The last decade has witnessed a great deal of research in modelling volatility of financial asset returns, expressed by time-varying variances and covariances. The importance of modelling volatility lies in the dependence of any financial investment decision on the expected risk and return as formalized in classical asset pricing theory. Precise evaluation of volatilities is a compulsory step in order to perform correct options pricing according to recent theories of the term structure of interest rates and for the construction of dynamic hedge portfolios. Models of time varying volatility represent an important ground for the development of new estimation and forecasting techniques for situations not reconcilable with the Gaussian or, more generally, a linear time series framework. This is particularly true for the statistical analysis of time series with long range dependence in a nonlinear framework. The aim of this thesis is to introduce parametric nonlinear time series models with long memory, with particular emphasis on volatility models, and to provide a methodology which yields asymptotically exact inference on the parameters of the models. The importance of these results stems from: (i) rigorous asymptotics was lacking from the stochastic volatility literature; (ii) the statistical literature does not cover the analysis of the asymptotic behaviour of quadratic forms in nonlinear non-Gaussian variates that characterizes our problem.

abstract: This dissertation focuses on risk prevention and regulatory issues of financial asset trading platforms, exploring the composition of a financial asset trading platform and its risks, formulating the general framework of platform risk prevention and regulation, and discussing the methodologies for monitoring and managing the risk of financial assets trading platform. The dissertation is divided into eight chapters. The first chapter is the introduction, which discusses the current status in this research field, the motivation and significance of the research topic. The second chapter discusses the transaction cost theory, information asymmetry theory, financial risk management theory, financial supervision theory and other related basic theories related to financial asset trading platform risk prevention and supervision. The third chapter presents the definition, the main types, the generating mechanism and the transmission mechanism of the financial asset trading platform. The fourth chapter elaborates theoretically on the general framework of financial asset trading platform risk prevention and supervision based on the aspects of basic principles, key tasks, applicable methods and constituent elements. The fifth chapter discusses the performance of financial asset trading business, asset return trading business, financing business and information coupling business on financial asset trading platforms, and analyzes the risk prevention of financial asset trading platforms from a business perspective. The sixth chapter discusses the development of financial asset trading platforms in developed countries, and summarizes the experience and practice of their risk prevention and supervision based on four categories of business lines. On this basis, the dissertation draws the inspiration and implications for the future development of the trading platforms in our country. The seventh chapter puts forward policy recommendations regarding risk prevention and supervision of financial asset trading platforms in five aspects: legal positioning, credit information system, protection of consumer rights, self-discipline management and business supervision. / Dissertation/Thesis / Doctoral Dissertation Business Administration 2017

The thesis is focused on analysis of market with p2p loans, which are provided by online platform as an intermediary between investors and borrowers. The work contains theoretical and legislative resources for establishment, development and everyday operating of a platform. Further the concept of p2p lending is developed as another asset class available to investors.The thesis contains analysis of unsecured credit market in Czech republic and it trying to find the most potential part of this market for p2p loans. It also includes an overview of the most important domestic and foreign platforms and investment recommendations for investors.

En prenant le cas de l'évaluation des gérants d'actifs financiers par les investisseurs professionnels, la présente thèse étudie les réponses que des agents économiques apportent aux problèmes pratiques que pose la nécessité d'agir et de justifier son action en situation d'incertitude.La thèse marie, dans une perspective durkheimienne, une analyse morphologique du champ de la gestion d'actifs et une analyse des pratiques d'évaluation des gérants par les investisseurs professionnels.La démarche empirique consiste à rassembler des matériaux variés afin d'enregistrer les multiples formes de manifestation d'un fait social total. Les uns sont produits au cours d'une enquête ethnographique du champ de la gestion d'actifs: ce sont des entretiens semi-directifs, des observations directes d'interactions sociales, et des artefacts produits et utilisés dans le cadre des pratiques étudiées. Les autres, statistiques ou données institutionnelles, sont collectés auprès d'acteurs de la gestion d'actifs. Tous ces matériaux sont analysés de manière interprétative.L'analyse morphologique découvre les divisions, les articulations et les proportions des organisations où est pratiquée la gestion d'actifs financiers. L'autonomisation du champ professionnel de la gestion d'actifs s'accompagne d'une division du travail qui place en son centre les gérants, constitués en spéculateurs, c'est-à-dire en agents économiques dont l'action ne s'intéresse qu'aux variations de prix, par opposition aux acteurs dont la fonction est de prolonger le geste spéculatif par un geste marchand. La structure de rémunération des sociétés de gestion nourrit un conflit entre les gérants d'actifs et les commerciaux sur le partage du profit, dont la résolution conduit à une polarisation des sociétés entre un modèle industriel et un modèle artisanal.L'évaluation des gérants d'actifs par les investisseurs professionnels prend son sens dans le cadre de l'appréciation de l'efficacité technique des actions spéculatives par des sujets exposés à une incertitude financière qu'ils s'efforcent de réduire. Les investisseurs professionnels ordonnent leurs pratiques d'évaluation entre une analyse "quantitative" et une analyse "qualitative" des gérants évalués. Contrairement à ce que l'usage de cette forme de classification suggère, ce n'est pas le recours à la quantification ou au calcul en tant que tels qui différencie ces deux types d'analyse, comme s'il s'agissait de deux régimes épistémiques imparfaits mais complémentaires. C'est leur statut dans la relation fonctionnelle qui les lie l'un à l'autre: recherche de la forme de l'incertitude financière d'une part, et recherche des conditions sociales qui l'ont générée d'autre part. Imparfaitement liée aux phénomènes auxquels elle s'applique, la forme de classification "quanti/quali" correspond aux ressources acquises par les investisseurs professionnels au cours de leur trajectoire de socialisation, et mobilisées dans le cadre d'une division sociale du travail où les pratiques d'analyse sont partagées entre des postes et des positions différenciées au sein des organisations.Ce travail complexifie et enrichit la compréhension des pratiques financières et des pratiques de réduction de l'incertitude en montrant qu'elle ne peut faire l'économie de leurs soubassements sociaux. Elle précise le domaine de validité d'une forme de classification et offre aux acteurs concernés le moyen de discuter à nouveaux frais l'efficacité ou la pertinence de leurs procédés d'analyse. / This dissertation uses the evaluation of asset managers by professional investors as a case for the study of the ways in which economic agent deal with the necessity of acting and to give account of one's actions while facing uncertainty.This dissertation follows a durkheimian approach as it combines a morphological analysis of the asset management field with an analysis of evaluation practices of asset managers by professional investors.Empirical materials of various kinds have been gathered, in order to record the numerous ways in which a total social fact manifests itself. Some of the materials derive from an ethnographic research in the field of asset management: these are semi-directive interviews, direct observations of social interactions, and artefacts produced and used as part of the practices that the research investigates. The other materials are statistics or institutional data that have been collected during the field research. Interpretive analysis has been applied to them.The morphological analysis of asset management as a social field highlights the divisions, articulations and proportions of the organizations where financial asset management practices are carried out. The autonomization of asset management as a professional field goes along with a social division of labour that is structured around the asset managers. It makes them become speculators, that is economic agents who focus solely on price variations. By contrast, other actors ensure that the speculative movement is followed by a fully carried out trade. The income structure of asset management firms feeds a conflict between asset managers and salespersons about the distribution of profit. The resolution of this conflict leads to a polarization of asset management firms between firms following a model designed after the manufacturing industry, and firms following a model leaning towards craftmanship.The evaluation of asset managers by professional investors makes sense in a social frame where it stands as an appraisal of the efficiency of speculative actions undertaken by agents who try and reduce the financial uncertainty that they face. Professional investors classify their evaluation practices among a "quantitative" analysis and a "qualitative" analysis of asset managers. Although this form of classification may suggest that the two types of analysis cover two kinds of knowledge that are imperfect yet complementary, it is not quantification or calculation per se that differentiates between them. They are functionally related to each other: assessment of the form taken by financial uncertainty on the one hand, and search for the social conditions that caused uncertainty to take such form on the other hand. The form of classification "quantitative/qualitative" meets imperfectly the phenomena to which it is applied. It matches the social distribution of resources that professional investors gained during their socialization trajectory, and that they mobilized in the frame of a specific kind of social division of labour, where analytic practices are also distributed among differentiated positions within organizations.This dissertation complexifies and enriches the understanding of financial practices and of uncertainty reduction practices by showing that such understanding cannot forget their social foundations. It circumscribes the domain of validity of a specific form of classification and it provides interested actors with tools with which they can discuss anew the efficiency or the relevance of their analytic processes.

Background: Since the emergence of Covid-19 has it reaped and created havoc within every segment of society on a national and global scale. The financial market experienced significant declines and losses but some asset items handled the fluctuations better than others. Moreover, since some asset items are associated with different risk levels will various investors with contrasting risk attitude allocate dissimilar proportion of their disposable capital between these alternatives. Especially during low and high levels of economic uncertainty which is related to the volatile market of Covid-19. Although, little to no research has been conducted aimed at understanding how Covid-19 impacted Swedish students asset allocation prior and post the pandemic with different risk profiles.   Purpose: The purpose of this study is to investigate if students with different risk attitudes (risk-preference, risk-neutral and risk-averse) conduct statistically different asset allocation prior and post the Covid-19 pandemic. Furthermore, investigate shifts in asset holdings prior and post the pandemic. Moreover, in order to fill the identified literature gap and add to the current body of knowledge regarding asset allocation and variability concerning risk attitudes since its exclusion of Swedish student’s risk attitudes and impact of Covid-19 on preferable asset items.                                    Method: This investigative study concerns a quantitative survey of 81 different students attending Jönköping University. The survey was structured in a way to uncover whether students with different risk attitudes conduct asset allocation statistically different prior and post the Covid-19 pandemic. Moreover, incorporate sociodemographic factors of students in order to measure its relation to risk attitudes and uncertainty changes. This will be done through non-parametric tests (distribution free) such as the Chi-square, Kruskal-Wallis and Bonferroni adjusted p-value approach. The data is later discussed and interpreted through various academic sources and in the context of the frame of reference (expected utility theory).                              Conclusion: The impact of Covid-19 resulted into increased asset allocation of less risky and “safe” asset in order to deal with the declining stock market and future economic uncertainty. The study also suggest that students liquidated some of their current/fixed deposits and re-invested their disposable capital into a more conservative money management strategy, which was a continuous identified pattern.  Furthermore, the results indicate that students with different risk attitudes conduct significantly different asset allocation concerning commercial insurance, stocks/funds and various bond types prior to Covid-19. However, post the eruption has the statistical identified differences in bonds asset allocation reduced which refers to that the statistical power and dissimilar allocated proportion amongst asset items has diminished. Further multiple comparison reinsures this conclusion. Thusly, the study implies that the differences between asset allocation and student risk profiles are diminished post Covid-19 and therefore students perceived and allocated more similar capital proportions into various asset items. Hence answer the initial stated research question and empirically state that risk attitude of students impact how they conduct asset allocation prior to and to a lesser extent post Covid-19

L’objectif principal de cette thèse est d’estimer la valeur d’utilité de l’immobilier des entreprises en examinant cet actif aux travers de différents prismes. Nous avons tout d’abord étudié les principales théories macroéconomiques qui régissent la gestion des portefeuilles diversifiés d’actifs, puis mesuré les effets de l’immobilier de l’entreprise sur la perception du couple rentabilité/risque de différents secteurs industriels par l’analyses graphiques et des mesures de corrélation. Nous nous sommes intéressés à deux entreprises représentatives d’industries présentant des singularités fortes : le groupe Casino, que nous avons associé à sa foncière Mercialys, et le groupe Accor. L’étude de ces structures a permis de mettre en lumière des stratégies et des comportements différenciés essentiellement centrés sur la problématique du couple rentabilité/risque. Nous avons souhaité vérifier par la suite les hypothèses émises lors de l’étude de ces deux groupes en nous replaçant dans la perspective plus générale des acteurs et en testant in vivo la perception de la valeur d’utilité de l’immobilier des entreprises. Nous avons pour cela orienté cette recherche vers une approche empirique basée sur une enquête. Nous avons ainsi validé le fait que l’immobilier est essentiellement perçu par les acteurs comme un outil de la gestion du couple rentabilité/risque de la société (et particulièrement de la dette) avec, cependant, des composantes associées plus ou moins affirmés selon le paradigme, les finalités et la perception de la classe d’acteurs qui le considérait. La situation de l’entreprise pouvait de même faire évoluer la nature de cette valeur pour les répondants avec pour objectif systématique la maximisation de leur bien-être. Enfin, nous avons précisé dès le début de cette recherche que cette dernière était marquée par sa temporalité et qu’elle devra être mise à jour dans dix ans à la lumière de données statistiques plus significative sur la durée. / The principal objective of this study is to estimate the utility value of a company’s Real Estate by analysing this asset utilising different methods. In the beginning, we studied the principal theories of macroeconomics which lead to the creation of a diverse portefolio of assets. We then measured the impact of the company’s real estate value on the perception of the profitability/risk ratio within different industrial sectors. To achieve this, we used a graphic analysis tool and we measured the level of correlation between different indexes. We have examined in detail two representative companies of specific indexes which demonstrated strong and unusual strengths: the Casino Group, that we have linked to its Real Estate investment trust Mercialys and the Accor Group. The study of these businesses has allowed us to demonstrate unique strategies and adaptive behaviors based on the optimization of the profitability/risk ratio. We wanted to verify thereafter the specific hypotheses created during the study of these two companies. For that, we adopted a more general approach and we tested in vivo the perception of the utility value of a company’s Real Estate. We oriented the research to an empirical approach based on the survey data. We validated the fact that Real Estate is essentially considered by the people involved in this industry as a tool for managing the profitability/risk ratio of a company (and particularly the level of the debt) with more or less significant additional components according to the paradigm, the objectives and the personal perception of each group within each segment. The current situation of the company could significantly change the perception of the nature of its value for a specific group with the systematic objective of maximizing their position. We specified when we started this research project that this work is relevant to the date it was produced and it has to be updated in ten years with more significant temporal data.

This study aimed to analyze financial time series grounded on a perspective of time measure changing, based on accumulation of volatility of returns relative to the prices observed. Such a scale was used for two reasons: the first one is related to Ludwig Von Mises’ proposition of time concept in an economic system and the second one is related to the acceleration of convergence in Gaussian distribution of a sequence of random variables, according to Lévy sections theorem. By means of implementation of this new timeline, we designed a type of trading asset strategy which its resulting average returns and risk were compared to a strategy using daily time unit. Results suggested reflection about statistical and measurement procedures applied to the data. / O objetivo deste trabalho foi o de estudar séries temporais financeiras fundamentadas em uma perspectiva de alteração de medida de tempo, baseada no acúmulo de volatilidade dos retornos relativos aos preços observados. Esta escala foi utilizada por dois motivos: o primeiro está relacionado à proposta de Ludwig von Mises sobre a ideia de tempo em um sistema econômico e o segundo está associado à capacidade que tal medida tem de acelerar o processo de convergência de distribuição de uma sequência de variáveis aleatórias para a Gaussiana, de acordo com o teorema das seções de Lévy. Com base nesta nova escala temporal, foi elaborado um tipo de estratégia de negociação de ativos tendo seus retornos médios e risco sido avaliados em comparação com uma estratégia utilizando o tempo em unidades diárias. Os resultados obtidos motivaram a reflexão sobre as estatísticas utilizadas e os procedimentos para a mensuração de desempenho de cada estratégia.

Définir une immobilisation en droit fiscal implique de se référer à des critères permettant préalablement d’identifier l'existence d'un actif mobilisable et d'en mesurer le coût d'inscription à l’actif. La difficulté réside dans le fait que le Code général des impôts contient une seule disposition, l'article 38 quinquies de l’Annexe III qui prévoit que : « les immobilisations sont inscrites au bilan pour leur valeur d'origine.... ». Si le code traite de la mesurabilité il reste muet sur l'identification. En l’absence d’une définition purement fiscale, il convient de se retourner vers le droit comptable. En effet, il ressort de l’article 38 quater de l’Annexe III du Code général des impôts que "les entreprises doivent respecter les définitions édictées par le Plan comptable général, sous réserve que celles-ci ne soient pas incompatibles avec les règles applicables pour la détermination de l'assiette de l'impôt". A cet égard, le plan comptable général définit un actif comme « un élément identifiable du patrimoine ayant une valeur économique positive pour l’entité, c'est-à-dire un élément générant une ressource que l’entité contrôle du fait d’événements passés et dont elle attend des avantages économiques futurs ». Cette définition est la conséquence d’une réforme profonde de notre comptabilité. En effet, la comptabilité a connu un bouleversement, depuis le 1er janvier 2005, toutes les entreprises cotées de l’Union européenne devant présenter leurs comptes consolidés selon des normes comptables internationales. Par ailleurs et toujours sous l’influence des normes comptables internationales, la comptabilité interne a désormais tendance à privilégier une approche économique au détriment d’une conception traditionnellement patrimoniale. La définition des immobilisations incorporelles confirme parfaitement cette évolution et pour certains reflète même, à terme, la disparition d’un droit comptable et fiscal spécifiquement français. / For a definition of a fixed asset in Taxation Law we must be guided by those criteria that in the first instance enable the identification of an underlying asset and the calculation of the acquisition cost for that asset. The difficulty resides in the fact that the General Taxation Code contains only one provision, article 38 quinquies (fifth section) of Appendix III which stipulates that: “Fixed assets shall be recorded on the balance sheet at their original value”. Although the Code deals with measurability it falls silent on identification. In the absence of a purely fiscal definition, we need to turn to accountancy law. In this regard, it emerges from article 38 quater (fourth section) of Appendix III of the General Taxation Code that "businesses shall comply with the definitions set out by the General Accountancy Plan subject to these not being incompatible with the applicable regulations for the calculation of tax brackets". In this regard, the General Accountancy Plan defines an asset as “an identifiable component of property having a positive value for the entity, i.e. a component generating a resource that the entity controls owing to previous events and from which it anticipates future financial advantage”. This definition is the result of a profound reform of our accountancy practices. In fact, accountancy has been in a state of upheaval since 1st January 2005, when all listed companies within the European Union were required to publish their consolidated accounts in accordance with international accountancy regulations. What is more, and also under the influence of international accountancy regulations, internal accountancy now tends to favour a financial approach to the detriment of a traditionally asset-based approach. The definition of intangible fixed assets fully confirms this trend and for some it heralds the ultimate disappearance of any specifically French accounting and taxation law.

The purpose of this thesis is to elaborate the inventory of Jewish possessions in the town district of Sedlcany which would provide an answer to the economic and social status of this persecuted minority. The primary sources are the record-keeping cards from the Jewish card files, the registration of the Jewish landed estate in the town district of Sedlcany, the police entries, as well as, the population census from 1930. The acquired information about the Jewish possessions relates to the year 1940 too, therefore, this thesis is also focused on the period of the Protectorate of Bohemia and Moravia. The first chapter briefly engages the reader with the history of the Jews in Bohemia with a specific focus of the town district of Sedlcany. The key part of this work is the detailed outline of the encoroachment on the economic life of the Jews not only in the Third Reich, but also on which ?the Aryan race? received their possessions. The key part of this thesis is a list of the Jewish population living in the town district of Sedlcany and nearby villages before deportations, an overview of family ties, and also an overview of movable and inmovable assets of individuals. Another essential charter of this work is the restituion of thirteen survivers that emphasises the response of the country and individuals to the return of the Jews after the Second World Ward and the progress of the administrative process. At last, this thesis offers charts, tables, maps with highlighted municipalities where the Jews had lived, and also three maps illustrating the Jewish settlement in the town district of Sedlcany, and the municipalities of Kosova Hora and Petrovice. It further illustrates a family tree of the Lurie family from Petrovice, an inventory list of goods from Lurie?s shop in Petrovice and, last but no least, photos of some Jews living in the district of Sedlcany in 1940.

nÃo hà / Este artigo analisa grÃfica e quantitativamente a performance, mensurada sob vÃrias mÃtricas de risco-retorno, de estratÃgias ativas disponÃveis para um investidor brasileiro que opte por compor carteiras dinÃmicas de aÃÃes transacionadas na Bolsa de Valores de SÃo Paulo. As estratÃgias adotadas se baseiam: (i) em âapostarâ em aÃÃes que se mostraram vencedoras em Sharpe e Treynor no ano anterior, compondo carteiras equal-weighted ou (ii) em definir os pesos a partir da otimizaÃÃo destas duas mÃtricas de performance, as mais usuais no mercado financeiro. Em suma, em perÃodos de boom econÃmico-financeiro, ou seja, atà 2007 e durante 2009, ao lidar com o trade-off entre o uso de tÃcnicas mais sofisticadas de composiÃÃo de carteira, o investidor brasileiro teria obtido um retorno nominal acumulado bastante superior quando do uso da otimizaÃÃo do Ãndice de Sharpe â acima de 4000% entre julho de 1995 e dezembro de 2007, por exemplo â, vis-Ã-visas demais estratÃgias e mesmo quando comparado aos maiores fundos de investimento em aÃÃes ou ainda aos benchmarks de mercado e setoriais, ao quais nÃo ultrapassaram 2500%. Em termos de performance risco-retorno, as estratÃgias de aposta nas vencedoras em Sharpe ou Treynor se mostram as mais adequadas. Em perÃodos de crise financeira, analisando sob todas as mÃtricas de ganho ou performance, o investidor deveria ter optado por uma postura passiva. / This paper analyzes the risk-return performance, graphically and quantitatively - measured under various metrics, of active strategies available for a Brazilian investor who chooses to compose dynamic portfolios with stocks traded in BOVEPSA, Bolsa de Valores de SÃo Paulo. The strategies used here are based on: (i) "betting" in Sharpe and Treynor winners securities the previous year, composing an equalweighted portfolio or (ii) optimizing these two widely used performance metrics, and the defining the weights. To summarize, in periods of economic boom - until 2007 and during 2009 - when dealing with the trade-off between using more sophisticated portfolio composition techniques, the Brazilian investor would have gotten a much higher accumulated nominal return when using the Sharpe index optimization â over 4000% between July 1995 and December 2007, for example â vis-Ã-vis other strategies and even when compared to larger stock mutual funds or to the market and industry benchmarks, which does not exceed 2500%. In terms of risk-return performance, the betting strategies based on Sharpe and Treynor winners are the most appropriate. In periods of financial crisis, observing any performance measure, an investor should have chosen for a passive strategy.