Portfolio Management with Multiple Benchmarks Bc. Robert Navrátil Abstract: In this thesis, we study a maximal volatility portfolio that treats all assets in a symmetric way and related option contract. To preserve symmetry we need numeraire that treats all assets symmetrically. We choose market index with equal weights. In case of two assets we focus on a variation of a passport option on the portfolio. The optimal strategy for the investor is the mentioned maximal volatility portfolio. We extend the known optimal strategy for the option to a richer class of convex payoff functions. We also show a modification of the optimal strategy for maximizing the probability of ending above or at a desired level. We later extend the symmetric market model to case of three assets, which can be even further extended to an arbitrary number of assets. The three asset model requires more parameters than are observable from the data, however we show indistinguishably of the model on the choice of parameters under very natural conditions. Both numerical simulations and an application on real data is provided. 1

Abstract This doctoral thesis aims to contribute to the literature on hedge fund performance and risk by conducting four interrelated essays. The first two essays measure and predict hedge fund performance using novel methodologies based on recent development in portfolio choice techniques. This new way to evaluate fund performance relies on economic theory and robust econometric principles. The first essay exploits hedge fund characteristics in order to pick right funds into a portfolio, whereas the second essay predicts hedge fund performance using conditional information that is contained in macroeconomic variables. The empirical analysis shows that the proposed conditional real-time portfolio strategies deliver significant outperformance over the unconditional benchmark strategy which does not utilize conditional information. The third essay investigates whether a particular hedge fund with specific fund characteristics contributes to systemic risk and how hedge funds with a high systemic risk contribution perform during the times of financial distress. The findings suggest that the fund’s capital structure is related to its systemic risk contribution, and, furthermore, that hedge funds with a high systemic risk contribution tend to deliver extremely poor performance during the times of financial distress. The fourth essay examines the impact of share restrictions on hedge fund performance and risk-taking. The essay finds that hedge funds with a lockup period tend to take excess risk that is not compensated when performance is measured as a unit of risk taken by the hedge fund. In addition, the length of notice periods increases along with the illiquidity level of fund investments. Finally, hedge funds with a long notice period seem to be able to earn an illiquidity premium.

Product innovation is a key driver of any company’s growth. The biggest challenge in managing product innovation is in determining the most promising new product development (NPD) projects from the many ideas generated, known as portfolio management. In practice, NPD portfolio management still bears some problematic issues, including focusing mainly on portfolio selection rather than managing the entire process, the vague links between the process and business strategy, and a lack of formal process. Therefore, a study that looks at NPD portfolio management through different perspectives is required. NPD portfolio management deals with dynamic decision-making processes, involving not only selection decisions, but also decisions to delay, continue or even terminate projects. To understand this integrative process, a systematic literature review that explored four knowledge domains, i.e., NPD portfolio management, decision- making, strategy and organisational routines, was carried out. It involved 40 articles published from 1981-2012. The review focused on revealing how decision-making processes in NPD portfolio management are conducted and how they relate to the strategy process and organisational routines. The key findings show that decisions in the NPD portfolio management process are made through interaction between cognitive and political factors, overlooking the organisational factors in the process. Furthermore, the extant literature does not explicitly explain how to link the NPD portfolio management process to the strategy process. Also, the findings indicate that the concept of organisational routines had not been used when investigating NPD portfolio management. These are the research gaps that led to the three research questions: 1) How are organisational factors involved with the cognitive and political factors in the decision-making processes in NPD portfolio management?; 2) How do the decision-making processes in NPD portfolio management link to the business strategy?; and 3) To what extent are organisational routines related to the decision-making processes in NPD portfolio management?

This study examines the pattern of covariation of the industrial index returns of South Africa and foreign industrial sectors. This follows recent increase in national equity correlations and increases in the influence of industry effects in portfolio diversification. The covariation pattern in returns across industries and countries during both bull and bear runs is examined using correlation analysis to determine if there is a difference between the two epochs. The study presents preliminary evidence of the covariation between sectors during a bear and a bull run. Return covariation among sectors is impelled to a greater extent by country-specific factors than by industry-specific factors, implying the segmentation of industrial sectors. Thus, South African investors can in general gain more if a portfolio comprising shares across industries and countries is held, even if these investors buy shares from similar industries.

The project portfolio management process is characterised by a series of stages and gates where a project needs to pass the set criteria at that given point in order to continue to the next phase of the process. In this paper it is postulated that project portfolio management, in a multi-project environment, suffers from a core problem referred to as the release-problem. The release-problem serves as the catalyst that causes seven undesirable effects to occur within the project portfolio management environment. These undesirable effects lead to delays that hamper the rate of work the system is able to complete, complicates managerial decision-making and jeopardises the four desired outcomes of project portfolio management. / Dissertation (MSc)--University of Pretoria, 2007. / Graduate School of Technology Management (GSTM) / MSc / Unrestricted

No abstract supplied / Dissertation (MSc (Mathematics of Finance))--University of Pretoria, 2005. / Mathematics and Applied Mathematics / unrestricted

This study was undertaken to examine the issues relating to risk and loan portfolio management in Microfinance institutions in Uganda. The first objective of this study was to establish the extent of governance in MFIs in Kampala, by looking at the overall management of these institutions, assessing how decision are made, and looking at how they are staffed. The second objective is to establish the variables that best explain management of Micro-Finance Institutions (MFIs). The third objective is to identify the risk management of loan portfolios and lastly to provide recommendations based on the findings. The researcher used explanatory and survey research designs. A minimum sample 114 participants from 50 MFIs was used in data collection and analysis. The researcher employed principle component analysis (PCA) basing on Eigen values to identify variables above mean-scores and the nodes on the scree plot (ordered eigenvalues) denotes the number of variables that best explain the dimensions and conclusion on each variables was drawn basing on mean values of descriptive statistical analysis. Furthermore the orthonormal loadings display of the variables is employed basing on the first principle component that identified the names of variables above the mean score and final variable is drown basing on descriptive statistical analysis using mean scores focusing on those above the mean. The analysis is based on three dimensions of assessments, namely; Governance, Human capital and Risk Management. In general 227 variables were observed from the 3 dimensions, however by employing the PCA the researcher was in position to come up with those that best explain the 3 dimensions and in summary 29 out of 131 variables were identified by the PCA that best describes governance, 17 out of 72 variables were extracted that best explain what is taking in place in human capital whilst 5 out of 24 variables were extracted in relation to risk management. Furthermore conclusions are drawn by employing descriptive statistical analysis basing on mean scores of the variables identified by the PCA. Therefore out of the 29 variables identified by PCA on governance dimension, 19 variables on average have mean scores above 3 signifying good performance in those areas. Therefore the strength of MFIs under governance is seen in the following areas; The MFIs surveyed have strong board that is professionally ethical and knowledgeable in the area of managing financial institutions. They are performing better in the area of decision making, they do make timely decisions, and the board keeps on monitoring management and making sure that strategies agreed upon are properly implemented. The board is well committed in filing tax returns which is a legal requirement to all taxpaying institutions. However 10 variables showed sign of weakness because they have mean scores on average below 3. Management of MFIs need to strengthen its self in the area of allowing individual initiative in decision making, recognition of management committees in place, this smoothen the operations of the institution and lastly the board need to mentor the management, most of the personnel managing these institutions lack skills in managing the entity. On the side of human capital management, 17 variables identified by PCA, basing on their mean scores, 13 have mean scores above 3 showing good performance of MFIs. In this case the strength of MFIs lies in having educated human resources in place; MFIs gave the ability to exploit the available opportunities more especially targeting low income earners that for long have been neglected. However mores is needed under human capital dimension more especially in those areas where on average their mean scores was below 3 such as training programs where the respondents revealed that the type of training obtained does not match with the job requirements therefore they do not benefit from these programs. There is still a lot of bureaucracy within the management that slows the operations of the MFIs. This is further explained by having directors commuting as loan officers. Failure to accept risk exposes the entire institution to a vague of collapse. The last dimension is risk management and in this way, 5 variables were identified by the PCA, and basing on their mean scores, 3 variables showed good progress and that is having performance management system in place, there are limited complaints from the clients about the MFIs services offered and lastly all employees are given access rights to organisation resources, the loan schemes are open to all employees and no discrimination in service delivery, however 2 variables were identified with mean scores below 3 showing weaknesses within the systems. Therefore MFIs have to improve technologies used in their operations; the use of file carbines, off line computers exposes the institution to high degree of risk. There is need to strengthen their distribution channels so that the financial services offered reach out to clients at ease. Specifically the research study identified various risks like systematic risk, operational risk, credit risk, counterparty risk and legal risk in that they do affect the gross loan portfolio in MFIs and policy measures have been recommended to mitigate such risks in financial institutions. These risks can be mitigated by; • Having Internal control systems of checks and balances • Hedging of transactions through advance booking and paying cash in advance. • Diversification of portfolio, through investing in as many assets possible • Continuous reminder of their obligations and making a fall up of clients and as well insuring the loans. • Investors are encouraged to form a network of partners in the business • Continuous engagement of a legal adviser to the institutions. The study contributed to better understanding of risk management in MFIs, that no single variable can be relied upon to explain effective management of risks but however in this study three dimensions play a crucial role in management of risks. The MFI management should focus on having an internal audit function operating independently in that financial controls should be regularly updated to cope with the changing environment. Audit committee of the board should be complete enough to supervise and regulate internal control systems, written policies in the organization should be effectively implemented with clear division of responsibilities of middle to top managers and lastly Segregation of powers and authority need to be strongly emphasized as a way of enhancing proper management of risks in MFIs.

Companies and other organizations have to change and adapt their strategies and redefine their goals constantly. Actions and steps that are needed in order to achieve the defined goals and to realize the change are often executed in a form of a project. There is no doubt that projects need to be managed in an appropriate way. In organizations where there are more than one project executed in parallel and other projects are being planned or proposed at the same time it is necessary to manage not only the individual projects but the entire portfolio of projects and programmes. Portfolio management is needed to ensure that the selected projects are best aligned with the defined goals and the strategy but this requires an analysis of a large amount of data about current and upcoming projects or about available resources and their utilization. It is not always easy to get all required data and to perform the analysis. This is the reason why deployment of some project and portfolio management software tool should be considered. This thesis deals with a search for suitable open source project and portfolio management tools and with assessment of costs and benefits of deployment of selected open source tool in a hypothetical IT company. The goal of this thesis is to define the term project and portfolio management tool and to find at least five open source tools of this type that are suitable for deployment in an organization. At least one of these tools should be suitable for deployment in the IT company. Another goal is comparison of features and functionality provided by the open source tools with functionality provided by the robust proprietary project and portfolio management solution deployed on premise and with one solution offered in the Software-as-a-Service model. Creation of a business case dealing with implementation of the selected open source tool is the last goal of this thesis. Identification and description of available open source tools and comparison of these tools with representatives of the robust project and portfolio management tools developed and distributed in models different from open source are considered the main benefits of this thesis. The terms "open source software" and "project and portfolio management tool" are defined in the first part of this work. The definition of terms is followed by the definition of the overall approach to the assessment of the open source tools which involves definition of assessment criteria and obligatory requirements. Next part of the work is dedicated to the selection of the open source tools that are suitable for deployment in an organization and which represent candidates for project and portfolio management tools. Assessment of these tools using the defined criteria is performed as the next step which is followed by the comparison with representatives of proprietary project and portfolio management tools. Last part of the work is dedicated to the business case which deals with deployment of the selected open source tool. This work concludes with discussion whether the defined goals were met or not, and with the summary of the results.

The main theme of this diploma thesis is the implementation of Microsoft Project Server 2010 into practice. In the first part there is described a dilemma of project management and its role in domain of management by projects. Analysis of current situation in the field of taught portfolio management courses is also part of this section. This analysis is focused on czech universities environment and courses in private training centres. The most important part is the second part of this dissertation, which is focused on description of the Microsfot Project Server 2010 implementation. The general benefit from this description is the cumulative overview step by step from basic installation to local clients software configuration. From the functional side this thesis gives implemented SharePoint Server 2010 and Project Server 2010, which are going to be used as one of the cornerstone of new course in The University of Economics in Prag.

Methods and ways of implementation of changes and innovations in companies through project management are in today's society very well established. There exists methodologies, techniques and tools for the management of individual projects. However in a role of project manager, I very often faced the fact that companies are performing the project portfolio management in very intuitive way. This in itself leads to failed and prematurely terminated projects, initiation of the wrong projects or realisation of correct projects, but at the wrong time. Very often I have also recognized, that there is lack of awareness of fact, that there are also Open Source applications that can help with the organization's portfolio. This thesis deals with the definition of requirements, search and selection of proper OSS application and subsequent implementation. In the first part of this thesis I prepare a theoretical framework about PPM, and on that basis then identify and verify a set of requirements for selection of right OSS PPM application. The next section of thesis describes searching for suitable applications from a variety of sources, assessment against the requirements and the final selection. In the last part the implementation project is drafted, which aims to serve other colleagues in project management as one of the possible implementation paths. The outputs are then continuously confronted with experts in matter of projects and project management in the field of IT in order to maximize symbiosis between theory and real life experiences. Virtually every project management methodology defines the collection of already-proven techniques, best practices or lessons learned from the previous similar implementations. The main contribution of this thesis I see in fact that it contains not only the design of the project implementation, but also describes a logical path, what leads to the result. Therefore this thesis could be used as a base or discussed best practice, when a project of implementation of PPM application in place.