Since most financial institutions use the Sharpe Ratio to evaluate the performance of mutual funds, the objective of most fund managers is to select the portfolio that can generate the highest Sharpe Ratio. Traditionally, they can revise the objective function of the Markowitz mean-variance portfolio model and resolve non-linear programming to obtain the maximum Sharpe Ratio portfolio. In the scenario with short sales allowed, this project will propose a closed-form solution for the optimal Sharpe Ratio portfolio by applying Cauchy-Schwarz maximization. This method without using a non-linear programming computer program is easier than traditional method to implement and can save computing time and costs. Furthermore, in the scenarios with short sales disallowed, we will use Kuhn-Tucker conditions to find the optimal Sharpe Ratio portfolio. On the other hand, an efficient frontier generated by Markowitz mean-variance portfolio model normally has higher risk higher return characteristic, which often causes dilemma for decision maker. This research applies generalized loss function to create a family of decision-aid performance measures called IRp which can well tradeoff return with risk. We compare IRp with Sharpe Ratio and utility functions to confirm that IRp measures are approapriate to evaluate portfolio performance on efficient frontier and to improve asset allocation decisions. In addition, empirical data of domestic and international investment instruments will be used to examine the feasibility and fitness of the new proposed method and IRp measures. This study applies the methods of Cauchy-Schwarz maximization in multivariate statistical analysis and loss function in quality engineering to portfolio decisions. We believe these new applications will complete portfolio model theory and will be meaningful for academic and business fields.

This diploma thesis is focused on building investment portfolios using Markowitz portfolio theory. For calculating the weights of individual securities in the portfolio will be used the derivation based on Capital Asset Pricing Model (CAPM). From asset classes were chosen shares as a research sample. Shares in each portfolio are set together according to predefined criteria. This thesis examines the effect of beta coefficients on investment returns, further a portfolio is built according to analyst recommendations, taking into account the price estimation and also ran-dom portfolio is selected by computer. The results of this thesis will determine the general recommendations for optimal approach in selecting securities into the in-vestor's portfolio.

[pt] A crescente competitividade tem induzido muitas organizações a reestruturar seus processos, tornando-os mais dinâmicos e enxutos, exigindo maior flexibilidade, melhor qualidade e menor custo. Com isso, os temas sustentabilidade e compras têm apresentado crescente interesse acadêmico nos últimos anos. Em relação à sustentabilidade, sua importância se deve principalmente à atenção despertada face às mudanças climáticas causadas pela ação do Homem no meio ambiente. Devido a isso, as empresas passam a se preocupar não apenas com os ganhos, mas também com os fatores ambientais, econômicos e sociais. Em relação a Compras, esta atividade assumiu importante posição estratégica nos últimos anos dentro das empresas principalmente quando se percebeu quanto que o gasto com compras representa no valor do produto final. Aliado a estas questões, percebe-se na literatura poucos estudos referentes ao conceito de sustentabilidade dentro de compras. Este conceito é importante, já que, quanto mais sustentável a empresa for em seus processos, maior sua vantagem competitiva e chance de sobrevivência no mercado. Esta dissertação consiste na identificação dos fatores de sustentabilidade que são tangíveis e necessários ao processo de compras para que ele seja considerado sustentável. A principal contribuição deste estudo é a aplicação e a avaliação de um modelo de portfólio de compras voltado para sustentabilidade. A pergunta central que se objetiva responder é como os elementos da sustentabilidade devem ser aplicados para a obtenção de uma Compra Sustentável? e é complementada através de estudo de caso para diagnóstico de uma categoria de compras, alocada no quadrante alavancagem da matriz de Kraljic, de uma empresa do setor de mineração. O ponto de partida é a identificação dos fatores que caracterizam um processo de contratação como sustentável. Para isso, uma extensa revisão bibliográfica foi realizada. Após a aplicação do modelo, conclui-se que a categoria analisada é classificada como Commodity Estratégica no modelo de Pagell et al. e, como principal característica pode-se citar o risco de fornecimento que o comprador leva de baixo para alto, devido a necessidade de se investir no relacionamento com os fornecedores para mitigar riscos ao Tripple Bottom Line. / [en] The growing global competitiveness has led many organizations to restructure their processes, making them more lean and dynamic, requiring greater flexibility, better quality and lower cost. With that, the sustainability themes and purchases have shown increasing academic interest in recent years. With regard to sustainability, its importance is mainly due to attention aroused face climate change caused by predation of Man on the environment. Because of this, companies are worrying not only with gains, but also with the environmental, economic and social factors. In respect of Purchases, this activity has assumed important strategic position within companies in recent years, especially when the companies noted how much that is spending with purchases and what is the percentage that represents this value in the final product. Allied to these issues, there are very few studies in the literature related to the concept of sustainability within the purchasing process. This concept is important, since the more sustainable the company is in its processes, the greater your competitive advantage.This dissertation presents the identification of sustainability factors which are tangible and required for the purchasing process for it to be considered sustainable. The main contribution of this study is the implementation and evaluation of a model portfolio of purchases aimed at sustainability. The central question that aims to answer is How do the sustainability factors must be applied to obtaining a sustainable Purchase ? and is supplemented using a case study for diagnosis of a shopping category of a company in the mining sector, allocated on the Kraljic matrix leverage quadrant. The starting point is the identification of the factors that characterize a contracting process as sustainable. For this, an extensive literature review was conducted. After applying the template, it appears that the category analyzed is classified as a Strategic Commodity in Pagell model et al. and as main feature can cite the delivery risk the buyer takes from low to high due to the need to invest in the relationship with suppliers to mitigate risks to the Triple Bottom Line.

A gestão de fornecedores é uma atividade crítica para a gestão do desempenho de empresas inseridas em redes produtivas. O modelo de segmentação ou portfólio de compras é definido como um processo de separação de fornecedores em grupos em função de diferentes necessidades e características, requerendo diferentes tipos de relacionamentos. Esta técnica tem recebido uma atenção cada vez maior no meio acadêmico e empresarial devido a sua estrutura simples e eficaz na organização de diferentes estratégias de suprimentos. Diferentes propostas de modelos têm sido apresentadas, mas todas com grande presença de variáveis qualitativas. Embora a teoria da lógica fuzzy tenha se demosnstrada adequada no tratamento deste tipo de variável, que tem forte presença de incerteza e imprecisão na coleta e tratamento dos dados, não há na literatura uma investigação de como um sistema de inferência fuzzy poderia ser utilizado em um modelo de portfólio de compras. Desta forma, este trabalho tem por objetivo a proposição de um sistema de inferência fuzzy para auxiliar no processo de tomada de decisão na avaliação e desenvolvimento de fornecedores baseado em modelos de portfolio. Busca-se contribuir com o conhecimento das pesquisas cujo tema envolve a segmentação, avaliação e desenvolvimento de fornecedores. Os procedimentos de pesquisa utilizados no trabalho podem ser agrupados em três partes: pesquisa bibliográfica, desenvolvimento do modelo quantitativo axiomático descritivo e ilustração por meio de duas aplicações práticas. A construção do modelo proposto evidenciou a grande flexibilidade do sistema de inferência, que possibilita modificações nas variáveis e nas bases de regras de acordo com os objetivos estratégicos de suprimentos. As duas aplicações práticas mostraram que os resultados das avaliações e as diretrizes para melhoria foram coerentes com as percepções dos especialistas em gestão de fornecedores das duas empresas. Os sistemas de inferência fuzzy demostraram ser uma alternativa adequada no tratamento das variáveis, em grande parte qualitativas, que compõem as dimensões das matrizes de item comprado e de relacionamento com os fornecedores. / Purchasing and buyer-supplier relationship management have become very critical activities to the performance management of organizations and supply chains. The segmentation or purchase portfolio model is defined as a process of suppliers separation in groups as a function of different needs and characteristics, requiring different kinds of relationships to create value in their exchanges. This approach has received increasing attention in the academic and business due to its simple structure and effective in organizing different suppliers approaches. Different proposals have been presented and all have great use of qualitative variables. Although the theory of fuzzy logic has been developed to the treatment of this type of variable, which has a strong presence of uncertainty and imprecision in the data collection and processing, it couldn´t be found any research exploring how a fuzzy inference system could be used in purchase portfolio models. Thus, this thesis aims to propose a fuzzy inference system to aid the decision making process in the supplier assessment and development based on portfolio models. This research intends to contribute to the segmentation, evaluation and supplier development knowledge. The research procedures used in this study can be grouped into three parts: literature review, development of axiomatic descriptive quantitative model and illustration through two practical applications. The construction of the proposed model showed the great inference system flexibility allows changes in the variables and the rule bases in accordance with the supply strategic objectives. The evaluations results and improvement guidelines in two pratical applicatins were consistent with the supply manager perceptions from both companies. The fuzzy inference systems have shown to be a suitable alternative in the treatment of the variables that make up the dimensions of the purchased itens and supplier relationships matrices.

A gestão de fornecedores é uma atividade crítica para a gestão do desempenho de empresas inseridas em redes produtivas. O modelo de segmentação ou portfólio de compras é definido como um processo de separação de fornecedores em grupos em função de diferentes necessidades e características, requerendo diferentes tipos de relacionamentos. Esta técnica tem recebido uma atenção cada vez maior no meio acadêmico e empresarial devido a sua estrutura simples e eficaz na organização de diferentes estratégias de suprimentos. Diferentes propostas de modelos têm sido apresentadas, mas todas com grande presença de variáveis qualitativas. Embora a teoria da lógica fuzzy tenha se demosnstrada adequada no tratamento deste tipo de variável, que tem forte presença de incerteza e imprecisão na coleta e tratamento dos dados, não há na literatura uma investigação de como um sistema de inferência fuzzy poderia ser utilizado em um modelo de portfólio de compras. Desta forma, este trabalho tem por objetivo a proposição de um sistema de inferência fuzzy para auxiliar no processo de tomada de decisão na avaliação e desenvolvimento de fornecedores baseado em modelos de portfolio. Busca-se contribuir com o conhecimento das pesquisas cujo tema envolve a segmentação, avaliação e desenvolvimento de fornecedores. Os procedimentos de pesquisa utilizados no trabalho podem ser agrupados em três partes: pesquisa bibliográfica, desenvolvimento do modelo quantitativo axiomático descritivo e ilustração por meio de duas aplicações práticas. A construção do modelo proposto evidenciou a grande flexibilidade do sistema de inferência, que possibilita modificações nas variáveis e nas bases de regras de acordo com os objetivos estratégicos de suprimentos. As duas aplicações práticas mostraram que os resultados das avaliações e as diretrizes para melhoria foram coerentes com as percepções dos especialistas em gestão de fornecedores das duas empresas. Os sistemas de inferência fuzzy demostraram ser uma alternativa adequada no tratamento das variáveis, em grande parte qualitativas, que compõem as dimensões das matrizes de item comprado e de relacionamento com os fornecedores. / Purchasing and buyer-supplier relationship management have become very critical activities to the performance management of organizations and supply chains. The segmentation or purchase portfolio model is defined as a process of suppliers separation in groups as a function of different needs and characteristics, requiring different kinds of relationships to create value in their exchanges. This approach has received increasing attention in the academic and business due to its simple structure and effective in organizing different suppliers approaches. Different proposals have been presented and all have great use of qualitative variables. Although the theory of fuzzy logic has been developed to the treatment of this type of variable, which has a strong presence of uncertainty and imprecision in the data collection and processing, it couldn´t be found any research exploring how a fuzzy inference system could be used in purchase portfolio models. Thus, this thesis aims to propose a fuzzy inference system to aid the decision making process in the supplier assessment and development based on portfolio models. This research intends to contribute to the segmentation, evaluation and supplier development knowledge. The research procedures used in this study can be grouped into three parts: literature review, development of axiomatic descriptive quantitative model and illustration through two practical applications. The construction of the proposed model showed the great inference system flexibility allows changes in the variables and the rule bases in accordance with the supply strategic objectives. The evaluations results and improvement guidelines in two pratical applicatins were consistent with the supply manager perceptions from both companies. The fuzzy inference systems have shown to be a suitable alternative in the treatment of the variables that make up the dimensions of the purchased itens and supplier relationships matrices.

A simple Stock Market Game Model (SEGM) was introduced in 2002 by J. Mockus to simulate the behavior of several stockholders trading a single stock. In contrast, the proposed model PORTFOLIO is simulating stock exchange including a number of different stocks. The objective of PORTFOLIO is not forecasting, but simulation of stock exchange processes that are affected by predictions of the participants. The main improvements are the multi-stock extension and a number of different trading rules, which represent both the heuristics of potential investors and the well-known theoretical investment strategies. This makes the model more realistic and allows the portfolio optimization in the space of investment strategies, in both the historical and virtual environments. This is an essential improvement comparing with traditional single-stock models with direct interaction of investment agents. The "virtual" stock exchange can help in testing the assumption of rational investor behavior vs. the recent theories that explain financial markets by irrational responses of major market participants. The model has been compared with actual financial time series and found the results to be close in some cases. The model is designed as a tool to represent behavior of individual investor, which wants to predict how the expected profit depends on different investment rules using different forecasting methods of real and virtual stocks. / Paprastas akcijų rinkos žaidimo modelis (angl. Stock Market Game Model) buvo pristatytas J. Mockaus 2002 m. Šis modelis imituoja kelių akcininkų, prekiaujančių viena akcija, elgesį. Siūlomas modelis PORTFOLIO, priešingai, imituoja akcijų biržos darbą, kurioje vyksta prekyba su daugelio firmų akcijomis. PORTFELIO modelio tikslas yra ne prognozavimas, bet simuliavimas akcijų biržos procesų, kurie yra priklausomi nuo investuotojų prognozių. Pagrindinis modelio patobulinimas yra kelių akcijų ir įvairių prekybos taisyklių įvedimas, kurios atstovauja tiek potencialių investuotojų euristikas, tiek gerai žinomas teorines investavimo strategijas. Tai suteikia modeliui daugiau realistiškumo ir leidžia atlikti portfelio optimizavimą naudojant įvairias investavimo strategijas tiek su istoriniais duomenimis, tiek virtualioje aplinkoje. Tai esminis patobulinimas lyginant su tradiciniais vienos akcijos modeliais. "Virtuali" akcijų birža gali padėti tiriant racionalaus investuotojo elgesio prielaidą lyginant su pastarojo laikotarpio teorijomis, teigiančiomis, kad pagrindiniai rinkos dalyviai elgiasi neracionaliai. Modelis buvo lyginamas su realiomis finansinėmis laiko eilutėmis ir buvo rastas rezultatų panašumas tam tikrais atvejais. PORTFELIO modelis gali būti naudojamas kaip priemonė imituoti individualaus investuotojo elgesį, kuris nori prognozuoti, kaip tikėtinas pelnas priklauso nuo įvairių investavimo taisyklių naudojant skirtingus realių ir virtualių akcijų kainų prognozavimo metodus.

Paprastas akcijų rinkos žaidimo modelis (angl. Stock Market Game Model) buvo pristatytas J. Mockaus 2002 m. Šis modelis imituoja kelių akcininkų, prekiaujančių viena akcija, elgesį. Siūlomas modelis PORTFOLIO, priešingai, imituoja akcijų biržos darbą, kurioje vyksta prekyba su daugelio firmų akcijomis. PORTFELIO modelio tikslas yra ne prognozavimas, bet simuliavimas akcijų biržos procesų, kurie yra priklausomi nuo investuotojų prognozių. Pagrindinis modelio patobulinimas yra kelių akcijų ir įvairių prekybos taisyklių įvedimas, kurios atstovauja tiek potencialių investuotojų euristikas, tiek gerai žinomas teorines investavimo strategijas. Tai suteikia modeliui daugiau realistiškumo ir leidžia atlikti portfelio optimizavimą naudojant įvairias investavimo strategijas tiek su istoriniais duomenimis, tiek virtualioje aplinkoje. Tai esminis patobulinimas lyginant su tradiciniais vienos akcijos modeliais. "Virtuali" akcijų birža gali padėti tiriant racionalaus investuotojo elgesio prielaidą lyginant su pastarojo laikotarpio teorijomis, teigiančiomis, kad pagrindiniai rinkos dalyviai elgiasi neracionaliai. Modelis buvo lyginamas su realiomis finansinėmis laiko eilutėmis ir buvo rastas rezultatų panašumas tam tikrais atvejais. PORTFELIO modelis gali būti naudojamas kaip priemonė imituoti individualaus investuotojo elgesį, kuris nori prognozuoti, kaip tikėtinas pelnas priklauso nuo įvairių investavimo taisyklių naudojant skirtingus realių ir virtualių akcijų kainų prognozavimo metodus. / A simple Stock Market Game Model (SEGM) was introduced in 2002 by J. Mockus to simulate the behavior of several stockholders trading a single stock. In contrast, the proposed model PORTFOLIO is simulating stock exchange including a number of different stocks. The objective of PORTFOLIO is not forecasting, but simulation of stock exchange processes that are affected by predictions of the participants. The main improvements are the multi-stock extension and a number of different trading rules, which represent both the heuristics of potential investors and the well-known theoretical investment strategies. This makes the model more realistic and allows the portfolio optimization in the space of investment strategies, in both the historical and virtual environments. This is an essential improvement comparing with traditional single-stock models with direct interaction of investment agents. The "virtual" stock exchange can help in testing the assumption of rational investor behavior vs. the recent theories that explain financial markets by irrational responses of major market participants. The model has been compared with actual financial time series and found the results to be close in some cases. The model is designed as a tool to represent behavior of individual investor, which wants to predict how the expected profit depends on different investment rules using different forecasting methods of real and virtual stocks.

Background: Business relationships between buyers and suppliers are of great importance to maintain a profitable and beneficial business environment. Every organization’s relationship characteristics vary and are influenced by various factors, including environmental conditions and competitors in the market. Also, Brexit is an event that brings uncertainty to these relationships. It is unknown how Brexit will affect the business environment and it is, therefore, necessary to investigate Brexit’s effect on buyer-supplier relationships. The research of Brexit could contribute with valuable insightsfor both companies and policymakers since it will demonstrate the way Brexit has influenced buyer-supplier relationships and companies' responses to the event.  Purpose: The purpose of this paper is to examine the relationships between buyers and suppliers in the EU and the British market under the effect of Brexit. The supplier-buyer relationship will be focused on EU buyers and British suppliers, which will illustrate the adaptations and changes companies in the EU are facing regarding their relationships. Further on, the relevance of this paper will be highlighted through the long-debated case of Brexit. Method: The research is a qualitative study that follows a case study frame of logic. Data has been collected through semi-structured interviews with a sample of three individuals with a purchasing background. The empirical findings were analysed through a logic of thematic analysis using the Bensaou (1999) buyer-supplier relationships portfolio model as an analysis tool. Conclusion:  The analyses have found that there is no change experienced in the current buyer-supplier relationship characteristics due to Brexit. The participants expect to have some influence on their cost in the future which then may affect their product category. Otherwise, the EU buyers have not changed their outlook on their UK suppliers because of Brexit and for the time being continue their business as usual.

<p>In this thesis a complete portfolio model for supporting development of purchasing strategies for raw material at Casco Adhesives is developed. The model consists of a classification tool which divides the raw material into four distinct quadrants with different main tasks. The second part of the model is a strategy template which gathers necessary information dependent on the quadrant.</p>

In this thesis a complete portfolio model for supporting development of purchasing strategies for raw material at Casco Adhesives is developed. The model consists of a classification tool which divides the raw material into four distinct quadrants with different main tasks. The second part of the model is a strategy template which gathers necessary information dependent on the quadrant.