Asymmetric dependence (AD) is defined as dependence that differs across opposing regions of the joint return distribution. Recent evidence of AD between equity returns suggests that dependence can be decomposed into a linear component, captured by the correlation matrix, and a higher order component. When these higher order terms are characterised by increased correlation in bear or bull markets, the effectiveness of diversification strategies is reduced. To the extent that an investor is unable to completely diversify these higher order terms of dependence, it follows that they should be reflected in asset prices and managed explicitly during the portfolio construction process. The aim of this thesis is to determine the extent of AD amongst asset returns, to investigate whether AD is priced and to develop a means of managing AD in the portfolio. I justify the existence of AD and the separation of AD from linear dependence via the bivariate Edgeworth expansion, finding that the joint return distribution may be described by an infinite number of higher order co-moments. Correlation (and hence β) describes one dimension of an infinite number of higher dimensions describing dependence. To determine the importance of AD in finance, I first develop measures that can detect AD independent of the level of linear dependence and idiosyncratic risk. These measures are used to determine the extent of AD amongst US stock returns and the market, to obtain an understanding of how AD changes through time and to re-examine the evidence of AD between equity portfolios. By measuring AD separate from linear dependence, I demonstrate several findings. First, I find evidence of non-stationary AD that can exists irrespective of the magnitude of linear dependence, measured by β. This time-varying AD consists of both significant upper tail dependence (UTD) and significant lower tail dependence (LTD), although LTD is found to occur more frequently than UTD, especially for small stocks and stocks displaying high idiosyncratic risk. Significant time-varying AD is also detected between domestic equity indices and international equity markets, implying that if a portfolio is weighted towards certain industries or countries, portfolio construction methods may need to be adjusted in order too meet risk and return targets, particularly if future AD cannot be adequately forecasted. Next, I investigate whether AD is priced in US equities using the Fama and MacBeth (1973) regression methodology in conjunction with my β invariant AD metrics. I find that AD is as important as linear dependence in explaining the variation in returns. In particular, a positive relationship between LTD and return is found. I document an AD risk premium of 2.7% pa, compared to a β risk premium of 6.18% pa. The AD risk premium increases to 6.9% pa for stocks with significant LTD. This result holds after controlling for size, book-to-market ratio, downside β and coskewness. I also find past AD is a significant variable in predicting the future returns of small firms, whilst neither AD nor linear dependence predict the future returns of large firms. I subsequently demonstrate a means of incorporating AD structures during the portfolio construction process using copula functions. I then investigate how asymmetric return dependencies affect the efficient frontier and subsequent portfolio performance under a dynamic rebalancing framework. By considering the problem of tactically allocating a small set of domestic equity indices, I demonstrate several findings. First, I show that a Mean-Variance efficient frontier differs from the efficient frontier constructed under AD. Constructing paper portfolios based upon these differences, I find that real economic value lies in correctly accounting for AD structures. The primary source of this economic value stems from the ability to better protect portfolio value and reduce the size of any erosion in return relative to the normal portfolio. Finally, I document the benefits of actively managing AD during the portfolio construction process and determine a number of portfolio management principles required to successfully manage AD. I illustrate that managing asymmetry risk in a portfolio of international equity indices results in increased return, decreased risk and decreased transaction costs. I show that in order to yield these benefits, investors must actively and dynamically manage their portfolio. Furthermore, I illustrate that the ability to short-sell assets provides most of the benefits described.

The ortho metallation of some aromatic ring systems has been investigated in regard to the influence of several types of phosphorus-centred directing groups upon the reactivity, regioselectivity, and utility in later synthetic elaboration. The metallation step allows derivatisation in several useful ways, offering several routes to the synthesis of novel chiral ditertiary phosphines. Thus, an ortho lithiation of N,N,N',N'-tetramethyl-P-phenylphosphonic diamide (10) led to the interesting primary phosphine, 2-(diphenylphosphino)phenylphosphine (14), after elaboration of the phosphonic diamide directing group. This primary phosphine undergoes an unprecedented facile phenyl group exchange process between its two phosphorus atoms, upon di-lithiation of the primary phosphorus centre. The primary phosphorus centre of (14) has been elaborated in several ways to yield new ditertiary phosphines. The alkylation of this centre in the copper(I) chelate complex has been investigated in several directions. In another direction, (14) has been chemically elaborated to give a new hybrid chiral ditertiary phosphine ligand, &quotSemiPHOS&quot, containing both a chiral phospholane ring and an adjacent diphenylphosphino group. SemiPHOS has been obtained in optically pure forms by a stereoselective synthesis and, independently, by a resolution procedure on its racemate. The molecular design of SemiPHOS was devised such that, when chelated to a metal atom, a subtle steric interaction appears to allow the chirality of the phospholane ring to influence the neighbouring diphenylphosphino group to adopt a complementary chiral conformation. This idea was tested and evaluated by applying SemiPHOS in catalytic asymmetric hydrogenations of (Z)-a-(Nacylamino) acrylate substrates to produce the R-amino acid precursors. Aryl species lithiated ortho to phosphorus-centred directing groups were coupled oxidatively by a convenient in situ method, to yield biaryl species that could then be elaborated to give biaryl ditertiary phosphine ligands. This method was used to make several atropisomeric chiral ditertiary phosphines.

The ortho metallation of some aromatic ring systems has been investigated in regard to the influence of several types of phosphorus-centred directing groups upon the reactivity, regioselectivity, and utility in later synthetic elaboration. The metallation step allows derivatisation in several useful ways, offering several routes to the synthesis of novel chiral ditertiary phosphines. Thus, an ortho lithiation of N,N,N',N'-tetramethyl-P-phenylphosphonic diamide (10) led to the interesting primary phosphine, 2-(diphenylphosphino)phenylphosphine (14), after elaboration of the phosphonic diamide directing group. This primary phosphine undergoes an unprecedented facile phenyl group exchange process between its two phosphorus atoms, upon di-lithiation of the primary phosphorus centre. The primary phosphorus centre of (14) has been elaborated in several ways to yield new ditertiary phosphines. The alkylation of this centre in the copper(I) chelate complex has been investigated in several directions. In another direction, (14) has been chemically elaborated to give a new hybrid chiral ditertiary phosphine ligand, &quotSemiPHOS&quot, containing both a chiral phospholane ring and an adjacent diphenylphosphino group. SemiPHOS has been obtained in optically pure forms by a stereoselective synthesis and, independently, by a resolution procedure on its racemate. The molecular design of SemiPHOS was devised such that, when chelated to a metal atom, a subtle steric interaction appears to allow the chirality of the phospholane ring to influence the neighbouring diphenylphosphino group to adopt a complementary chiral conformation. This idea was tested and evaluated by applying SemiPHOS in catalytic asymmetric hydrogenations of (Z)-a-(Nacylamino) acrylate substrates to produce the R-amino acid precursors. Aryl species lithiated ortho to phosphorus-centred directing groups were coupled oxidatively by a convenient in situ method, to yield biaryl species that could then be elaborated to give biaryl ditertiary phosphine ligands. This method was used to make several atropisomeric chiral ditertiary phosphines.

Doctor of Philosophy / The apparent increase in market concentration and vertical integration in the Indonesian crude palm oil (CPO) industry has led to concerns about the presence of market power. For the Indonesian CPO industry, such concerns attract more attention because of the importance of this sector to the Indonesian economy. CPO is used as the main raw material for cooking oil (which is an essential commodity in Indonesia) and it contributes significantly to export earnings and employment. However, dominant producers argue that the increase in economies of scale and scope lead to an increase in the efficiency, which eventually will be beneficial for the end consumers and export earnings. This research seeks to examine whether the dominant producers do behave competitively and pass the efficiency gains to the end consumers, or they enhance inefficiency through market power instead. In order to identify the most suitable model to measure market power in the Indonesian CPO industry, different market power models are explored. These models can be divided into static and dynamic models. In general, all of them accept the price–cost margins as a measure of market power. However, static models fail to reveal the dynamic behaviour that determines market power; hence the dynamic models are likely to be more appropriate to modelling market power. Among these dynamic models, the adjustment model with a linear quadratic specification is considered to be a more appropriate model to measure market power in the Indonesian CPO industry. In the Indonesian CPO industry, producers can be divided into three groups, namely the public estates, private companies and smallholders. However, based on their ability to influence market price, smallholders are not considered as one of the dominant groups. By using the adjustment cost model, the market power of the dominant groups is estimated. The model is estimated using a Bayesian technique annual data spanning 1968–2003. The public estates and private companies are assumed to engage in a noncooperative game. They are assumed to use Markovian strategies, which permit firms to respond to changes in the state vector. In this case, the vector comprises the firms and their rivals’ previous action, implying that firms respond to changes in their rivals’ previous action. The key contribution of this thesis is the relaxation of the symmetry assumption in the estimation process. Although the existence of an asymmetric condition often complicates the estimation process, the different characteristics of the public estates and private companies lead to a need for relaxing such an assumption. In addition, the adjustment system—which can be seen as a type of reaction function—is not restricted to have downward slopes. Negative reaction functions are commonly assumed for a quantity setting game. However, the reverse may occur in particular circumstances. Without such restrictions, the analysis could reveal the type of interaction between the public estates and private companies. In addition, it provides insights into empirical examples of conditions that might lead to the positive reaction function. Furthermore, the analysis adds to the understanding of the impact of positive reaction functions to avoid the complicated estimation of the asymmetric case. As expected, the public estates act as the leader, while the private companies are the follower. Interestingly, results indicate that as well as the private companies, public estates do exert some degree of market power. Moreover, the public estates enjoy even higher market power than the private companies, as indicated by market power indices of -0.46 and -0.72, respectively. The exertion of market power by both the public estates and the private companies cast some doubts about the effectiveness of some current policies in the Indonesian CPO industry. With market power, the underlying assumption of a perfectly competitive market condition—that serves as the basis for the government interventions—is no longer applicable. Hence, many government interventions are unlikely to have the desired effect. The Indonesian competition law that has been imposed since 1999 might be effective in preventing firms to sign collusive contracts. In fact, even without such an agreement, firms in the CPO industry are likely to exert some degree of market power. As an alternative, eliminating the ‘sources’ of market power might be a better solution. If the public estates have the aim of maximising welfare, privatisation might improve their efficiency, hence they have ability to suppress the private companies’ market power. However, if in fact, the public estates deliberately reduce output to gain higher profit, privatisation might increase the degree of market power of both groups of companies even further. In such a condition, addressing the long term barriers of entry stemming from the requirement of high investment might be a better alternative to address the market power problem in the CPO industry.

Diss. Stockholm : Handelshögsk., 2004.

Thesis (Ph. D.)--University of New South Wales, 1999. / Includes bibliographical references. Also available online.

Thesis (Ph.D.)--University of Wollongong, 2005. / Typescript. Includes bibliographical references.

Thesis (M.S. in Defense Analysis)--Naval Postgraduate School, 2007. / Cover title. "December 2007." AD-A476 373. Includes bibliographical references. Electronic version available on the Public STINET.

Thesis (M.S.)--Michigan State University. Dept. of Chemistry, 2006. / Title from PDF t.p. (viewed on June 19, 2009) Includes bibliographical references. Also issued in print.

Thesis (M.S. in Computer Science)--Naval Postgraduate School, December 2004. / Thesis advisor(s): Gurminder Singh. Includes bibliographical references (p. 81-83). Also available online.