The study of expected utility maximization in continuous-time stochastic market models dates back to the seminal work of Merton 1969 and has since been central to the area of Mathematical Finance. The associated stochastic optimization problems have been extensively studied. The problem formulation relies on two strong underlying assumptions: the ability to specify the underpinning market model and the knowledge of the investor's risk preferences. However, neither of these inputs is easily available, if at all. Resulting issues have attracted continuous attention and prompted very active and diverse lines of research. This thesis seeks to contribute towards this literature and questions related to both of the above issues are studied. Specifically, we study the implications of certain qualitative properties of the utility function; we introduce, and study various aspects of, the notion of robust forward investment criteria; and we study the investment problem associated with risk- and ambiguity-averse preference criteria defined in terms of quasiconcave utility functionals.

For an investment treaty tribunal to proceed to adjudge the merits of claims arising out of an investment, it must have jurisdiction over the parties and the claims, and the claims submitted to the tribunal must be admissible. Inconsistent interpretations of substantive and procedural principles of international investment law that govern the existence and exercise of the arbitral tribunal’s supremacy to adjudge an investment dispute have caused incoherence in investment treaty arbitration. The thesis is an in-depth study of article 25 of the 1965 Washington Convention on the Settlement of Investment Disputes (ICSID), which articulates the Material, Personal and Consensual requirements for establishing the existence of the adjudicative power (Jurisdiction) for dispute resolution and to exercise that adjudicative power (Admissibility) under the aegis of ICSID. The main findings of the research are as follows: 1) ICSID’s double-filtering nature, which has been largely overlooked in ICSID jurisprudence, is fundamental to correct decision-making by arbitral tribunals when deciding on admissibility and jurisdiction issues. 2) ‘Fraudulent intent’ criterion, which borrows its rationale from the concurrent themes in international law jurisprudence, is instrumental to test compliance as required in the upper jurisdictional threshold. 3) ‘Bona fide investor’ test used to measure compliance with the objective requirements of article 25 of the ICSID runs counter to the object and purpose of the Convention. 4) ‘Dynamic’ test, rather than plain ‘objective’ test, would be the adequate pattern to ensure compliance with article 25 of the ICSID Convention for the contemplated investment due to evolving meaning of such generic term. 5) ‘Lex Juridictio’ or set of rules, principals and mechanisms governing jurisdictional and admissibility issues is required as foundation for legal unification and harmonization.

This thesis examines how to implement financial statement analysis to form some investment ideas. Specifically, we are looking at strategies such as value (going long on stocks with a high F-score and short on stocks with a low F-score), and a momentum strategy going long on stocks that have an increase in return on equity (ROE). Findings suggest that we are able to generate excess returns even after controlling for risks and recommend that the understanding of financial statement can help investors to form investment decisions and give a competitive edge over other investors in the market. There are a few lessons that investors can learn from the findings of this thesis. Value investors should focus on value firms. Momentum investors should pursue an investment strategy among firms with an improvement in return on equity. They could also benefit from forming a portfolio based on both investment ideas, which should protect them from economic downturn and offer an interesting portfolio.

The rise of a mass investment culture has been recognised by academics and contemporaries alike. Generally understood in the British context as ‘popular capitalism’, the growing numbers of individuals with a stake in stock markets on both sides of the Atlantic has been an integral part of the advent of what is loosely termed neoliberalism in contemporary societies. However, we know very little about how this mass investment culture developed and evolved in the late-twentieth century, and the relationship it fostered between the individual and the financial services industry. This thesis seeks to explore this phenomenon as it emerged in Britain, in order to highlight the limitations of popular capitalism, both as a political project and as a framework of analysis for understanding the 1980s. Instead a concept of financial consumerism is offered as a more useful lens through which to understand the changes associated with Thatcherism and neoliberal reform in Britain. In doing so, this research moves our site of analysis away from the national and Thatcher-centred bounds of the Conservative Party’s political project, and the economic ideologies of New Right think tanks and economists in Chicago, Germany and Austria. Instead, analysis centres on the actions of agents external to the Conservative Party. They transformed an ideological project designed to create self-governing citizens into a form of consumption which favoured large financial institutions at the expense of the individual consumer.

Les petites sociétés génèreraient de meilleures performances en périodes économiquement favorables et leurs performances seraient plutôt médiocres en périodes économiquement défavorables. Nous avançons l‟hypothèse selon laquelle l‟effet taille n‟est manifeste que durant les périodes d'expansion économique. Notre étude empirique confirme cette hypothèse pour la période 2000-2009. Nous utilisons un modèle avec variables binaires pour estimer les alphas ainsi que trois indicateurs du cycle économique : l'indicateur composite avancé de l‟OCDE, l‟indice CAC 40 et l‟Euribor 1 mois. / It would seem that small companies perform better in economically favourable times and give more mediocre performances in economically unfavourable times. We put forward the hypothesis that size effect only occurs during periods of economic expansion. Our empirical study confirms this hypothesis for the 2000-2009 period. We use a model with binary variables to estimate alphas as well as three economic cycle indicators: the OCDE composite leading indicator, the CAC 40 index and the 1 month Euribor rate.

This thesis develops a 'human economy' approach to understanding economic life that elucidates the social nature of economic reason. It explores deep structural changes in financial capitalism through the emergence of the sustainability paradigm in institutional investment, which involves the integration of environmental and social factors and long-term thinking into mainstream financial corporate valuations. The research is based on an extended-case study through participant-observation with one sustainable investment agency. The company is led by a power figure in sustainable finance and his trusted network of elite actors, who aim to be at the vanguard of the changes in institutional investing as they construct the category of the sustainable investor. The thesis explores the ambiguities inherent to such an undertaking and intends to open up new ground for economic anthropology and the anthropology of finance. The ethnography shows how the investment agency developed from a start-up firm with people operating from their homes to an established organisation in London. The majority of research was conducted with a team of sustainable investment analysts whose role it is to produce ratings on companies and influence the decision-making of financial analysts and portfolio managers. The ethnography depicts the everyday practices of this team, how the material arrangements of the investment agency were constructed, and actors' attempts to develop relationships with financial experts within investment processes. The findings are used to critique institutional investing and comment on normative and policy changes in the industry that centre on the figure of 'the fiduciary'. The thesis also points to new areas for research such as the links between corporate executives and sustainable investors. A historical account of investment management is also presented as a way of deconstructing many of the logics and ideas that were encountered during fieldwork and to better understand where and how sustainable investment fits into mainstream investing. The thesis also offers theoretical and methodological guidance for future ethnographies of finance by positioning the present study with existing sociological and anthropological studies and approaches. The discussion covers the political economy of sustainable investing with an emphasis on the links between market and society and the rise of the large corporation; outlines a framework for studying monetary transactions; and reflects on the nature of agency in financial markets and organisational actors there. A review of ethnographies of finance shows that studies of change within financial market practices should address issues of market functionality and political economy.

No abstract available / Industrial and Organisational Psychology / D. Com. (Consulting Psychology)

No description available.

Portfolio optimisation problems are generally concerned with allocating funds to investments. The goal is to find an allocation that minimises risk subject to some certain constraints. To attain robust solutions from the optimisation, it is vital to ensure that the model is able to properly represent the underlying uncertainty in portfolio management. The main source of uncertainty in managing portfolios is from asset returns fluctuation. Typically, it is depicted through scenarios or return distributions which are commonly assumed to be normal. Such assumption, however, does not illustrate the true characteristics of financial asset returns and thus distorts the representation of returns, risks and interrelationship of assets in a portfolio. This thesis presents novel approaches to represent the uncertainty in international portfolio management in order to mitigate risks associated. Three main issues are covered in our studies. The first issue deals with an approach to hedge risk from exchange rates of a multi-currency portfolio. A hedging mechanism is incorporated into a portfolio optimisation model to produce a portfolio that is optimal in terms of asset and currency exposure. Costs associated to exchange rate hedging are also included into the model to improve accuracy in calculating risk and return of the portfolio. The second issue is about representing the uncertainty of multiple assets in a portfolio through scenarios. Under the assumption of normality, some risk and return characteristics of assets are omitted from standard scenario generation method. We present a novel approach to extract more accurate information from assets to generate realistic scenarios. A two-stage stochastic international portfolio optimisation model is formulated accordingly to create portfolios that are expected to be more efficient than portfolios optimised with scenarios generated from the standard approach. The last issue is associated with an approach to keep portfolio's efficiency over its investment horizon through continual reallocation, known as portfolio rebalancing. Since the uncertainty regarding changes in financial market conditions diminishes the efficiency of conventional rebalancing strategies, we propose a new rebalancing method and formulate it as a stochastic optimisation problem. The proposed rebalancing strategy aims to reallocate the portfolio to attain a high probability of positive returns and low probability of negative returns under second-order stochastic dominance criteria. A portfolio implementing the new rebalancing strategy is expected to outperform a portfolio that follows traditional rebalancing methods in terms of portfolio returns. Overall, the thesis aims to create a richer portfolio optimisation model as well as to extract the correct information from financial markets to better cope with the underlying uncertainty in portfolio management.

In this thesis we quantify the potential cost of liquidity constraints on a long equity portfolio using the liquidity risk framework of Acerbi and Scandolo (2008). The model modifies the classical mark-to-market valuation model, and incorporates the impact of liquidity policies of portfolios on the liquidity adjustment valuation (LVA). Also, we suggest a quantitative indicator that scores market liquidity ranging from 0 to 1 (perfect liquidity) for a portfolio with possible liquidity constraints. The thesis consists of three major studies. In the first one, we compute LVA given the cash, minimum weight and portfolio expected shortfall (ES) liquidity policies on a long equity portfolio. Several numerical examples in the results demonstrate the importance associated the incorporation of the liquidity policy in the liquidity risk valuation. In the second study, we quantify the execution costs and the revenue risk when implementing trading strategies over multiple periods by employing the transaction costs measure of Garleanu and Pedersen (2013). The portfolio liquidity costs estimated from the model of Garleanu and Pedersen (2013) are compared with the costs estimated from the liquidity risk measure of Finger (2011). In the third study, we estimate the liquidity-adjusted portfolio ES for a long equity portfolio with the liquidity constraints. Portfolio pure market P&L scenarios are based on initial positions, and the liquidity adjustments are based on positions sold, which depend on the specified liquidity constraints. Portfolio pure market P&L scenarios and state-dependent liquidity adjustments are integrated to obtain liquidity-adjusted P&L scenarios. Then, we apply the liquidity score method (Meucci, 2012) on the liquidity-plus-market P&L distribution to quantify the market liquidity for the portfolio. The results show the importance of pricing liquidity risk with liquidity constraints. The liqiii uidity costs can vary greatly on different liquidity policies, portfolio MtM values, market situation and time to liquidation.