Uppsatsen behandlar frågorna om vad en komplex tjänst är, vilka kriterier som EU-domstolen ställer upp för att klassificera komplexa tjänster som ett eller flera tillhandahållanden enligt mervärdesskatterätten, vilka kriterier som tillämpas vid klassificeringen av den komplexa tjänsten diskretionär portföljförvaltning samt om svensk rätt kan anses förenlig med EU-rätten.

Cette thèse traite du processus d’évaluation et de sélection de projets sur la base de critères multiples. Outre la capacité du modèle à permettre une identification efficace des meilleurs projets et leur intégration à un portefeuille, l’équité et la transparence sont des considérations importantes dans la conception de modèles d’appui à ce processus. Nous proposons un cadre de travail général pour l’évaluation de projets, Il reprend les codes de l’analyse SWOT, dont de nombreuses organisations orientées projets sont familières. Nos contributions apportent des éléments de réponse à la question de « l’après SWOT », à laquelle ces organisations peuvent éprouver des difficultés à répondre. Dans ce cadre de travail, nous introduisons et discutons un modèle de préférences permettant de mesurer l’importance des critères sur deux dimensions, représentant de manière indépendante leurs capacités de conviction et d’opposition. Suivant l’évaluation et en préalable à la sélection, le filtrage consiste à écarter les projets trop inadéquats. Nous proposons un mécanisme basé sur la dominance pour effectuer cette opération. Nous proposons, enfin, deux méthodes de sélection de projets, chacune étant basée sur une procédure d’agrégation multicritère originale. La première méthode, SPADE (pour Structure de Préférence pour l’Aide à la Décision) est une approche de surclassement, destinée à des contextes où les préférences exprimées concernent essentiellement les projets individuels, et dans lesquels les décisions concernant un projet peuvent être argumentées en référence à des projets tiers. Nous garantissons la validité théorique de SPADE, en amont, ce qui permet un temps de mise en œuvre réduit et une utilisation en temps réel. En pratique, nous illustrons l’application de SPADE, en la comparant à deux autres approches d’aide multicritères à la décision, MAUT et ELECTRE, en mettant en exergue ses spécificités. La seconde méthode, RADAR (Règles d’Aide à la Décision et à l’ARgumentation) est une approche à base de règles logiques. Elle est destinée à des contextes plus contraints dans lesquels les préférences exprimées concernent à la fois les projets individuels, mais aussi le portefeuille de projets (degré de diversification, budget total, etc.). De plus, l'argumentation des décisions est ici basée exclusivement sur la qualité intrinsèque des projets en référence à une norme fixe. RADAR permet également la construction automatique de tels arguments. Nous proposons un programme linéaire en variable mixtes permettant de valider théoriquement cette approche. Cependant, sa résolution est nécessaire à chaque mise en œuvre de RADAR, ce qui limite l’application de cette approche au temps différé. Nous illustrons une telle application sur un jeu de données représentant des évaluations de projets financés par le Fond des Nations Unies pour la Démocratie (UNDEF). / Project portfolio management (PPM) involves the use of methods and tools, allowing an organization to plan, evaluate, analyze and screen the execution of a set of projects or project proposals, sharing common resources or aiming at the attainment of common objectives. Multicriteria decision aid models are useful tools to support this process, given their ability to accurately model preferences, and rationally agregate points of view. However, existing models present some lacks that limit their use outside of academic circles : (i) They neglect the non-symetrical nature of the importance of some criteria that are relevant in PPM. (ii) The black box effect makes it hard to use them for the argumentation of decisions and to gain their acceptance by users (iii) They are implicitly fitted for private/for-profit projects, which limits their use in public organizations. In this thesis, our contribution consists in proposing two multicriteria methods for supporting the activities of evaluating, selecting and arguing decision, for project portfolio management. We propose: (i) An analysis of the specific features of public and private projects and their consequences for decision support (ii) A framework that allows an independent modeling of the abilities of a criterion to oppose and convince (iii) Two transparent multicriteria agregation procedures, fitted for different decision contexts. We ensure the theoretical validity of our approaches and illustrate their applicability on real data, with satisfying results.

With the exception of holders of default-free instruments, a key risk run by investors is credit risk. To meet the need of investors to hedge this risk, the market uses credit derivatives. The South African credit derivatives market is still in its infancy and only the very simplistic instruments are traded. One of the reasons is due to the technical sophistication required in pricing these instruments. This dissertation introduces the key concepts of risk neutral probabilities, arbitrage free pricing, martingales, default probabilities, survival probabilities, hazard rates and forward spreads. These mathematical concepts are then used as a building block to develop pricing formulae which can be used to infer valuations to the most popular credit derivatives in the South African financial markets. / Operations Research / M.Sc. (Operations Research)

Familjeföretag är unika i den bemärkelse att de har en stark kultur vilket kan ha en positiv effekt på verksamhetens prestation. Kulturen hos familjeföretag är det som utgör den största fördelen eftersom det kan främja förändringsprocesser. Företag som är i tillväxt bör ofta göra förändringar i arbetssätt för att anpassa verksamheten efter de nya förutsättningarna. Projekt främjar innovation i företag vilket i sin tur ofta kan vara en drivkraft för tillväxt. Därmed är det vanligt att företag i tillväxt börjar arbeta i projektform mer intensivt. Projektintensiva organisationer är ett begrepp som innebär att projekt utgör kärnan av ett företag vilket är avgörande för att verksamheten ska gå framåt. Utmaningen för projektintensiva organisationer är att hitta en tydlig gräns mellan projekt- och linjearbete. Att arbeta i projekt innebär att en grupp av människor tillsätts temporärt för att utföra en unik uppgift. Uppgiften är utformad för att uppnå ett specifikt resultat vilket innebär att det även finns särskilda krav som måste uppfyllas. Detta förutsätter att gruppen av människor vet vad som krävs av dem för att nå framgång. För att nå framgång i projekt är det av stor vikt att företagsledningen har tagit fram tydliga direktiv och riktlinjer som minskar osäkerheten hos projektdeltagarna. Därav är det eftersträvansvärt att företagsledningen förser projekten med stöd i form av kommunikationsplaner och system som underlättar arbetssättet. Enligt forskning finns det ett behov av att komplettera befintliga teorier inom projektledning med studier som är praktikbaserade. Detta innebär att fler studier bör fokusera på hur företag hanterar projekt i verkligheten. Det är därför av intresse att undersöka ett företag som är i tillväxt och har gått från att ha ett fåtal projekt till att betraktas som en projektintensiv organisation. För att skapa en djupare förståelse för projekt som arbetssätt, grundar sig denna studie på en kvalitativ observationsstudie i ett familjeföretag som expanderat relativt snabbt på kort tid. Denna studie syftar till att effektivisera arbetssätt i produktutvecklingsprojekt hos Rototilt Group AB genom att undersöka hur en ökad förståelse för hur verksamheten arbetar i verkligheten samt vad som sker i arbetsprocesserna. Resultatet av denna studien visar att en ökad mängd av projekt som är stora och komplexa ställer högre krav på att system och arbetssätt fungerar smidigt. Studien visar också att en tydlig rollbeskrivning och mer strukturerad kommunikation främjar projektprocesserna i produktutvecklingsprojekt. Vidare har studien visat att prestation i projekt kan mätas och genom att göra detta länkas de olika nivåerna i företaget samman. Avslutningsvis är projekt i praktiken ett mycket intressant område som har potential till att utvecklas i framtiden. Detta genom att studera fler företag som arbetar intensivt med projekt och koncentrera sig på vad som faktiskt händer i praktiken.

Made available in DSpace on 2016-06-02T19:51:33Z (GMT). No. of bitstreams: 1 DissMXS.pdf: 2882142 bytes, checksum: 73132e53eca9b9f289933dbbeab4e511 (MD5) Previous issue date: 2007-06-15 / To choose the right projects, to develop them fast, achieving high quality patterns, and respecting the costs pressures. These are no questionable demands in the actual market conditions. The utilization of Product Development Processes and Portfolio Management are some of the main manners to achieve these goals. The Product Development Process adopted in a specific organization should be essentially aligned with the product-life-cycle. In addition, companies need to evaluate and make decisions on the products / projects based in an overall view provided by the Portfolio Management systematics and tools. This research focuses in these issues. The main objective is to analyze the integration between the Product Development Process and the Portfolio Management in a company from the automotive industry aimed at identifying the best practices and improving opportunities. The research methodology is the realization of a literature review followed by a case-study. The main result is the proposal of a Portfolio decision model, and the realization of a case-study based on this model proposal. The main contribution is to detail the Portfolio decisions, based in a PDP model, along the product-life-cycle. / Escolher os produtos corretos e desenvolver estes produtos rapidamente, atingindo exigentes padrões de qualidade e respeitando pressões por redução de custos, são demandas comuns nas atuais condições de mercado. Uma das principais maneiras nas organizações para atingir estes objetivos é a utilização de Processos de Desenvolvimento de Produtos (PDP) e de Gestão de Portfólio (GP). É essencial que o PDP adotado em uma determinada empresa esteja alinhado ao ciclo de vida de produto. Adicionalmente, deve-se avaliar e decidir sobre os produtos / projetos conjuntamente por meio da Gestão de Portfólio e da aplicação de suas ferramentas. Esta pesquisa trata destas questões, tendo como objetivo geral analisar a integração entre a GP e o PDP numa empresa de autopeças e procurando identificar algumas das principais potencialidades e oportunidades de melhoria. O método utilizado para realização da pesquisa foi uma revisão de literatura sobre os temas mencionados, seguido de um estudo de caso em uma empresa do setor de automotivo. O principal resultado é a apresentação de uma proposta de modelo de decisão de Portfólio elaborada a partir da revisão bibliográfica, realizando-se o estudo de caso com base em tal proposta. A principal contribuição do trabalho é o detalhamento das decisões de Portfólio que são tomadas, com base em um modelo de PDP, ao longo do ciclo de vida de produto.

nÃo hà / O interesse na gestÃo de projetos à um tema em ascenÃÃo em virtude dos efeitos da globalizaÃÃo que tornou os mercados muito mais competitivos, e tÃm obrigado os Estados a modernizarem a sua administraÃÃo, buscando maior eficiÃncia e eficÃcia na sua gestÃo em virtude da crise fiscal dos Estados. Isso implica numa transformaÃÃo da forma de gerir o Estado, pois conceitos antes aplicados somente no setor privado passam a ser utilizados como benchmarks com o objetivo de modernizar e tornar o serviÃo pÃblico mais eficiente, para melhor atender Ãs necessidades da sociedade. Este trabalho teve como objetivo estudar a implantaÃÃo e a atuaÃÃo dos escritÃrios de projetos no Estado do CearÃ, procurando entender quais os fatores que motivaram essa necessidade, como os escritÃrios de projetos controlam e influenciam a gestÃo do portfÃlio de projetos, analisar os obstÃculos da sua atuaÃÃo e quais os resultados que os escritÃrios de projetos tÃm proporcionado ao Estado do CearÃ. A metodologia caracterizou-se de um estudo de caso de natureza exploratÃria e de entrevistas em profundidade. A coleta de dados foi realizada por meio das entrevistas e coleta de outras informaÃÃes que foram colhidas durante as visitas ou em sites do Estado. Foram realizadas dez entrevistas com gestores da Seplag que participaram desde o inÃcio do processo de implementaÃÃo da cultura de gestÃo de projetos no Estado do Cearà que teve inÃcio em 2007. Decorrente da anÃlise dos dados, observou-se que a implementaÃÃo de uma cultura de gestÃo de projetos foi realizada como parte de uma reforma administrativa mais ampla que teve como objetivo uma melhoria do planejamento no Estado com a unificaÃÃo dos seus instrumentos de planejamento nas secretarias e a implantaÃÃo dos escritÃrios de projetos que criariam uma metodologia de gestÃo de projetos adequada Ãs necessidades do Estado para suportar a implantaÃÃo da GestÃo PÃblica por Resultados (GPR). Quanto ao controle e a influÃncia detectou-se que foram criados, um escritÃrio central que faz o papel do escritÃrio estratÃgico, escritÃrios setoriais que atuam de forma tÃtica e gestores de projetos que realizam a gestÃo operacional. Observou-se como maiores obstÃculos à atuaÃÃo dos escritÃrios de projetos, o desafio cultural, a falta de conhecimentos e experiÃncia em gestÃo de projetos e a falta de apoio por parte de alguns gestores. Como resultado, constatouse que a implementaÃÃo da cultura de gestÃo de projetos no Estado do Cearà tem trazido resultados positivos, pois tanto os gestores tem uma percepÃÃo positiva quanto à melhoria dos resultados, como tambÃm foi observado na anÃlise da GPR de algumas secretarias analisadas, que tem havido uma evoluÃÃo positiva na maioria dos indicadores no perÃodo analisado de 2007 a 2011, como resultado da implementaÃÃo de uma reforma administrativa com Ãnfase na gestÃo de projetos, o que tem permitido o alcance das metas e diretrizes estabelecidas na GPR pela Seplag e Governo. Conclui-se que mais e melhores serviÃos tÃm sido ofertados à sociedade pelo poder pÃblico, garantindo mais transparÃncia e melhores resultados no setor pÃblico. / Interest in project management is an issue on the rise due to the effects of globalization that has made them much more competitive markets, and have forced States to modernize its administration, seeking greater efficiency and effectiveness in its management due to the fiscal crisis of the states. This implies a transformation of how to manage the state as concepts before applied only in the private sector come to be used as benchmarks for the purpose of modernize and make more efficient public service, to better meet societal needs. This work aimed to study the implantation and the role of project offices in the State of CearÃ, trying to understand what factors motivated this need, such as project management offices control and influence the project portfolio management, analyze the obstacles of his performance and what results the project offices have provided the State of CearÃ. The methodology was characterized a case study of exploratory and in-depth interviews nature. Data collection was conducted through interviews and collect other information that has collected during visits or state websites. Ten interviews were conducted Seplag with managers who participated since the beginning of the process implementation of project management culture in the state of Cearà which began in 2007. As a result of analyzing the data, it was observed that the implementation of a project management culture was performed as part of a reform wider administrative aimed to help better plan in State with the unification of the planning tools in departments and implementation of project management offices that would create a management methodology suitable projects to the state needs to support the implementation of Public Management by Results (GPR). As for the control and influence was detected they were created, a central office who plays the strategic office, sectoral offices that act tactically and project managers who perform operational management. It was noted as the biggest obstacles to the office of acting projects, cultural challenge, lack of knowledge and experience in management projects and the lack of support by some managers. As a result, I was evidenced that the implementation of project management culture in the state of Cearà has brought positive results, for both managers have a positive perception as the improvement of the results, as was also observed in the analysis of GPR some departments analyzed, there have been positive developments in Most indicators in the analyzed period 2007-2011 as a result of implementation of an administrative reform with an emphasis on project management, which has allowed the achievement of goals and guidelines established by the GPR Seplag and Government. It was concluded that more and better services have been offered the society by the government, ensuring greater transparency and better results in the public sector.

Submitted by Marcia Silva (marcia@latec.uff.br) on 2015-10-29T13:57:52Z No. of bitstreams: 1 dissert Maria Celeste de Carvalho Ressiguier Ribeiro.pdf: 12817772 bytes, checksum: b23ae40921877e1329e6a70604a1f9fe (MD5) / Made available in DSpace on 2015-10-29T13:57:52Z (GMT). No. of bitstreams: 1 dissert Maria Celeste de Carvalho Ressiguier Ribeiro.pdf: 12817772 bytes, checksum: b23ae40921877e1329e6a70604a1f9fe (MD5) Previous issue date: 2014-06-14 / Este trabalho desenvolve um modelo para a seleção de propostas de projetos de pesquisa, básica e aplicada, com o apoio de método multicritério à decisão, já existente. Como método multicritério, é aplicado o Analytic Hierarchy Process (AHP), combinando as mensurações relativa e absoluta, para ajudar os gestores do IF Fluminense, na área de pesquisa. O modelo proposto visa à priorização e seleção de projetos que atendam, satisfatoriamente, aos propósitos da instituição e aos requisitos exigidos para cada pesquisa científica. Trata-se de um problema complexo de decisão, que envolve a avaliação de um grande número de projetos julgados em vários critérios, em sua maioria, qualitativos. O problema é tratado em duas etapas de seleção. A primeira etapa visa à seleção dos projetos mais satisfatoriamente alinhados aos objetivos da instituição. Os projetos selecionados na primeira etapa servem de entrada para a segunda etapa, onde tais projetos são pontuados segundo os requisitos da pesquisa. Em cada etapa utiliza-se método AHP aplicando a mensuração relativa e absoluta. O AHP mensuração relativa é aplicado para determinar o peso de contribuição dos critérios para atingimento do objetivo geral. A mensuração absoluta serve para avaliar os projetos em cada critério. Finalmente, cada projeto é pontuado com a soma ponderada que consiste no somatório dos produtos do peso relativo de cada critério pela mensuração absoluta atribuída ao projeto no mesmo critério. Para tanto, utilizou-se como procedimento de pesquisa o estudo de caso, baseando-se num estudo exploratório. O trabalho envolveu pesquisa bibliográfica sobre diversos assuntos, tais como, gerenciamento de portfólio de projetos, apoio multicritério à decisão e aplicação dos métodos de apoio multicritério à decisão na seleção de projetos, a fim de conhecer o estado de arte sobre a utilização de tais métodos na seleção de projetos. Assim como, fez uma breve revisão da literatura sobre os critérios de avaliação considerados na pesquisa científica, a fim de ajudar na estruturação dos critérios utilizados na avaliação dos projetos. Também, baseou-se em pesquisa documental e entrevistas não estruturadas, a fim de compreender melhor o problema. A autora concluiu que o modelo proposto contribuiu para melhorar o processo decisório e proporcionou um processo de seleção mais simples e eficaz. O resultado do trabalho permitiu a escolha de projetos baseado na melhor contribuição de tais projetos para o alcance dos objetivos institucionais e para o melhor cumprimento dos requisitos exigidos para cada pesquisa. / This work develops a model for selection of proposals for research projects, basic and applied, with the support of multi-criteria decision method, already exists. How multicriteria method is applied Analytic Hierarchy Process (AHP), combining the relative and absolute measurements, to help managers of IF Fluminense, in the search area. The proposed model aims at prioritizing and selecting projects that may match satisfactorily the purposes of the institution and the requirements demanded for each scientific research. This is a complex decision problem, which involves the evaluation of a large number of projects judged on several criteria, mostly qualitative. The problem is treated in two stages of selection. The first step aims at selecting projects more satisfactorily aligned to the objectives of the institution. The projects selected in the first stage serve as input to the second stage, where such projects are scored according to the requirements of the research. At each step, it uses AHP applying the relative and absolute measurement. The AHP relative measurement is used to determine the weight of contribution of the criteria for achieving the overall goal. The absolute measurement serves to evaluate the projects in each criterion. Finally, each project is scored with a weighted sum consisting of the sum of the products of the relative weight of each criterion for absolute measurement assigned to the project on the same criteria. For this, we used the procedure as a research case study, based on an exploratory study. The work involved bibliographic research on various subjects such as project portfolio management, multicriteria decision support and application of the methods of multicriteria decision support in the selection of projects in order to know the state of art about the use of such methods in selecting projects. Just as, made a brief literature review on the evaluation criteria used in scientific research, in order to help in structuring the criteria utilized in the evaluation of projects. Also drew on documentary research and unstructured interviews in order to better understand the problem. The author concluded that the proposed model contributed to improving the decision making process and provided a simpler and more effective selection. The result of the work allowed the choice of projects based on the best contribution of such projects to achieve the institutional goals and to better compliance with requirements demanded for each research project.

This thesis aims at determining the theoretical and empirical consequences of the consideration of socially responsible indicators in the traditional portfolio selection. The first chapter studies the significance of the mean-variance efficiency loss of a sovereign bond portfolio when introducing a constraint on the average socially responsible ratings of the governments. By using a sample of developed sovereign bonds on the period 1995-2008, we show that it is possible to increase sensibly the average socially responsible rating without significantly losing in terms of diversification. The second chapter proposes a theoretical analysis of the impact on the efficient frontier of a constraint on the socially responsible ratings of the portfolio. We highlight that different cases may arise depending on the correlation between the expected returns and the socially responsible ratings and on the investor’s risk aversion. Lastly, as the issue of the efficiency of socially responsible portfolios is a central point in the financial literature, the last chapter proposes a new mean-variance efficiency test in the realistic case where there is no available risk-free asset. / Doctorat en Sciences économiques et de gestion / info:eu-repo/semantics/nonPublished

This thesis is composed of three chapters. The first two chapters provides novel approaches for<p>modeling and estimating the dependence structure for a large portfolio of assets using rating data.<p>In both chapters a natural form of organizing a portfolio in terms of the levels of exposure to economic sectors and geographical regions, plays a key role in setting up the dependence structure.<p>The last chapter investigates weather financial strategies that exploit sector or geographical heterogeneity in the asset space are relevant in terms of portfolio optimization. This is also done in a context of a large portfolio but with data on stock returns. / Doctorat en Sciences économiques et de gestion / info:eu-repo/semantics/nonPublished

Abstract This doctoral thesis aims to contribute to the literature on hedge fund performance in three interrelated essays. The first essay uses a novel database aggregation and a comprehensive analysis of differences between the main commercial databases exploring the effects of different databases on previously documented stylized facts, including the (1) average risk-adjusted performance; (2) the persistence of that performance; (3) and the cross-sectional relation between fund-characteristics and risk-adjusted returns. The main finding is that several previously documented stylized facts about hedge fund performance are sensitive to database selection and associated biases. Differences in conclusions stem from database differences in defunct coverage, survivorship and backfill biases, and the completeness of assets under management information. The second essay examines the effect of frictions on the returns that investors can earn from investing in hedge funds. The study focuses on size and redemption restrictions that are key investment constraints in practice. The size–performance relationship is positive (negative) when past (future) performance is used. The negative size–performance relationship is consistent with theories suggesting a decreasing returns-to-scale in the active management industry. Differences in attrition rates and risk taking as well as the relative importance of management fees and capacity constraints between small and large funds are consistent with an equilibrium in which investors and hedge funds optimally respond to incentives subject to constraints. Performance persistence decreases along with the fund size but concentrated hypothetical Fund-of-Fund portfolios outperform. The third essay examines hedge funds' ability to enhance their performance through leverage. The essay explicitly shows that leverage enhances risk-adjusted performance and risk of investment programs. The main finding is that the average high-leverage fund class underperforms its low-leverage counterpart of the same investment program after their returns are appropriately adjusted to the same level. The finding is consistent with the predictions of leverage aversion theories suggesting that leverage constraints and costs of leverage have a negative impact on risk-adjusted returns. / Tiivistelmä Tämä väitöskirja sisältää kolme artikkelia, joissa tutkitaan hedge-rahastojen menestystä. Ensimmäisessä artikkelissa rakennetaan yhdistelmäaineisto päätietokannoista ja tutkitaan tietokantojen eroavaisuuksien vaikutuksia keskeisiin kirjallisuudessa esitettyihin tutkimustuloksiin hedge-rahastojen riskikorjatun tuoton tasosta ja tuoton pysyvyydestä sekä rahastokohtaisten ominaispiirteiden ja riskikorjatun tuoton välisestä relaatiosta. Tutkimuksessa havaitaan että tutkimusaineiston valinta vaikuttaa merkittävästi aikaisemmassa kirjallisuudessa esitettyihin tutkimustuloksiin. Merkittävimmät erot tutkimustuloksissa eri tietokantojen välillä selittyvät tietokantojen eroavaisuuksissa toimintansa lopettaneiden rahastojen kattavuudessa ja näin ollen eloonjäämis- ja backfilling-harhan tasossa sekä rahastojen markkina-arvoa kuvaavan aineiston määrässä ja laadussa. Toinen artikkeli tarkastelee rajoitteita, joita sijoittajat kohtaavat sijoittaessaan hedge-rahastoihin. Päähuomio on koko- ja lunastusrajoitteissa, jotka ovat käytännössä merkittävimmät rajoitteet hedge-rahastosijoittajalle. Rahastojen markkina-arvon ja riskikorjatun tuoton välillä on negatiivinen (positiivinen) relaatio kun tarkastellaan rahastojen tulevaa (historiallista) menestystä. Tulokset tukevat teoreettisia esityksiä, joiden mukaan rahastojen kasvu heijastuu menestykseen negatiivisesti. Markkina-arvoltaan pienissä rahastoissa on huomattavasti enemmän riskiä kuin markkina-arvoltaan suurissa rahastoissa. Korkeampi riski pienissä rahastoissa lisää tuotto-perusteisten palkkioiden merkitystä palkkiorakenteissa kun taas suurilla rahastoilla on kannustimet maksimoida markkina-arvon mukaan määriteltyjä hallinnointipalkkioita. Tulokset tukevat talousteoriaa, jonka mukaan riski ja tuoton taso pienevät rahastojen markkina-arvojen kasvaessa. Tuoton pysyvyys pienenee rahaston markkina-arvon kasvaessa. Kuitenkin hypoteettiset rahastot, jotka on hajautettu aikaisempiin menestyjiin keskeiset sijoittajien rajoitteet huomioiden, menestyvät riskikorjatusti. Kolmannessa artikkelissa tutkitaan hedge-rahastojen kykyä lisätä riskikorjatun tuoton tasoa velkavivun avulla. Velkavivun käyttö kasvattaa sijoitusstrategian tuoton ja riskin tasoa alhaisemman velkatason osuuslajeihin verrattuna. Päätuloksena havaitaan, että tyypillinen sijoitusstrategian korkean velkatason osuuslajin tuoton taso on merkittävästi alhaisempi matalan velkatason osuuslajiin nähden kun molempien osuuslajien tuottoaikasarjat ovat asetettu samalle tasolle. Talousteoriaa ennustaa, että sijoittajien rajoitteet käyttää velkavipua ja velkavivun käyttöön liittyvät kustannukset heijastuvat salkun tuoton tasoon negatiivisesti.