The Swedish National Debt Office (SNDO) is the Swedish Government’s financial administration. It has several tasks and the main one is to manage the central government’s debt in a way that minimizes the cost with due regard to risk. The debt management problem is to choose currency composition and maturity profile - a problem made difficult because of the many stochastic factors involved. The SNDO has created a simulation model to quantitatively analyze different aspects of this problem by evaluating a set of static strategies in a great number of simulated futures. This approach has a number of drawbacks, which might be handled by using a financial optimization approach based on Stochastic Programming. The objective of this master’s thesis is thus to apply financial optimization on the Swedish government’s strategic debt management problem, using the SNDO’s simulation model to generate scenarios, and to evaluate this approach against a set of static strategies in fictitious future macroeconomic developments. In this report we describe how the SNDO’s simulation model is used along with a clustering algorithm to form future scenarios, which are then used by an optimization model to find an optimal decision regarding the debt management problem. Results of the evaluations show that our optimization approach is expected to have a lower average annual real cost, but with somewhat higher risk, than a set of static comparison strategies in a simulated future. These evaluation results are based on a risk preference set by ourselves, since the government has not expressed its risk preference quantitatively. We also conclude that financial optimization is applicable on the government debt management problem, although some work remains before the method can be incorporated into the strategic work of the SNDO.

本研究旨在瞭解國小教師知識管理、教學檔案管理與教師專業發展之指標、內涵與現況，探討其關係，進而建構及驗證其互動模式，並依研究結果提出建議。 首先進行文獻探討，作為架構研究的理論基礎；接著，實地訪談12位現場教育工作者、問卷調查702位教師（臺北市、臺北縣、基隆市、桃園縣、宜蘭縣五縣市共發出1000份問卷，有效卷702份）以分析現況、驗證理論；最後，依研究結果進行討論與結論建議。研究主要發現如下： 一、國小教師知識管理、教學檔案管理及教師專業發展的指標、內涵及其現況： （一）教師知識管理包括知識獲取、知識儲存、知識創新、知識分享四向度；其整體、分向度得分均為中上，其中以教師知識獲取得分最高。 （二）教學檔案管理包括專業背景資料、檔案結構系統、教學規劃設計、專業省思記錄四向度；其整體、分向度得分均為中上，其中以教學規劃設計得分最高。 （三）教師專業發展包括專業知識、專業能力、專業精神三向度；其整體、分向度得分均為中上，其中以教師專業能力得分情形最高。 二、不同背景變項在教師知識管理、教學檔案管理及教師專業發展之差異情形： （一）不同背景變項在教師知識管理的得分方面：研究發現在性別、最高學歷、服務年資、現任職務有顯著差異，年齡及學校區域沒有顯著差異。 （二）不同背景變項在教學檔案管理的得分方面：研究發現在最高學歷、現任職務有顯著差異，但性別、年齡、服務年資及學校區域沒有顯著差異。 （三）不同背景變項在教師專業發展的得分方面：研究發現在性別、年齡、最高學歷、服務年資、現任職務有顯著差異，但學校區域並沒有顯著差異。 三、教師知識管理、教學檔案管理與教師專業發展之相關情形： （一）整體教師知識管理與整體教學檔案管理間呈顯著中度正相關，教學檔案管理各分向度中，以專業背景資料與教師知識管理總量表之相關程度最高。 （二）整體教師知識管理與整體教師專業發展間呈顯著中度正相關，教師專業發展各分向度中，以教師專業精神與教師知識管理之相關程度最高。 （三）整體教學檔案管理與整體教師專業發展間呈顯著中度正相關，教師專業發展各分向度中，以教師專業知識與教學檔案管理之相關程度最高。 四、教師知識管理、教學檔案管理各向度對於教師專業發展的預測情形： 教師知識管理之知識獲得、知識儲存、知識分享、知識創新變項對整體教師專業發展的有顯著的預測力；教學檔案管理之檔案結構系統、專業背景資料、教學規劃設計、專業省思記錄變項對整體教師專業發展的有顯著的預測力。 五、教師知識管理、教學檔案管理各向度對教師專業發展的互動模式各項適配度指標佳，上游潛在變項一（教師知識管理）與上游潛在變項二（教學檔案管理）對下游潛在變項（教師專業發展）具有顯著的影響力。 最後，本研究根據研究的發現，提出相關建議，俾供教育行政機關、國民小學、國小教師及後續研究參考。 / The main purpose of this study was to investigate the teacher knowledge management, teaching portfolio management and teacher professional development of elementary school teachers.The study included literature analysis, survey method with an interview, and survey method with a questionnaire.The purpose of literature analysis was aimed to explore the teacher knowledge management, teaching portfolio management and teacher professional development. The purpose of survey method with 12 specialists were aimed to explore the opinions of specialists. Questionnaire of survey based on opinions of principals and teachers of elementary about the teacher knowledge management, teaching portfolio management and teacher professional development. The subjects of the questionnaire included principals and teachers of elementary in Taipei City, Taipei County, Keelung City, Yilan County and Taoyuan County. Data were analyzed 702 sampling subjects by description statistics, t-test, correlation and ANOVA, Multiple Regression and LISREL model. Based on the statistics analysis of the questionnaire, this study finds reaches the following results： A. In the aspect of teacher knowledge management: 1. The teacher knowledge management include four parts: (1) knowledge acquisition, (2)knowledge storage, (3)knowledge innovation,(4) knowledge sharing. The perception of principals and teachers were above average agreement of the four parts. For teachers, the best dimension is "teacher knowledge acquisition ". 2. Teachers’ sexual, highest educational degree, years of service, and position of service have significant influences on teacher knowledge management. But teachers’ age and school size do not have any significant influences. B. In the aspect of teaching portfolio management: 1. The teaching portfolio management include four parts: (1) professional background materials, (2) portfolio structure system, (3) teaching planning and design, (4) professional reflective record. The perception of principals and teachers were above average agreement of the four parts. For teachers, the best dimension is " teaching planning and design ". 2. Teachers’ highest educational degree and position of service have significant influences on teaching portfolio management. But teachers’ sexual, age, years of service, and school size do not have any significant influences. C. In the aspect of teacher professional development: 1. The teacher professional development include four parts: (1) professional knowledge, (2) professional ability, (3) professional spirit. The perception of principals and teachers were above average agreement of the three parts. For teachers, the best dimension is " professional ability ". 2. Teachers’ sexual, teachers’ age, highest educational degree, years of service, and position of service have significant influences on teaching portfolio management. But school size do not have any significant influences. D.In the aspect of relationships among teacher knowledge management, teaching portfolio management and teacher professional development: 1. There was positive correlation and regression existed among teacher knowledge management, teaching portfolio management and teacher professional development. 2.Teachers’ knowledge management and teaching portfolio management did promote teachers’ teaching effectiveness. In the last part, the researcher, based on the findings, proposes some suggestions for the education authorities, the teacher training institutions, the elementary schools principals and teachers, and the future researchers, hoping to benefit the development of elementary school education in the future.

In the first part of this thesis, we introduce a new methodology for stress-test exercises. Our approach allows to consider richer stress-test exercises, which assess the impact of a modification of the whole distribution of asset prices' factors, rather than focusing as the common practices on a single realization of these factors, and take into account the potential reaction to the shock of the portfolio manager. The second part of the thesis is devoted to the pricing of bonds with very long-term time-to-maturity (more than ten years). Modeling the volatility of very long-term rates is a challenge, due to the constraints put by no-arbitrage assumption. As a consequence, most of the no-arbitrage term structure models assume a constant limiting rate (of infinite maturity). The second chapter investigates the compatibility of the so-called "level" factor, whose variations have a uniform impact on the modeled yield curve, with the no-arbitrage assumptions. We introduce in the third chapter a new class of arbitrage-free term structure factor models, which allows the limiting rate to be stochastic, and present its empirical properties on a dataset of US T-Bonds.

Depuis le milieu des années 90, les indices et les fonds d'investissement islamiques ont fait l'objet de plusieurs études académiques. Cependant, les résultats divergent quant à leur surperformance ou leur sous-performance. L'objectif de notre thèse est d'étudier les enjeux et la performance de cette catégorie d'indices et de fonds. En ce qui concerne les indices, notre étude porte sur un échantillon de 57 couples d'indices islamiques et de leurs benchmarks conventionnels. Nous étudions d'abord les similitudes et les différences entre les deux catégories d'indices. Puis, nous réalisons une revue de littérature classique accompagnée d'une méta-analyse. Ensuite, nous analysons l'efficience et le potentiel de diversification de ces indices. Après, nous comparons les indices en termes de rentabilité, de risque et de performance. Nous utilisons également plusieurs mesures de performance afin de classer les indices islamiques. Enfin, nous étudions la persistance de la performance en ayant recours au modèle à quatre facteurs. Nos résultats montrent que malgré leur manque de diversification, les indices boursiers islamiques ont, en moyenne, le même degré d'inefficience et le même niveau de performance que leurs homologues conventionnels. Quant aux fonds d'investissement islamiques, nous étudions un échantillon de 111 fonds equity sur la période allant d'avril 2005 à mars 2011. Nous utilisons plusieurs mesures de performance et des tests non paramétriques de la persistance entre trois sous-périodes équivalentes. Nous trouvons une hétérogénéité en matière de performance de ces fonds et une absence de persistance pendant et après la dernière crise financière.

Eventi come l’ultima crisi finanziaria sono una delle principali cause di perdite inattese negli investimenti finanziari. Infatti, durante una crisi finanziaria, la volatilità dei rendimenti azionari aumenta a causa degli shock dei mercati, incrementando la probabilità di perdita. Per fronteggiare gli effetti della crisi gli investitori , sfruttando possibili informazioni provenienti dai mercati, dovrebbero impostare con anticipo le proprie strategie di investimento e gestirli in modo appropriato per limitare gli effetti degli shock. In base a tali considerazioni si è analizzato, con tale studio, la capacità di predizione da parte di alcune variabili finanziarie/economiche ( BSEYD e Term Yield Spread) dell’andamento dei principali mercati europei ( Germania, Francia e Spagna) e si è definita un appropriata strategia di investimento per i periodi di crisi, costruendo un modello di portafoglio neutrale agli shock. I periodi analizzati sono stati rispettivamente : 1994-2013 e 2003-2014. I risultati hanno dimostrato che le variabili analizzate presentano diverso potere di predizione dei mercati considerati e che la perfomance del portafoglio neutrale agli shock di mercato è migliore di quella del portafoglio market neutral nei periodi di crisi. / Events like the last financial crisis are one of the principal causes of unexpected loss in investments. During a financial crisis period the stock return volatility increases for effect of internal and external shocks and the probability of reaching the expected return become lower , increasing the probability of loss. To face crisis effects, international investors should consider possible signals and information present in the market about possible crashes or declining period to set in advance their investment strategies and to manage them properly to limit the shock effects. On the basis of these considerations, with this study, we analyzed the predictive power of 2 economic/ financial variables( BSEYD and Term spread yield) on principal European stock markets (France, Germany and Spain) and defined a proper investment strategy for financial crisis period, building a portfolio model that is neutral to the international market shocks. The study has been conducted in two periods: 1994-2013 ( prediction analysis) and 2003-2014 (shock neutral portfolio mode). Results show different predictive power on the of the variables on the different markets analyzed and a better performance of the shock neutral portfolio than the market neutral portfolio strategy in declining period of the market.

Cette thèse apporte une contribution à la compréhension des dynamiques de marché et à la prise de décision des traders à l'aide d'une plateforme de simulation de marchés multi-agents. La modélisation multi-agents permet notamment d'étudier le système boursier comme un système complexe évolutif dans lequel chaque trader artificiel possède son propre comportement possède son propre comportement et qui, par ses prises de décision, influence l'ensemble des autres acteurs du système. Dans une première partie, nous mettons en évidence à l'aide de "traders à intelligence zéro" (ZIT), le rôle de la microstructure pour comprendre la nature des principaux faits stylisés de l'évolution des prix. Les résultats issus de nombreuses simulations, indiquent que l'usage des ZIT n'est pas suffisant pour reproduire de façon convaincante les évolutions de prix réels, car ceux-ci doivent être appréhendés à la fois de manière qualitative mais aussi quantitative. Nous montrons que seuls des éléments de stratégies de trading et une forte calibration peuvent améliorer cette réplication par simulation, suggérant que les aspects comportementaux importent tout autant que les aspects micro structurels. Dans une seconde partie, nous concentrons notre recherche sur la problématique de la rationalité dans le corpus de la théorie moderne du portefeuille. Le marché artificiel nous permet de tester si des stratégies naïves peuvent surpasser, en terme de performance, des modèles plus complexes. Diverses stratégies d'investissement sont implémentées dans le système artificiel et mises en interaction afin d'observer leur survie dans des compétitions écologiques basées sur leurs performances relatives. Certaines de ces stratégies d'investissements sont fondées sur des variations du modèle canonique de la théorie de portefeuilles de Markowitz, d'autres suivent des principes de diversification naïfs, d'autres encore obéissent à des combinaisons de stratégies rationnelles sophistiquées et de stratégies naïves. Enfin, de manière à mieux saisir les facteurs qui influent sur la performance du portefeuille, nous montrons les effets de la fréquence de pondération et des préférences pour le risque des investisseurs sur l'issue de ces compétitions. Pour finir, afin de fournir une mesure de performance absolue orientée vers l'évaluation ex-post d'un large éventail de stratégies de trading des investisseurs (agents dans notre cas) nous proposons un nouvel algorithme de complexité polynomiale permettant de déterminer la borne supérieure absolue des profits atteignables pour n'importe quelle stratégie sur une période de temps donnée. Cet algorithme met en contact deux champs a priori éloignés: la théorie des graphes d'une part et la finance computationnelle d'autre part.

Thesis (PhD) -- Macquarie University, Macquarie Graduate School of Management, 2008. / Bibliography: p. 301-327. / Introduction -- Literature review -- Methodology and phase 1 research design -- Phase 1 findings -- Phase 2 research design -- Phase 2 findings -- Conclusions and implications. / This research examines the relationship between innovation project portfolio management (IPPM) capabilities and competitive advantage. Innovation projects - or projects for the development of new products - are of escalating importance in an increasingly competitive, globalised and deregulated environment characterised by shortening product lifecycles and dynamic markets. IPPM capabilities aim to improve the success rates for product innovation activities by providing a holistic and responsive decision-making environment to maximise the long-term value of innovation investments across the portfolio of innovation projects. This research takes a wide view and investigates the overall rganisational capability for the management of the innovation project portfolio. -- Successful product innovation is no longer primarily a concern of manufacturing-based industries - product development in service industries is a growing endeavour in an increasingly important industry. Therefore this research includes service product development environments and is the first to extend beyond the traditional manufacturing industry base for IPPM research. This is also the first study to investigate IPPM capabilities in Australia. -- A pragmatic perspective guides a two-phase study encompassing a quantitative survey and a qualitative multiple-case study, the combination of methods providing a deeper level of understanding than could be achieved by either method alone. Findings support prior IPPM studies and suggest a positive relationship between structured IPPM capabilities and improved new product outcomes. The research highlights similarities and differences between service and manufacturing environments, and suggests future challenges will result from the increasing blurring of the boundaries between service and manufacturing industries. This research adopts a 'dynamic capabilities' perspective and draws on organisational learning theory to investigate the path-dependent nature of IPPM capability development. It adds to the understanding of how IPPM capabilities work with the resource base and contribute to competitive advantage. The findings of the research are presented in a maturity model and several conceptual models, and areas for future research are identified. / Mode of access: World Wide Web. / xxvii, 436 p. ill. (some col.)

[Truncated abstract] This thesis examines competing asset-pricing models in Australia with the goal of establishing the model which best explains cross-sectional stock returns. The research employs Australian equity data over the period 1980-2001, with the major analyses covering the more recent period 1990-2001. The study first documents that existing asset-pricing models namely the capital asset pricing model (CAPM) and domestic Fama-French three-factor model fail to meet the widely applied Merton?s zero-intercept criterion for a well-specified pricing model. This study instead documents that the US three-factor model provides the best description of Australian stock returns. The three US Fama-French factors are statistically significant for the majority of portfolios consisting of large stocks. However, no significant coefficients are found for portfolios in the smallest size quintile. This result initially suggests that the largest firms in the Australian market are globally integrated with the US market while the smallest firms are not. Therefore, the evidence at this point implies domestic segmentation in the Australian market. This is an unsatisfying outcome, considering that the goal of this research is to establish the pricing model that best describes portfolio returns. Given pervasive evidence that liquidity is strongly related to stock returns, the second part of the major analyses derives and incorporates this potentially priced factor to the specified pricing models ... This study also introduces a methodology for individual security analysis, which implements the portfolio analysis, in this part of analyses. The technique makes use of visual impressions conveyed by the histogram plots of coefficients' p-values. A statistically significant coefficient will have its p-values concentrated at below a 5% level of significance; a histogram of p-values will not have a uniform distribution ... The final stage of this study employs daily return data as an examination of what is indeed the best pricing model as well as to provide a robustness check on monthly return results. The daily result indicates that all three US Fama-French factors, namely the US market, size and book-to-market factors as well as LIQT are statistically significant, while the Australian three-factor model only exhibits one significant market factor. This study has discovered that it is in fact the US three-factor model with LIQT and not the domestic model, which qualifies for the criterion of a well-specified asset-pricing model and that it best describes Australian stock returns.

Diss. Stockholm : Handelshögskolan, 2009.

Collective investments have become a very popular investment vehicle in South Africa because it is, among other things, transparent, liquid and easily accessible. Growing investor knowledge, good market returns and its suitability for diversification, which minimizes risk, also contributes to its popularity. A value chain that adds value to the investor has developed around the collective investment scheme. The role players in this chain include the investment manager, the management company and financial intermediaries. The growth in this part of the collective investment industry has been so dynamic that regulation and the introduction of various new intermediary layers are constantly affecting the value chain and the value added for the investor. Research was conducted to assess the impact of the value chain on the behaviour of the individual investor and the effect this has on wealth creation. The literary review established that the environment surrounding this dynamic and interdependent value chain is well-regulated and that costs and investor behaviour could have a significant impact on investment returns. The empirical study revealed that the average individual investor recognizes the impact of the value chain on his investment, but perceives himself as being knowledgeable enough to avert ineffectiveness in the chain by ensuring desired investment returns through good investment decisions. Over-diversification and irresponsible switching between funds by the investor can, however, destroy value and negate the effect of long-term returns. / Business Management / M. Com. (Business Management)