MV is the traditional method to treat international portfolio selection problems, which bases its theory on the assumption of Normal Distribution. However, during economy recession the portfolio return turns out to be a fat tail distribution. Therefore, in this sense, we explore Roy’s SF criterion and apply the extreme theory to the historical data. We demonstrate how such portfolios would perform during the Asian Crisis, IT Bubble Bust and the Financial Crisis separately. We also compare the SF portfolio’s performance to the MV portfolio’s performance, therefore to check, SF and MV portfolio, which will outperform during bust and boom of the economy. The Asian Crisis was marked with great currency devaluation and lower currency return on equity. The Dot.Com Bubble Busts was known for its sharp plummet in the stock market, while, the Financial Crisis was known as the large falls in the US stock market and elsewhere. They are the extreme events of the world capital markets, which in some way contribute to the non-normal distribution. Simulated results over the 1997-2010 period which include six busts and booms: the Asian Crisis, period after Asian Crisis, IT Bubble Bust, period after IT Bubble Bust, The Financial Crisis and period after The Financial Crisis, indicate that SF portfolio outperforms MV portfolio during most of the times, this result is especially obvious for Indonesian and Thailand.

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Value, a component of expectancy-value theory, has been shown to be predictive of task interest and choice. Attainment value, a component of value, has been defined as the degree to which a task affords the opportunity to confirm or disconfirm salient aspects of one’s self-conception. This paper presents a review of expectancy-value theory generally, and attainment value specifically. Additionally, given that attainment value has received relatively little research attention, the rationale, method, and results of a quantitative study of attainment value is presented. / text

In financial risk management it is essential to be able to model dependence in markets and portfolios in an accurate and efficient way. A high positive dependence between assets in a portfolio can be devastating, especially in times of crises, since losses will most likely occur at the same time in all assets for such a portfolio. The dependence is therefore directly linked to the risk of the portfolio. The risk can be estimated by several different risk measures, for example Value-at-Risk and Expected shortfall. This paper studies some different ways to measure risk and model dependence, both in a theoretical and empirical way. The main focus is on copulas, which is a way to model and construct complex dependencies. Copulas are a useful tool since it allows the user to separately specify the marginal distributions and then link them together with the copula. However, copulas can be quite complex to understand and it is not trivial to know which copula to use. An implemented copula model might give the user a "black-box" feeling and a severe model risk if the user trusts the model too much and is unaware of what is going. Another model would be to use the linear correlation which is also a way to measure dependence. This is an easier model and as such it is believed to be easier for all users to understand. However, linear correlation is only easy to understand in the case of elliptical distributions, and when we move away from this assumption (which is usually the case in financial data), some clear drawbacks and pitfalls become present. A third model, called historical simulation, uses the historical returns of the portfolio and estimate the risk on this data without making any parametric assumptions about the dependence. The dependence is assumed to be incorporated in the historical evolvement of the portfolio. This model is very easy and very popular, but it is more limited than the previous two models to the assumption that history will repeat itself and needs much more historical observations to yield good results. Here we face the risk that the market dynamics has changed when looking too far back in history. In this paper some different copula models are implemented and compared to the historical simulation approach by estimating risk with Value-at-Risk and Expected shortfall. The parameters of the copulas are also investigated under calm and stressed market periods. This information about the parameters is useful when performing stress tests. The empirical study indicates that it is difficult to distinguish the parameters between the stressed and calm market period. The overall conclusion is; which model to use depends on our beliefs about the future distribution. If we believe that the distribution is elliptical then a correlation model is good, if it is believed to have a complex dependence then the user should turn to a copula model, and if we can assume that history will repeat itself then historical simulation is advantageous.

This thesis considers estimation of the quantiles of the smallest extreme value distribution, sometimes referred to as the log - Weibull distribution. The estimators considered are linear combinations of two order statistics. A table of the best linear estimates (BLUE's) is presented for sample sizes two through twenty. These estimators are compared to the asymptotic estimators of Kubat and Epstein (1980).

This study attempts to quantify the shocks to a banking network and analyze the transfer of shocks through the network. We consider two sources of shocks: external shocks due to market and macroeconomic factors which impact the entire banking system, and idiosyncratic shocks due to failure of a single bank. The external shocks will be estimated by using two methods: (i) non-parametric simulation of the time series of shocks that occurred to the banking system in the past, and (ii) using the extreme value theory (EVT) to model the tail part of the shocks. The external shocks we considered in this study are due to exchange rate and treasury bill rate volatility. Also, an ARMA/GARCH model is used to extract iid residuals for this purpose. In the next step, the probability of the failure of banks in the system is studied by using Monte Carlo simulation. We calibrate the model such that the network resembles the Canadian banking system.

Thesis (Ph. D.)--University of Washington, 2006. / Vita. Includes bibliographical references (leaves 87-96).

One of the most important but least discussed issues of our era is the problem of population--its size, density, and diversity, its explosive growth globally, its stability or shrinkage regionally, and the challenges it creates as we attempt to redefine who we are and what our place is in relation to the rest of the natural world. Utilizing an interdisciplinary approach, I trace the meaning of population in ancient, pre-Malthusian, and post-Malthusian political economy, note its contemporary treatment in politics, economics and science, and examine the reasons for its decline and relative absence in present-day environmental philosophy. While some of the helpful ways in which commentators of the past approached the topic have been largely forgotten, such as valuing the relation between the size of a community and its ability to function harmoniously, I argue that historical debates do not address the issue in relation to current conditions. I apply ethical orientations from the Continental and Classical American philosophical traditions, namely those of John Dewey and Max Scheler to problems associated with the revival of the subject. Both men viewed persons as irreducibly unique and unquantifiable beings with open and infinite creative possibilities. Among other insights, Dewey and Scheler emphasized quality over quantity, and they stressed the questions of value associated with population issues and ways of adjusting both ourselves and our valuing to a quality-centered world. I conclude by pointing to ways in which inquiry into the meaning of population intersects with contemporary social and environmental challenges.

The purpose of this study was to explore perceived importance of cultural values and affective components in the Middle East and North Africa (MENA) region and their relationships. This study identified which of the nine affective components of global competence and four higher order cultural values were perceived to be important in the MENA region. It also examined the correlations between cultural values and affective components and whether significant differences existed based on gender, age, and country of citizenship. This research involved the combination of Wallenberg-Lerner’s Affective Component Questionnaire (ACQ) and Schwartz’s Portrait Value Questionnaire (PVQ). In conjunction with a demographic information form, the Affective Component Value Questionnaire (ACVQ) was developed. A panel of experts assisted in establishing the validity of the instrument. All nine affective components were perceived to be important in this global era. Self-assurance, Tolerance for Ambiguity, and Connectedness were perceived to be the most important affective components of global competence, while the cultural value of Self-transcendence was recognized as the most important. Several positive correlations existed between three cultural values and eight affective components. The cultural value of Self-transcendence had the highest number of positive correlations with the seven affective components. Self-enhancement did not reveal any correlations. Analysis of variance was conducted to determine the differences in perceptions based on age, gender, and country of citizenship. No significant differences were present in the perceptions of the affective components and the cultural values based on gender. Perceptions by age were similar for the affective components, but differed for the cultural values. MENA citizens between the ages of 18-25 years more highly regarded the cultural value of Openness to Change and the 46 years and older age group more highly regarded Conservation than the other groups. Perceptions by country of citizenship differed for the affective components, but were similar for the cultural values. Lebanon more highly regarded the affective components, of Adaptability and Empathy. Morocco more highly regarded Connectedness while Tunisia more highly regarded Curiosity. The findings of this research could have a global benefit of raising the awareness and the integration of the MENA’s perceptions of global competencies into the areas of education, research, policy initiatives, and the private sector.

Magister Scientiae - MSc / The aim of this research project was to estimate parameters for the distribution of annual maximum flood levels for the Zambezi River at Katima Mulilo. The estimation of parameters was done by using the maximum likelihood method. The study aimed to explore data of the Zambezi's annual maximum flood heights at Katima Mulilo by means of fitting the Gumbel, Weibull and the generalized extreme value distributions and evaluated their goodness of fit. / South Africa