Yes / We provide a generalized analytical methodology for evaluating a real sequential investment opportunity, which does not rely on a multivariate distribution function, but which allows for stage-specific risks and drifts. This model may be a useful capital budgeting and valuation tool for exploration and development projects, where risks change over the stages. We construct a stage threshold pattern whereby the final stage threshold exceeds the early stage threshold due to drift differentials between the project values at the various stages, value volatility differences, and correlation differentials, implying a rich menu of parameter values that may be suitable for a variety of projects. Governments seeking to motivate early final stage investments might lower final stage project volatility or specify project value decline over time, unless prospective owners are willing to pay the real option value (ROV) for concessions. In contrast, concession owners, more interested in ROV than thresholds that motivate early investments, may welcome final stage value escalation, or guarantees that reduce the correlation between project value and construction cost.

The most authentication mechanism used in certain domains like home banking, infrastructure surveillance, industrial control, etc. are commercial off the Shelf (COTS) solutions. These are packaged solutions which are adapted to satisfy the need of the purchasing organization, Microsoft, for example, is a COTS software provider. Multifactor Authentication (MFA) is COTS. MFA in the context of this research provides a framework to improve the available techniques. This framework is based on biometrics and as such presents, an alternative to complement the traditional knowledge-based authentication techniques. With an overview based on the probability of failure to enroll(FTE), this research work evaluates available approaches and identifies promising avenues in utilizing MFA in modern mobile devices. Biometrics removes heuristic errors and probability adjustment errors by providing the full potential to increase MFA in mobile devices. The primary objective is to Identify discrepancies and limitation commonly faced by mobile owners during authentication.

Day-ahead spot electricity markets are the most transparent spot markets where one can find integrated supply and demand curves of the market players for each settlement period. Since it is an indicator for the market players and regulators, in this thesis we model the spot electricity prices. Logarithmic daily average spot electricity prices are modeled as a summation of a deterministic function and multi-factor stochastic process. Randomness in the spot prices is assumed to be governed by three jump processes and a Brownian motion where two of the jump processes are mean reverting. While the Brownian motion captures daily regular price movements, the pure jump process models price shocks which have long term effects and two Ornstein Uhlenbeck type jump processes with different mean reversion speeds capturing the price shocks that affect the price level for relatively shorter time periods. After removing the seasonality which is modeled as a deterministic function from price observations, an iterative threshold function is used to filter the jumps. The threshold function is constructed on volatility estimation generated by a GARCH(1,1) model. Not only the jumps but also the mean reverting returns following the jumps are filtered. Both of the filtered jump processes and residual Brownian components are estimated separately. The model is applied to Austrian, Italian, Spanish and Turkish electricity markets data and it is found that the weekly forecasts, which are generated by the estimated parameters, turn out to be able to capture the characteristics of the observations. After examining the future contracts written on electricity, we also suggest a decision technique which is built on risk premium theory. With the help of this methodology derivative market players can decide on taking whether a long or a short position for a given contract. After testing our technique, we conclude that the decision rule is promising but needs more empirical research.

This study provides ex ante estimates of multi factor productivity (MFP) growth in the Saskatchewan agricultural sector on a crop by crop basis, using a time series of partial budgets from representative crop planning Guide. The study considers six major crops in Saskatchewan: spring wheat, durum wheat, feed barley, feed peas, large green lentils and canola. MFP growth is compared across crops, soil zones and cropping systems. Over the 1993-2013 period all six crops MFP grew at rates of over 2.56% per year. Feed peas and canola showed the fastest growth rates of 4.68% and 4.01%, respectively. The MFP growth of crops seeded on summer-fallow was slower than crops seeded into stubble using conventional tillage and zero tillage. The best soil zone for durum wheat and lentils, in term of productivity growth, was the Brown Soil zone; while for peas and canola, it is the Dark Brown Soil zone. Spring wheat and barley grown in different soil zones had very similar productivity gains.

Följande kandidatuppsats undersöker en applikation utifrån tre faktorer: säkerhet, användbarhet och funktionalitet. Arbetet tar fram en prototyp på en identifieringsapplikation som använder sig av QR-koder för att identifiera personer. Identifieringsprocessen är tänkt att fungera i t.ex. en insläppningskö på en pub. QR-koden finns i gästens mobil och dörrvakten använder den framtagna prototypen på en surfplatta eller smartphone för att scanna av gästens QR-kod. Syftet är att undersöka hur användbarheten och funktionaliteten påverkas i en applikation när det läggs till en faktor för att öka säkerheten. Detta undersöks genom ett användartest där 8 testpersoner får testa den framtagna prototypen och ge kommentarer både utifrån en gästs och en dörrvakts perspektiv. Resultaten visar på att användbarheten dras ner något i samband med att säkerheten ökar. Identifiering med hjälp av QR-läsaren tar ungefär 4 sekunder längre än vad det gör att identifiera med den vanliga metoden, d.v.s jämföra ett ID-kort med ett medlemskort. Funktionaliteten ökar i systemet eftersom att det läggs till funktionalitet för att scanna av en QR-kod och jämföra informationen ur den med en databas. Prototypen som har tagits fram i denna kandidatuppsats har utvecklingsmöjligheter och kan användas i andra sammanhang och i andra miljöer; prototypen skulle exempelvis fungera lika bra i ett affärssammanhang där affären kan ersätta sina fysiska medlemskort med en QR-kod och en avläsare för att ge sina kunder förmåner. / The following bachelor thesis examines an application based on three factors: security, usability and functionality. The work presents a prototype of an identification application that uses QR codes to identify a person. The identification process is supposed to work in eg a line to a pub. The QR-code is in the guest's mobile and the doorman uses the prototype, which this thesis presents, on a tablet or smartphone and scan the guest's QR code. The aim is to investigate how the usability and functionality is affected in an application when it is added a factor that increases the apps security. This is examined through a user test where 8 test subjects will test the developed prototype and provide feedback both from a guest and a doormans perspective. The results show that the usability decreases while the security increases. The identification with the QR reader takes about 4 seconds longer than it does to identify with the usual method, i.e. comparing an ID card with a membership card. The functionality in the system increases because we add the functionality to scan a QR-code and compare it's information with a database. The prototype that has been developed in this bachelor thesis has development potential and can be used in other contexts and in other environments; for example the prototype would work equally well in a business context in which the business can replace their membership card with a QR code and a reader to give their customers benefits.

This project is about how free, open-source tools can create reasonable, secure and flexible remote access solutions for smaller companies with a limited budget.  Secure remote access to a working environment is a solution for its time, as last year Covid-19 change the working environment for millions of employers and employees. The importance of secure remote access to a working environment became noticeable as offices closed down and employers started working from home. Still, the need for secure access to the company's infrastructure remains. This is where Virtual Private Networks (VPNs) enter the picture, as it has a broad application scope and is particularly useful for secure remote access. My project was subdivided into three parts: How to implement secure remote access to a working environment within the requirements of the chosen company, which are an inexpensive solution with high-security features.  Automate the creation and distribution of all the necessary parts that their employees will need in a VPN structure. Research about the future direction regarding VPN and the importance of cybersecurity to help ensure security preparedness for the company. The chosen solution was OpenVPN and Google authenticator, together with a written bash script. It became a solution that was free, flexible, secure and scalable. But why the need and what about the future?  Research shows that a high percentage of small and medium-sized enterprises are vulnerable to cyberattacks. It also shows that these companies have the lowest cybersecurity. "It wouldn't happen to us" is dangerous but, sadly, a typical mindset throughout the S&M companies. It's primarily because of this S&M's are more exposed than larger companies. The future of VPN's has become more important than ever before, and it's something that during Covid-19 has risen in use all over the world, the research and development of VPNs has accelerated. The research objectives of this project are of high interest to many other organizations in the same position, and the presented work has helped answer the question: "Where will we stand in a few years regarding secure remote work, cybersecurity andencrypted networks?"

A valid and accurate capital asset pricing model (CAPM) may help investors and mutual funds managers in determining expected returns and thus, may increase profits which can be reflected on the community resources. The problem is that the traditional CAPM does not accurately predict the expected rate of return. A more accurate model is needed to help investors in determining the intrinsic price of the financial asset they want to sell or buy. The purpose of this study was to examine the validity of the single-factor CAPM and then develop and test the validity of a multifactor CAPM in the Jordanian stock market. The study was informed by the modern portfolio theory and specifically by the single-factor CAPM developed by Sharpe, Lintner, and Mossin. The research questions for the study examined the factors that may explain the variation in the expected rate of return on stocks in the Jordanian stock market and the relationship between the expected rate of return and factors of market return, company size, financial leverage, and operating leverage. A causal-comparative quantitative research design was employed to achieve the purpose of the study by testing the listed companies on the Amman stock exchange (ASE) for the period from 2000 to 2015. Data were collected from the ASE database and analyzed using the multiple regression model and t test. The results revealed that market return, company size, and financial leverage are not predictors of the expected rate of return while operating leverage is a predictor. The results of this study may contribute to positive social change by changing the way the individual investors and mutual funds managers select their investing portfolios which can lead to better resource distribution in the economy.

本研究的目的為建立一套適用於台灣股市的主動式量化投資策略。本研究利用多因子 Alpha 模型為分析架構，試圖掌握多維度的股價影響因子，以資訊係數（Information Coefficient）、T-test of ICs、成功率（Success rate）以及 Quintile 累積報酬做因子有效性的檢定，篩選出穩定且有效解釋股價報酬的月頻率因子，再組合因子形成Alpha 股票評分，Alpha 可拆解成三部分，包括市場波動度、因子預測下一期報酬的能力以及因子的獲利能力。本論文以此評分做為股票投資權重的依據，建構一個以台灣中型 100 指數為標竿指數的投資組合。實證結果發現，此主動式量化投資策略能夠有效擊敗標竿指數，獲得平均每個月 3.7%的超額報酬。 　　本研究並嘗試以設定原始權重保留率的方法，控制追蹤誤差以降低週轉率與交易成本，實證結果發現，此方法可有效降低追蹤誤差，但隨著保留率提升，資訊比率（Information Ratio）與投資組合的超額報酬將降低。 / The objective of this study is to build an investment process of active quantitative stock selection model. In this study, we use the Alpha Multi-factor model to find a multitude of factors which are significantly relative to the stock return. The tests we conduct to select the factors that end up in the final multi-factor model are monthly Information Coefficient, T-test of ICs, success rate and quintile cumulative return. Then we examine how to optimally combine correlated factors and calculate the Alpha score for each stock for each period. Alpha is Volatility times IC times Score. Volatility is the cross-sectional volatility of the residual return. IC is the predictive power of the model. And Score are the cross-sectional scores for each stock. We utilize a simple method to construct the portfolio that uses the Alpha score to adjust the weight of component stocks in the benchmark. The empirical result reveals that this investment process successfully outperform the Taiwan Mid-Cap 100 Index benchmark. Moreover, this study tries to decrease the turnover rate and transaction costs by controlling the tracking error. We set the original weight retention rate of the benchmark to control the tracking error. The empirical result reveals that the method works. But as the retention rate rises, the Information ratio and the excess return drops.

This thesis examines the links between economic time-series innovations and statistical risk factors in the UK stock market using principal components analysis (PCA) and the general-to-specific (Gets) approach to econometric modelling. A multi-factor risk structure for the UK stock market is assumed, and it is found that the use of economic 'news' (innovations), PCA, the Gets approach, and different stock grouping criteria helps to explain the relationships between stock returns and economic variables. The Kalman Filter appears to be more appropriate than first-differencing or ARIMA modelling as a technique for estimating innovations when applying the Gets approach. Different combinations of economic variables appear to underpin the risk structure of stock returns for different sub-samples. Indications of a possible influence of firm size are found in principal components when different stock sorting criteria are used, but more definite conclusions require simultaneous sorting by market value and beta. Overall it appears that the major factor affecting the identification of specific explanatory economic variables across different sub-samples is the general economic context of investment. The influence of firm size on stock returns seems in particular to be highly sensitive to the wider economic context. There is an apparent instability in the economic underpinnings of the risk structure of stock returns (as measured by principal components) that might also be a result of changing economic conditions.

Submitted by Alexandre Gomes (aludolf@gmail.com) on 2017-01-30T17:16:34Z No. of bitstreams: 1 FUNDOS MULTIMERCADOS BRASILEIROS CRIAM VALOR UMA AVALIACAO DOS ALFAS.pdf: 3747366 bytes, checksum: 91e4b622130ab4ac64d4ffc168ba2458 (MD5) / Approved for entry into archive by Renata de Souza Nascimento (renata.souza@fgv.br) on 2017-01-30T17:18:27Z (GMT) No. of bitstreams: 1 FUNDOS MULTIMERCADOS BRASILEIROS CRIAM VALOR UMA AVALIACAO DOS ALFAS.pdf: 3747366 bytes, checksum: 91e4b622130ab4ac64d4ffc168ba2458 (MD5) / Made available in DSpace on 2017-01-30T17:21:28Z (GMT). No. of bitstreams: 1 FUNDOS MULTIMERCADOS BRASILEIROS CRIAM VALOR UMA AVALIACAO DOS ALFAS.pdf: 3747366 bytes, checksum: 91e4b622130ab4ac64d4ffc168ba2458 (MD5) Previous issue date: 2016-12-16 / This work examines the alpha generation of the Brazilian multimarket fund industry, taking in account fund specific characteristics, fund strategies, investor segment during different economic conditions. The employed dataset represents 1,568 multistrategy funds from 328 different managers within a 10-year timeframe from Dec-2005 to Dec-2015. The proposed model utilizes a stepwise automatic feature selection method, similar to other authors such as Stafylas, Anderson e Uddin (2015), where features are selected from a regressor candidates list that contemplates: equity factors, interest rate factors, credit factors, currency factors and commodities factors. The results found shows that at a 5% level there is positive alpha generation, that is, Brazilian multistrategy funds on average have delivered extraordinary returns on the whole sample and at the more benign market environments. During less benign market environment multistrategy funds does not deliver alpha that is statistically distinguishable from zero and sub-strategy segmentation points to different risk exposures dynamics during different market conditions. / Esse trabalho analisa a geração de alfa da indústria brasileira de fundos multimercado, levando em consideração características específicas, estratégias de investimento e segmento de investidor durante diferentes condições econômicas. A amostra utilizada compreende 1.568 fundos de 328 gestores distintos, observados em granularidade mensal durante período de 10 anos, de dez-2005 a dez-2015. O método empírico utilizado faz uso de processo de seleção automática de regressores via stepwise, modelagem implementada por autores como Stafylas, Anderson e Uddin (2015), selecionados de uma lista prévia de candidatos a regressores amparados na literatura e contemplando fatores de ações, fatores de juros, fatores de risco de crédito, fatores de moedas e fatores de commodities. Os resultados obtidos mostram que a 5% existe geração de alfa positivo na categoria de fundos, isto é, os gestores de fundos multimercado têm capacidade de gerar, na média, retornos anormais na administração dos recursos dos investidores ao longo do tempo, tanto na amostra total quanto nos períodos econômicos mais benignos, contudo não apresentam retornos extraordinários estatisticamente diferentes de zero durante períodos econômicos menos benignos. Além disso, os fundos também apresentam diferenças sensíveis na composição dos retornos quando avaliados por sub-estratégias e em diferentes condições de mercado.