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.

Integration of work-placements into undergraduate degrees is now established on awards linked to professional registration in healthcare. Pre-registration training forms the basis for development of capability and entry onto a professional register. This enquiry explores how key stakeholders on a programme leading to registration as a Biomedical Scientist (BMS) position themselves in their role and the subsequent impact of this upon the development of the capable BMS. It draws upon current knowledge of work-based pedagogy and utilises a constructivist grounded theory (CGT) approach to explore the perceptions and experiences of individuals and groups to develop an interpretative portrayal and deeper understanding of the implementation of pre-registration training in one region of England. Data gathering and analysis was divided into two stages. The first employed analysis of professional documents to provide an insight into current discourses around BMS training. This provided initial developing categories and directed the creation of a questionnaire. Questionnaire responses confirmed the relevance of the developing categories and a summary of responses provided an ‘ice-breaker’ to guide stage two of data gathering. This stage employed focus groups and interviews to enable a greater understanding of how individuals make sense of their experiences. Initial, focused and theoretical coding allowed synthesis and conceptualisation of the data gathered and presented direction for the enquiry. The findings expose the challenges of integrating professional registration training into an academic programme of study. Three theoretical categories were identified: Role conflict, Expectations and Ownership. Conceptualising the interactions and intersections of these categories enabled the recognition of ‘Doing the portfolio’ as a way of describing and conceptualising the stakeholders positioning within the current programme. The registration portfolio has become an objective reductionist measure of learning, reflecting the positivist typology of practice in this profession. This provides a theoretical explanation as to how the programme is delivered and why there is a need to rethink conceptualisation of the role of the programme in supporting pre-registration training and the development of the capable BMS. To ensure that BMS students are supported to develop not only technical skills but also professional capability there is a need for a paradigm shift from a positivist episteme to one that embraces both the positivist and socio-cultural paradigms, viewing them as complementary and parallel. The novel research approach used in this enquiry has generated rich insights into how stakeholders interact with the pressures of internal and external influences and the impact this has upon behaviours and strategies adopted. The theoretical understanding proposed, which recognises the tensions emerging from a positivist typology of practice, has a range of implications for practice and for the development of practitioner capability through pre-registration training and beyond.

Submitted by FELIPE MOURA (felipe.cebt@gmail.com) on 2017-01-02T17:28:19Z No. of bitstreams: 1 Dissertacao - Felipe Moura - final.pdf: 1181074 bytes, checksum: 7571cd9b18bf48654b56a44a491dec61 (MD5) / Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2017-01-03T18:44:47Z (GMT) No. of bitstreams: 1 Dissertacao - Felipe Moura - final.pdf: 1181074 bytes, checksum: 7571cd9b18bf48654b56a44a491dec61 (MD5) / Made available in DSpace on 2017-01-17T13:39:38Z (GMT). No. of bitstreams: 1 Dissertacao - Felipe Moura - final.pdf: 1181074 bytes, checksum: 7571cd9b18bf48654b56a44a491dec61 (MD5) Previous issue date: 2016-05-31 / This thesis aims to analyze the supply of infrastructure projects given the current issue on creating long-term financing outside the traditional lines of BNDES; This is an obstacle of the financial sector becomes more relevant even when facing proposals from the federal government to facilitate the concessions. The alternative presented here focuses on diversification of risk and return in the light of the theory of mean-variance portfolio. We will see here that these projects have different profiles of risk-return so that there are potentially significant benefits for the investor to operate diversified portfolio (mix) of projects. The fact exposed here is that traditional valuation approach by leveled costs can not report properly to an operator about the viability of a certain project´s choice given the current portfolio of the firm, with a view that does not take into account the complementarities in risk profiles and return of different projects. Thus, we add the theory of mean-variance portfolio, and the goal is to be able to tell the investor about the project mix allocation (optimal portfolio of assets) using the efficient frontier that minimizes the impact of some critical risks in infrastructure markets. The methodology that will be described later in this paper illustrates a very important problem for the Brazilian electricity sector. The proposed model will be able to incorporate the risks related to delays in construction works and environmental licensing. / Essa dissertação objetiva analisar a oferta de projetos de infraestrutura no âmbito do cenário atual em debate sobre como criar mecanimos de financiamentos de longo prazo fora das tradicionais linhas de BNDES; esse é um entrave do setor financeiro que se torna cada vez mais relevante mesmo diante de propostas do governo federal para viabilizar as concessões. A alternativa aqui apresentada foca na diversificação de risco e retorno à luz da teoria do portfolio de média-variância. Veremos aqui que esses projetos possuem diferentes perfis de risco-retorno de tal modo que há potencialmente grandes vantagens para o investidor em operar carteira (mix) diversificada de projetos. O fato aqui exposto é que a tradicional abordagem de valuation via custos nivelados pode não informar adequadamente a um operador acerca da viabilidade de uma certa escolha de projeto dado o atual portfolio da firma, tendo em vista que não leva em conta a complementariedade nos perfis de risco e retorno de projetos diferentes. Desta forma, acrescentamos a teoria do portfolio de média-variância de maneira a ser capaz de informar ao estado (ou empresa) a alocação de mix de projetos (carteira ótima de ativos) com uso da fronteira eficiente que minimiza o impacto de alguns riscos críticos em mercados de infraestrutura. A metodologia que será descrita adiante neste trabalho ilustra um problema de grande relevância para o setor elétrico brasileiro e a proposta de modelagem tem como base a incorporação de riscos relacionados a atrasos na construção das obras e ao licenciamento ambiental. Palavras-Chave: Diversificação, Infraestrutura, Teoria da Carteira.

The thesis deals with modern portfolio theory. The theoretical part of the thesis describes the historical development of portfolio optimization and presents the basic theoretical background of the Markowitz model, the Tobin model and the Capital asset pricing model. In the practical part of the thesis, the models are applied to real data from two Czech securities markets, PSE and RM-S. An optimal portfolios composition is proposed by the three models mentioned above and then the outputs of the models are compared to the real datas from the next period. Finally, the benefits and drawbacks of the used models are evaluated.