A consecutive number of studies on the adoption trend of logistics technology since 1988 revealed that logistics organizations are not in the frontier when it comes to adopting new technology and this delayed adoption creates an information gap. In the advent of supply chain management and the strategic position of logistics, the need for accurate and timely information to accompany the logistics executives became more important than ever before. Given the integrative nature of logistics technology, failure to implement the technology successfully could result in writing off major investments in developing and implementing the technology or even in abandoning the strategic initiatives underpinned by these innovations. Consequently, the need to employ effective strategies and models to cope with these uncertainties is rather crucial. This thesis addresses the aspect of uncertainty in implementation success by process and factor research models. Process research approach focuses on the sequence of events in the technology transfer process that occurs over time. It explains the story that explains the degree of association between these sequences and implementation success. Through content analysis, this research gathers, extracts, and categorizes process data of actual stories of logistics technology adoption and implementations in organizations that are published in literature. The extracted event sequences are then analyzed using optimal matching from natural science and grouped using cluster analysis. Four patterns were revealed that organizations follow to transfer logistics technology namely, formal minimalist, mutual adaptation, development concerned, and organizational roles dispenser. Factors that contribute to successful implementation in each pattern were defined as the crucial and necessary events that characterized and differentiated each pattern from others. The factor approach identifies the potential predictors of successful technology implementation and tests empirical association between predictors and outcomes. This research develops a logistics technology success model. In developing the model, various streams of research were investigated including logistics, information systems, and organizational psychology. The model is tested using a questionnaire survey study. The data were collected from Australian companies which have recently adopted and implemented logistics technology. The results of a partial least squares structured equation modeling provide strong support for the model constructs and valuable insights to logistics/supply chain managers. The last study reports a convergent triangulation study using multiple case study of three Australian companies which have implemented logistics technology. A within and a cross case analysis of the three cases provide cross validation for the results of the other two studies. The results provided high predictive validity for the two models. Furthermore, the case study approach was so beneficial in explaining and contextualizing the linkages of the factor-based model and in confirming the importance of the crucial events in the process-based model. The thesis concludes with a research and managerial implications chapter which is devoted for logistics/supply chain managers and researchers.

A consecutive number of studies on the adoption trend of logistics technology since 1988 revealed that logistics organizations are not in the frontier when it comes to adopting new technology and this delayed adoption creates an information gap. In the advent of supply chain management and the strategic position of logistics, the need for accurate and timely information to accompany the logistics executives became more important than ever before. Given the integrative nature of logistics technology, failure to implement the technology successfully could result in writing off major investments in developing and implementing the technology or even in abandoning the strategic initiatives underpinned by these innovations. Consequently, the need to employ effective strategies and models to cope with these uncertainties is rather crucial. This thesis addresses the aspect of uncertainty in implementation success by process and factor research models. Process research approach focuses on the sequence of events in the technology transfer process that occurs over time. It explains the story that explains the degree of association between these sequences and implementation success. Through content analysis, this research gathers, extracts, and categorizes process data of actual stories of logistics technology adoption and implementations in organizations that are published in literature. The extracted event sequences are then analyzed using optimal matching from natural science and grouped using cluster analysis. Four patterns were revealed that organizations follow to transfer logistics technology namely, formal minimalist, mutual adaptation, development concerned, and organizational roles dispenser. Factors that contribute to successful implementation in each pattern were defined as the crucial and necessary events that characterized and differentiated each pattern from others. The factor approach identifies the potential predictors of successful technology implementation and tests empirical association between predictors and outcomes. This research develops a logistics technology success model. In developing the model, various streams of research were investigated including logistics, information systems, and organizational psychology. The model is tested using a questionnaire survey study. The data were collected from Australian companies which have recently adopted and implemented logistics technology. The results of a partial least squares structured equation modeling provide strong support for the model constructs and valuable insights to logistics/supply chain managers. The last study reports a convergent triangulation study using multiple case study of three Australian companies which have implemented logistics technology. A within and a cross case analysis of the three cases provide cross validation for the results of the other two studies. The results provided high predictive validity for the two models. Furthermore, the case study approach was so beneficial in explaining and contextualizing the linkages of the factor-based model and in confirming the importance of the crucial events in the process-based model. The thesis concludes with a research and managerial implications chapter which is devoted for logistics/supply chain managers and researchers.

[pt] O Modelo Média-Variância, proposto por Markowitz para resolver o problema de estruturação ótima de carteiras de investimentos, utiliza uma medida simétrica de risco, o desvio padrão dos retornos. Contudo, a grande utilização no mercado financeiro de ativos com retornos assimétricos levou ao desenvolvimento de medidas de risco assimétricas, como a semivariância e o downside risk, buscando quantificar de forma mais precisa a percepção de risco investidor. Neste trabalho, comparamos algumas metodologias para estruturar carteiras de investimentos contendo ativos com retornos assimétricos. / [en] The Mean-Variance model for asset allocation, proposed by Markowitz, use a symmetric risk measure, the standard deviation of returns. Although, because of the increasing use of financial instruments with asymmetric payoffs, asymmetric risk measures, as semivariance and downside risk, have been required in order to quantify the investor´s perception of risk as accurately as possible. So, we compare in this work several methodologies to structures optimal portfolios containing securities with asymmetric returns.

本篇論文主要是將Black-Litterman模型應用在組合型基金上。從一個組合型基金的基金經理人角度出發，在有限的風險下，如何進行資產配置使其達到報酬極大化的目標？第二章介紹mean-variance模型，以及其模型之缺點。第三章介紹Black-Litterman模型，其不僅可以改善mean-variace模型的缺點，此外允許投資人加入主觀看法，結合數量方法以及投資人的主觀看法是此模型的特色之一。第四章，針對兩個模型的進行比較。最後，我們發現：BLack-Litterman模型不僅符合經濟直覺，進行資產配置時也展現模型的穩定性。 / This paper applies a popular asset allocation model: the Black-Litterman model on a fund of funds. First, an overview is given of the foundations of modern portfolio theory with the mean-variance model. Next, we discuss some improvements that could be made over the mean-variance model. The Black-Litterman model addresses some of these flaws and tries to improve them. Finally, simulation has been performed to compare the performance of the Black-Litterman model to mean-variance optimization. The models have been compared in intuitiveness and stability. The conclusion can be drawn that BL-model improves the mean-variance model, in our simulation, both in intuitiveness and stability.

Este trabalho analisa e modela a Estrutura a Termo das Taxas de Juros objetivando ao teste da Hipótese das Expectativas(HE) na ponta curta da curva de juros e a uma aplicação da teoria de Markowitz (1952) no mercado de renda fixa utilizando a estrutura proposta por Caldeira, Moura e Santos (2015). Para estes fins foram utilizados dados dos contratos futuros de 1 dia dos depósito interbancários (DI1) negociados na BMF interpolados em maturidades fixas, sendo utilizados em base semanal quando do teste da HE e em base diária para a construção dos portfólios de mínima variância. Os resultados encontrados para o teste da HE sugerem a invalidade da teoria, uma vez que o prêmio de risco é se mostra ajustável a um modelo GARCH-M e, portanto, variante no tempo. Os portfólios de mínima variância ajustados nas versões irrestrita e restrita (duration máxima de 1 ano) se mostraram consistentes, tendo superado quase a totalidade dos fundos analisados. O portfólio de mínima variância irrestrito obteve o maior Índice de Sharpe no período analisado. / This work analyzes and model the Term Structure of Interest Rates seeking testing Expectation Hypothesis in the short end of the Yield Curve and to apply the portfolio theory to the fixed income context using the framework proposed by Caldeira, Moura e Santos (2015). We used a database of constant maturities interbank deposits’s future contracts. The results suggest Expectation Hypothesis doesn’t hold and risk premium could be modeled by a GARCH-M framework, being time variant. The bond portfolio optimized were, in general, consistent with high sharpe ratio relative to other funds and beated the chosen benchmark during the period analyzed.

Este trabalho analisa e modela a Estrutura a Termo das Taxas de Juros objetivando ao teste da Hipótese das Expectativas(HE) na ponta curta da curva de juros e a uma aplicação da teoria de Markowitz (1952) no mercado de renda fixa utilizando a estrutura proposta por Caldeira, Moura e Santos (2015). Para estes fins foram utilizados dados dos contratos futuros de 1 dia dos depósito interbancários (DI1) negociados na BMF interpolados em maturidades fixas, sendo utilizados em base semanal quando do teste da HE e em base diária para a construção dos portfólios de mínima variância. Os resultados encontrados para o teste da HE sugerem a invalidade da teoria, uma vez que o prêmio de risco é se mostra ajustável a um modelo GARCH-M e, portanto, variante no tempo. Os portfólios de mínima variância ajustados nas versões irrestrita e restrita (duration máxima de 1 ano) se mostraram consistentes, tendo superado quase a totalidade dos fundos analisados. O portfólio de mínima variância irrestrito obteve o maior Índice de Sharpe no período analisado. / This work analyzes and model the Term Structure of Interest Rates seeking testing Expectation Hypothesis in the short end of the Yield Curve and to apply the portfolio theory to the fixed income context using the framework proposed by Caldeira, Moura e Santos (2015). We used a database of constant maturities interbank deposits’s future contracts. The results suggest Expectation Hypothesis doesn’t hold and risk premium could be modeled by a GARCH-M framework, being time variant. The bond portfolio optimized were, in general, consistent with high sharpe ratio relative to other funds and beated the chosen benchmark during the period analyzed.

Este trabalho analisa e modela a Estrutura a Termo das Taxas de Juros objetivando ao teste da Hipótese das Expectativas(HE) na ponta curta da curva de juros e a uma aplicação da teoria de Markowitz (1952) no mercado de renda fixa utilizando a estrutura proposta por Caldeira, Moura e Santos (2015). Para estes fins foram utilizados dados dos contratos futuros de 1 dia dos depósito interbancários (DI1) negociados na BMF interpolados em maturidades fixas, sendo utilizados em base semanal quando do teste da HE e em base diária para a construção dos portfólios de mínima variância. Os resultados encontrados para o teste da HE sugerem a invalidade da teoria, uma vez que o prêmio de risco é se mostra ajustável a um modelo GARCH-M e, portanto, variante no tempo. Os portfólios de mínima variância ajustados nas versões irrestrita e restrita (duration máxima de 1 ano) se mostraram consistentes, tendo superado quase a totalidade dos fundos analisados. O portfólio de mínima variância irrestrito obteve o maior Índice de Sharpe no período analisado. / This work analyzes and model the Term Structure of Interest Rates seeking testing Expectation Hypothesis in the short end of the Yield Curve and to apply the portfolio theory to the fixed income context using the framework proposed by Caldeira, Moura e Santos (2015). We used a database of constant maturities interbank deposits’s future contracts. The results suggest Expectation Hypothesis doesn’t hold and risk premium could be modeled by a GARCH-M framework, being time variant. The bond portfolio optimized were, in general, consistent with high sharpe ratio relative to other funds and beated the chosen benchmark during the period analyzed.

Submitted by Renata Lopes (renatasil82@gmail.com) on 2016-09-02T14:39:05Z No. of bitstreams: 1 gabrielfiliperodriguesvasconcelos.pdf: 1140696 bytes, checksum: e6bf5056f506b71583057bdeb7231773 (MD5) / Approved for entry into archive by Adriana Oliveira (adriana.oliveira@ufjf.edu.br) on 2016-09-06T14:17:29Z (GMT) No. of bitstreams: 1 gabrielfiliperodriguesvasconcelos.pdf: 1140696 bytes, checksum: e6bf5056f506b71583057bdeb7231773 (MD5) / Made available in DSpace on 2016-09-06T14:17:29Z (GMT). No. of bitstreams: 1 gabrielfiliperodriguesvasconcelos.pdf: 1140696 bytes, checksum: e6bf5056f506b71583057bdeb7231773 (MD5) Previous issue date: 2013-11-25 / CAPES - Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / Esta dissertação propõe uma nova versão para o CAPM, denominada Ômega CAPM. Este novo modelo trabalha com uma condição suficiente mais simples do que a eficiência do mercado em termos de média e variância. Consequentemente, restrições na utilidade e nas distribuições de retornos não são necessárias, podendo os ativos ter distribuições diferentes entre si. Além disso, todos os momentos das distribuições de retornos são considerados de forma indireta, ou seja, não precisam ser calculados e observados pelos investidores. O OCAPM mantem a forma simples de um único fator do CAPM, bem como seu rigor teórico. Empiricamente o OCAPM mostrou-se superior ao CAPM, não sendo rejeitado em um número maior de vezes, além de obter coeficientes mais coerentes com a teoria. Além disso, foi mostrado que o OCAPM adiciona novas informações sobre os retornos esperados não consideradas pelo CAPM. Entretanto, este trabalho não rejeita nenhum dos dois modelos, ele apenas aponta a superioridade do OCAPM. / This dissertation proposes a new version for the well-known CAPM, the Omega CAPM. This new model has a simpler sufficient condition than the mean-variance efficiency required on the CAPM. Thus, restriction regarding utility functions and returns distributions are not required. Besides that, our model allows assets to have different distribution amongst themselves. The OCAPM considers all superior moments indirectly, i.e. they do not have to be calculated or observed by investors and it maintains the single factor simplicity and the theoretical rigor of the original model. On an empirical point of view, the OCAPM was superior to the CAPM, the model obtained coefficients which ware more consistent with the theory. Moreover, we showed that the OCAPM adds information of the expected returns that are not considered by the CAPM. Nevertheless, we do not reject any of the models, we just show that the OCAPM is superior.

This thesis presents two Models of portfolio optimization, namely the Markowitz Mean Variance Optimization Model and the Rockefeller and Uryasev CVaR Optimization Model. It then presents an application of these models to a portfolio of clean energy assets for optimal allocation of financial resources in terms of maximum returns and low risk. This is done by writing GAMS programs for these optimization problems. An in-depth analysis of the results is conducted, and we see that the difference between both models is not very significant even though these results are data-specific.

Neste trabalho propomos um modelo de mercado através de uma discretização aleatória do movimento browniano proposta por Leão & Ohashi (2010). Com este modelo, dada uma função payoff, vamos desenvolver uma estratégia de hedging e uma metodologia para precificação de opções / In this work we propose a market model using a discretization scheme of the random Brownian motion proposed by Leão & Ohashi (2010). With this model, for any given payoff function, we develop a hedging strategy and a methodology to option pricing