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Otimização de carteiras regularizadas empregando informações de grupos de ativos para o mercado brasileiroMartins, Diego de Carvalho 06 February 2015 (has links)
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Previous issue date: 2015-02-06 / This work aims to analyze the performance of regularized mean-variance portfolios, employing financial assets available in Brazilian markets. In particular, regularized portfolios are obtained by restricting the norm of the portfolio-weights vector, following DeMiguel et al. (2009). Additionally, we analyze the performance of portfolios that take into account information about the group structure of assets with similar characteristics, as proposed by Fernandes, Rocha and Souza (2011). While the covariance matrix employed is the sample one, the expected returns are obtained by reverse optimization of market equilibrium portfolio proposed by Black and Litterman (1992). The empirical analysis out of the sample for the period between January 2010 and October 2014 indicates that, in line with previous studies, penalizing the norm of weights can (depending on the chosen standard and intensity of the restriction) lead to portfolios having best performances in terms of return and Sharpe, when compared to portfolios obtained via Markowitz models. In addition, the inclusion of group information can also be beneficial in order to calculate optimal portfolios, when compared to both Markowitz portfolios or without using group information. / Este trabalho se dedica a analisar o desempenho de modelos de otimização de carteiras regularizadas, empregando ativos financeiros do mercado brasileiro. Em particular, regularizamos as carteiras através do uso de restrições sobre a norma dos pesos dos ativos, assim como DeMiguel et al. (2009). Adicionalmente, também analisamos o desempenho de carteiras que levam em consideração informações sobre a estrutura de grupos de ativos com características semelhantes, conforme proposto por Fernandes, Rocha e Souza (2011). Enquanto a matriz de covariância empregada nas análises é a estimada através dos dados amostrais, os retornos esperados são obtidos através da otimização reversa da carteira de equilíbrio de mercado proposta por Black e Litterman (1992). A análise empírica fora da amostra para o período entre janeiro de 2010 e outubro de 2014 sinaliza-nos que, em linha com estudos anteriores, a penalização das normas dos pesos pode levar (dependendo da norma escolhida e da intensidade da restrição) a melhores performances em termos de Sharpe e retorno médio, em relação a carteiras obtidas via o modelo tradicional de Markowitz. Além disso, a inclusão de informações sobre os grupos de ativos também pode trazer benefícios ao cálculo de portfolios ótimos, tanto em relação aos métodos tradicionais quanto em relação aos casos sem uso da estrutura de grupos.
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The design of continuous professional development in technikons, with special reference to the teaching functionMatee, Bruce Lesego 03 December 2009 (has links)
A CPD model for the University of Technology lecturers is designed in this study. The focus of the CPD model is on teaching as a predominant feature of the Lecturers‟ functions.
Literature review on the nature, historic developments and the mandate of former Technikons in South Africa is conducted. A comparative analysis of University of Technology education systems in five other countries is conducted. Research was then conducted to establish the status of Lecturers‟ CPD in former Technikons. Data obtained from literature and the research project was used to design a CPD model for University of Technology Lecturers.
Interviews were subsequently conducted with CPD practitioners in Universities of Technology to obtain opinions on the model. A survey was conducted to obtain Lecturers‟ opinions on the aspects of the model. Data obtained was then used to modify the model. / Educational Studies / M. Ed. (Educational Management)
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The influence of the learner profile on recognition of prior learning (RPL) assessmentSnyman, Maria 06 1900 (has links)
The recognition of prior learning (RPL) is an assessment process through which experience
gained outside academic contexts is recognised. The purpose of the research was to
determine the influence the learner profile has on RPL assessment. To realise the purpose,
the learner profile was described and consequently learning outcomes formulated for a
portfolio workshop. The method which the study followed was a qualitative interpretative
approach. The research comprised a literature study about adult learning theories that
served as a theoretical framework for the study, as well as an overview of RPL assessment,
followed by an empirical study. The empirical research component followed a multiple data
collection method. The personal life stories of the research participants were analysed in
order to compile a learner profile. The role the workshop played was determined from a
learner perspective by means of an open questionnaire for participants. It included a
collection of workshop photographs. Finally, the reflection of a group of RPL learners about
their personal learning experiences was analysed.
The research found that the learner profile included distinctive personal traits, such as
motivation, task orientation, a sense of responsibility and an orientation towards the future.
The nature of the learner profile as well as of informal learning gained within diverse learning
contexts require directed preparation for assessment. The learners regarded the portfolio
workshop as a sustainable learning process and as a transformational learning experience.
The role the workshop played was multidimensional, as it served as preparation for
compiling the portfolio. It also empowered and prepared the learner on a personal level for
the context of tertiary education. Based on the research findings, the recommendations for an RPL approach should include
the following: Firstly, the learner‟s voice should be afforded recognition. Secondly,
preparation for assessment is essential. Thirdly, the preparation should follow an approach
of assessment as a sustainable learning process. Finally, the learning outcomes for the
portfolio workshop make a contribution to support the learners in bridging the learning
contexts of informal learning and academic learning.
The research makes a valuable contribution, as the empirical research shows that the
holistic learner profile guides the approach to assessment. The mission of RPL to bring
about transformation will only become a reality if a learner-centred approach recognises and
empowers the learner on a personal and academic level. / Die Erkenning van Vorige Leer (EVL) is 'n assesseringsproses waardeur ervaring wat buite
akademiese kontekste verwerf is, erken word. Die doel met die navorsing was om die
invloed van die leerderprofiel op EVL-assessering te bepaal. Om die doel te bereik, is die
leerderprofiel beskryf en voortvloeiend daaruit leeruitkomste vir 'n portefeuljewerkswinkel
saamgestel. Die metode wat die studie gevolg het, was 'n kwalitatiewe interpretiewe
benadering. Die navorsing bestaan uit 'n literatuurstudie oor volwasse leerteorieë wat as
teoretiese raamwerk vir die studie gedien het, asook 'n oorsig oor EVL-assessering, gevolg
deur 'n empiriese studie. Die empiriese navorsingskomponent het 'n meervoudige
dataversamelingsmetode gevolg. Die navorsingsdeelnemers se persoonlike lewensverhale
is geanaliseer om sodoende 'n leerderprofiel saam te stel. Die rol van die werkswinkel is
vanuit 'n leerdersperspektief bepaal deur middel van 'n ope-vraelys aan deelnemers, wat 'n
versameling werkswinkel-foto's ingesluit het. Laastens is die reflektering van 'n groepie
EVL-leerders oor hulle persoonlike leerervaringe ge-analiseer.
Die navorsing het bevind dat die leerderprofiel onderskeidende persoonlike kenmerke, soos
motivering, taakgerigtheid, 'n verantwoodelikheidsin en 'n toekomsgerigtheid insluit. Die
aard van die leerderprofiel, asook die aard van informele leer verwerf binne diverse
leerkontekste vereis gerigte voorbereiding tot assessering. Die leerders het die portefeuljewerkswinkel
as 'n volhoubare leerproses en as transformasionele leerervaring beskou. Die
rol van die werkswinkel is meervoudig, aangesien dit dien as voorbereiding tot die saamstel
van die portefeulje, asook die leerder op persoonlike vlak bemagtig en voorberei vir die
konteks van tersiêre onderrig. Die aanbevelings tot 'n EVL-benadering behoort, op grond van die navorsingsbevindinge,
die volgende in te sluit. Eerstens moet erkenning aan die stem van die leerder gegee word,
tweedens is voorbereiding tot assessering noodsaaklik en derdens behoort die
voorbereiding 'n benadering van assessering as 'n volhoubare leerposes te volg. Laastens
lewer die leeruitkomste vir die portefeuljewerkswinkel 'n praktykgerigte bydrae om die
leerder te ondersteun om die leerkontekste van informele leer en akademiese leer te
oorbrug. Die navorsing lewer 'n waardevolle bydrae aangesien die empiriese navorsing toon
dat die holistiese leerderprofiel die benadering tot assessering rig. Die missie van EVL om transformasie te weeg te bring, sal slegs 'n realiteit word indien 'n leerdergesentreerde
benadering die leerder op persoonlike en op akademiese vlak erken en bemagtig. / Curriculum and Instructional Studies / D. Ed. (Curriculum Studies)
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Governança corporativa e otimização de portfolios: a relação entre risco e retorno e boas práticas de governança / Corporate governance and portfolios optimization: the relation between risk and return and good governance practicesAieda Batistela de Sirqueira 10 August 2007 (has links)
O objetivo deste trabalho é verificar se ações de companhias que adotam boas práticas de governança corporativa proporcionam maiores retornos e menor risco aos investidores ao compará-las com ações de empresas que não se comprometeram a adotar tais práticas. Para cumprir este objetivo são utilizados três modelos de otimização de portfolios. O primeiro modelo, o modelo Maxmin, maximiza o menor retorno mensal, enquanto o segundo maximiza o retorno anual. Já o terceiro modelo minimiza o desvio médio absoluto da carteira, que é considerado como uma medida de risco. Todos os modelos serão solucionados por métodos de programação linear (PL), em que não é considerado o número de ações da carteira, e de programação inteira mista (PIM), em que são inseridas restrições nos modelos que permitem especificar o número mínimo e máximo de ações. Os modelos são aplicados para uma carteira composta por ações que estão no IGC e para uma carteira formada por ações que estão no IBOVESPA. Os resultados obtidos para as duas carteiras são comparados, buscando evidenciar a idéia de que a boa governança corporativa está relacionada com maiores retornos e menores riscos. Neste sentido, o presente trabalho busca verificar empiricamente se, realmente, as ações de empresas com boa governança proporcionam maiores retornos e menor risco aos acionistas e, desta forma, fornecer novas informações que contribuam com o conhecimento e maior desenvolvimento do tema. Os resultados deste trabalho evidenciam o melhor desempenho da carteira formada pelas ações do IGC, que apresentaram maiores retornos e menores riscos. Diante destes resultados, há indícios de que o compromisso com práticas adicionais de boa governança corporativa pode estar proporcionando maior retorno e menor risco. / The objective of this work is to verify if shares of companies that adopt good corporate governance practice provides greater returns and lower risks to investors when compared with shares of companies that do not adopt these set of practices. Three optimization portfolios models were used to accomplish this objective. The first model, the maxmin model, maximizes the smallest monthly return, while the second maximizes the annual return. The third model minimizes the mean absolute deviation, which is considered a risk measure. All the models will be solved by linear programming (LP) methods, when it is not possible to determinate the number of shares in the portfolio, and mixed integer programming (MIP) methods, in which are inserted constraints that permit specify the minimum number and maximum number of shares in the models. The three models are applied to a portfolio formed by shares that are in IGC and to a portfolio formed by shares that are in IBOVESPA. The obtained results for both portfolios will be compared, willing to evidence the idea that good corporate governance is related with greater returns and lower risks. This study has the purpose to verify empirically if shares of companies with good governance provides greater returns and lower risks to investors and, this way, supplies new information that contribute with knowledge and greater development of the theme. The results of this work show that the better performance of portfolio formed by shares of IGC, that presented greater returns and lower risks. According to these results, there are indicators that the commitment with additional corporate governance practices can be providing greater returns and lower risks.
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Does Idiosyncratic Volatility Proxy for a Missing Risk Factor? Evidence from Using Portfolios as Test AssetsGempesaw, David Conrad 11 August 2014 (has links)
No description available.
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Impact of Teacher Evaluation Protocols on Classroom Instructional PracticesKwolek, Kathleen A. January 2014 (has links)
No description available.
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Product portfolio management over horizontal and vertical portfoliosTolonen, A. (Arto) 10 June 2016 (has links)
Abstract
The main objective of this study is to clarify the current challenges and preconditions relating to product portfolio management (PPM) and widen the PPM framework over horizontal and vertical portfolios, including a related governance model, strategic performance management and the PPM process. This study analyses comprehensively the current PPM literature and the relevant practices of 10 case companies representing business areas such as hardware (HW), software (SW) and Services. This study approaches PPM from a more comprehensive viewpoint as all product life cycle phases and product structure levels are not covered well in this context by the earlier literature.
The principal results of this study involve revealing the need for a new PPM governance model including strategic targets, KPIs and the PPM process according to vertical and horizontal portfolios. The created PPM framework clarifies the strategic role of PPM in cross-functional analysis and decision making for commercial and technical portfolios. The role and the impact of strategic PPM have been further enhanced by positioning the PPM process on the level of other business processes.
The created PPM framework enhances the collaboration between business and engineering teams. The managerial implications include the potential preconditions of clarifying the dynamic and active role of PPM at the level of other business processes. The findings can aid business managers in understanding PPM as an entity that has a role in managing the entire product portfolio and its renewal based on strategic performance measures over horizontal and vertical portfolios according to cross-functional governance bodies. This highlights the criticality of managing all items both in commercial and technical portfolios. The role of other business processes should be highly operational by executing product development, marketing and sales, delivery and care activities according to PPM decisions. The primary role of PPM should be active management of the entire product portfolio over product life cycle phases and product structure levels, instead of merely focusing on new product development, to ensure product portfolio renewal. / Tiivistelmä
Tämä tutkimus selventää tuoteportfolion hallintaan liittyviä edellytyksiä ja haasteita, sekä laajentaa tuoteportfolion hallintamallia, suorituskyvyn johtamista ja prosessia horisontaalisesti ja vertikaalisesti. Tuoteportfolion hallintaa on lähestytty kattavasti analysoimalla nykyistä kirjallisuutta, sekä kymmenen kohdeyrityksen käytänteitä nykytila-analyysin keinoin. Kohdeyritykset edustavat useita liiketoiminta- ja tuotealueita kattaen laitteiston, ohjelmiston ja palvelut. Tämä tutkimus lähestyy tuoteportfolion hallintaa laajemmalta katsantokannalta kuin nykyinen kirjallisuus joka ei kata kaikkia tuotteen elinkaaren vaiheita ja tuoterakennetasoja.
Tämän väitöstutkimuksen tärkeimmät tulokset liittyvät uuden tuoteportfolion hallintamallin tarpeellisuuden esille tuomiseen, sisältäen tuoteportfolion strategiset tavoitteet, suorituskykymittarit ja hallintaprosessin perustuen vertikaalisiin ja horisontaalisiin tuoteportfolioihin. Luotu viitekehys selkeyttää tuoteportfolion hallinnan strategista roolia organisaatiorajat ja liiketoimintaprosessit ylittävässä analyysissa ja päätöksenteossa liittyen kaupallisiin ja teknisiin tuoteportfolioihin. Strategisen tuoteportfolion hallinnan roolia ja merkitystä on erityisesti korostettu nostamalla tuoteportfolion hallintaprosessi muiden liiketoimintaprosessien tasolle.
Tässä tutkimuksessa luotu tuoteportfolion hallinnan viitekehys vahvistaa yhteistyötä liiketoiminnanjohto- ja insinööritiimien välillä kaikilla organisaatiotasoilla. Työn kontribuutiot yritysjohdolle korostavat tuoteportfolion hallintaprosessin keskitettyä, dynaamista ja aktiivista roolia johtaa yrityksen kaupallisia ja teknisiä nimikkeitä horisontaalisesti ja vertikaalisesti kokonaisuutena perustuen strategisiin suorituskykymittareihin. Tuoteportfolion hallinta yli horisontaalisten ja vertikaalisten portfolioiden mahdollistaa tuoteportfolion uudistumisen yli kaikkien elinkaarivaiheiden ja tuoterakennetasojen. Muiden liiketoimintaprosessien roolin tulisi olla selkeästi operatiivinen toteuttaen tuotekehitykseen, markkinointiin, myyntiin, tilaamiseen, hankintaan, toimittamiseen ja huoltoon liittyviä tehtäviä perustuen strategisiin tuoteportfolion hallinnan tavoitteisiin ja suorituskykymittareihin.
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Evolution des méthodes de gestion des risques dans les banques sous la réglementation de Bale III : une étude sur les stress tests macro-prudentiels en Europe / Evolution of risk management methods in banks under Basel III regulation : a study on macroprudential stress tests in EuropeDhima, Julien 11 October 2019 (has links)
Notre thèse consiste à expliquer, en apportant quelques éléments théoriques, les imperfections des stress tests macro-prudentiels d’EBA/BCE, et de proposer une nouvelle méthodologie de leur application ainsi que deux stress tests spécifiques en complément. Nous montrons que les stress tests macro-prudentiels peuvent être non pertinents lorsque les deux hypothèses fondamentales du modèle de base de Gordy-Vasicek utilisé pour évaluer le capital réglementaire des banques en méthodes internes (IRB) dans le cadre du risque de crédit (portefeuille de crédit asymptotiquement granulaire et présence d’une seule source de risque systématique qui est la conjoncture macro-économique), ne sont pas respectées. Premièrement, ils existent des portefeuilles concentrés pour lesquels les macro-stress tests ne sont pas suffisants pour mesurer les pertes potentielles, voire inefficaces si ces portefeuilles impliquent des contreparties non cycliques. Deuxièmement, le risque systématique peut provenir de plusieurs sources ; le modèle actuel à un facteur empêche la répercussion propre des chocs « macro ».Nous proposons un stress test spécifique de crédit qui permet d’appréhender le risque spécifique de crédit d’un portefeuille concentré, et un stress test spécifique de liquidité qui permet de mesurer l’impact des chocs spécifiques de liquidité sur la solvabilité de la banque. Nous proposons aussi une généralisation multifactorielle de la fonction d’évaluation du capital réglementaire en IRB, qui permet d’appliquer les chocs des macro-stress tests sur chaque portefeuille sectoriel, en stressant de façon claire, précise et transparente les facteurs de risque systématique l’impactant. Cette méthodologie permet une répercussion propre de ces chocs sur la probabilité de défaut conditionnelle des contreparties de ces portefeuilles et donc une meilleure évaluation de la charge en capital de la banque. / Our thesis consists in explaining, by bringing some theoretical elements, the imperfections of EBA / BCE macro-prudential stress tests, and proposing a new methodology of their application as well as two specific stress tests in addition. We show that macro-prudential stress tests may be irrelevant when the two basic assumptions of the Gordy-Vasicek core model used to assess banks regulatory capital in internal methods (IRB) in the context of credit risk (asymptotically granular credit portfolio and presence of a single source of systematic risk which is the macroeconomic conjuncture), are not respected. Firstly, they exist concentrated portfolios for which macro-stress tests are not sufficient to measure potential losses or even ineffective in the case where these portfolios involve non-cyclical counterparties. Secondly, systematic risk can come from several sources; the actual one-factor model doesn’t allow a proper repercussion of the “macro” shocks. We propose a specific credit stress test which makes possible to apprehend the specific credit risk of a concentrated portfolio, as well as a specific liquidity stress test which makes possible to measure the impact of liquidity shocks on the bank’s solvency. We also propose a multifactorial generalization of the regulatory capital valuation model in IRB, which allows applying macro-stress tests shocks on each sectorial portfolio, stressing in a clear, precise and transparent way the systematic risk factors impacting it. This methodology allows a proper impact of these shocks on the conditional probability of default of the counterparties of these portfolios and therefore a better evaluation of the capital charge of the bank.
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Curriculum 2005 assessment policy and its implementation in grade 9 in the Limpopo ProvinceThomas, Solly 08 1900 (has links)
The study investigates the implementation of the Curriculum 2005 assessment policy guidelines in natural sciences in grade nine in five secondary schools selected by judgement sampling in Limpopo Province. Data were gathered by means of a literature study, examination of learner and educator portfolios and interviews with educators. Findings show that most participants were unable to carryout the continuous assessment (CASS) tasks as required. A discrepancy in the quality and quantity of assessment tasks among the schools emerged. All schools replaced the final common tasks for assessment (CTA) with internal examinations due to the late arrival of materials and the level of difficulty. Contributing factors were lack of a well-planned curriculum, proper resource materials, lack of coordination of efforts due to poor curriculum support and management and inadequate professional competence in the Outcomes-based methods of teaching, learning and assessment. Recommendations to address the above problems are made. / Educational Studies / M.Ed. (Education Management)
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Educators' experience of the implementation of outcomes-based education in grade nineGhanchi Badasie, Razia Banoo 30 November 2005 (has links)
This research focuses on educators' experience of implementing outcomes-based education in grade nine in secondary schools in South Africa. Two schools were chosen as settings for the qualitative research project. Three focus groups with 20 educators, two focus groups with 14 managers and seven personal interviews were conducted. Twelve classrooms were also observed where grade nine learners were being taught.
Findings indicated that some educators found the experience of implementing OBE positive in that it improved their repertoire of facilitating and assessing skills. The reasons for citing OBE as a negative experience were given as the following: an increased workload, poor training and lack of follow-up by the Department and the school management team's degree of involvement. Recommendations were made on how to ease the burden on educators implementing OBE in their classrooms and to empower school managers to manage the implementation of OBE within their respective areas of responsibility. / Educational Studies / M. Ed. (Education Management)
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