Asset Liability Management is a current topic where accountability of asset management is of high importance. This is a result of continuously increasing investments in the stock market globally. The globalisation exposes a big part of the different markets to the same types of risk. This makes it harder to secure capital and assets through diversified investments. Further it has led to a more complex and resource demanding investment basis. The uncertainty of the future brings the focus of fund management to optimising and minimising risks, rather than trying to predict individual movements of specific assets on the market. The goal of this project has been to find, test and evaluate different investment- and portfolio selection strategies with trajectories of some chosen assets, simulated from a Economic Scenario Generator (ESG). This ESG has gratefully been provided by Willis Towers Watson, which in their daily work deal with these areas. Further the trajectories has acted as possible outcomes of asset returns. Employed portfolios intended to replicate pension foundations in placement guidelines and characteristics, with different strategies has then followed the development of the assets and has been matched against the pension liabilities of an average sized Swedish pension foundation. The outcomes of the portfolios has thereafter been assessed and compared with each other. The target has been to localise an optimal risk level in respect to the portfolios' performance and to achieve as high pension funding ratio as possible. The strategies tested have been varied. Variants such as Buy-and-Hold is an example of a simpler investment strategy. There the assets within the portfolio has initially been allocated according to given weights, then the portfolio has ran static with the initial shares over the tested period of 10 years. Other more complex, aggressive and risk taking strategies have also been tested. Here, re-allocating every year is common and the weights within the portfolios depends on the properties of the different assets and the strategy employed. The key performance indicator of the tested portfolios has been the funding ratio of pension payments. The best portfolio in this regard was the one that employed Sharpe allocation for all assets. It had a funding ratio of 91.22%. The worst portfolio due to this measurement was the buy-and-hold strategy with equal weights of the assets. It only covered 79.48% of the pension payments. Important to mention is that the initial funding ratio of all tested portfolios was set to 80%. This means that the portfolio value in time step zero was set to 80% of the value of the pension liabilities. WTW does not blindly confirm the results and this thesis should not be seen as an investment advise. The results are based on data obtained from a specific ESG and does not necessarily look the same using other scenarios or different market data. / Asset Liability Management fortsätter att vara ett aktuellt ämne och en ansvarstagande kapitalförvaltning är av hög vikt. Detta är ett resultat av kontinuerligt ökande investeringar på aktiemarknader världen över. I tillägg gör globaliseringen att de flesta människor är exponerade mot samma typ av risker vilket kan göra det svårare att säkra kapital genom diversifierade investeringar. Detta har gett upphov till alltmer komplicerade och resurskrävande investeringsunderlag. Osäkerheten framtiden för med sig gör att fokusområdet inom kapitalförvaltning framför allt handlar om att optimera och minimera risker, snarare än att försöka förutspå enstaka rörelser på aktiemarknaden. Detta projekt har gått ut på att testa och utvärdera diverse investerings- och portföljsvalsstrategier med simulerade reella tidsserier för olika tillgångar. Dessa tidsserier är simulerade ur en Ekonomisk Scenariogenerator (ESG) som tacksamt mottagits av Willis Towers Watson, som i sitt dagliga arbete sysslar med frågor rörande dessa ämnen. Vidare har tidsserierna agerat som tänkbara utfall för hur tillgångars priser kan röra sig. Antagna portföljer med olika strategier har sedan fått följa prisutvecklingen i de olika scenariona och matchas mot skuld och kassaflöden tillhörande en medelstor svensk pensionsstiftelse. Utfallen har därefter utvärderats och jämförts med varandra. Målsättningen har varit att lokalisera en optimal risknivå sett till portföljernas prestation och framför allt eftersträva en så hög pensionstäckningsgrad som möjligt. Investeringsstrategierna som har testats har varit varierande. Varianter som buy-and-hold-strategin är ett exempel på en enklare strategi. Där har tillgångarna i portföljen initialt allokerats enligt given viktning, sedan har portföljen fortlöpit statiskt med de initiala andelarna för livslängden av portföljens testperiod, vilket är 10 år. Andra mer komplexa, offensiva och risktagande strategier har också testats där innehaven i portföljen ombalanserats en gång per år. Allokeringarna inom portföljen beror av vilka egenskaper tillgångarna besitter och den använda strategin. Det tyngsta nyckeltalet kopplat till portföljernas prestation har varit täckningsgraden av pensionskostnader. Bästa portföljen i detta avseende var den som använde sig av Sharpe-allokering för alla tillgångar, den hade en täckningsgrad av 91.22%. Sämst resultat av alla testade strategier hade buy-and-hold portföljen med lika viktning av tillgångarna. Den täckte endast 79.48% av pensionsutbetalningarna. Vad som är viktigt att nämna är att fonderingsgraden för alla testade portföljer sattes till 80%. Detta betyder att portföljvärdet i tidsteg noll är 80% av pensionsskuldernas värde. WTW bekräftar inte blint resultaten och denna avhandling bör inte ses som ett investeringsråd. Resultaten är baserade på data erhållen från en specifik ESG och ser inte nödvändigtvis densamma ut baserat på andra scenarion eller annan marknadsdata.

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Submitted by Maria Fernanda Alessio (mfalessio@gmail.com) on 2017-03-31T13:41:20Z No. of bitstreams: 1 Alessio, 2017 - Estratégias de escolha de dirigentes públicos no Brasil.pdf: 3356900 bytes, checksum: fc5a07062e2d5bd18081abeadf372868 (MD5) / Approved for entry into archive by Pamela Beltran Tonsa (pamela.tonsa@fgv.br) on 2017-03-31T18:09:51Z (GMT) No. of bitstreams: 1 Alessio, 2017 - Estratégias de escolha de dirigentes públicos no Brasil.pdf: 3356900 bytes, checksum: fc5a07062e2d5bd18081abeadf372868 (MD5) / Made available in DSpace on 2017-04-03T12:30:41Z (GMT). No. of bitstreams: 1 Alessio, 2017 - Estratégias de escolha de dirigentes públicos no Brasil.pdf: 3356900 bytes, checksum: fc5a07062e2d5bd18081abeadf372868 (MD5) Previous issue date: 2017-03-07 / This thesis analyzes the selecting and appointing strategies of top public managers in Brazil, debating its advances and limitations in relation to international experiences, in which the managerial competences constitutes a central attribute to the senior civil service models. Its theoretical approach is guided by the international literature on top public managers and senior civil service systems, issues that are insufficiently discussed in Brazil. For this reason, our study clarifies the contours of this theme: it proposes an analytical definition for top public managers and identifies, empirically, in which Brazilian Federal Executive positions they are situated. We argue that the appointment of public managers is preceded by a set of choice mechanisms that are not explored by the brazilian literature, since the existing analyzes, besides not delimiting the managerial space, are based on the dichotomy of the combat to the free appointments associated with the defense of the reserve of positions for servers, without incorporating the attributes of the professional senior civil service. In order to demonstrate the variety of existing choice strategies and overcome this dichotomous view, a broad consultation with federal organizations was made electronically, along with documentary analysis, leading to a categorization of five analytical models, called Discretionary, Conditional, Concertative, Representative and Managerial. Our second argument demonstrates, from a set of documentary analyzes and semi-structured interviews aimed at explaining the emergence of Managerial choices and analyzing its main constituent elements, that this model dialogues with the international debate about top public managers, since its main achievement coincides with its central attribute, oriented to the measurement of managerial competences; its scope, however, is still timid and unrepresentative within the country's federal organizations. / Esta tese analisa as estratégias de escolha dos ocupantes de cargos de direção adotadas pela administração federal brasileira, esmiuçando seus alcances e limitações em relação às experiências internacionais, nas quais a dimensão das competências de gestão constitui atributo central dos modelos de direção pública profissional. A perspectiva teórica do estudo está fundamentada na literatura internacional sobre os dirigentes e os sistemas de alta direção públicos, temas insuficientemente discutidos no Brasil. Por essa razão, nosso estudo esclarece os contornos do debate: propõe uma definição analítica para os dirigentes públicos e identifica, empiricamente, em que espaços estão situados na estrutura do Executivo federal brasileiro. Defendemos que a nomeação de dirigentes públicos é precedida por um conjunto de mecanismos de escolha pouco explorados pela literatura no país, já que as análises existentes, além de não precisar o espaço diretivo, estão baseadas na dicotomia do combate à livre nomeação associado à defesa da reserva de cargos para servidores, sem incorporar os atributos próprios da direção profissional. Para demonstrar a variedade de estratégias de escolha existentes e superar esta visão dicotômica, foi realizada ampla consulta às organizações federais por meio eletrônico, somada a análises documentais, nos levando a uma categorização de cinco modelos analíticos, denominados de escolhas Discricionárias, Condicionais, Concertativas, Representativas e Gerenciais. Nosso segundo argumento demonstra, a partir de análises documentais e da realização de entrevistas semiestruturadas orientadas a explicar a emergência das escolhas Gerenciais e a analisar seus principais elementos constitutivos, que este modelo dialoga com o debate sobre os dirigentes públicos dos casos internacionais, já que seu principal avanço coincide com o atributo central das competências de gestão; seu alcance, no entanto, é ainda tímido e pouco representativo no conjunto das organizações federais do país.

Made available in DSpace on 2015-03-26T13:42:25Z (GMT). No. of bitstreams: 1 texto completo.pdf: 855108 bytes, checksum: 3c702cbb17b7f4560fc290e26b49cf0f (MD5) Previous issue date: 2012-02-16 / Conselho Nacional de Desenvolvimento Científico e Tecnológico / The main objective of this work was to identify lines of black beans with the potential to make future tests of Value for Cultivation and Use (VCU) in Minas Gerais. Thus, 93 lines of the population "Ouro Negro" x "Meia Noite", conducted by bulk method, bulk method with selection for grain aspect and SSD, with 31 lines in each method, were evaluated. The experiments were conducted at the experimental area, of the Universidade Federal de Viçosa, Department of Plant Science, in Coimbra, Minas Gerais, during the winter season (sowing in Jun/Jul) and dry season (sowing in Feb/Mar) of 2009 and 2010. We used a randomized block design with three repetitions and plots of two 2-meters long lines. In all the experiments were evaluated yield, plant architecture, grain aspect and hundred grain weight. The cooking time was measured with the seeds harvested in the winter season of 2010. The assessment of reaction to races 65, 73, 81, 87 and 89 of Colletotrichum lindemuthianum was done under controlled conditions, with inoculation. Individual and compound analyses of variance were carried out for yield, plant architecture, grain aspect and hundred grain weight. The selection of the most promising lines was based on resistance to anthracnose, in cooking time and in the selection index of the genotype-ideotype, modified to take into consideration all evaluation environments. In addition, analysis of adaptability and stability of the centroid method with additional points, were performed. Two lines were promising, even outperform the "Ouro Negro‟ in some important attributes. These lines are candidates for future tests of VCU in Minas Gerais. The selection index of the genotype-ideotype showed efficient for the selection of lines and, with minor modifications, can be used to cover the several evaluation environments. Considering the origin of the lines in methods of conductions the segregating population, we can imply that the bulk with selection for grain aspect was better than the bulk and SSD methods when it comes to the potential of the population for the extraction of superior lines of beans. / O principal objetivo deste trabalho foi identificar linhagens de feijão preto com potencial para compor os futuros ensaios de Valor de Cultivo e Uso (VCU) em Minas Gerais. Para isso, foram avaliadas 93 linhagens da população "Ouro Negro‟ x "Meia Noite‟, conduzidas pelos métodos bulk, bulk com seleção para aspecto de grãos e SSD, com 31 linhagens em cada método. Os experimentos foram conduzidos na Estação Experimental do Departamento de Fitotecnia da Universidade Federal de Viçosa, em Coimbra, Minas Gerais, nas safras da seca e do inverno de 2009 e de 2010. Utilizouse o delineamento em blocos casualizados com três repetições e parcelas de duas linhas de dois metros. Em todos os experimentos avaliaram-se a produtividade de grãos, a arquitetura de planta, o aspecto de grãos e a massa de 100 grãos. O tempo de cocção foi avaliado com os grãos colhidos no experimento do inverno de 2010. A avaliação da reação às raças 65, 73, 81, 87 e 89 de Colletotrichum lindemuthianum foi feita em condições controladas, com inoculação. Foram realizadas as análises de variância individuais e conjunta da produtividade de grãos, arquitetura de plantas, aspecto de grãos e massa de 100 grãos. A seleção das linhagens mais promissoras baseou-se na resistência à antracnose, no tempo de cocção e no índice de seleção da distância genótipo-ideótipo, modificado de modo a levar em consideração todos os ambientes de avaliação. Além disso, foi realizada análise de adaptabilidade e estabilidade pelo método do centróide com pontos adicionais. Duas linhagens mostraram-se promissoras, inclusive superando a cultivar Ouro Negro em alguns atributos importantes. Essas linhagens são candidatas a futuros ensaios de VCU em Minas Gerais. O índice de seleção da distância genótipo-ideótipo mostrou-se promissor para fins de seleção de linhagens e, com pequenas modificações, pode ser utilizado de modo a abranger os vários ambientes de avaliação. Considerando a origem das linhagens em termos de condução da população segregante, pode-se inferir que o método bulk com seleção para aspecto de grãos foi superior aos métodos bulk e SSD quando se trata do potencial da população para extração de linhagens superiores de feijão.

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