The purpose of this study is to tell the story of how four peer helpers within the Unisa Peer Help Volunteer Programme managed their portfolio development processes to monitor their growth and development which took place as a result of their involvement in peer helper activities. The epistemological framework of this study is interpretive and involved in-depth interviews with four peer helpers who rendered volunteer services at the University of South Africa and have been developing their career portfolios over a period of time. Hermeneutics was the method used to analyse the data. The stories of the four participants were transcribed and retold by the researcher in the form of themes that emerged. This study contained the stories of how the participants initially struggled to understand the concept and purpose of portfolios; how they took charge of the process; and how their attitudes changed from uncertainty and confusion to viewing the process as worthwhile - thus enabling them to commit themselves, to varying degrees, to the development of their individual portfolios. Recurring themes present in all four stories were described in the researcher's story of the participants' stories. The information generated by this study could serve as guidelines for not only peer helpers interested in developing their own portfolios, but also for project leaders involved in the management of peer helper groups and who plan to implement portfolios in their programmes. / Psychology / M.A. (Psychology)

On t.p.: Masters of Agricultural management. / Thesis (MAgricAdmin)--Stellenbosch University, 2002. / ENGLISH ABSTRACT: The need to take account of risk in agriculture must be part of every decision taken in agriculture. Yet risk is nothing to be too afraid of Risk is a choice rather than a fate. The actions we dare to take, which depend on how free we are to make choices, are what the theory of risk is all about. The task is rather to manage risk effectively, within the capacity of the farmer, business or group in order to withstand adverse outcomes. Some methods of managing risks are feasible for all types of farms. Others are only feasible for certain sizes and types of farms. Therefore, farmers in general need a systematic technique that will enable them to choose an efficient investment strategy from among all feasible strategies. Specifically, given n risky assets (such as the different enterprises in the PaarlIBerg River region), it is essential to seek a diversification strategy which yields a portfolio lying on the efficient frontier. The research question was whether different diversification models (Markowitz diversification model, Single Index Model and the Capital Asset Pricing Model) that are normally applied in capital markets for the construction of optimal diversified portfolios consisting out of different shares, are also applicable on risky portfolios in agriculture comprising different enterprises in the PaarlIBerg River region. The efficient frontier can be seen as the graphical representation of a set of portfolios that maximize expected return for each level of portfolio risk. The Microsoft Excel portfolio optimiser (SOLVER) programme was used to illustrate the investment proportions, expected returns, and standard deviations of the portfolios ofthe efficient frontier. The Single Index Model (SIM) can be used as an alternative to Markowitz diversification model. It drastically reduces the number of parameters needed to be estimated and yields the efficient set relatively easily without the technical difficulties characterising the fullrank solution. However, if the SIM assumptions are in contradiction to the actual data, the simplification of the calculations is achieved at the cost of getting imprecise results. The simplicity of SIM calculations was attained at a cost of constructing a sub-optimal portfolio, which does not lie on the corresponding efficient frontier. The Capital Asset Pricing Model (CAPM) reveals that there is a great deal of systematic risk in relation to the portfolio enclosed in this study. By using the CAPM it is possible to determine which part of the risk the producer can control (non-systematic risk) and which part the producer has no control over (systematic risk). The proportions of systematic risk that can be diversified away are small, relative to the total risk of the Farm Sector Portfolio. The success of these models depends on the efficiency of the market, as weU as a large, up-to-date and reliable data source. Many younger cultivars could not be included in this study, due to the limited availability of data. In the next few years as data become available, it will be possible to construct efficient frontiers out of a wider range of enterprises. Different enterprises and cultivars will increase the number of alternative uses for natural resources in the PaarlIBerg River region through diversification. This will result in more choices for the farmer, and more flexibility in the decision-making process. Without reliable data, the result will be "garbage in, garbage out." / AFRIKAANSE OPSOMMING: In elke besluit wat geneem word in landbou moet risiko as 'n faktor in ag geneem word. Tog is risiko nie iets om te vrees nie. Dit is eerder keuse as noodlot. Die stappe wat ons waag om te neem, wat afhang van hoe vry ons is om keuses te maak, is waaroor die teorie van risiko gaan. Die doel van die tesis is om risiko effektief te bestuur binne die vermoëns van die boer om sodoende negatiewe resultate die hoof te bied Sommige metodes van risikobestuur is lewensvatbaar vir alle soorte plase. Ander is slegs lewensvatbaar vir sekere groottes en tipes plase. Daarom benodig boere in die algemeen 'n tegniek wat dit vir hulle moontlik maak om 'n effektiewe beleggingstrategie te kies uit die verskillende uitvoerbare strategiee. Gegewe n as riskante aktiwiteite (soos die verskillende gewasse in die PaarllBergrivierstreek) is dit noodsaaklik om 'n diversifiseringstrategie te vind wat 'n portefeulje sal lewer wat raak aan die effektiewe grens. Die navorsingsvraag was of verskillende diversifiseringsmodelle (Markowitz diversifiseringsmodel (MVC), "Single Index Model" (SIM) en die "Capital Asset Pricing Model" (CAPM)) wat gewoonlik toegepas word in kapitaalmarkte vir die samestelling van optimale gediversifiseerde portefeuljes bestaande uit verskillende aandele, ook van toepassing sal wees op riskante portefeuljes in die landbou in die PaarlJBergrivierstreek, wat verskillende gewasse insluit. Die effektiewe grens kan gesien word as die grafiese voorstelling van 'n stel portefeuljes wat die verwagte winste vir elke vlak van portefeuljerisiko vermeerder. Die Microsoft Excel portefeulje optimeringsprogram (SOLVER) word gebruik om die beleggingsverhoudings, verwagte winste en standaardafwykings van die portefeuljes aan die effektiewe grens te illustreer. Die "Single Index Model" (SIM) kan gebruik word as 'n alternatief vir die Markowitz diversi:tikasiemodel. Dit verminder drasties die getal parameters en lewer maklik die effektiewe reeks, sonder die tegniese probleme wat ondervind word met die oplossing by die Markowitz model. Nietemin, indien die SIM die werklike data weerspreek sal die vereenvoudiging van die berekenings bereik word ten koste van onakurate resultate. Die eenvoud van die SIM is verkry ten koste van die samestelling van 'n suboptimale portfeulje, wat nie aan die ooreenstemmende effektiewe grens lê nie. Die "Capital Asset Pricing Model" (CAPM) wys dat daar baie sistematiese risiko gekoppel is aan die portfeulje ingesluit in hierdie studie. Deur gebruik temaak van die CAPM is dit moontlik om vas te stel watter deel van die risiko (nie-sistematies) die produsent kan beheer en watter deel die produsent nie kan beheer nie (sistematiese risiko). Die verhouding van sistematiese risiko wat weggediversifiseer kan word is klein in verhouding tot die algehele risiko van die boerderysektor portefeulje. Die sukses hang afvan die doeltreffendheid van die mark, sowel as 'n groot tot-op-datum en betroubare bron van data. Baie van die jonger aangeplante kultivars kan nie ingesluit word in hierdie studie nie as gevolg van beperkte data In die volgende paar jaar, soos data beskikbaar word, sal dit moontlik wees om effektiewe grense van 'n wye reeks gewasse saam te stel. Verskillende gewasse en kultivars sal die hoeveelheid alternatiewe gebruike van natuurlike hulpbronne in die PaarllBergrivierstreek vermeerder deur diversifikasie. Dit sal lei tot meer keuses vir die boer en meer buigsaamheid in die besluitnemingsproses. Sonder betroubare data kan betroubate resultate nie verkry word me.

[pt] O modelo de monitoração, registro e valoração de investimentos, adotado por investidores institucionais em países desenvolvidos e em especial o americano, juntamente com todos os seus agregados financeiros - índices de bolsas, indicadores de performance, precificação de ativos, ratings, standards, etc...- é sem dúvida um forte elemento direcionador e influenciador dos modelos adotados no Brasil para administração de carteiras de investimento. Surgiu no próprio mercado americano, após o término da recessão do inicio dos anos 90, uma profunda remodelagem dos instrumentos, veículos, indicadores de performance e standards dos investimentos de base imobiliária, que até então seguiam seus próprios e diversificados padrões, desvinculados dos modelos propalados e adotados pelo mercado financeiro. O conhecimento dos modelos de gestão adotados por investidores institucionais brasileiros, em especial os fundos de pensão é básico para se desenhe uma nova estratégia futura de alocação e respectiva gestão de recursos em carteiras de base imobiliária de investidores institucionais. O foco do presente trabalho é dar início a este processo de conhecimento pela identificação e interpretação dos principais fatores que modelam a gestão imobiliária dos fundos de pensão brasileiros, propondo a partir daí algumas reflexões iniciais sobre estes fatores e por conseguinte sobre estes modelos, visando padronizações, aperfeiçoamentos e um maior alinhamento com práticas já consagradas em mercados mais desenvolvidos e eficientes. / [en] It is common knowledge that the models of monitoring, registering and valuating investments, accepted by institutional investors in many developed countries, especially the US - together with financial ratios adopted in the stock market, in assets price evaluation and performance, in risk ratings, in account standards - have great influence in the models implemented by investment portfolio managers in Brazil. After the recession in the beginning of 1990 s, took place in the US Real Estate market a major restructure of Real Estate instruments, vehicles, performance indices, and standards. The Real Estate community agreed that their market could no longer have dissimilar and diverse methods for measuring and evaluating Real Estate assets if compared with those used currently by the financial market. Knowing and understanding the relationship between models adopted by brazilian institutional investors and the positioning of pension funds when allocating resources to real state, is fundamental to trace any new future allocation and management strategy for real state investments by institutional investors. The main purpose of this paper is to begin this process of knowledge by identifying and interpreting the main factors that model the real estate portfolio management adopted by Brazilian pension funds, followed by some reflexion over those factors and conseqüently over those models, mainly focused on standardization and refinement of such current models, and also on aligning current practices to those already approved and implemented by more developed and efficient markets.

Cette thèse envisage un ensemble de méthodes permettant aux algorithmes d'apprentissage statistique de mieux traiter la nature séquentielle des problèmes de gestion de portefeuilles financiers. Nous débutons par une considération du problème général de la composition d'algorithmes d'apprentissage devant gérer des tâches séquentielles, en particulier celui de la mise-à-jour efficace des ensembles d'apprentissage dans un cadre de validation séquentielle. Nous énumérons les desiderata que des primitives de composition doivent satisfaire, et faisons ressortir la difficulté de les atteindre de façon rigoureuse et efficace. Nous poursuivons en présentant un ensemble d'algorithmes qui atteignent ces objectifs et présentons une étude de cas d'un système complexe de prise de décision financière utilisant ces techniques. Nous décrivons ensuite une méthode générale permettant de transformer un problème de décision séquentielle non-Markovien en un problème d'apprentissage supervisé en employant un algorithme de recherche basé sur les K meilleurs chemins. Nous traitons d'une application en gestion de portefeuille où nous entraînons un algorithme d'apprentissage à optimiser directement un ratio de Sharpe (ou autre critère non-additif incorporant une aversion au risque). Nous illustrons l'approche par une étude expérimentale approfondie, proposant une architecture de réseaux de neurones spécialisée à la gestion de portefeuille et la comparant à plusieurs alternatives. Finalement, nous introduisons une représentation fonctionnelle de séries chronologiques permettant à des prévisions d'être effectuées sur un horizon variable, tout en utilisant un ensemble informationnel révélé de manière progressive. L'approche est basée sur l'utilisation des processus Gaussiens, lesquels fournissent une matrice de covariance complète entre tous les points pour lesquels une prévision est demandée. Cette information est utilisée à bon escient par un algorithme qui transige activement des écarts de cours (price spreads) entre des contrats à terme sur commodités. L'approche proposée produit, hors échantillon, un rendement ajusté pour le risque significatif, après frais de transactions, sur un portefeuille de 30 actifs. / This thesis considers a number of approaches to make machine learning algorithms better suited to the sequential nature of financial portfolio management tasks. We start by considering the problem of the general composition of learning algorithms that must handle temporal learning tasks, in particular that of creating and efficiently updating the training sets in a sequential simulation framework. We enumerate the desiderata that composition primitives should satisfy, and underscore the difficulty of rigorously and efficiently reaching them. We follow by introducing a set of algorithms that accomplish the desired objectives, presenting a case-study of a real-world complex learning system for financial decision-making that uses those techniques. We then describe a general method to transform a non-Markovian sequential decision problem into a supervised learning problem using a K-best paths search algorithm. We consider an application in financial portfolio management where we train a learning algorithm to directly optimize a Sharpe Ratio (or other risk-averse non-additive) utility function. We illustrate the approach by demonstrating extensive experimental results using a neural network architecture specialized for portfolio management and compare against well-known alternatives. Finally, we introduce a functional representation of time series which allows forecasts to be performed over an unspecified horizon with progressively-revealed information sets. By virtue of using Gaussian processes, a complete covariance matrix between forecasts at several time-steps is available. This information is put to use in an application to actively trade price spreads between commodity futures contracts. The approach delivers impressive out-of-sample risk-adjusted returns after transaction costs on a portfolio of 30 spreads.

The purpose of this study is to tell the story of how four peer helpers within the Unisa Peer Help Volunteer Programme managed their portfolio development processes to monitor their growth and development which took place as a result of their involvement in peer helper activities. The epistemological framework of this study is interpretive and involved in-depth interviews with four peer helpers who rendered volunteer services at the University of South Africa and have been developing their career portfolios over a period of time. Hermeneutics was the method used to analyse the data. The stories of the four participants were transcribed and retold by the researcher in the form of themes that emerged. This study contained the stories of how the participants initially struggled to understand the concept and purpose of portfolios; how they took charge of the process; and how their attitudes changed from uncertainty and confusion to viewing the process as worthwhile - thus enabling them to commit themselves, to varying degrees, to the development of their individual portfolios. Recurring themes present in all four stories were described in the researcher's story of the participants' stories. The information generated by this study could serve as guidelines for not only peer helpers interested in developing their own portfolios, but also for project leaders involved in the management of peer helper groups and who plan to implement portfolios in their programmes. / Psychology / M.A. (Psychology)

Le but de cette thèse est de construire un modèle de détection des changements de phase -passages de marché haussier à baissier et vice versa - du marché des actions américaines cotées, en utilisant un nombre relativement important de variables à la fois fondamentales (macroéconomiques et microéconomiques) et issues de l’analyse technique.Le modèle statistique retenu est la régression logistique statique, avec un retard pour les variables explicatives allant de zéro à trois mois. Les huit variables les plus significatives parmi vingt candidatesont été sélectionnées à partir des données mensuelles du S&P500 sur la période 1963-2003. Le modèle obtenu a été testé sur 2004-2013 et sa performance a été supérieure à celles de la stratégie Buy & Holdet d’un modèle univarié utilisant la variable ayant le plus fort pouvoir de détection - ce dernier modèle ayant fait l’objet d’une étude dans la littérature.Il a également été montré que des variables non encore considérées dans la littérature - la moyenne mobile sur les six derniers mois des créations nettes d’emplois non-agricoles, la base monétaire et le Composite Leading Indicator de l’OCDE - ont un pouvoir de détection significatif pour notre problématique. D'autre part, la variable binaire indiquant la position du S&P500 par rapport à sa moyenne mobile des dix derniers mois - variable de type analyse technique - a un pouvoir prédictif beaucoup plus élevé que les variables fondamentales étudiées. Enfin, les deux autres variables les plus statistiquement significatives sont macroéconomiques : l'écart entre les taux à dix ans des T-bonds et à trois mois des T-bills et la moyenne mobile des créations d’emplois non-agricoles. / The goal of this thesis is to build a model capable of detecting the reversals - shift from bull market to bear market or vice versa - of the American stock market, by using a relatively large number of explanatory variables, both of fundamental (macroeconomic and microeconomic) and of ‘technical analysis’ types.The statistical model used is static logistic regression, with lags for the independent variables ranging from zero to three months. Starting with twenty variables, the eight most significant ones have been selected on a training set consisting of monthly data of the S&P500 between 1963 and 2003. There sulting model has been tested over the 2004-2013 period and its performance was better than those of a buy & hold strategy and of a univariate model based on the variable with the highest predictive power – the latter model being the focus of a paper in the current literature. Another contribution of the thesis is that some variables not yet studied in the literature – the six month moving average of net non-farm job creations, the monetary base and the OECD Composite Leading Indicator – are statistically significant for our problem. Moreover, the predictive power of the binary variable indicating whether the S&P500 is above or below its ten-month moving average – a technical analysis variable – is much higher than that of the fundamental variables which have been considered. Finally, the two other most significant variables are macroeconomic ones: the spread between the ten-year T-bond and three-month T-bill rates and the moving average of non-farm jobs creations.

No description available.

Proteins are considered the primary actors in living organisms. Proteins mainly perform their functions by interacting with other proteins. Protein-protein interactions underpin various biological activities such as metabolic cycles, signal transduction, and immune response. PPI identification has been addressed by various experimental methods such as the yeast two-hybrid, mass spectrometry, and protein microarrays, to mention a few. However, due to the sheer number of proteins, experimental methods for finding interacting and non-interacting protein pairs are time-consuming and costly. Therefore a sequence-based framework called ProtInteract is developed to predict protein-protein interaction. ProtInteract comprises two components: first, a novel autoencoder architecture that encodes each protein's primary structure to a lower-dimensional vector while preserving its underlying sequential pattern by extracting uncorrelated attributes and more expressive descriptors. This leads to faster training of the second network, a deep convolutional neural network (CNN) that receives encoded proteins and predicts their interaction. Three different scenarios formulate the prediction task. In each scenario, the deep CNN predicts the class of a given encoded protein pair. Each class indicates different ranges of confidence scores corresponding to the probability of whether a predicted interaction occurs or not. The proposed framework features significantly low computational complexity and relatively fast response. The present study makes two significant contributions to the field of protein-protein interaction (PPI) prediction. Firstly, it addresses the computational challenges posed by the high dimensionality of protein datasets through the use of dimensionality reduction techniques, which extract highly informative sequence attributes. Secondly, the proposed framework, ProtInteract, utilises this information to identify the interaction characteristics of a protein based on its amino acid configuration. ProtInteract encodes the protein's primary structure into a lower-dimensional vector space, thereby reducing the computational complexity of PPI prediction. Our results provide evidence of the proposed framework's accuracy and efficiency in predicting protein-protein interactions.

La première partie de cette thèse introduit une nouvelle méthodologie pour la réalisation d’exercices de stress-tests. Notre approche permet de considérer des scénarios de stress beaucoup plus riches qu’en pratique, qui évaluent l’impact d’une modification de la distribution statistique des facteurs influençant les prix d’actifs, pas uniquement les conséquences d’une réalisation particulière de ces facteurs, et prennent en compte la réaction du gestionnaire de portefeuille au choc. La deuxième partie de la thèse est consacrée à la valorisation des obligations à maturité très longues (supérieure à 10 ans). La modélisation de la volatilité des taux de très long terme est un défi, notamment du fait des contraintes posées par l’absence d’opportunités d’arbitrage, et la plupart des modèles de taux d’intérêt en absence d’opportunités d’arbitrage impliquent un taux limite (de maturité infinie) constant. Le deuxième chapitre étudie la compatibilité du facteur "niveau", dont les variations ont un impact uniforme sur l’ensemble des taux modélisés, a fortiori les plus longs, avec l’absence d’opportunités d’arbitrage. Nous introduisons dans le troisième chapitre une nouvelle classe de modèle de taux d’intérêt, sans opportunités d’arbitrage, où le taux limite est stochastique, dont nous présentons les propriétés empiriques sur une base de données de prix d’obligations du Trésor américain. / 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.

Abstract Bringing new products faster to the market is increasingly critical. To reach this goal, companies have been improving their product development practices and processes. Rapid product development (RaDe) is a type of incremental product development model, in which new sales items are created by redesigning existing products quickly and inexpensively. This study examines the RaDe challenges and enablers, particularly the ones from the perspective of supply management (SM) and product portfolio management (PPM). The main objective of this study is to recognise and describe the significance of mature SM for RaDe, resulting in successful and efficient product ramp-ups and portfolio renewal. The present study follows a qualitative research approach, which consists of reviewing the literature and analysing the relevant practices and current process settings of several companies representing diverse business areas and industry types. The principal results of this study involve acknowledging and describing the role of mature SM and organised PPM for effective RaDe implementation and product portfolio renewal. The study examines the mature SM from the perspective of 1) the definition of the SM objectives; 2) the alignment of the list of recommended products, buy-items and suppliers; 3) the creation of the product design guidelines, targets and metrics from the SM perspective; and 4) the establishment of the supply capability creation process. The main implications of the present study highlight the importance of the SM maturity that can support managers in RaDe related planning and implementation activities. The originality of the study resides in the emphasis of the SM significance in terms of different aspects that are beneficial to RaDe implementation and product portfolio renewal. / Tiivistelmä Uusien tuotteiden tuominen markkinoille nopeasti on enenevissä määrin tärkeää yrityksille. Tämän saavuttamiseksi yritykset ovat pyrkineet parantamaan tuotekehitystoimintojaan ja -prosessejaan. Nopea tuotekehitys (RaDe) on malli inkrementaaliseen tuotekehitykseen, missä myyntinimikkeitä luodaan uudelleen suunnittelemalla jo olemassa olevia tuotteita nopeasti ja halvalla. Tämä tutkimus tarkastelee RaDe -haasteita ja mahdollistajia, erityisesti hankintatoimen johtamisen (SM) ja tuoteportfoliohallinnan (PPM) näkökulmasta. Tutkimuksen ensisijaisena tavoitteena on tunnistaa ja kuvata kypsän hankintatoimen johtamisen ja nopean tuotekehityksen merkittävyys niin onnistuneen kuin tehokkaan markkinoille tuonnin sekä tuoteportfolion uudistamisen mahdollistajana. Laadullinen tutkimus tarkastelee monipuolisia liiketoiminta-alueita ja teollisuusaloja, koostuen sekä kirjallisuuskatsauksesta että useiden eri yritysten niille relevanttien toimintojen ja prosessien analysoinnista. Keskeiset tutkimuksen tulokset osoittavat ja selittävät kypsän hankintatoimen johtamisen ja organisoidun tuoteportfoliohallinnan roolia nopean tuotekehityksen tehokkaassa toteutuksessa sekä tuoteportfolion uudistamisessa. Kypsää hankintatoimen johtamista tutkimus tarkastelee seuraavista perspektiiveistä: 1) hankintatoimen johtamisen tavoitteiden määritys, 2) suositeltujen tuote-, ostoartikkeli- ja toimittajalistojen linjaus, 3) tuotesuunnittelun ohjeistusten, tavoitteiden ja mittareiden luominen hankintatoimen johtamisen näkökulmasta, ja 4) hankintatoimen kyvykkyyden perustamisen luomisprosessi. Tutkimuksen merkittävimmät kontribuutiot organisaatioille korostavat sellaisen kypsän hankintatoimen johtamisen tärkeyttä, mikä tukee johtoa nopean tuotekehityksen suunnittelussa ja toteutuksessa. Uudenlaista näköalaa tutkimukseen tuottaa hankintatoimen johtamisen merkityksen tähdentyminen positioista, jotka ovat suotuisia nopean tuotekehityksen toteutukselle sekä tuoteportfolion uudistumiselle.