Electricity generation is a vital element of economic growth, and it is necessary to encourage a growth model that does not endanger the capacity of a country to generate electricity. Generating electricity entails costs. This cost is not only economical but can also be, for example, environmental. This implies that there are different trade-offs associated with choices about how to generate electricity, such as technologies, fuels, impact on the environment, construction costs, budget constraints and so on. The Federal Government owns Mexico’s electricity sector. As such not only does it write the rules of the electricity sector but it also executes these rules. The government has stated a series of guiding principles regulating the electricity sector. These guiding principles reflect the priorities that should be taken into account when designing electricity portfolios. My thesis uses financial tools to offer a new approach to the problem of developing electricity portfolios. I assume that the electricity generation mix can be seen as a portfolio of assets. Using portfolio management techniques, I demonstrate scenarios for efficient portfolios given key assumptions about generation choices and prevailing costs. I also illustrate the implications of prioritizing one guiding principle over the other in terms of portfolio cost. Finally, my use of a portfolio modeling approach highlights the complexities inherent in public policy making given the technical and cost-driven nature of the electric power businesses and value chains. My work provides a possible method for more productive evaluation of various approaches in light of mixed priorities and the broad diversity of stakeholders in Mexico. / text

Bakgrund: Thomsen och Pedersen (2007), Abrahamson och De Ridder (2014), Fama och Jensen (1983), Gilson (2006) samt Michel et al. (2013) kommer samtliga fram till att ett bolags ägarstruktur samt att en kontrollägare har en direkt positiv påverkan på ett bolags prestation och dess avkastning. Detta kan förklaras genom den agentproblematik som existerar i ett bolag. Eftersom det vid börsintroduktioner ofta sker stora ägarförändringar är studier av ägarstrukturens påverkan på avkastningen, särskilt intressanta just vid börsintroduktioner samtidigt som det saknas fördjupade studier gällande hur ägarstrukturen påverkar avkastningen i svenska bolag.     Syfte: Syftet med studien är att förklara hur ägarstrukturen påverkar avkastningen för IPO:s.   Metod: Studien omfattar ett urval om totalt 47 bolag, som introducerats på den svenska börsen under åren 2006 - 2013. Urvalet har kategoriserats efter intervall avseende ägarandelar och sedan analyserats. Korrelations-tester har använts för att se ifall det existerar ett samband mellan variablerna  samt regressionsanalyser har genomförts för att se hur den riskjusterade avkastningen förhåller sig till ett bolags ägarstruktur.  Med hjälp av buy-and-hold abnormal return (BHAR) har regressionstesterna genomförts, som kontrollerats med inklusive och exklusive företagsspecifika kontrollvariabler.   Resultat: Våra resultat visar att ägarstrukturen har en viss men begränsad påverkan på avkastningen. I intervallet 20 – 80 procent finns dock en tydlig positiv påverkan på avkastningen. / Title: The ownership structure’s impact on revenue of IPOs – an analysis of the Swedish market   Background: Thomsen and Persson (2007), Abrahamson and De Ridder (2014), Fama and Jensen (1983), Gilson (2006) and Michel et al. (2013), all front that company's ownership structure and that a controlling shareholder has a direct positive impact on a company's performance and its returns. This can be explained by the agentproblem that exist in a company. As it often happens big changes in ownership at IPOs (Initial Public Offerings) are studies of ownership structure's impact on performance, particularly interesting just at IPOs. There are also no in-depth studies on how ownership structure affects the return of Swedish companies.   Purpose: The purpose of this study is to explain how the ownership structure affects revenue for IPOs.   Method: This study looks at a total of 47 corporations, all of which were introduced to the Swedish market between 2006 - 2013. The selection of corporations has been categorised based on a range of ownership shares and then thoroughly analysed. Correlation tests have been completed in order to find a causal link between variables and also regression analysis to see how the risk adjusted return is related to a company's ownership structure. Through a Buy-and-Hold Abnormal Return (BHAR) regressiontests has been made, and verified by including and excluding corporation-specific control variables.   Result: Our results suggest that the ownership structure has certain but limited effect on revenue. It does, however, indicate that ownership shares within 20-80 percent will have a positive impact on revenue.

There is evidence that globalization, economic assimilation and integration among countries and their financial markets have increased correlation among stock markets and the correlation may in turn impact investors’ allocation of their assets and economic policies. We have conducted a quantitative study with daily stock index quotes for the period January 2000 and December 2009 in order to measure the eventual correlation between the markets of ASEAN+3. This economic integration consists of; Indonesia, Malaysia, Philippines, Singapore, Thailand, China, Japan and South Korea. Our problem formulation is:Are the stock markets of ASEAN+3 correlated?Does the eventual correlation change under turbulent market conditions?In terms of the eventual correlation, discuss: is it possible to diversify an investment portfolio within this area?The purpose of the study is to conduct a research that will provide investors with information about stock market correlation within the chosen market. We have conducted the study with a positivistic view and a deductive approach with some theories as our starting point. The main theories discussed are; market efficiency, risk and return, Modern Portfolio Theory, correlation and international investments. By using the financial datatbase, DataStream, we have been able to collect the necessary data for our study. The data has been processed in the statistical program SPSS by using Pearson correlation.From the empirical findings and our analysis we were able to draw some main conclusions about our study. We found that most of the ASEAN+3 countries were strongly correlated with each other. Japan showed lower correlation with all of the other countries. Based on this we concluded that economic integration seems to increase correlation between stock markets. When looking at the economic downturn in 2007-2009, we found that the correlation between ASEAN+3 became stronger and positive for all of the countries. The results also showed that the correlation varies over time. We concluded that it is, to a small extent, possible to diversify an investment portfolio across these markets.

Syftet med studien är att identifiera om det finns någon skillnad i risk mellan svenska män och kvinnors aktieportföljer. I undersökningen av individernas riskbenägenhet används tre riskmått, total risk, marknadsrisk och unik risk, som enligt portföljteorin går att koppla till en individs aktieportfölj. Ålder och inkomst används som kontrollvariabler för att studera om eventuella skillnader i riskbenägenhet mellan könen kan förklaras av andra faktorer än kön. Studien baseras på en kvantitativ undersökning och sekundärdata från en unik databas. Urvalet för studien består av knappt 900 000 observationer av svenska individers aktieportföljer, med kontroll för kön, ålder och förvärvsinkomst. Resultatet av studien visar att det föreligger signifikanta skillnader mellan könens riskbenägenhet. Studien finner dock inga tydliga resultat för att män skulle vara mer riskbenägna än kvinnor, då könen tar olika hög risk beroende på vilket riskmått som avses. Resultaten visar på att skillnader mellan könens riskbenägenhet även existerar efter att variablerna ålder och inkomst studerats. / The purpose of this study is to identify whether there is any difference in risk between the stock portfolios of Swedish men and women. In the investigation of individual’ risk propensity, three measures of risk are used, total risk, market risk and unique risk, which according to the portfolio theory can be linked to an individual’s stock portfolio. Age and income are used as control variables to study whether any differences in risk propensity between the genders can be explained by other factors than gender. The study is based on a quantitative study and secondary data obtained from a unique database. The sample for the study consists of nearly 900 000 observations of Swedish individual’s stock portfolios, controlling for gender, age and income. The results of the study show that there are significant differences between the genders’ risk propensity. The study finds, however, no clear evidence that the men would be more risk-prone than women. The genders take different levels of high risk depending on which measure of risk involved. The results show that differences between the genders’ risk propensity also exists after studying the control variables age and income.

Magistro baigiamajame darbe nagrinėjami tokie pagrindiniai dalykai – obligacijos, obligacijų rinka ir portfelio sudarymo principai. Pirmoji, teorinė darbo dalis, skirta obligacijoms: apibūdinama obligacijų rinka kaip finansų rinkų posistemis, atskleidžiamos šio vertybinio popieriaus charakteristikos, rūšys, obligacijas veikiančios rizikos. Tada yra nagrinėjamos dvi portfelinės teorijos, kuriomis remtasi tyrime. Atliekama H. Markowitz „Portfelio teorijos“ ir adekvataus investicijų stochastinei prigimčiai portfelio teorijos analizė ir palyginimas. Tyrimas atliekamas tokia tvarka: įvertinama ir išanalizuojama 2001 – 2006 m. Lietuvos Vyriausybės vertybinių popierių (VVP) rinka ir kokią dalį joje užima obligacijos. Po to, remiantis išanalizuota rinka, bandoma sudaryti optimalų obligacijų portfelį Lietuvos VVP rinkos sąlygomis. Sudaromo portfelio pelningumas bei rizika valdomi pritaikius dominuojančią H. Markowitz „Portfelio teoriją“. Tyrimo rezultatams darbe papildyti suformuojamas adekvatus stochastinei obligacijų prigimčiai portfelio modelis, kuris įvertina rezultatų patikimumą. Išnagrinėjus teorinę ir praktinę dalį, pateikiamos baigiamojo darbo išvados ir pasiūlymai. Darbą sudaro tokios dalys: įvadas, teorinė dalis apie obligacijas, pagrindinių investicinio portfelio teorijų analizė, tyriamasis skyrius, išvados ir siūlymai, naudotos literatūros sąrašas, santrauka bei priedai. / In final thesis there are analyzed these major objects – bonds, bond market and principals of forming a portfolio of bonds. The first academic part of the work is devoted for the bonds: there are described bond market as finance market subsystem, also developed characteristics, sorts, persuading risks of this security. Then there are analyzed two theories of portfolios, which were used for the research. Also there was performed analysis and comparison of both „Portfolio theory“ created by H. Markowitz and portfolio theory adequate to the stochastic nature of investments. The research was performed in the following way: there are evaluated and analysed 2001-2006 Lithuanian government securities market and part taken by bonds. According to the analysed market there was composed an optimal bonds portfolio under Lithuanian government security market condition. The profitability and risk of the portfolio are managed adopting the prevailing „Portfolio theory“ by H. Markowitz. According to research results there were formed portfolio model adequate to stochastic nature of bond, which evaluates the reliability of results. At the end there are given conclusions of the final thesis and suggestions. Structure: introduction, academic chapter about bonds, analysis of the main investment portfolio theories, investigative chapter, conclusions and suggestions, list of references, summary and appendixes.

This paper examines data for 12,868 individuals from the National Longitudinal Survey of Youth (NLSY79) from 1979 through 2010 to explore certain financial incentives of marriage. In particular, this paper focuses on identifying the combination of occupations that decreases idiosyncratic income volatility to the greatest extent. For the sake of this paper, marriage is defined as the combination of two separate assets into a single portfolio. With such, I derive the efficient frontier for each occupation and gender. In the process, reward-to-volatility and mean-variance utility maximization techniques are introduced. Ultimately, applying modern portfolio theory to the marriage market allows one to examine the economic incentives of marriage in a way that has not previously been done. On the whole, the analysis confirms previous literature on marriage dynamics, while offering a new framework for analysis.

Στόχος μιας επένδυσης είναι το κέρδος, όπως αυτό εκφράζεται μέσω της απόδοσης. Στην εργασία αυτή μελετάμε την έννοια και τις διάφορες μορφές απόδοσης, καθώς και διάφορα μοντέλα πρόβλεψής της, όπως το Μοντέλο Τυχαίου Περιπάτου. Στη συνέχεια εξετάζουμε την σχέση κινδύνου-απόδοσης και τον τρόπο με τον οποίο ενδείκνυται να διαχειριζόμαστε χαρτοφυλάκια επενδυτικών προϊόντων. Για τον σκοπό αυτό είναι ιδιαιτέρως χρήσιμη η εύρεση του Tangency Portfolio, η εκτίμηση των E(R) και σR, και τέλος η μελέτη της συσχέτισης μεταξύ των τοποθετήσεων ρίσκου που αποτελούν το χαρτοφυλάκιό μας. Ακολουθεί αναφορά σε επενδύσεις σταθερού κέρδους, όπως είναι τα ομόλογα, και εισάγεται η έννοια της Value at Risk (VaR), με τις δύο βασικές της παραμέτρους, τον χρονικό ορίζοντα (Τ) και το επίπεδο εμπιστοσύνης (1-α). Η VaR εκτιμάται παραμετρικά, μη παραμετρικά και με την χρήση Pareto Tails. Τέλος, εισάγεται η έννοια των συζεύξεων (copulas), και μελετώνται μέσω αυτών οι τιμές της VaR ενός επενδυτικού χαρτοφυλακίου. Κλείνουμε με μια εφαρμογή στο λογισμικό XPlore, όπου χρησιμοποιούνται πραγματικά δεδομένα τραπεζικών προϊόντων για τη μελέτη της VaR. / Objective of an investment is profit, as this is expressed through returns.We study the meaning and various forms of returns, as well as various models of anticipation of returns, such as the Random Walk Model.We focus at the risk-return relationship, and the way in which it is appropriate to manage portfolios of various investment products. To accomplish this, it is useful finding the tagency portfolio, estimating E(R) and sR, and eventualy studying the correlation between the various risk investments, which consist part of a portfolio.We continue with an extended reference to bonds, and introduce the concept of Value at Risk (VAR), with the it's two basic parameters, time horizon (T) and level of confidence (1-a).VaR is estimated parametricaly, non-parametricaly and with the use of pareto tails. Finally, we introduce the concept of copulas , and with their aid, we try to estimate the VaR of an investment portfolio. We conclude with an example of Value at Risk estimation, using real data, taken from the site of the National Bank of Greece.

One of the main research questions in financial mathematics is that of portfolio construction: how should one systematically invest their wealth in a financial market? This problem has been tackled in numerous ways, typically through the modeling of market prices and the optimization of an investment objective. A recent approach to portfolio construction is that offered by Stochastic Portfolio Theory, in which a relatively general market model is assumed, and the portfolio selection criterion is to outperform a benchmark with probability one. In order to achieve this, Robert Fernholz developed the method of functional generation, which allows one to explicitly construct and study portfolios that depend deterministically on the currently observable prices. The typical example of such a strategy is the diversity-weighted portfolio, which we extend in the first chapter of this work with a negative-parameter variation. We show that several modifications of this portfolio outperform the market index in theory, under certain assumptions on the market, and we perform an empirical study that confirms this. In our second chapter, we develop a data-driven portfolio construction method that goes beyond functional generation, allowing for the inclusion of factors other than current prices. We empirically show that this Bayesian nonparametric approach, which utilizes Gaussian processes, leads to drastically improved performance compared to benchmark portfolios. Next, we establish a formal equivalence between the method of functional generation and the mathematical field of optimal transport. Our results fortify known relations between the two, and extend this connection to additive functional generation, a recent variation of the method. In Chapter 4, we apply our results to derive new properties and characterizations of functionally-generated wealth processes in very general market models. Finally, we develop methods for incorporating defaults into functional generation, improving its real-world implementability.

The theme of this thesis is comparison of mutual funds from international perspective.The funds compared are situated in countries of the European Union and the United States of America. The funds of the EU are situated in these countries: Germany, France, Great Britain, and the Czech Republic. The comparison was done in five-year term, and three-year term. To compare the funds, the theory of modern portfolio was applied. The funds were compared on basis of returns, risk and risk-to return.

nÃo hà / This study applies traditional techniques in Finance and Econometrics in order to analyze the impacts of Financial Crisis on some sectors of the Brazilian economy based upon market indicators provided by Getulio Vargas Foundation (FGV). Initially we apply the theory proposed by Markowitz to sectoral indicators for eight economic sectors and estimate efficient portfolios in the pre and post-financial crisis periods and we verify that the weights established in the two cases differ dramatically. After that, we estimate quantile regressions for three sectors: Mining, Metallurgic and Textiles are estimated confronting the its returns against the return of the market portfolio and the implicit volatility measured. First of all, the model captures the increase in the risk premium demanded by investors in times of crisis; in spite of the models allow us to infer that there is a change in consumer behavior in times of economic instability in order to make him more risk-tolerant. / O estudo utiliza tÃcnicas tradicionais de FinanÃas e Econometria para analisar os impactos da crise financeira de 2008 sobre alguns setores da economia brasileira, tomando por base os indicadores setoriais de mercado da FundaÃÃo GetÃlio Vargas (FGV). Inicialmente aplica-se a teoria de Markowitz aos indicadores setoriais de mercado de oito setores e estimam-se portfÃlios eficientes no perÃodo prà e pÃscrise financeira, constatando que os pesos atribuÃdos aos dois perÃodos diferem dramaticamente. Posteriormente, regressÃes quantÃlicas para os setores MineraÃÃo, Metalurgia e TÃxtil sÃo estimadas, confrontando o retorno setorial com o retorno da carteira de mercado e a volatilidade implÃcita. AlÃm de captar a elevaÃÃo do prÃmio de risco exigido pelos investidores em perÃodos de crise, os modelos permitem inferir que hà uma mudanÃa de comportamento do consumidor em perÃodos de instabilidade econÃmica no sentido de tornÃ-lo mais tolerante ao risco.