This study provides evidence concerning the endogenous determination of managerial compensation contracts. To avoid the confounding effect of tax considerations, we limit our attention to the choice among long-term nonqualified incentive plans. Specifically, we consider a two-part decision faced by the firm: (1) whether to add an accounting-based "performance plan" to the existing portfolio of compensation contracts and (2) if the firm adopts a plan, the choice between a "relative" or an "absolute" performance measure. Based on some behavioral implications of performance plans which distinguish them from alternative contracts, we develop hypotheses which relate the adoption and design of a performance plan to the firm's general incentive contracting environment. We test these hypotheses using a choice-based sample, evenly divided between performance plan adopters and nonadopters. For the purposes of parameter estimation, we use the multinomial logit model to reflect the qualitative, hierarchical nature of the decision setting. Our results indicate that variables which proxy for the incentive environment can explain which firms will adopt a performance plan, and also the type of performance measure used by the adopting firms.

The phenomenon of organizational growth has traditionally been assumed to be indeterminate largely due to chance or accidents found in organizational worlds. This research takes up the causal processes underlying the growth (and decline) of virtually all world-class manufacturers in the international automobile industry from 1946 to 1989. Two models are developed as alternative explanations for the long-term trends observed in growth rates and their differences across firms. The models are estimated with a nonlinear method and tested through various empirical implications. The model that seems most consistent with the data shows unambiguously that they were not generated by a random or chance process but by underlying processes of collective learning, innovation, and outnovation in technologies and organizational routines. Firms that had generated different rates in these processes differed as hypothesized in their long-term growth performance. The dynamics of collective learning processes, as measured by the parameters of the model, largely explain the dynamics of organizational growth in the world automobile industry, hence, the dynamics of interorganizational competition. The results from tests of ecological hypotheses suggest that organizational ecology might benefit from the application of matrices of collective learning rates generated from interorganizational learning curves, particularly where ecology seeks to explain patterns of competition by organizational size. As shown, this research strategy is general and gauges directly interactions among organizations over long periods. It is also flexible in dealing with various levels of analysis in longitudinal and cross-sectional dimensions. As also shown, the collective learning theory, its model, and the ecology of interorganizational learning curves derived from them can help in evaluating empirically the competitive potential of firms by indicators of innovation and outnovation relative to other firms, patterns of competition (gauged by relative learning rates) among firms, and any changes of those patterns over time. Thus, the research strategy used here provides potentially useful causal analyses as well as meaningful measures on which different organizations can be compared, with each other and with themselves. These measures may also provide important benchmarks and diagnostics for strategic management.

No description available.

A research report submitted to the Faculty of Science, University of the Witwatersrand, Johannesburg, in partial fulfillment of the requirements for the degree of Master of' Science. / This research report describes the use or the Pearl's algorithm in Bayesian belief networks to induce a belief network from a database. With a solid grounding in probability theory, the Pearl algorithm allows belief updating by propagating likelihoods of leaf nodes (variables) and the prior probabilities. The Pearl algorithm was originally developed for binary variables and a generalization to more states is investigated. The data 'Used to test this new method, in a Portfolio Management context, are the Return and various attributes of companies listed on the Johannesburg Stock Exchange ( JSE ). The results of this model is then compared to a linear regression model. The bayesian method is found to perform better than a linear regression approach. / Andrew Chakane 2018

Photocopy of typescript. / Digitized by Kansas Correctional Industries

by Leung Tsun Ip. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2006. / Includes bibliographical references (leaves 72-78). / Abstracts in English and Chinese. / Chapter 1. --- Introduction --- p.1 / Chapter 2. --- Literature Review --- p.6 / Chapter 2.1 --- Development of estimation of Value-at-Risk (VaR) --- p.6 / Chapter 2.2 --- Methods to evaluate VaR --- p.9 / Chapter 2.2.1 --- Non-paremetric Method --- p.9 / Chapter 2.2.2 --- Semi-parametric Method --- p.11 / Chapter 2.2.3 --- Parametric Method --- p.12 / Chapter 3. --- Extreme Value Theory (EVT) --- p.16 / Chapter 3.1 --- Introduction of Extreme Value Theory (EVT) --- p.16 / Chapter 3.1.1 --- Block Maxima Approach --- p.18 / Chapter 3.1.2 --- Peaks over Threshold (POT) Approach --- p.21 / Chapter 3.1.3 --- Comparison between Block Maxima and POT Approach --- p.22 / Chapter 3.2 --- Numerical Illustration --- p.23 / Chapter 3.2.1 --- Data --- p.23 / Chapter 3.2.2 --- Diagnosis --- p.24 / Chapter 4. --- Dynamic Extreme Value Theory (DEVT) --- p.29 / Chapter 4.1 --- Theoretical Framework of DEVT --- p.29 / Chapter 4.2 --- Estimation of Parameters --- p.32 / Chapter 4.3 --- Determination of Threshold Level --- p.37 / Chapter 4.4 --- Estimation of zq --- p.44 / Chapter 5. --- Backtesting and Time Aggregation --- p.49 / Chapter 5.1 --- Backtesting DEVT --- p.49 / Chapter 5.2 --- Time Aggregation --- p.55 / Chapter 6. --- Case Study: China Aviation Oil Singapore (CAO) Incident --- p.61 / Chapter 6.1 --- Background Information --- p.61 / Chapter 6.2 --- Data Analysis --- p.63 / Chapter 6.3 --- Suggestion --- p.68 / Chapter 7. --- Discussion --- p.71 / References --- p.72 / Chapter A. --- Appendix --- p.79

本論文的第一部分介紹一個帶基準約束的連續時間均值方差資產組合選擇問題。這個非凸優化問題將採用拉格朗日乘數來解決，並求出相應的答案及其存在準則。為了進行敏感性分析，相應的最佳投資組合及其一些導數將被明確求出。在第二部分中，我們採用標準的線性回歸技巧來檢定三個日曆效應是否在統計上顯著。其中最顯著的效應是四月及十二月的回報比全年平均為高。 / The first part of this thesis presents a benchmarked continuous-time mean-variance portfolio selection problem. The method of Lagrange multipliers is employed to solve this non-convex optimization problem, and the criterion for the existence of solution is derived accordingly. The corresponding efficient portfolio and its derivatives are explicitly derived for sensitivity analysis. The second part we employ the standard linear regression technique to test whether three calendar effects are statistically significant. The most significant effect is that the returns in April and December are higher than the average in the whole year. / Detailed summary in vernacular field only. / Yip, Fai Lung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2012. / Includes bibliographical references (leaves 49-53). / Abstracts also in Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Mean Variance --- p.5 / Chapter 2.1 --- Model --- p.5 / Chapter 2.2 --- Portfolio Selection and the Solution --- p.9 / Chapter 2.3 --- Existence and Uniqueness of Lagrange Multipliers --- p.21 / Chapter 2.4 --- Optimal Trading Strategy --- p.29 / Chapter 2.5 --- Sensitivity Analysis --- p.34 / Chapter 3 --- Calendar Effect --- p.39 / Chapter 3.1 --- Data and Method --- p.39 / Chapter 3.2 --- Results --- p.42 / Chapter 4 --- Appendix --- p.47 / Chapter 4.1 --- Procedures Used to Obtain the Results in Chapter 4 --- p.47 / Bibliography --- p.49

In this thesis, we focus our study on the multi-period portfolio selection problems with different investment conditions. We first analyze the mean-variance multi-period portfolio selection problem with stochastic investment horizon. It is often the case that some unexpected endogenous and exogenous events may force an investor to terminate her investment and leave the market. We give the assumption that the uncertain investment horizon follows a given stochastic process. By making use of the embedding technique of Li and Ng (2000), the original nonseparable problem can be solved by solving an auxiliary problem. With the given assumption, the auxiliary problem can be translated into one with deterministic exit time and solved by dynamic programming. Furthermore, we consider the mean-variance formulation of multi-period portfolio optimization for asset-liability management with an exogenous uncertain investment horizon. Secondly, we consider the multi-period portfolio selection problem in an incomplete market with no short-selling or transaction cost constraint. We assume that the sample space is finite, and the number of possible security price vector transitions is equal to the number of securities. By introducing a family of auxiliary markets, we connect the primal problem to a set of optimization problems without no short-selling or without transaction costs constraint. In the no short-selling case, the auxiliary problem can be solved by using the martingale method of Pliska (1986), and the optimal terminal wealth of the original constrained problem can be derived. In the transaction cost case, we find that the dual problem, which is to minimize the optimal value for the set of optimization problems, is equivalent to the primal problem, when the primal problem has a solution, and we thus characterize the optimal solution accordingly. / Yi, Lan. / Adviser: Duan Li. / Source: Dissertation Abstracts International, Volume: 72-11, Section: A, page: . / Thesis (Ph.D.)--Chinese University of Hong Kong, 2009. / Includes bibliographical references (leaves 133-139). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. [Ann Arbor, MI] : ProQuest Information and Learning, [201-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest dissertations and theses, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstract also in Chinese.

In this thesis, we mainly study the portfolio selection problem with a set of index and options of stocks, based on a refined mean-variance methodology. Models in single-stage and multistage cases are studied, with a formulation using a scenario tree structure. We first investigate the pattern of the payoff of the optimal optioned portfolio. It turns out there is a rich structure with many interesting properties, including the piecewise linearity, risk-free return at some fixed scenarios, etc. We then extend the model to accommodate the features of multistage formulations. Both the mathematical programming methodology and the stochastic control methodology are applied to solve the decision model based on a scenario tree structure. Analytical formulations of the optimal portfolio together with an expression of the efficient frontier are derived. We also make an analysis of the relations between the two approaches. We further study some variations of the mean-variance formulation. These models are applied to construct a portfolio with same preferred payoff characters, such as monotonic payoff or guaranteed payoff. Finally, the tracking model is considered in this thesis. The optimal payoff and its mean-variance efficiency are analyzed. Throughout the thesis, many numerical examples with real life data are used to illustrate and validate our results. / Liang Jianfeng. / "May 2004." / Source: Dissertation Abstracts International, Volume: 66-01, Section: B, page: 0529. / Supervisors: Duan Li; Shuzhong Zhang. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (p. 120-126). / Available also through the Internet via Current research @ Chinese University of Hong Kong under title: Optioned portfolio selection models, analysis, and solution methods / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest dissertations and theses, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts in English and Chinese. / School code: 1307.

In this thesis, we mainly concentrate on the mean-variance portfolio selection problems with cardinality constraint and/or quantity constraints. These combinatorial problems are NP-hard in general. The first model is the Sharpe ratio portfolio selection problem (2.4) which is a single-period assets selection optimization problem maximizing the Sharpe ratio of a portfolio containing exactly k stocks which are selected from n stocks in the market, and shorting is allowed in this model. We provide an approximation solution for the Sharpe ratio portfolio optimization problem with a worst-case performance guarantee. In the second model, we consider the portfolio selection problem which takes into account both the cardinality constraint and the quantity constraint, i.e., limiting the number of assets and the minimal and maximal shares of each individual asset in the portfolio, respectively, which is reformulated as mixed 0-1 conic programming. In the third model, we consider the random portfolio selection scheme, i.e., we randomly select some stocks into our portfolio either with constant probability or by controlling the probability. In the last model, we assume that investors only would like to either invest in an asset with a substantial amount (represented by some threshold value) or discard it. With the help of the SDP relaxation, a screening algorithm, and a randomized rounding procedure, we find approximative solutions whose worst-case guaranteed performance bound is O( m3). Branch-and-bound method is also considered to find the exact optimal solution for this model. / Keywords. portfolio selection, cardinality, quantity, threshold, SDP relaxation, random rounding procedure, mixed 0-1 conic programming. / Xie Jiang. / "July 2006." / Adviser: Shuzhong Zhang. / Source: Dissertation Abstracts International, Volume: 68-03, Section: B, page: 1910. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2006. / Includes bibliographical references (p. 162-172). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. [Ann Arbor, MI] : ProQuest Information and Learning, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts in English and Chinese. / School code: 1307.