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Portfelio parinkimo uždavinys yra viliojantis technikos moksluose, tiesioginiuose („online“) algoritmuose ir žinoma financiniuose skaičiavimuose. Šiame darbe buvo naudotas algoritmas, kuris nebando atspėti laimėtojus. ANTICOR algoritmo optimizavimui buvo naudotas genetinis algoritmas ir algoritmo stabdymas. / The portfolio selection problem is a challenging problem for machine learning, online algorithms and of course, computational finance. In this work was used a portfolio selection algorithm, which does not try to predict winners. There were used a genetic algorithm and algorithm stopping, trying to optimize the ANTICOR algorithm.

Submitted by Eduardo Gomes (esgomes@gmail.com) on 2013-01-15T17:32:40Z No. of bitstreams: 1 FGV MFEE Eduardo Gomes.pdf: 846321 bytes, checksum: 06db422e930bdce11432937d05e9e9c3 (MD5) / Approved for entry into archive by Vitor Souza (vitor.souza@fgv.br) on 2013-01-15T19:37:25Z (GMT) No. of bitstreams: 1 FGV MFEE Eduardo Gomes.pdf: 846321 bytes, checksum: 06db422e930bdce11432937d05e9e9c3 (MD5) / Made available in DSpace on 2013-02-04T17:28:56Z (GMT). No. of bitstreams: 1 FGV MFEE Eduardo Gomes.pdf: 846321 bytes, checksum: 06db422e930bdce11432937d05e9e9c3 (MD5) Previous issue date: 2012-05-31 / This study aims to investigate the existence of a liquidity premium in Brazilian stocks. By building portfolios sorted by various measures of liquidity is possible to test the differential expected return and risk incurred. The expected return of the portfolio built with less liquid stocks is significantly higher than the return of the portfolio built with the most liquids stocks. Conventional measures of risk (market and Fama-French factors) do not explain this excess of return. We tested different liquidity measures and the methodology proposed by Hwang and Lu (2007) was the one that the effect was more considerable. Taken together, the evidences show the presence of a liquidity premium in Brazil. / Esse trabalho tem como objetivo investigar a existência de um prêmio de liquidez nas ações brasileiras. Através da construção de portfólios classificados por diferentes medidas de liquidez é possível testar o diferencial esperado de retorno e o risco incorrido. O retorno esperado do portfólio construído com ações menos líquidas é significantemente superior ao retorno do portfólio construído com as mais líquidas e as medidas convencionais de risco (mercado e fatores Fama-French) não explicam este excesso de retorno. Foram testadas diferentes medidas de liquidez sendo a metodologia proposta por Hwang e Lu (2007) aquela onde o efeito é mais considerável. Em conjunto, as evidências mostram a existência de um prêmio de liquidez no Brasil.

The purpose of this thesis is to verify that the practises of debt management agencies in Poland, Hungary and Czech Republic are in accordance with the best practice based on international guidelines for public debt management. On the sample of Central European economies we can perceive new trends in public debt management that were enforced by growing public indebtness and its implications on fiscal health. These trends are particularly demonstated through proces of devoting the debt management institutions from the traditional position in the Ministry of Finance, through emphasis on achieving development of effective domestic securities market and the conception of long-term strategies based on risk management principles. From the comparison of the debt management practices in the selected countries it was possible to put forward a set of specific recommendations aplicable both to local and general conditions.

In my diploma thesis I have worked up a strategic analysis of the Pacovské strojírny Inc. company, during which I have used various methods of internal and external strategic analysis. Strategic analysis included Analysis of Company Resources, Portfolio Analysis and SWOT Analysis. The external strategic analysis included Porter's Five Forces Model, PEST Analysis and Competitors Analysis. On the basis of the aforementioned analyses I recommended a suitable strategy for future development of the enterprise.