Essen, Univ., Diss--Duisburg, 2008.

Thesis (M.B.A.)--University of Hong Kong, 1984.

Thesis (M.B.A.)--University of Hong Kong, 1981.

Thesis (Ph. D.)--University of California, San Diego, 2003. / Vita. Includes bibliographical references.

In January 2016 a new pricing model for district heating will be introduced by Vattenfall in Uppsala. The public housing corporation Uppsalahem is one of Vattenfall’s biggest customers and by using one of their residential areas, August Södermans road, a case study was made in order to examine how the new pricing model might affect Uppsalahem. According to Vattenfall one reason for the switch is to give incentive for their customers to use more energy efficient solutions. This was studied by modelling two energy efficient solutions for the houses at August Södermans road. By changing the ventilation systems to FTX and invest in improved windows, Uppsalahem would have been able to save 940 MWh for the year 2013 at August Södermans road. A comparison between the current and the new pricing model showed that Uppsalahem would save 9 000 SEK with the new pricing model applied on August Södermans road at its current condition. If the two energy efficient solutions were taken into consideration the new pricing model would result in a decrease with 21 000 SEK for the year 2013.

Starting from the most famous Black-Scholes model for the underlying asset price, there has been a large variety of extensions made in recent decades. One main strand is about the models which allow a jump component in the asset price. The first topic of this thesis is about the study of jump risk premium by an equilibrium approach. Different from others, this work provides a more general result by modeling the underlying asset price as the ordinary exponential of a L?vy process. For any given asset price process, the equity premium, pricing kernel and an equilibrium option pricing formula can be derived. Moreover, some empirical evidence such as the negative variance risk premium, implied volatility smirk, and negative skewness risk premium can be well explained by using the relation between the physical and risk-neutral distributions for the jump component. Another strand of the extensions of the Black-Scholes model is about the models which can incorporate stochastic volatility in the asset price. The second topic of this thesis is about the replication of exponential variance, where the key risks are the ones induced by the stochastic volatility and moreover it can be correlated with the returns of the asset, referred to as leverage effect. A time-changed L?vy process is used to incorporate jumps, stochastic volatility and leverage effect all together. The exponential variance can be robustly replicated by European portfolios, without any specification of a model for the stochastic volatility. Beyond the above asset pricing and hedging, portfolio optimization is also discussed. Based on the Merton (1969, 1971)'s reduced portfolio optimization and the delta hedging problem, a portfolio of an option, the underlying stock and a risk-free bond can be optimized in discrete time and its optimal solution can be shown to be a mixture of the Merton's result and the delta hedging strategy. The main approach is the elasticity approach, which has initially been proposed in continuous time. In addition to the above optimization problem in discrete time, the same topic but in a continuous-time regime-switching market is also presented. The use of regime-switching makes our market incomplete, and makes it difficult to use some approaches which are applicable in complete market. To overcome this challenge, two methods are provided. The first method is that we simply do not price the regime-switching risk when obtaining the risk-neutral probability. Then by the idea of elasticity, the utility maximization problem can be formulated as a stochastic control problem with only a single control variable, and explicit solutions can be obtained. The second method is to introduce a functional operator to general value functions of stochastic control problem in such a way that the optimal value function in our setting can be given by the limit of a sequence of value functions defined by iterating the operator. Hence the original problem can be deduced to an auxiliary optimization problem, which can be solved as if we were in a single-regime market, which is complete. / published_or_final_version / Statistics and Actuarial Science / Doctoral / Doctor of Philosophy

Στην παρούσα εργασία περιγράφεται η έννοια του CAPM, πρόκειται για ένα υπόδειγμα αποτίμησης μετοχών. Σκοπός της μελέτης αυτής είναι να παρουσιάσουμε τα βασικά χαρακτηριστικά του υποδείγματος, η κριτική που του έχει ασκηθεί, τα πλεονεκτήματα και τα μειονεκτήματα αυτού. Ουσιαστικά πρόκειται για ένα μοντέλο αποτίμησης το οποίο χρησιμοποιείται για την τιμολόγηση αξιογράφων λαμβάνοντας υπόψη τον κίνδυνο αυτών. Να αναφέρουμε στο σημείο αυτό ότι ο κίνδυνος αποτελείται από δυο επιμέρους συστατικά, τον συστηματικό και τον μη συστηματικό κίνδυνο. Προκειμένου να περιοριστεί ο μη συστηματικός κίνδυνος καλό είναι οι επιχειρήσεις να επενδύουν σε πληθώρα περιουσιακών στοιχείων δηλαδή να έχουν ένα χαρτοφυλάκιο έντονα διαφορποιημένο. Οπότε ο μόνος κίνδυνος που καλείται να αντιμετωπίσει ο επενδυτής είναι ο συστηματικός κίνδυνος. / --

This dissertation describes two theories of risky choice based on a normatively axiomatized partial order. The first theory is an atemporal alternative to von Neumann and Morgenstern's Expected Utility Theory that accommodates the status quo bias, violations of Independence and preference reversals. The second theory is an extension of the Inter-temporal von Neumann-Morgenstern theory of Kreps and Porteus (1978) that features a normatively deduced preference for flexibility. A substantial part of the thesis is devoted to examining equilibrium implications of the inter-temporal theory. In particular, a multi-agent multi-period Bayesian rational expectations equilibrium is shown to exist under certain conditions. Implications to asset pricing are then investigated with an explicit parameterization of the model.

This dissertation consists of two essays dealing with two selected aspects of the investment decision process faced by individuals and corporations. In the first essay, I develop a model of a multiple-stage patent race between two rival firms to study the impact of technological competition on value and return dynamics of Research and Development (R&D) ventures. The model describes a firm's capital budgeting decision process in the presence of technical uncertainty, market uncertainty and preemption. I characterize the equilibrium of the race and derive optimal investment strategies. Analysis of the equilibrium firm value shows that the premium accruing to the technology "leader" is larger than the loss accruing to the technology "lagger" and that the marginal effect of success/failure is increasing in the uncertainty of cash flows. Risk premia demanded by an ownership claim to competing R&D ventures (i) increase when a rival pulls ahead in the race and (ii) are lower when rivals are "closer" to each other in the development process. Compared to the case where rival firms merge, R&D competition reduces the industry value and lowers the expected completion time for a project. The erosion in value, due to preemption, is higher when firms are "neck-and-neck" and in early stages of development. Numerical simulations show that, in later stages of development, risk premia demanded by the perfectly collusive market are generally lower than risk premia demanded by a portfolio of competing firms. The opposite is true in early stages of development, which suggests that R&D competition may actually lower the cost of early stage financing. In the second essay, I solve a portfolio allocation problem for an individual who can select between two risky assets and a riskless asset in the presence of capital gains taxes. I treat capital gains taxes as a form of endogenous transaction costs. Using this analogy, I characterize the trading strategy for the two assets, and study the effect of taxes on optimal portfolio diversification. The optimal strategy contains a "no trade" region and a dynamic tax-timing option. I find that the diversification costs due to capital gains taxes are substantial and the value of the tax deferral option is decreasing in the correlation among assets and in the volatility of the risky assets. By comparing the solution of the multiple asset portfolio problem to the one of an investor who can trade only in a mutual fund I am able to measure the value of the flexibility option of the multi-asset case as well as the cost of mutual fund turnover. Finally, I show that imposing a wash-sale constraint generates discontinuous portfolio rebalancing strategies.

The introduction of the Capital Asset Pricing Model in 1964, and its subsequent study by hundreds of thousands if not millions of people at universities throughout the world, has had far reaching consequences in terms of the way portfolios were constructed for many insurance and pension funds. It has affected the investment philosophies of large numbers of investors as well as influenced the calculations of firms costs of capital. Countless investment proposals have been accepted or rejected based on what the Capital Asset Pricing model has calculated the minimum return demanded by shareholders to be. This dissertation looks at the empirical evidence supporting the debate about the usefulness of the Capital Asset Pricing model, as well as presenting evidence as to any possible anomalies to this model on the JSE. / Thesis (MBA)-University of Natal, Durban, 2000.