The aim of the thesis is to construct an effective realistic retirement income plan for an individual investor. We propose realistic frameworks with specific inputs given by investor such as number of investment instruments, income, and length of the time period before retirement using Modern Portfolio theory. The aim is to develop a retirement framework using fundamentals of Modern Portfolio Theory as per investor’s needs on asset allocation assuming investor’s risk appetite reduces as he ages in life and worries for real retirement income planning by comparing different statistical models scenarios. In each of the Scenarios we have 3 changing probability profile scenarios to allow for flexibility to the investor to withdraw from the portfolio for personal needs with increasing probability, decreasing probability and uniform probability of withdrawal throughout the portfolio investment time horizon. The results clearly reveal that there is no one best model for different investors as each investor is different with different objective functions. The results also show that, Traditional method and Bootstrapping scenario results are not always the same implying investor should not expect historical returns from the securities to reflect the future.

Scientific and practical utility of portfolio investments had been motivated by empirical researches of various authors long before. The same proposition could be said about analysis of advantages of option contracts and their investment strategies. It is purposeful to find methods helping to join the advantages of both portfolio investments and option investment strategies in order to satisfy investors’ need to manage growing investment risk.

In the diploma thesis we will deal with the design of processes for managing the free capital of the company in the stock market (the results are interpreted on historical data) and the cryptocurrency market. Free cash is capitalized on both markets by using a selected investment strategy for each market and see if the investment was profitable.

Asset Liability Management is a current topic where accountability of asset management is of high importance. This is a result of continuously increasing investments in the stock market globally. The globalisation exposes a big part of the different markets to the same types of risk. This makes it harder to secure capital and assets through diversified investments. Further it has led to a more complex and resource demanding investment basis. The uncertainty of the future brings the focus of fund management to optimising and minimising risks, rather than trying to predict individual movements of specific assets on the market. The goal of this project has been to find, test and evaluate different investment- and portfolio selection strategies with trajectories of some chosen assets, simulated from a Economic Scenario Generator (ESG). This ESG has gratefully been provided by Willis Towers Watson, which in their daily work deal with these areas. Further the trajectories has acted as possible outcomes of asset returns. Employed portfolios intended to replicate pension foundations in placement guidelines and characteristics, with different strategies has then followed the development of the assets and has been matched against the pension liabilities of an average sized Swedish pension foundation. The outcomes of the portfolios has thereafter been assessed and compared with each other. The target has been to localise an optimal risk level in respect to the portfolios' performance and to achieve as high pension funding ratio as possible. The strategies tested have been varied. Variants such as Buy-and-Hold is an example of a simpler investment strategy. There the assets within the portfolio has initially been allocated according to given weights, then the portfolio has ran static with the initial shares over the tested period of 10 years. Other more complex, aggressive and risk taking strategies have also been tested. Here, re-allocating every year is common and the weights within the portfolios depends on the properties of the different assets and the strategy employed. The key performance indicator of the tested portfolios has been the funding ratio of pension payments. The best portfolio in this regard was the one that employed Sharpe allocation for all assets. It had a funding ratio of 91.22%. The worst portfolio due to this measurement was the buy-and-hold strategy with equal weights of the assets. It only covered 79.48% of the pension payments. Important to mention is that the initial funding ratio of all tested portfolios was set to 80%. This means that the portfolio value in time step zero was set to 80% of the value of the pension liabilities. WTW does not blindly confirm the results and this thesis should not be seen as an investment advise. The results are based on data obtained from a specific ESG and does not necessarily look the same using other scenarios or different market data. / Asset Liability Management fortsätter att vara ett aktuellt ämne och en ansvarstagande kapitalförvaltning är av hög vikt. Detta är ett resultat av kontinuerligt ökande investeringar på aktiemarknader världen över. I tillägg gör globaliseringen att de flesta människor är exponerade mot samma typ av risker vilket kan göra det svårare att säkra kapital genom diversifierade investeringar. Detta har gett upphov till alltmer komplicerade och resurskrävande investeringsunderlag. Osäkerheten framtiden för med sig gör att fokusområdet inom kapitalförvaltning framför allt handlar om att optimera och minimera risker, snarare än att försöka förutspå enstaka rörelser på aktiemarknaden. Detta projekt har gått ut på att testa och utvärdera diverse investerings- och portföljsvalsstrategier med simulerade reella tidsserier för olika tillgångar. Dessa tidsserier är simulerade ur en Ekonomisk Scenariogenerator (ESG) som tacksamt mottagits av Willis Towers Watson, som i sitt dagliga arbete sysslar med frågor rörande dessa ämnen. Vidare har tidsserierna agerat som tänkbara utfall för hur tillgångars priser kan röra sig. Antagna portföljer med olika strategier har sedan fått följa prisutvecklingen i de olika scenariona och matchas mot skuld och kassaflöden tillhörande en medelstor svensk pensionsstiftelse. Utfallen har därefter utvärderats och jämförts med varandra. Målsättningen har varit att lokalisera en optimal risknivå sett till portföljernas prestation och framför allt eftersträva en så hög pensionstäckningsgrad som möjligt. Investeringsstrategierna som har testats har varit varierande. Varianter som buy-and-hold-strategin är ett exempel på en enklare strategi. Där har tillgångarna i portföljen initialt allokerats enligt given viktning, sedan har portföljen fortlöpit statiskt med de initiala andelarna för livslängden av portföljens testperiod, vilket är 10 år. Andra mer komplexa, offensiva och risktagande strategier har också testats där innehaven i portföljen ombalanserats en gång per år. Allokeringarna inom portföljen beror av vilka egenskaper tillgångarna besitter och den använda strategin. Det tyngsta nyckeltalet kopplat till portföljernas prestation har varit täckningsgraden av pensionskostnader. Bästa portföljen i detta avseende var den som använde sig av Sharpe-allokering för alla tillgångar, den hade en täckningsgrad av 91.22%. Sämst resultat av alla testade strategier hade buy-and-hold portföljen med lika viktning av tillgångarna. Den täckte endast 79.48% av pensionsutbetalningarna. Vad som är viktigt att nämna är att fonderingsgraden för alla testade portföljer sattes till 80%. Detta betyder att portföljvärdet i tidsteg noll är 80% av pensionsskuldernas värde. WTW bekräftar inte blint resultaten och denna avhandling bör inte ses som ett investeringsråd. Resultaten är baserade på data erhållen från en specifik ESG och ser inte nödvändigtvis densamma ut baserat på andra scenarion eller annan marknadsdata.

China has become both South Korea’s largest trading partner and one of the largest destinations for foreign direct investment (FDI). The display industry, which is one of the major export industries for Korea and extremely important for the Korean economy, has a particularly high level of dependence on China – the industry’s largest market. The Korean LCD panel industry has grown into a global leader and major industry of the Korean economy over the past ten years through its preemptive, aggressive investment and its development of innovative products. This was helped by the diverse strategies for aggressive investment in China that were implemented since the early 2000s as the companies faced unlimited competition in the global era. However, the rise of the Chinese LCD industry, which was spurred by the rapid growth of the domestic market and government support policies in the mid-2000s, has impacted the investment strategies of the Korean LCD panel industry in China. This research focuses on an analysis of the investment strategies of Korean TFT-LCD panel industry businesses’ investments in China in terms of their corporate and business strategies. It also assesses the status of the LCD industry and market, reviews the Korean LCD panel industry’s development, and analyzes its competitive strategy using Porter’s five forces model, industry life cycle, and the value chain. Based on the findings and the forecast for the Korean LCD panel industry, it then concludes by providing suggestions for the major industry players and the Korean government.

Thesis (MBA)--University of Stellenbosch, 2010. / AFRIKAANSE OPSOMMING: Waarde- en groei-beleggingstrategieë dateer terug na Fama en French (1992) en Lakonishok, Shleifer en Vishny (1994). Bogenoemde studies is gebaseer op vroeë navorsing wat die fokus verskuif het om sodoende waardasieverhoudinge en maatskappygrootte te gebruik as toonaangewende verklarende maatstawwe vir aandele-opbrengste. Toenemende studies in hierdie beleggingsveld het die akademiese en beleggingsgemeenskap oortuig dat ’n waardegebaseerde beleggingstrategie, gemiddeld, ’n groeigebaseerde beleggingstrategie oortref. Waarde- en groei-eienskappe word algemeen aanvaar en deur fondsbestuurders en beleggers as onderskeidende beleggingstrategieë aangewend. Hierdie eiesoortige beleggingstrategieë is op die Suid-Afrikaanse mark vir die periode 1990 tot 2009 toegepas. Die beduidende veranderinge binne die ekonomiese klimaat en aandelemarkte was die oorhoofse rede vir die insluiting van die ekonomiese siklusse in die navorsing, spesifiek die opswaai- en afswaai-fases van die ekonomie. Die Sharpe-, Treynor- en Inligting–prestasiemaatstawwe vir waarde- en groei-portefeuljes is in hierdie studie vergelyk en geanaliseer. Normaalweg word prestasie-beoordeling nie begin met ’n gedetailleerde analise van die opbrengsverdelings om te bepaal watter prestasie-maatstaf meer voortreflik is nie. Die opbrengsdensiteit vir alle portefeuljes is bepaal om sodoende die opbrengsverspreidings en risikooorwegings beter te verstaan binne die onderskeie ekonomiese siklusse. Die bevindinge binne die Suid-Afrikaanse konteks was wel ooreenstemmend met voorafgaande navorsing dat waardegebaseerde investering groeigebaseerde investering oortref vir aandele met hoër waardasieverhoudinge teenoor aandele met laer waardasieverhoudinge. Die gemiddelde maandelikse prestasie van waarde-portefeuljes het ook groei-portefeuljes oortref in die ekonomiese opswaai-siklusse, wat ooreenstemmend is met soortgelyke navorsing wat in ander markte gedoen is. In die ekonomiese afswaai-siklus het groei-portefeuljes waarde-portefeuljes oortref, ooreenstemmend met die van die Amerikaanse mark. Die navorsing dui daarop dat waardegebaseerde investering voortreflik is oor die volle steekproefperiode, wat beteken dat beleggers wat waarde-beleggingstrategieë volg hoër opbrengste kan verwag in alle ekonomiese siklusse, maar die voordele sal groter wees in tye van ’n ekonomiese opswaai. Die wisselvalligheid van opbrengste binne die twee ekonomiese siklusse is sigbaar en beklemtoon die noodsaaklikheid om die ekonomiese siklus in beleggingstrategieë en -besluite in te sluit. Die ekonomiese siklus verbreed die dimensie tot die evaluasie van waardegebaseerde beleggingstrategie en dit is noodsaaklik dat dit ’n geïntegreerde deel vorm van die evaluasieproses. / ENGLISH ABSTRACT: Value and growth investment strategies can be traced back to Fama and French (1992) and Lakonishok, Shleifer and Vishny (1994). The studies built on earlier work done and lead to attention being shifted to valuation ratios and company size as leading explanatory indicators for stock returns. Based on the accumulated evidence from studies, the academic and investment community came to agree that value investment strategies, on average, outperform growth investment strategies. Value and growth, are widely recognised and used by money managers and investors as distinctive investment strategies. These style-specific investment strategies were tested on the South African market for the period 1990 to 2009. The significant changes within the economic conditions and securities markets motivated the research to include the business cycle – specifically, contraction and expansion of the economy – within the scope of this study. The Sharpe, Treynor and Information performance ratios, that were calculated for compiled value and growth portfolios, were compared and analysed. The performance evaluation is not normally initiated with a detailed analysis of the return distribution in order to determine which performance measure is superior. The return densities for all portfolios were calculated in order to gain a better understanding of return distributions and risk considerations within the different business cycles. The results indicated that, within the South African context, value investing did outperform growth investing as indicated by previous research that stocks with high valuation ratios tend to outperform stocks with low valuation ratios. The mean monthly performance of value portfolios also outperformed growth portfolios in the period of economic upswing, which is a similar result as that of other markets where this kind of research has been conducted. In the economic downturn period growth investing seems to be superior to value investing similar to that of the US market. The study indicates that the superior performance of value investing is robust for the whole sample period, meaning that investors will be better off investing in stocks with high valuation ratios for all economic conditions, but the benefits of value investing would be greater during periods of economic upswing. The volatility of returns within the two economic conditions is quite evident and highlights the importance of incorporating business cycles into investment strategies and decisions. The business cycle adds another dimension to value investing strategy evaluation and should be incorporated in the evaluation process.

台灣發展光電產業近20年，已有舉世注目之成績。就在這同一階段，台灣創業投資產業也有超過新台幣1,700億元資金，投資於國內高科技產業中，其規模之大，全球排名第二，僅次於美國，此一成就是值得國人引以為傲的。 由於產業西進的風潮方興未艾，不久「新世代」的光電產業終將會繼電子產業，成為根留台灣的主流產業。未來兩岸分工、大陸本土廠商崛起、加上韓國廠商大幅投入，光電產業整體經營環境必然大不同於從前。相對之下，未來創業投資投資光電產業，有賴更明確之投資策略。 因此，本研究著重於研究過去光電產業與創投產業間的互動關係，蒐集並分析：（1）台灣創業投資公司投資光電產業所採之「一般策略」、（2）投資光電產業「成功」之關鍵性策略行為、（3）投資光電產業「失敗」之關鍵性策略行為；再綜合分析投資光電產業影響「成敗」之共通關鍵性策略。最後，總結分析「光電產業特性」與「影響投資光電產業成敗關鍵性策略」間之互動關係。 結尾，對未來光電產業發展趨勢加以推估，概略建議未來創投投資「新世代」台灣光電產業可採之關鍵性策略，期望對國內光電產業發展及創投未來投資台灣光電產業「成功」，能有所助益。 / There are almost 20 years for Taiwanese to develop optoelectronics industry. Its outcome is the annual production value will over 1 trillion NTDs in the coming year, and it is rated No. 3 in the world. During the same period, the venture capital was also under developed. Right now, there are over 240 venture capital management companies in Taiwan, and have invested over 170 billion NTDs in high technology industry, the investment scale is also highly ranked, No.2 in the world. It is interested to know the relationship between Taiwan optoelectronics industry and venture capital. This paper is concentrated on the the Taiwanese venture capital investment strategies on Taiwan optoelectronics industry. And to find out what is the KSFs ( Key Success Factors ) of venture capital investment strategies, also the KFFs ( Key Failure Factors). And to analysis the relationship between KSFs& KFFs, to find the real key factors cause investment success or fail . The development situation of Taiwan optoelectronics industry is also discussed during the analysis of the factors, in order to find out the relationship between Taiwan optoelectronics industry situations and venture capital investment strategies. Finally, to figure out what will be the future Taiwan optoelectronics industry looks like, and with the results from the above study to suggest what will be the best practices to do venture capital investment successfully in the coming years on Taiwan optoelectronics industry.

The thesis is focused on hedge funds, their definition and historical development. Four investment strategies are further discussed (Global macro, Distressed securities, M&A, Convertible arbitrage) and their performance is displayed during the last thirteen years. We can compare performance of individual investment strategies with global equity index and high-yield bond index, as the alternative for potential investor.

<p>Bakgrund: För att avgöra huruvida aktieanalytiker som grupp betraktat tillför värde för investerare måste frågan ställas om det är lönsamt att följa analytikernas konsensusrekommendationer. Ett problem med att följa dessa är att rekommendationerna som utgör konsensus kan förbli oförändrade under långa perioder vilket innebär att de vanligtvis blir mindre informativa med tiden. Studier som istället utvärderar värdet av reviderade rekommendationer har visat att det kan vara mer lönsamt att följa analytiker när de ändrar uppfattning om en aktie.</p><p>Syfte: Syftet med studien är att utvärdera revideringar av aktieanalytikers rekommendationer på den nordiska marknaden och att analysera investeringsstrategier baserade på dessa som tar hänsyn till transaktionskostnaders inverkan på avkastningen.</p><p>Genomförande: De reviderade rekommendationerna har utvärderats kvantitativt med data från Inquiry Financial för perioden 2006 – 2009. Vi konstruerar sex portföljer för varje studerad marknad, där de olika portföljerna består av upp- respektive nedgraderade aktier med olika innehavsperioder för att testa huruvida revideringarna kan sägas vara informativa.</p><p>Resultat: Resultaten visar att reviderade rekommendationer är informativa på flera av de studerade marknaderna, där aktiekurser fortsätter att stiga för uppgraderingar och sjunka för nedgraderingar flera månader efter att revideringen har skett. En investerare som agerade på revideringarna hade kunnat generera överavkastning i ett flertal utvärderade strategier innan justering för transaktionskostnader skett. När hänsyn tagits till transaktionskostnadernas inverkan genererar ingen strategi signifikant alfa, men resultaten indikerar ändå att det finns ett värde i att följa revideringarna.</p> / <p>Background: To determine whether or not stock analysts as a group add value for investors the question that should be asked is if it’s profitable to follow the analysts' consensus recommendations. A problem with following these is that the recommendations that enter into the consensus can remain unchanged for long periods which mean that they generally become less informative over time. Studies that instead evaluate recommendation revisions have shown that it can be more profitable to follow the analysts when they change their opinions regarding a stock.</p><p>Aim: The aim of this study is to evaluate analysts’ recommendation revisions in the Nordic markets and to analyze investment strategies based on these revisions that consider the impact of transaction costs.</p><p>Completion: The recommendation revisions have been evaluated quantitatively using data from Inquiry Financial for the period 2006 – 2009. We construct six portfolios for each market, where the portfolios consist of up- and downgraded stocks with different holding periods in order to determine how informative the revisions are.</p><p>Findings: We find that recommendation revisions are informative in several of the studied markets, where stock prices continue to drift upward for upgrades and downward for downgrades several months after the revision. An investor acting on these revisions would have been able to generate abnormal returns in a number of considered strategies, gross of transaction costs. When the impact of transaction costs is considered no strategy generates significant alpha due to the frequent rebalancing required, but the results nonetheless indicates that there is value in following the revisions.</p>

This thesis presents the main results of my research in the field of computational finance and portfolios optimization. We focus on pricing Asian basket options and portfolio problems in the presence of inflation with stochastic interest rates. In Chapter 2, we concentrate upon the derivation of bounds for European-style discrete arithmetic Asian basket options in a Black and Scholes framework.We start from methods used for basket options and Asian options. First, we use the general approach for deriving upper and lower bounds for stop-loss premia of sums of non-independent random variables as in Kaas et al. [Upper and lower bounds for sums of random variables, Insurance Math. Econom. 27 (2000) 151–168] or Dhaene et al. [The concept of comonotonicity in actuarial science and finance: theory, Insurance Math. Econom. 31(1) (2002) 3–33]. We generalize the methods in Deelstra et al. [Pricing of arithmetic basket options by conditioning, Insurance Math. Econom. 34 (2004) 55–57] and Vanmaele et al. [Bounds for the price of discrete sampled arithmetic Asian options, J. Comput. Appl. Math. 185(1) (2006) 51–90]. Afterwards we show how to derive an analytical closed-form expression for a lower bound in the non-comonotonic case. Finally, we derive upper bounds for Asian basket options by applying techniques as in Thompson [Fast narrow bounds on the value of Asian options, Working Paper, University of Cambridge, 1999] and Lord [Partially exact and bounded approximations for arithmetic Asian options, J. Comput. Finance 10 (2) (2006) 1–52]. Numerical results are included and on the basis of our numerical tests, we explain which method we recommend depending on moneyness and time-to-maturity In Chapter 3, we propose some moment matching pricing methods for European-style discrete arithmetic Asian basket options in a Black & Scholes framework. We generalize the approach of Curran M. (1994) [Valuing Asian and portfolio by conditioning on the geometric mean price”, Management science, 40, 1705-1711] and of Deelstra G., Liinev J. and Vanmaele M. (2004) [Pricing of arithmetic basket options by conditioning”, Insurance: Mathematics & Economics] in several ways. We create a framework that allows for a whole class of conditioning random variables which are normally distributed. We moment match not only with a lognormal random variable but also with a log-extended-skew-normal random variable. We also improve the bounds of Deelstra G., Diallo I. and Vanmaele M. (2008). [Bounds for Asian basket options”, Journal of Computational and Applied Mathematics, 218, 215-228]. Numerical results are included and on the basis of our numerical tests, we explain which method we recommend depending on moneyness and time-to-maturity. In Chapter 4, we use the stochastic dynamic programming approach in order to extend Brennan and Xia’s unconstrained optimal portfolio strategies by investigating the case in which interest rates and inflation rates follow affine dynamics which combine the model of Cox et al. (1985) [A Theory of the Term Structure of Interest Rates, Econometrica, 53(2), 385-408] and the model of Vasicek (1977) [An equilibrium characterization of the term structure, Journal of Financial Economics, 5, 177-188]. We first derive the nominal price of a zero coupon bond by using the evolution PDE which can be solved by reducing the problem to the solution of three ordinary differential equations (ODE). To solve the corresponding control problems we apply a verification theorem without the usual Lipschitz assumption given in Korn R. and Kraft H.(2001)[A Stochastic control approach to portfolio problems with stochastic interest rates, SIAM Journal on Control and Optimization, 40(4), 1250-1269] or [45].