This thesis focuses on stochastic dominance in portfolio selection problems. The thesis recalls basic knowledge from the area of portfolio optimization with utility functions and first, second, $N$-th and infinite order of stochastic dominance. It sumarizes Post's, Kuosmanen's and Kopa's criteria for portfolio efficiency and necessary and sufficient conditions of stochastic dominance for discrete and continuous probability distributions. The thesis also contains formulations of optimization problems with second order stochastic dominance constraints derived for discrete and continuous probability distributions. A practical application is also a part of the thesis, where the optimization problems for monthly returns of Czech stocks are solved using optimization software GAMS.

O objetivo deste trabalho à testar um mÃtodo alternativo para formaÃÃo de carteiras eficientes, a partir da classificaÃÃo da eficiÃncia tÃcnica das aÃÃes negociadas na BOVESPA no perÃodo de outubro/1998 a setembro/2003, utilizando-se o modelo nÃo paramÃtrico de AnÃlise EnvoltÃria de Dados.Para formaÃÃo de carteiras eficientes, à utilizado a teoria das carteiras de Markowitz, comparando o modelo DEA e Elton-Gruber de seleÃÃo de ativos para composiÃÃo das carteiras Ãtimas. Para tanto, foi feito cotaÃÃo dos preÃos mÃdios diÃrios das aÃÃes negociadas na BOVESPA, para estabelecer os indicadores de eficiÃncia. Comparando-se os mÃtodos, verificouse uma melhor performance da carteira formada utilizando a metodologia DEA em relaÃÃo ao tradicional modelo Elton-Gruber, obtendo-se um melhor nÃvel de retorno em relaÃÃo ao mesmo nÃvel de risco das carteiras. / The purpose of this paper is testing an alternative method to create an efficient portfolio, from the technical efficiency ranking of the bonds negociated in BOVESPA from october/1998 to september/2003, using the non parametric model of data envelopment analysis.To the creating of efficient portfolios, is using the Markowitz portfolio theory, comparing to the selecting assets to the composition of best portfolios DEA model from Elton Grubber. To establish the index of efficiency was calculated the average prices quotation of bonds negociated in Bovespa. Comparing the methods, it was verified the best erformance of portfolios using the DEA methodology in relation to the traditional Elton Gruber model to get a best level of return compared to the risk of portfolios.

Stabilieji skirstiniai yra plati tikimybinių skirstinių klasė. Atsitiktiniai dydžiai, pasiskirstę pagal stabiliuosius skirstinius, pasižymi savybe – jų suma taip pat yra stabili. Šie pasižymi sunkiomis uodegomis ir, kai kuriais atvejais, asimetriškumu. Taigi jie gerai aprašo duomenis. Pagrindinis šių skirstinių trūkumas yra tas, kad nežinomos tikslios pasiskirstymo ir tankio funkcijų išraiškos (išskyrus kelis atvejus: normalusis, Koši ir Levi skirstiniai). Darbo pradžioje pateikta stabiliųjų skirtinių apžvalga bei jų pritaikymas finansų rinkose. Aprašytos pagrindinės stabiliųjų skirstinių savybės, įverčių skaičiavimo algoritmai bei optimalaus portfelio sudarymas ir jo vertės pokyčio rizikos mato (VaR) skaičiavimas. Antroje darbo dalyje nagrinėjamas optimaliojo investicinio portfelio „normalioje“ ir „stabilioje“ rinkoje sudarymas. Rizikos matu laikomas sklaidos parametras (stabiliuoju atveju) arba standartinis nuokrypis, padalintas iš kvaratinės šaknies iš 2, (normaliuoju atveju). Palyginami portfeliai, sudaryti iš septyniolikos lietuviškų akcijų, gauti pagal skirtingas tikimybines prielaidas. Parodyta, kad optimalieji portfeliai skiriasi, kuomet duomenys yra pasiskirstę pagal stabilųjį ir normalųjį skirstinius. / Stable distributions are a rich class of probability distributions that allow skewness and heavy tails. The lack of closed formulas for densities and distribution functions for all distributions (except Gaussian, Cauchy and Levy distributions) is the major drawback. There is an overview of the stable distributions and their applications in finance markets at the beginning of this paper. There are described basic properties of stable distributions, estimation algorithms and optimal asset allocation and stable computation of Value at Risk in the first part of the work. We analyze an investment allocation problems in this work. We consider as the risk measure the estimate of scale parameter (in the stable case) or the expected value of absolute deviation divided by square root of 2 (in Gaussian case). We examine the optimal allocation between seventeen risky assets with normal or stable distributed returns and then we compare the allocation obtained under the Gaussian and stable distributional assumptions. We show that there are differences in the allocation when the data follow the stable non-Gaussian and the normal distribution.

This dissertation deals with the securities portfolio optimization. After introducing the definitions, I try to explain the particular investment instruments with regard to returns and risks. The following part provides a theory which tells more about different market risks and returns on the final securities portfolio. Concerning these models the effective portfolio has been set up.

Baigiamajame magistro darbe yra nagrinėjama aktyvaus tarptautiniu mastu diversifikuoto portfelio sudarymo ir valdymo problematika. Techninė pažanga ir investicinių priemonių įvairovė leidžia investuotojams investuoti į įvairias pasaulio rinkas kuriant tarptautinius ar globalius investicijų portfelius. Tai suteikia investuotojams galimybę kovoti su tokiais išsivysčiusių kapitalo rinkų iššūkiais kaip šalies sisteminės rizikos padidėjimas dėl įvairių verslo šakų tarpusavio integracijos, nepakankamais kai kurių rinkų augimo tempais, tačiau iškelia ir naujų iššūkių. Pagrindinis jų yra efektyvaus portfelio sudarymo menko informuotumo, didelio neapibrėžtumo ir rinkų nepastovumo sąlygomis iššūkis. Šiame darbe yra nuosekliai nagrinėjami investicijų portfelių sudarymo metodai ir modeliai įvertinant jų taikymo galimybes darbe analizuojamai problemai spręsti. Remiantis atlikta analize, parenkamas modelis geriausiai tinkantis tolesnei plėtotei, vertinami pagrindiniai mokslininkų siūlomi jo papildymai ir taikymo interpretacijos nuosekliai pereinant prie pirmos tikslo dalies įgyvendinimo – aktyviam tarptautiniu mastu diversifikuoto investicijų portfelio valdymui skirto teorinio – hipotetinio modelio pasiūlymo. Atlikus tarptautinės diversifikacijos privalumų ir trūkumų analizę, pagrindžiamas jos taikymo būtinumas ir nauda. Atlikta pagrindinių tarptautinės diversifikacijos vykdymo būdų apžvalga leidžia parinkti, autoriaus nuomone, geriausią šiuo metu Lietuvos investuotojams prieinamą –... [toliau žr. visą tekstą] / The master thesis examines problems of the active internationally diversified investment portfolio selection and management. Technical progress and variety of investment objects (financial assets) allow investors to invest in different world markets developing international or global investment portfolios. It gives opportunities to deal with such challenges of developed capital markets as high systematic risk and limited growth of some markets, but as a result investor must accept some new challenges. The most important of them is an efficient portfolio selection in terms of low information level, high uncertainty and market volatility level. The models of investment portfolio selection are analyzed evaluating opportunities to use them solving in this thesis examined problem. On the basis of the conducted research a model which is most suitable for further development is chosen, the main supplementary supplements and interpretations of applications are analyzed, leading to the implementation of the first part of the set goal which is the suggestion of theoretical–hypothetical model for active management of an internationally diversified investment portfolio. The careful consideration of the advantages and disadvantages of international diversification proves the necessity and benefits of its application. Main methods’ of international diversification analysis gives opportunity for the thesis author to chose the best investment’s method possible for Lithuanian investors – the... [to full text]

Most indexes use a cap-weighted strategy as the asset allocation method. Many researchers suggest that although the cap-weighted strategy often serves as an appropriate surrogate to the market portfolio, it cannot consistently outperform other portfolio weighting strategies. The main reasons behind it would be related to the market movement and the underlying volatility. It is possible to narrow down the scope of the research by focusing on an industry index as was done in this research. The focus would be on the mining index of Indonesia. Comparisons will be done between the established index to other portfolio weighting schemes, namely the equally weighted portfolio and the minimum variance portfolio. The results of the research was that the index was not quite efficient, both on the returns and the Sharpe or information ratio aspect. There are many possible reasons behind this, but the most possible reasons would be that the stocks included do not contribute to diversification, over focus on the coal industry, lack of rebalancing or restructuring, in addition to the market itself. The implication of this research would be that stock exclusion might also contribute to risk minimization.

Submitted by Alvaro Germano Albernaz (aga050@gmail.com) on 2016-01-25T12:32:08Z No. of bitstreams: 1 Dissertação_final final_versão certa_3 V16 220116.pdf: 3740558 bytes, checksum: cdf2c2c779f7fc18a9d89f5cac0bda6f (MD5) / Approved for entry into archive by Janete de Oliveira Feitosa (janete.feitosa@fgv.br) on 2016-02-05T16:49:09Z (GMT) No. of bitstreams: 1 Dissertação_final final_versão certa_3 V16 220116.pdf: 3740558 bytes, checksum: cdf2c2c779f7fc18a9d89f5cac0bda6f (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2016-02-22T12:23:32Z (GMT) No. of bitstreams: 1 Dissertação_final final_versão certa_3 V16 220116.pdf: 3740558 bytes, checksum: cdf2c2c779f7fc18a9d89f5cac0bda6f (MD5) / Made available in DSpace on 2016-02-22T12:23:46Z (GMT). No. of bitstreams: 1 Dissertação_final final_versão certa_3 V16 220116.pdf: 3740558 bytes, checksum: cdf2c2c779f7fc18a9d89f5cac0bda6f (MD5) Previous issue date: 2015-11-16 / This work intends to subsidize the real estate investment funds investor in choosing a FII investment portfolio in order to obtain performance at or above the industry benchmark (IFIX). Such a grant is made initially by methodology which considers the concept of Efficient Portfolio (Risk / Return) proposed by Markowitz, can work together with the dimension of the concept of Behavioral Finance, led by Daniel Kahneman, constituting the investor’s orientation bases. We add the methodological approach to the indications suggested by Bazerman and Moore, in the decisionmaking process that reduces the effects of heuristics and viésis. To start the way the investor responds to questionnaire of 5 questions that aims to classify the degree of ’capacity and tolerance ―by the IFI prod-uct. From their responses the investor will be referred to a‖ cluster ―of funds, classified according to the perception of retail investor, according to the complexity of analyzing the background. Selected FIIs with potential for application, bring the investor as an ‖Ranking― of the funds in question answering three questionnaires that motivate the expansion of its research in the following dimensions :. (i) Capacity of the fund, (ii) on the (s) Active (s) of the fund, and (iii) of the Income Generation of FII Complementing the creation of ‖Ranking― is also considered its Anchor decision, ie, the main investor reason to choose each selected fund. Finally, we use the concept of Markowitz to identify the most efficient Portfolio considering the ‖Ranking' of the investor, with the EXCEL package with the tool SOLVER. The results of that portfolio were higher than the industry benchmark (IFIX), demonstrating technically than using appropriate tools and establishing a path to guide the investor research in finding structural information you can build an efficient portfolio that helps the his applications long term. / O presente trabalho tem por objetivo subsidiar o investidor de Fundos de Investimento Imobiliário na escolha de uma carteira de aplicação de FIIs, visando obter performance igual ou superior ao índice de referência do setor (IFIX). Tal subsídio é constituído, inicialmente, por uma metodologia que considera que o conceito de Carteira Eficiente (Risco/Retorno) preconizada por Markowitz pode trabalhar em conjunto com a dimensão do conceito das Finanças Comportamentais, liderada por Daniel Kahneman, constituindo as bases de orientação do investidor. Acrescentamos o caminho metodológico com as indicações, sugeridas por Bazerman e Moore, no processo de tomada de decisão, que reduza os efeitos de heurísticas e vieses.