In this thesis, we study three topics in optimal portfolio selection that are relevant to the theory of forward investment performance processes. In Chapter 1, we develop a connection between the classical mean-variance optimisation and time-monotone forward performance processes for infinitesimal trading times. Namely, we consider consecutive mean-variance problems and we show that, for an appropriate choice of the corresponding mean-variance trade-off coefficients, the wealth process that is generated converges (as the trading interval goes to zero) to the optimal wealth process generated by a time-monotone forward performance process. The choice of the trade-off coefficients is made in accordance to the evolution of the risk tolerance process of the forward performance process. This result allows us to provide a fresh view on the issue of time-consistency of mean-variance analysis, for we propose a method to update mean-variance risk preferences forward in time. As a by-product, our convergence theorem generalises a result by Gyöngy (1998) on the convergence of the Euler scheme for SDEs. We also provide novel results on the Lipschitz regularity of the local risk tolerance function of forward investment performance processes. The material in this chapter is joint work with Marek Musiela and Thaleia Zariphopoulou. Chapter 2 combines forward investment theory and partial information. Specifically, we construct forward investment performance processes in models where the drift is a random variable distributed according to a known distribution. The forward performance processes we consider are of the type U(t,x) = u(t,x, R_t), where R. denotes the process of cumulative excess returns, and u(t,x,z):[0,∞) × ℝ imes ℝ^N ⟶ ℝ is such that u(t,.,z) is a utility function satisfying Inada's conditions. We derive the Hamilton-Jacobi-Bellman (HJB) equation for u(.). The HJB equation is linearised into the ill-posed heat equation; then, using the multidimensional version of Widder's theorem, we fully characterise the solutions to this equation in terms of a collection of positive measures; the result is an integral representation of the convex conjugate function of u(t,.,z). We construct several examples, and we show how these can be combined, in the dual domain, to generate mixtures of forward investment performance processes. We also show that the volatility of these processes is intrinsic, in that it is not generated by changes of numéraire/measure. In Chapter 3, we provide an extension of the Black-Litterman model to the continuous time setting. Our extension is different from, and complements that of, Frey, Gabih, and Wunderlich (2012) and Davis and Lleo (2013). Specifically, we develop a novel robust estimator of instantaneous expected returns which is continuously shrunk towards the predictions of an asset pricing theory, such as the CAPM. We derive this estimator fairly explicitly and study some of its properties. As in the Black-Litterman model, such an estimator can be used to make optimal asset allocation problems in continuous time more robust with respect to estimation errors. We provide explicit solutions to the problem of maximising expected power utility of terminal wealth, when our estimator is used to estimate the drift. As an example, we illustrate our results explicitly in the case of a multifactor model, where Arbitrage Pricing Theory predicts that alphas should be approximately zero.

Steam boilers are used to generate steam in order to meet cold process heat requirements. The most common heat exchanger network layout associated with the boiler is a completely parallel design. This observation suggests that the flowrate of steam needed for the system can be reduced, while maintaining the required duty, simply by changing the layout of the network. Phase change of saturated steam to saturated liquid plays a vital role in the targeting method as well as the design of the network layout. A hybrid graphical and mathematical technique for targeting and network synthesis is presented. The main objective of the technique is to reduce steam flowrate without compromising duty requirements of the process heat exchangers. In order to assess the advantage of a hybrid technique, a case study is used where steam savings of 29.6% is obtained. A complete mathematical technique to demonstrate the advantage of the graphical targeting concept in solution time improvement is further presented. / Dissertation (MEng)--University of Pretoria, 2008. / Chemical Engineering / unrestricted

Evaluation use is a complex and multifaceted construct comprising domains of findings and process use and sub-categories of instrumental use, conceptual use, and persuasive (legitimative/symbolic) use. It is an important aspect of evaluation practice which has received much attention from evaluation scholars and practitioners. However, evaluation and evaluation use in countries outside North America, Europe and Australasia is under-investigated. This study proposes to make a modest contribution to understanding evaluation practices in an Asian context through investigating the value and utility of program evaluation as perceived by officials in selected Singapore social sector ministries. Singapore is a democratic country but has retained the characteristics of a highly centralized state. In addition, Confucian values are very important for the political leaders and Singapore society. A modified explanatory sequential mixed methods design was used to address the research questions. Both quantitative and qualitative data were collected through a questionnaire with both closed-ended and open-ended questions. The questionnaire was followed up with interviews to provide additional depth and explanations related to the results from the questionnaire. The questionnaire, based on current theories and the applicability of these evaluation theories to Singapore, was sent through email to officers in two social sector ministries in Singapore - Ministry of Culture, Community and Youth (MCCY) and Ministry of Education (MOE), and 120 valid responses were obtained. Results were analyzed by examining the internal structure and bifactor model underlying the questionnaire. The hypothesized bifactor model comprised a general factor, Perceptions of Evaluation, and two sub-factors – Value of Program Evaluation and Purposes of Program Evaluation. The score on Perceptions of Program Evaluation was regressed on respondents’ background variables to investigate factors that affected their perceptions. Qualitative findings from the open-ended questions and the interviews were analyzed separately and integrated with the quantitative results. The questionnaire functioned well for the respondents, indicating the applicability of existing scholarship on program evaluation to the Singapore context. However, there were a few items that were not respond to as hypothesized. Unique aspects of the context in Singapore social sector ministries might have been the reason for the responses to these items. In addition, the results suggested that a modified bifactor model (with purposes split into internal and external to the program) would fit the data better. On the whole, respondents perceived program evaluation positively (Mean = 1.58, SD = 0.52 on a scale from minus three to three with zero as the mid-point) and emphasized the value of program evaluation for learning and improvement. However, respondents seemed to have reservations with going through the evaluation process. Factors influencing the respondents’ perceptions were layered, and included such factors as officers’ characteristics and experiences, bosses, evaluators, corporate values, organizational structure, societal values and political climate. Officers’ experiences with program evaluation emerged as an important factor, particularly experiences related to benefitting from program evaluation. Given the Confucianism based, highly centralized Singapore state, there might be gaps in current literature to inform and understand the evaluation practices within this and similar contexts. Further studies would be needed to investigate the extent of influence and the mechanisms through which the factors affect perceptions of program evaluation in the Singapore context.

This study was designed to explore the relationships between users and interactive images. Three factors were identified and provided different perspectives on how users interact with images: image utility, information-need, and images with varying levels of interactivity. The study used a mixed methodology to gain a more comprehensive understanding about the selected factors. An image survey was used to introduce the participants to the images and recorded utility values when given a specific task. The interviews allowed participants to provide details about their experiences with the interactive images and how it affected their utility values. Findings from the study showed that images offering the highest level of interactivity do not always generate the highest utility. Factors such as personal preference, specifically speed and control of the image, affect the usefulness of the image. Participant also provided a variety of uses where access to interactive images would be beneficial. Educational settings and research tools are a few examples of uses provided by participants.

The basic aim of this thesis is to create a concept design for a small four-wheeled utility vehicle. During the design process, we focus on all important structural units of the vehicle select an appropriate alternative for solution of its general configuration. After this, we describe all relevant structural units of the vehicle and we mention the advantages and disadvantages of the selected solution.

京都大学 / 0048 / 新制・課程博士 / 博士(経済学) / 甲第21523号 / 経博第591号 / 新制||経||288(附属図書館) / 京都大学大学院経済学研究科経済学専攻 / (主査)教授 梶井 厚志, 教授 原 千秋, 教授 若井 克俊 / 学位規則第4条第1項該当 / Doctor of Economics / Kyoto University / DFAM

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Should cryptocurrencies populate modern portfolios, and to what degree? How can von Neumann-Morgenstern utility theory determine which portfolio is best? For this thesis, we take six cryptocurrencies and six stocks to create optimal portfolios from each and a combination of both. Then we compare the expected utility from each portfolio, with and without short selling, to a benchmark. As concluded from our data, cryptocurrencies should be a part of a modern portfolio to increase the Sharpe ratio and expected utility even if they do not take a majority proportion.

<p> We address the problem of valuation of life insurance risks of different nature, market independent or equity-linked, under various assumptions regarding policyholders'mortality and the financial market. Given the incomplete nature of life insurance markets, an indifference valuation approach tailored to different models of the insurer's liability is applied. To be more specific, we propose three models for the insurer's liability: a single life insurance model, the individual risk model and the collective risk model. The last two models are generalizations of the aggregate loss models with the same name from actuarial mathematics. </p> <p> First, we investigate the pricing problem of market independent life insurance risks under the assumption of random mortality, focussing on the effects of this latter assumption on the premium. We find that random mortality is an essential assumption especially when pricing in aggregate loss models. Then, we consider life insurance products with a more complex structure of the benefit, as equity-linked term life insurances. We price them via utility indifference in all liability models mentioned above, assuming deterministic mortality and a Black-Scholes market model. Comparing the results obtained, we observe that the collective risk model is computationally more efficient than the others, but at the cost of higher premium. Finally, we conclude by extend-ing our pricing results for equity-linked term life insurance to a one factor stochastic volatility market model. We obtain that in a fast-mean-reverting volatility regime, the indifference premium can be well approximated by adjusted constant volatility results, previously derived. </p> / Thesis / Doctor of Philosophy (PhD)

Overall this thesis explores the age pattern of consumption of the Canadian elderly. Theoretical applications of the Life Cycle Hypothesis suggest that these consumption patterns should be constant in real terms as individuals age. However, most empirical work observes a declining pattern of consumption with age and health status. This thesis attempts to resolve this difference. The first chapter uses data from the Canadian National Population Health Survey. Using a comprehensive measure of health status, it finds that poor health explains the reduction in consumption (and its marginal utility), with most of the effect occurring among individuals whose income is above the median. The second chapter uses data from the Canadian Survey of Household Spending to explore the effect on non-healthcare consumption of falling into ill health. It finds that the effect on non-healthcare consumption varies by the level of a household's saving or dissaving. Non-healthcare consumption decreases by roughly 2.25% of after-tax income for those households that dissave 10% of their current year after-tax income or less. As households dissave larger and larger amount, however, the effect first becomes less negative, and then more positive. The third chapter develops a theoretical approach to calculating a life annuity value that produces optimal levels of annual consumption that reflect changes in utility based on health status and age. Relative to an annuity that produces a constant real stream of income for a healthy 65 year old male, the optimal stream of income starts roughly 2% higher and drops by 2% to 3% by age 80 and by a further 2% or so by age 95. This pattern of consumption is roughly equivalent to ignoring 15 to 20 basis points of annual inflation relative to an annuity that is fully indexed to inflation. / Thesis / Doctor of Philosophy (PhD)