<p>In this thesis, we conduct a case study by applying simple technical trading rules on Chinese stock market. The technical trading rules we tested are moving average rules and trading range breakout rules. The stock indices we tested are SSE A (Shanghai A) and SZSE (Shenzhen A) share, these shares are limited to the Chinese domestic traders. Our main trading rule frameworks are mainly from Brock, Lakonishok& Lebaron (1992), which including the most basic technical trading rules and covered various length of period, however we add the 25 days moving average to our frame work. We obtained our data from DataStream; the data are the daily closing prices of two indices we mentioned above.</p><p>We compared the mean return and Sharpe ratio with buy and hold. We further calculated breakeven transaction costs to test whether the technical trading rules can still add wealth to investors after adjusting the transaction costs. Our results showed that most technical trading rules perform better than buy and hold. VMA perform better than FMA and TRB, short period (25 and 50 days) performed better than longer period. On mean return, our data violated the assumption of parametric statistical test. We performed non-parametric tests, all the trading rules showed statistical significance at 95% level than buy and hold except FMA (1, 25,0), all the trading rules resulted higher Sharpe ratio than buy and hold. On transaction costs, 7 trading rules on SSE A are performed poorer than buy and hold, all the other rules provided positive breakeven transaction costs. Across the entire trading rule, both stock markets offered positive break-even transaction costs, 0.436% for SSE A and 1.369% for SZSE A. and they are both higher than the maximum transaction costs one bears.</p>

In this thesis, we conduct a case study by applying simple technical trading rules on Chinese stock market. The technical trading rules we tested are moving average rules and trading range breakout rules. The stock indices we tested are SSE A (Shanghai A) and SZSE (Shenzhen A) share, these shares are limited to the Chinese domestic traders. Our main trading rule frameworks are mainly from Brock, Lakonishok&amp; Lebaron (1992), which including the most basic technical trading rules and covered various length of period, however we add the 25 days moving average to our frame work. We obtained our data from DataStream; the data are the daily closing prices of two indices we mentioned above. We compared the mean return and Sharpe ratio with buy and hold. We further calculated breakeven transaction costs to test whether the technical trading rules can still add wealth to investors after adjusting the transaction costs. Our results showed that most technical trading rules perform better than buy and hold. VMA perform better than FMA and TRB, short period (25 and 50 days) performed better than longer period. On mean return, our data violated the assumption of parametric statistical test. We performed non-parametric tests, all the trading rules showed statistical significance at 95% level than buy and hold except FMA (1, 25,0), all the trading rules resulted higher Sharpe ratio than buy and hold. On transaction costs, 7 trading rules on SSE A are performed poorer than buy and hold, all the other rules provided positive breakeven transaction costs. Across the entire trading rule, both stock markets offered positive break-even transaction costs, 0.436% for SSE A and 1.369% for SZSE A. and they are both higher than the maximum transaction costs one bears.

Optimal portfolios have historically been computed using standard deviation as a risk measure.However, extreme market events have become the rule rather than the exception. To capturetail risk, investors have started to look for alternative risk measures such as Value-at-Risk andConditional Value-at-Risk. This research analyzes the financial model referred to as Markowitz 2.0 and provides historical context and perspective to the model and makes a mathematicalformulation. Moreover, practical implementation is presented and an optimizer that capturesthe risk of non-extreme events is constructed, which meets the needs of more customized investment decisions, based on investment preferences. Optimal portfolios are generated and anefficient frontier is made. The results obtained are then compared with those obtained throughthe mean-variance optimization framework. As concluded from the data, the optimal portfoliowith the optimal weights generated performs better regarding expected portfolio return relativeto the risk level for the investment.

This thesis aims to investigate the benefits of international diversification from a Swedish perspective. It presents a comparative study of the performance of different portfolios based on their degree of international diversification with a focus on Swedish investors frame of reference. Such a study is motivated by the contradictory literature about portfolio diversification and information portfolio theory that advocate for a more concentrated portfolio. It focuses solely on comparing portfolios constituted with major indices of a representative sample including countries from different parts of the world. The different scales of those portfolios start from a divided part of the Swedish economy to end with a global portfolio. We observed that international diversification can outperform the domestic portfolios when considering risk and return. In addition, we observed that the best performing portfolios over the periods are systematically concentrated on emerging countries and that the high return of those emerging countries is often not associated with a correspondingly high standard deviation as it should be expected. The best levers of performance that we identified as a result of this comparative study are, first, the strategy consisting in focusing on the most concentrated portfolios in order to maximize the return and then trying to time the market, thanks to a specialized information collection strategy, but this bear a high undiversifiable risk. Or second, adopting an intentionally diversified portfolio and collecting information about the most promising emerging markets that will be then over weighted in the portfolio to lower the risk and higher the return. Lastly, the study recommend that home-biased investors should change their behavior and consider international investments when building a portfolio.

Les barres sableuses pré-littorales ont un rôle fondamental en morphodynamique des plages soumises à l’action des vagues. Le déséquilibre permanent entre les flux sédimentaires induits vers laplage par les non linéarités des vagues et ceux induits vers le large par le courant de retour gouverne lamigration transversale des barres. Dans cette thèse, un nouveau modèle morphodynamique de profilde plage intégrant l’état de l’art des processus hydro-sédimentaires a été développé. Le faible coûten temps de calcul de ce modèle permet de réaliser des simulations à long terme, O(mois/années),de la morphologie de plages réelles ayant des caractéristiques variées (pente, type de déferlement,granularité). La simulation sur plusieurs jeux de données, de plages réelles et expérimentales, a permisd’identifier la contribution respective des principaux processus hydro-sedimentaires dans la dynamiquede la plage suivant les conditions de houle (e.g. Tempête, temps calme). Ces avancées scientifiques ontété intégrées à un modèle 2DH, ce qui a notamment permis de simuler pour la première fois sur des casacadémiques la formation d’une barre sableuse rectiligne à partir d’une plage parfaitement plane, suiviedu développement de corps sableux tridimensionnels. Ces résultats ouvrent la voie vers l’applicationde ce type de modèle aux plages naturelles soumises à une large variabilité de régimes de houle. / Sandbars are ubiquitous patterns along wave-dominated sandy coastlines and are key elementsin the global evolution of beaches. Cross-shore sandbar migrations are the result of the permanentimbalance between sediment flux driven by wave non-linearity and mean return current. In this thesis,we developed a new process-based beach profile model integrating the recent scientific advancesin term of hydrodynamics and sediment transport developed for beach morphodynamics. The lowcomputing time allows for long-term morphodynamic simulations (O months/years) of natural beachprofiles of diverse characteristics (beach slope, sediment grain size or type of wave breaking). Modelvalidations on several data sets, encompassing natural and experimental beach profile evolutions,highlight the respective contribution of the main hydrodynamic and sediment transport processesinvolved in specific cross-shore sandbar evolution relative to various wave conditions. Finally, all thecross-shore physical processes were integrated in a 2DH morphodynamic model, resulting for the firsttime in the simulation of a quasi-complete down state sequence showing alongshore bar generationwith subsequent spontaneous formation of transverse bar and rip morphology. These very encouragingresults pave the way for using this model to simulate 3-Dimensional evolutions of natural beachesforced by irregular wave conditions