a higher propensity to behavioural biases with lower book to market ratios (software and computer services industry and pharmaceutical and biotechnology industry) and other industries which should not be as strongly affected by behavioural biases (banks, mining, oil and gas producers, and mobile telecommunications industries). In order to correct for ARCH effects the series’ were modelled using a GARCH (1, 1) model. The resulting residuals, which showed no autocorrelation, were then used to conduct panel data regressions on each of the industries. The results confirmed that individualism had a positive effect on volatility in the industries which were expected (software and computer services and pharmaceuticals and biotechnology industries). However, it was also determined that the banks industry was significantly affected by individualism, an effect which it was hypothesised, was due to the individualism of employees as opposed to investors. / MT2017

As a consequence of financial analysts' joint role as information intermediaries and firm monitors, I investigate analysts' responses to opportunistic corporate earnings management as firm mispricing increases. While firms' management have capital markets and executive equity incentives to manage earnings, financial analysts have trading volume, investment banking, and management information incentives which result in analysts' optimism bias. However, prior research also finds that analysts have reputational incentives, which motivate them to provide accurate and profitable outlooks. Using a generalized linear model (GLM), I estimate analysts' stock recommendation (price targets) responses for earnings management firms. I use the residual income model to compute fundamental value and I add proxies for earnings management to my analyst-responses models.... The main implications of my findings are that analysts use corporate earnings management and firm fundamental value in their stock recommendations (price targets) responses. In addition, my results provide evidence that, after controlling for earnings quality, analysts' stock recommendations (price targets) are consistent with strategies based on residual income models. These findings will be of interest to shareholders, regulators, and researchers as well as to finance and accounting practitioners. / by Jomo Sankara. / Thesis (Ph.D.)--Florida Atlantic University, 2012. / Includes bibliography. / Mode of access: World Wide Web. / System requirements: Adobe Reader.

O objetivo principal dessa tese é propor e validar um modelo matemático que relacione a gestão do portfólio de projetos e o desempenho organizacional. Tal modelo deve permitir que se avalie o impacto de decisões tomadas na gestão do portfólio de projetos nos resultados das organizações e dos projetos. Além disso, pretende-se avaliar o impacto do tipo de estratégia e do perfil dos stakeholders das organizações na relação entre a gestão do portfólio de projetos e o desempenho organizacional. Para alcançar os objetivos propostos, desenvolveu-se esta pesquisa adotando-se a abordagem metodológica caracterizada como descritiva do tipo hipotético dedutiva, em que são utilizados como procedimentos técnicos a pesquisa bibliográfica, com auxilio da técnica da bibliometria, e o levantamento do tipo survey. Para o tratamento dos dados, utilizam-se métodos estatísticos, em especial, a modelagem de equações estruturais. O universo estudado é o de organizações com unidades de negócios no Brasil, Américas e Europa, sendo o perfil dos respondentes composto por diretores; alta e média gerência funcional; gerentes e coordenadores de projetos e gerentes, coordenadores e membros de escritório de projetos. O tamanho total da amostra analisada é de 103 questionários válidos. O modelo matemático proposto é formado por onze variáveis latentes relacionadas com a gestão do portfólio de projetos e três relacionadas com o desempenho organizacional. Com base na literatura pesquisada, identificou-se como variáveis latentes que compõem a gestão do portfólio de projetos o conhecimento do contexto organizacional, a identificação de oportunidades, a definição dos critérios de decisão, a classificação dos projetos, a seleção, priorização, otimização e sequenciamento dos projetos, a avaliação do portfólio de projetos, o balanceamento dos projetos de acordo com critérios previamente definidos, a autorização para iniciar os projetos, a alocação de recursos, a formação e acompanhamento do portfólio de projetos e a existência de uma infraestrutura para a gestão do portfólio de projetos. Além disso, identificou-se na literatura pesquisada que desempenho organizacional é composto pelas variáveis latentes: eficiência do projeto, sucesso no negócio e preparação para o futuro. Parte-se da hipótese de que a gestão do portfólio de projetos tem impacto estatisticamente significante no desempenho organizacional. Esta hipótese foi testada e validada, sendo obtido como principal resultado da pesquisa, que existe uma relação forte entre a gestão do portfólio de projetos e o desempenho organizacional (R² = 38%, p-value = 0,000, t student = 9,7236). Além disso, foi possível verificar, entre outros resultados, que dispor de uma infraestrutura para a gestão do portfólio de projetos e saber identificar oportunidades de negócios, organizando uma lista única de projetos candidatos impactam o desempenho organizacional (p value = 0,0361 e p - value = 0,0612, respectivamente), especialmente no que se refere a sua preparação para o futuro (p value = 0,0171). Outro achado da pesquisa foi a verificação de que o conhecimento do contexto organizacional, a utilização de técnicas para a alocação de recursos e classificar os projetos em categorias distintas contribui para a eficiência dos projetos (p- value = 0,0358; p-value = 0,0102 e p value = 0,0391, respectivamente). No que se refere a influência do perfil dos stakeholders na relação entre a gestão do portfólio e o desempenho organizacional foi possível verificar para a amostra pesquisada que os tipos de stakeholder acionistas / investidores, diretores e gerentes de linha afetam o desempenho das organizações (p-value = 0,0054, p-value = 0,0591 e p-value = 0,001, respectivamente). Esses resultados, apesar de estarem limitados à amostra analisada, indicam que as organizações devem estruturar sua área de gestão de portfólio de projetos, visto que ela impacta fortemente no seu desempenho. Nesse sentido, dispor de uma infraestrutura para a gestão do portfólio, com equipe capacitada, infraesrutura de tecnologia da informação disponível e eficaz, escritório de projetos implantado e busca continua da maturidade na gestão de projetos são questões chave para o desempenho das organizações e, especialmente, para a sua preparação para o futuro. Como contribuições à teoria, esta pesquisa disponibilizou um modelo entre a gestão do portfólio de projetos e o desempenho organizacional validado para a amostra estudada e um instrumento de pesquisa validado nos idiomas português, espanhol e inglês que poderá ser reutilizado em pesquisas futuras. / The main objective of this thesis is to propose and to validate a mathematical model that relates the project portfolio management and the organizational performance. Such model must allow that the impact of decisions made in the process of project portfolio management on the results of organizations and their projects could be evaluated. In addition, it is intended to assess the impact of the type of strategy and the stakeholders profile of the organizations on the relationship between the project portfolio management and organizational performance. To achieve the proposed objectives, this research was developed by adopting the methodological approach characterized as descriptive which type is hypothetical-deductive, being used as technical procedures the review of the literature, with the help of bibliometric analysis, and the type survey. The data are processed using statistical methods, particularly structural equation modeling. The universe under study is that of organizations with business units in Brazil, the Americas and Europe, and the profile of the respondents comprises directors, senior and middle functional managers, project coordinators or managers, and project office coordinators or members. The total sample size analyzed comprises 103 valid questionnaires. The proposed model consists of eleven latent variables related to project portfolio management and three to organizational performance. Based on the literature, it was identified as latent variables that compose the project portfolio management: knowledge of the organizational context; the identification of opportunities; defining the decision-making criteria; the classification of projects; the selection, prioritization, sequencing and optimization of projects; the evaluation of the project portfolio; project balancing according to previously defined criteria; the authorization to start the projects; the allocation of resources; the creation and monitoring of the projects portfolio and the existence of an infrastructure for the project portfolio management. In addition, it was identified in literature that organizational performance is comprised of the following latent variables: efficiency of the projects, business success and preparing for the future. It is assumed that the management of the portfolio of projects has no statistically significant impact on organizational performance. This hypothesis has been tested and validated. The main findings of the survey indicate that there is a strong relationship between project portfolio management and organizational performance (R²=38%, p=0.000, t=9.7236). In addition, it was possible to verify, among other results, that having an infrastructure for project portfolio management and learn to identify business opportunities, organizing a single list of candidate projects, impact organizational performance (p-value = 0.0361 and p-value = 0.0612, respectively), especially with regard to their preparation for the future (p-value = 0.0171). Another finding of the survey was that the knowledge of the organizational context, the use of techniques for resource allocation and classifying projects in distinct categories contributes to the efficiency of the projects (p-value = 0.0358; p-value = 0.0102 and p-value = 0.0391, respectively). As regards the influence of stakeholders on the relationship between portfolio management and organizational performance was possible to check for sample researched the types of stakeholder shareholders / investors, directors and line managers affect the performance of the organizations (p-value = 0.0054, p-value = 0.0591 and p-value = 0.001, respectively). These findings, although they are limited to the sample analyzed, indicate that organizations should structure their portfolio management area, since it strongly impacts their performance. In this regard, the presence of an infrastructure for portfolio management, with qualified staff, an available and effective information technology infrastructure, and a properly established project office, as well as the unceasing search for maturity in project management, are key issues for the organizations performance, and especially to prepare it for the future. As contributions to the theory, this research provides a model of the relationship between project portfolio management and organizational performance validated for the sample under study and a research instrument validated in Portuguese, Spanish and English, which can be reused in future research.