[pt] A otimização online de portfólios é um problema de engenharia financeira que consiste na escolha sequencial de alocação de capital entre um conjunto de ativos, com o objetivo de maximizar o retorno acumulado no longo prazo. Com o avanço dos estudos de modelos de machine learning, diversos algorítmos estão sendo utilizados para resolver esse problema. Uma série de algoritmos seguem a metodologia Follow-the-winner (FTW) , onde o peso de ações com boa performance é aumentado baseado na hipótese de que a tendência de alta será mantida; outros seguem a metodologia inversa Follow-the-loser (FTL), em que ações com má performance tem seu peso aumentado apostando em uma reversão dos preços. Algoritmos estado-da-arte do tipo FTW possuem garantia teórica de se aproximar da performance da melhor ação escolhida de antemão, entretanto, algoritmos do tipo FTL tem performance superior observada empiricamente. Nosso trabalho busca explorar a ideia de aprender quando utilizar cada uma das duas categorias. Os mecanismos utilizados são algoritmos de online learning com flexibilidade para assumir ambos comportamentos. Foi realizado um estudo da literatura sobre indicadores de memória em séries financeiras e sua possível utilização de forma explícita para escolha entre FTL e FTW. Posteriormente, propomos um método de se realizar o aprendizado entre essas duas categorias de forma online e de forma dinâmica para utilização em algoritmos de online learning. Em nossos experimentos, o método proposto supera o benchmark estabelecido UCRP com excesso de retorno de 36.76 por cento. / [en] Online portfolio selection is a financial engineering problem which aims to sequentially allocate capital among a set of assets in order to maximize long-term return. With the recent advances in the field of machine learning, several models have been proposed to address this problem. Some algorithms approach the problem with a Follow-the-winner (FTW) methodology, which increases the weights of more successful stocks based on their historical performance. Contrarily, a second approach, Follow-theloser (FTW), increases the weights of less successful stocks, betting on the reversal of their prices. Some state-of-the-art FTW type algorithms have the guarantee to asymptotically approach the same performance as the best stock chosen in hindsight, while FTL algorithms have empirical evidence of overperforming the previous. Our goal is to explore the idea of learning when to use each of those two algorithm categories. We do this by using online learning algorithms that are capable of switching between the described regimes. We review the literature for existing measures of time series memory and predictability, and explicitly use this information for chosing between FTW and FTL. Later, we propose a method for choosing between this two types of algorithms in an online and dynamic manner for usage together with online learning algorithms. The method outperforms the chosen benchmark UCRP in our experiments with 36.76 percent excess returns.

This research paper studies the Day-of-the-week effect in the cryptocurrency market. Using multiple regression, we analyze the effect using 12 counterfactual optimized portfolios of the cryptocurrencies, as well as the 10 cryptocurrencies alone. Our findings show that well-optimized cryptocurrency portfolios are not subject to Day-of-the-week effects. A positive Monday and a negative Thursday effect were confirmed in Bitcoin, Ethereum, and Ripple, as well as a negative Sunday effect for Ripple.

This thesis project examines social interactions in PvPvE Online Multiplayer Survival Shooters and proposes mechanics that promote connection among players, hooking rascal players who invent new ways to play the game, into the game spirit rather than engaging in toxic play. To do that, I followed a Research-through-design methodology, engaged with games, game designers, and gamers, and designed storyboards presenting examples of mechanics that promote players' connection. The results are Annotated Portfolios that frame the knowledge contribution as guides for designing mechanics for connection. The first annotation is “Helping or Asking for help” as a way to establish the purpose of communication, the second is “Temporarily teaming up” as a way to introduce a transitional state of sharing information such as knowledge and location, and the third one is “Risk and Reward” as the main aesthetic and motivation of target players.

I ett samhälle där alltmer fokus riktas mot miljömässig hållbarhet har behovet och viljan att uppnå klimatneutralitet växt, särskilt inom fastighetssektorn. Denna studie undersöker de utmaningar som fastighetsföretag står inför när de strävar efter klimatneutralitet, med fokus på befintligt fastighetsbestånd inom den kommersiella fastighetssektorn. Syftet är att identifiera utmaningarna för att det ska bli tydligare var fokus och resurser bör riktas. Genom att använda en kvalitativ metod som bygger på intervjuer med anställda på olika fastighetsföretag, har ett försök gjorts att identifiera de främsta hindren som de möter i sin strävan efter klimatneutralitet. Teoridelen i arbetet utgår bland annat från viktiga begrepp, regelverk samt olika verktyg och metoder som används i arbetet mot klimatneutralitet.  Resultatet pekar på att ombyggnationer är en betydande utmaning i detta sammanhang. Det finns ett behov av ett utvecklat system eller ramverk för att bedöma miljöpåverkan av ombyggnationer och befintliga fastigheter, tillsammans med ytterligare åtgärder för att effektivt engagera hyresgäster. Genom att belysa dessa utmaningar bidrar studien inte bara till en ökad medvetenhet om de hinder som fastighetsföretag står inför, utan också till en djupare förståelse för de komplexiteter som är förknippade med att uppnå klimatneutralitet inom det befintliga fastighetsbeståndet. På så vis ger studien en vägledning för framtida strategier och åtgärder mot en mer hållbar och klimatneutral fastighetssektor. / In a society where an increasing focus is directed towards environmental sustainability, the need and desire to achieve climate neutrality have grown, particularly within the real estate sector. This study examines the challenges faced by property companies as they strive for climate neutrality, with a focus on existing property portfolios within the commercial real estate sector. The aim is to identify the challenges to provide clarity on where focus and resources should be directed. By employing a qualitative methodology based on interviews with employees from various property companies, an attempt has been made to identify the main obstacles they encounter in their pursuit of climate neutrality. The theoretical part of the study is based, among other things, on important concepts, regulations, and various tools and methods used in the work towards climate neutrality. The results indicate that refurbishments pose a significant challenge in this context. There is a need for a developed system or framework to assess the environmental impact of refurbishments and existing properties, along with additional measures to effectively engage tenants. By highlighting these challenges, the study contributes not only to increased awareness of the obstacles faced by property companies but also to a deeper understanding of the complexities associated with achieving climate neutrality within the existing property portfolio. In this way, the study provides guidance for future strategies and actions towards a more sustainable and climate-neutral real estate sector.

Thesis (PhD)--Stellenbosch University, 2014. / ENGLISH ABSTRACT: A portfolio of learning is one way of showing evidence of performance over a period of time. Worldwide, the need for social accountability and health services reforms has led to an increased interest in competency-based medical education with specific outcomes. Postgraduate training increasingly focuses on life-long adult learning, placing emphasis on close supervision with feedback and workplace-based assessment. South Africa, although better resourced, faces many similar socio-political and health services challenges as the rest of Africa. The democracy is less than 20 years old, with 80% of the previously disadvantaged population now having access to health services. In this new era medical schools have aligned their curricula to focus on patient-centred primary health care. The huge demand for appropriately trained family physicians has become a national priority. Subsequently, the College of Family Physicians of the Colleges of Medicine of South Africa developed a national exit examination for postgraduate family medicine training. One component of the examination is the submission of a satisfactory portfolio of learning. The aim of this thesis was to develop a national portfolio for postgraduate family medicine education in South Africa. It needed to be valid, acceptable, useful for learning, and be assessed in a reliable way. The research process involved a collaboration with registrars, supervisors and programme managers from all eight medical schools in the country over four years and culminated in the first national portfolio for family medicine in the country. The thesis was done by way of publication, which involved four articles being published in international journals, outlining the development, implementation and assessment of our portfolio. Content and construct validity of the draft portfolio was established through a Delphi process. Subsequently, the portfolio was implemented at all eight medical schools. Workshops over two years at all the universities facilitated implementation and provided feedback on the use of the portfolio across the country. After implementation of this initial portfolio, the acceptability, educational impact, and usefulness for assessment were evaluated through a national survey and in-depth interviews. A portfolio assessment tool was developed and its reliability was established for the overall score. The assessment tool has also been implemented nationally. The portfolio’s requirements have made the expectations and challenges of workplace-based learning and assessment more visible, with supervision, safe learning environments and more user-friendly learning and assessment tools needing further research. / AFRIKAANSE OPSOMMING: ‘n Portefeulje met bewyse van opleiding is een manier om bevoegdheid en prestasie oor ‘n periode van tyd te demonstreer. Sosiale verantwoordelikheid en hervormings in gesondheidsdienste wêreldwyd het gelei tot vaardigheids-gebaseerde mediese opvoeding met spesiefieke uitkomste. Nagraadse opleiding fokus toenemend op lewenslange volwasse leermetodes met ‘n groot klem op nabye toesig, terugvoer en werksgebaseerde evaluasies. Alhoewel Suid-Afrika beter toegerus is as meeste lande in Afrika, staar die land baie soortgelyke sosiaal-politiese en gesondheids uitdagings in die gesig. Met die jong demokrasie van 20 jaar het 80% van mense wat voorheen nie toegang gehad het tot goeie gesondheidsdienste nie nou wel toegang. Mediese skole het hul kurrikulums aangepas om te konsentreer op pasient-gefokusde primêre gesondheidsorg. Die Kollege van Huisartse van die Kolleges van Geneeskunde van Suid-Afrika het ‘n nasionale eksamen vir nagraadse opleiding in huisartskunde in die land geimplementeer. Een van die komponente van die eksamen behels die inhandiging van ‘n bevredigende opleidingsportefeulje. Die doel van hierdie tesis was om ‘n nasionale portefeulje vir nagraadse opleiding in huisartskunde in Suid-Afrika te ontwikkel. Die portefeulje moes geldig en aanvaarbaar wees, asook nuttig vir leer en ook op ‘n betroubare manier evalueer kon word. ‘n Proses van samewerking tussen kliniese assistente, toesighouers en programbestuurders van al agt mediese skole in die land oor ‘n periode van vier jaar het die eerste nasionale opleidingsportefeulje vir huisartskunde in Suid-Afrika die lig laat sien. Hierdie is ‘n tesis by wyse van publikasie deur vier artikels wat in internasional journale verskyn het, wat die ontwikkeling, implementering, en evaluering van die portefeulje beskryf. Die geldigheid van die inhoud en samestelling van die portefeulje was ontwikkel deur ‘n Delphi proses. Nadat die portefeulje geimplementeer was, was die aanvaarding, leerimpak en nuttigheid vir evaluering ondersoek deur ‘n nasionale opname en in-diepte onderhoude. Werkswinkels by al die universiteite het die geldigheid en implemetering van die portefeulje verder versterk. ‘n Instrument om die portefeulje te evalueer was ontwikkel en in gebruik geneem landwyd, en betroubaarheid van die totale telling was bewerkstellig. Die behoeftes van die portefeulje het die verwagtinge en uitdagings van werksgebaseerde opleiding en evaluering meer sigbaar gemaak, met toesighouding, veilige leeromgewings en meer gebruiksvriendelike leer- en evalueringsinstrumente as areas identifiseer wat aangaande navorsing benodig.

This thesis investigates pricing-performance of two recently developed multifactor asset-pricing models with the implementation of dual-betas dependent upon prevailing market-conditions. The models included in the study are the Fama and French five-factor model and the Q-factor model by Hou, Xue and Zhang. We test the models on cross-sectional Swedish stock-market data between 2003 and 2015 from the Large-, Mid- and Small Cap-lists and their respective precursors. The models are tested in their ability to explain portfolios sorted on firm beta-values, on a twelve-year period as well as a six-year period characterized by changing market directions and high market volatility.  In our study, we support the presence of changing risk-return relationship in up and down market states by estimating separate market betas with the risk-free rate as threshold. However, we do not find the isolated and volatile period to give rise to a larger difference in the up and down market betas. We consistently find the models to have a decreasing explanatory power on the portfolios of firms with lower beta values. We also find the largest difference in the up and down market betas occurring in the low beta portfolios, suggesting that this is causing measurement problems in the models. While making the models conditional, the measurement problem with the static beta seems to be reduced for the portfolios where the difference between up and down betas differ most. In the applied context, we conclude the conditional dual beta adds explanatory power in the models when the market beta differs in up and down market states.  The insights of this thesis support the method of making the market-beta conditional as suggested by Pettengill, Sundaram & Mathur (Pettengill, et al., 1995), in new multifactor models.

Title: Portfolios behaviour on efficient and inefficient markets Author: Iveta Kováčová Department: Department of Probability and Mathematical Statistics Supervisor: Doc. RNDr. Jan Hurt, CSc., KPMS MFF UK Abstract: In this thesis we summarize the results concerning the construction of optimal portfolios. We introduce the geometric representation of the portfolios in the case that the assumptions about an efficient market are violated. We perform a technical analysis of the portfolio on the given data by using the program Mathematica 8.0. and compare an efficient set of the portfolio at different investment strategies.

[pt] O Ambiente de Contratação Livre proporcionou uma continuidade do processo de livre concorrência de mercado iniciado com a reestruturação do setor elétrico em 1997. A mudança de um regime baseado em contratos de suprimento renováveis para uma estrutura baseada em preços dados por um mercado competitivo, expõe as empresas do setor elétrico brasileiro à volatilidade do mercado de eletricidade. Neste novo ambiente, as empresas devem gerenciar os riscos associados às suas operações. Devido às características singulares do setor elétrico brasileiro, o gerenciamento de risco é um grande desafio para os próximos anos. Por outro lado, com a liberdade de negociação permitida pelo segmento de comercialização de energia no Ambiente de Contratação Livre, os contratos de compra e venda de energia elétrica passaram a adaptar-se as necessidades de mercado com a incorporação de flexibilidades que viessem a mitigar os riscos com relação à demanda por energia elétrica e principalmente com relação ao preço. Dentro desse contexto, foi desenvolvido um modelo de avaliação de portfolio de contratos de compra e venda de energia elétrica, incorporando as flexibilidades inerentes a atividade de comercialização, de forma a quantificar os riscos associados a esta atividade e determinar o valor adicionado ao portfolio pelas flexibilidades. O caso estudado é fictício, mas é um exemplo típico na área de comercialização de energia elétrica dentro deste novo modelo. / [en] The Free Contracts Environment enabled continuity of the free market competition process which started with the electric sector restructure in 1997. The shift from a regime based on renewable supply contracts to a structure based on prices established by competition exposes companies in the Brazilian electric sector to the volatility of the electricity market. In this new environment companies must manage the risks associated to the operations. The Brazilian electric sector singular features make risk management a great challenge for ensuing years. On the other hand, with free negotiation enabled by the energy trade segment within the free contracts environment, electric energy purchase and sale contracts started to adapt to the market needs incorporating flexibilities designed to face uncertainty regarding electric energy demand in general and prices in particular. Within this context, an electric energy purchase and sale portfolio valuation model was developed, incorporating the flexibilities inherent to commercialization activities, in order to quantify the risks associated with this activity and establish the value added to the portfolio by the flexibilities. The case studied is fictitious, but typical in the field of electric energy trading within this new model.

In recent years, IT has come to play an important role in companies. So successful execution of business processes often depends on mission-critical IT-solutions. Managing such IT is challenging. Companies have to keep up with rapid developments, but also consider long-term consequences while doing so. How do they survive in the long run without surrendering in the short run? What should be done in-house? What should be bought from external providers? How should they allocate scarce IT resources? This book answers these questions on the basis of four cases from the financial industry. After describing and analyzing IT portfolios, it investigates the questions of sourcing and technology adoption. Finally, it explores the relationship between mission-critical IT and business operations. The study suggests different ways of analyzing the role applications play in a company rather than the applications themselves. The character of an application may be in the eye of the beholder. Framing applications from both business and IT perspectives is also important, especially in information intensive companies. The Resource Allocation Matrix provides a tool for characterizing four types of IT-management efforts: agile action, firefighting, business transformation and platform construction. / Diss. Stockholm : Handelshögskolan, 2003

In an ever-changing global environment, the ability to adapt to the current economic climate is essential for a company to prosper and survive. Numerous previous re- search state that better risk management and low overall risks will lead to a higher firm value. The purpose of this study is to examine if portfolio theory, made for fi- nancial portfolios, can be used to compose product portfolios in order to minimize risk and optimize returns. The term contingent hedge is defined as an optimal portfolio that can be identified today, that in the future will yield a stable stream of returns at a low level of risk. For companies that might engage in costly hedging activities on the futures market, the benefits of creat- ing a contingent hedge are several. These include creating an optimized portfolio that minimizes risk and avoid trading contracts on futures markets that would incur hefty transaction costs and risks. Using quantitative financial models, product portfolio compositions are generated and compared with the returns and risks profile of individual commodities, as well as the actual product portfolio compositions of publicly traded mining companies. Us- ing Modern Portfolio Theory an efficient frontier is generated, yielding two inde- pendent portfolios, the minimum risk portfolio and the tangency portfolio. The Black-Litterman model is also used to generate yet another portfolio using a Bayesian approach. The portfolios are generated by historic time-series data and compared with the actual future development of commodities; the portfolios are then analyzed and compared. The results indicate that the minimum risk portfolio provides a signif- icantly lower risk than the compositions of all mining companies in the study, as well as the risks of individual commodities. This in turn will lead to several benefits for company management and the firm’s shareholders that are discussed throughout the study. However, as for a return-optimizing portfolio, no significant results can be found. Furthermore, the analysis suggests a series of improvements that could potentially yield an even greater result. The recommendation is that mining companies can use the methods discussed throughout this study as a way to generate a costless contin- gent hedge, rather than engage in hedging activities on futures markets.