This study constructs a cross-market risk model based upon local multi-factor risk models of Taiwan and China equity markets. We employ world, country, industry, and global risk factors to build a structural model which could explain the relationship between local factors across markets by further decomposing local factor returns. Under the structure, this model allows each local market to adopt different local factors rather than force all local markets to use one parsimonious set of factors. Therefore, this model could provide both in-depth and broad coverage analysis of international equity portfolios. The innovative methodology is first introduced by Barra as the Integrated Model. Moreover, we build a simple portfolio and its corresponding benchmark to illustrate the power of our model. Once the contents of a portfolio are decided, this model could provide not only the risk estimation and decomposition in advance but also the performance attribution compared with the benchmark after the portfolio is realized. The analytical viewpoint could also easily change with different numeraire perspectives. The result demonstrates that this model is practical and flexible for international equity portfolio analysis.

Bibliographic Record JÍLEK, Jiří. European Real Estate Investment Trusts: Analyzing Correlation with a DCC- GARCH Model. Prague, 2012. 50 p. Master thesis (Mgr.) Charles University in Prague, Faculty of Social Sciences, Institute of Economic Studies. Supervisor: Tomáš Jandík MA MSc MRICS. Abstract The main goal of this thesis is to study the interdependencies between returns of European real estate investment trusts (REITs) and other investment asset classes such as European equities, government bonds and commodities. The thesis is divided into two parts: in the first part, we describe the necessary background that led to the emergence of first REIT structures and also provide an overview of the European REITs market. In the second part, we apply the Dynamic Conditional Correlation GARCH (DCC-GARCH) model to examine correlations between the above mentioned asset classes. The general understanding of real estate is that it provides diversification benefits to a diversified portfolio. However, our results suggest that returns of European REITs and stocks show a relatively high correlation and more importantly, the correlation increases in time. These findings have significant implications for investors and portfolio managers who seek protection for their portfolios in time of market downturns. Our results...

This study constructs a cross-market risk model based upon local multi-factor risk models of Taiwan, China and Singapore equity markets. This model allows each local market to adopt different local factors rather than force all local markets to use one parsimonious set of factors. We employ the world, country, industry, and global risk factors to build a structural model which could explain the relationship between local factors across market by further decomposing local factor returns. Therefore, this model could provide both in-depth and broad coverage analysis of international equity portfolios. Furthermore, we build a simple portfolio and its corresponding benchmark to illustrate the usage of our model. Once the contents of a portfolio are decided, this model could provide not only the risk estimation and decomposition in advance but also the performance attribution compared with the benchmark after the portfolio is realized. The analytical viewpoint could also easily change with different numeraire perspectives. The result demonstrates that this model is practical and flexible for international equity portfolio analysis.

IN ENGLISH The doctoral thesis focuses on the analysis of Spanish textbooks, both comparative method and content analysis, and at the same time it contributes to the mapping of the beginning of Spanish language teaching in Bohemia after 1945. Functions of textbooks as a didactical teaching aid are also defined. The author conducted interviews by a unique method of oral history. Based on these interviews with three experts on language teaching, the beginnings of the formation of the Spanish language textbooks in Bohemia have been recorded. From the point of view of psychology and didactics, a teacher is a mediator between the textbook and the user. For this reason the doctoral thesis includes a chapter called Teachers` personality. The author characterizes the role of teachers in the educational process and the influence of his/her personality on the use of textbooks. The description is made on the basis of the interviews with Josef Hendrich, Libuše Prokopová and Vladimír Rejzek. The main part of the doctoral thesis consists of two chapters, a comparison and a content analysis. The comparative analysis describes textbooks with respect to the intention of the authors, it compares publications in terms of structure, target groups, use of pictorial material, etc. The development of linguistic...

The aim of the thesis "Portfolio analysis as a tool for strategic marketing management of insurance companies" was to assess the possibilities and methods suitable for portfolio analysis, apply the selected methods in specific companies and compare with competitors. As the possibility to analyze the portfolio assessment was chosen as the selected insurance policy conditions and limits as well as insurance and prices. It was found that individual insurance companies and their products differ significantly. It was subsequently prepared BCG portfolio matrix, which makes it possible to evaluate the balance of the portfolio selected insurance companies and design strategies appropriate for each product group. The last part focuses on a survey whose objective was to determine how respondents are satisfied with the services of insurance, as insurance companies prefer and what their insurance policy. Based on the results of the survey were designed specific recommendations for improving the services of insurance companies.

[pt] O mercado financeiro pode ser caracterizado como sendo um ambiente onde mudanças ocorrem com espantosa velocidade. Esse elevado grau de volatilidade urge um controle exacerbado das variáveis envolvidas nos processos de formação de preço, para que as perdas inerentes às transações financeiras sejam rastreadas e minimizadas da maneira mais satisfatória possível. Uma ferramenta amplamente utilizada pelo mercado é o Value at Risk (VaR), que possibilita mensurar a perda potencial máxima para um determinado horizonte de tempo, dado um intervalo de confiança previamente escolhido. O VaR resume, num único número, a variância total do portfolio, uma vez que considera os efeitos de diversificação. Todavia, o VaR paramétrico tradicional não leva em conta a liquidez dos ativos em carteira, o que pode levar a um subdimensionamento do valor em risco. O mercado considera que as posições financeiras podem ser zeradas instantaneamente, sem que haja perda no valor dos ativos. Todavia, na prática, observa-se um impacto considerável no preço dos instrumentos financeiros quando uma posição de elevado montante é negociada. Além disso, há a distorção cotidiana entre os preços requeridos para compra e venda, o chamado bid-ask spread. O trabalho propõem uma fórmula para a incorporação das variáveis de liquidez na estimativa do VaR, usando dados estatísticos obtidos com a distribuição das séries de bid-ask spread dos ativos. Para tal, analisar-se-á o risco de uma carteira da maneira tradicional, ou seja, por intermédio do VaR paramétrico, e os resultados obtidos serão comparados com aquele atingido por meio da metodologia proposta. / [en] The financial market is an environment where changes take place with high velocity. This huge volatility makes necessary the control of the variables involved in formation price process, so losses due to financial transactions can be minimized in a satisfactory way. Value at Risk (VaR) is the most used instrument to do that. VaR summarizes the worst loss, over a target horizon, with a given level of confidence in one single number that reflects the portfolios total variance and the effects of diversification. However, the traditional parametric VaR doesnt consider the liquidity of the portfolio components, and so one can easily underestimate its value at risk. The market considers that financial positions can be sold in any instant of time without impacts to their prices. Nevertheless, in practice, when large amounts are traded there are rigorous impacts in prices. Besides, there is the bid-ask spread commonly observed in every days financial transactions. This dissertation proposes a formula to incorporate liquidity variables when estimating the VaR, using statistic data to do so.

Abstract: The content of this thesis is the creation of strategy of a med-sized business company. This strategy is elaborated on three time horizons: . 1. Short-term strategies - end of 2014 2. Medium-term Strategy - end 2015 ( 3 years ) 3. Long-term strategy - the end of the year 2018 ( 5 years). The primary indicator of the success of the planned strategy is : The projected sales volume Achieved market share. This thesis consists of two parts. The first part contains theoretical knowledge needed to develop this strategy. The theoretical part is followed by the practical part, which focuses on the description of the company, including corporate portfolio analysis, timing and objectives for which this strategy is intended . The strategy is based on an analysis of the market in which we operate and sell our products, existing and potential clients who are located here and competition that operate here. Follow-up action plan for each country, along with resource requirements to achieve this plan will allow to achieve the objectives set out in this strategy.

There has been much debate among investors on the benefits cryptocurrencies can have for portfolios and how their prices moves in the market. It is not difficult to see that cryptocurrencies are very volatile, yet that does not prevent investors from pouring tons of money in crypto-investments that either generate huge returns or catastrophic losses. One of the main challenges with is cryptocurrenciesis determining how they move with the rest of the market with assets such as stocks. The objective of this thesis was to investigate whether or not crypto provides some diversification benefit and if individual cryptocurrencies move in the same manner with respect to eachother. Of special interest was if there is a relationship between the cryptocurrency market and the stock market. The cryptocurrencies chosen for this project were compared mostly to the stocks in the, very information technology-sector focused, Nasdaq 100 index along with a few other assets. This thesis was written in cooperation with Origin Group AB, an Umeå based startup firm specializing in development of cryptocurrency-related technologies, most notably blockchain. All data used comes from publicly available sources and mostly include prices for cryptocurrencies and stocks from which the daily and weekly returns were calculated. The main methods used for this thesis was four different portfolio strategies with different combinations of assets, Style analysis, and principal component analysis. The portfolio strategies showed some promise with varying tradeoffs between diversification and Sharpe-ratio but the results are a bit questionable due to the short investment period. The principal component analysis showed that the cryptocurrency price data is very noise and the currencies moves pretty much in unison in contrast to the industry sector divided Nasdaq 100, which seem to have a few more distinct directions of movement. The Style-analysis’ inconclusive results show signs of a very noisy dataset and that there may not be a clear linear relationship between conventional asset returns and those of crypto.

The financial performance of Socially Responsible Investing (SRI) strategies is heavily debated in the modern age. Due to lack of evidence on Swedish SRI performance, Swedish investors are uncertain about placing their financial assets in these strategies as they are afraid expected to sacrifice their financial return for doing good. The purpose of this study is to examine and evaluate the financial and risk-adjusted performance of Swedish registered SRI mutual equity funds compared to conventional mutual equity funds during 2010-2020. The study’s dataset consists of a total of 236 mutual equity funds, with a sample of 133 SRI funds and 103 conventional funds. Financial performance measures used in this study are alpha, estimated through the Carhart four-factor model, and the Sharpe Ratio. The analysis between SRI mutual equity funds and conventional mutual equity funds indicated an insignificant difference in both financial and risk-adjusted performance. Based on the evidence provided, the study concludes that Swedish investors who put ethical, environmental and social values into their investment decision making process do not have to sacrifice their expected financial return, nor will their investment entail a higher degree of risk.

Background: T-Emballage is an established retailer of packaging materials with a specialization in customer-unique packaging solutions. For T-Emballage, it is crucial to adapt to the increasing importance of packaging materials as an opportunity for value creation and differentiation in an industry where customer demands are increasing, which requires active cooperation with suppliers to be at the forefront. Effective supplier development improves supplier capabilities and performance, helping buyers achieve cost reductions, productivity improvements, quality improvements and optimal resource utilization. SMEs are often characterized by limited resources, which makes it especially essential for these companies to develop the right supplier in the right way. Purpose: The purpose of this study is to identify and explore activities for supplier development based on a portfolio analysis and supplier evaluation, with a focus on improving the quality, price and service of T-Emballage’s various suppliers. Furthermore, the study aims to investigate the potential cost-related effects that can be achieved when implementing the recommended activities for T-Emballage’s strategic suppliers. By achieving this, the study aims to offer insights and recommendations for effective supplier development for retail SMEs in the packaging industry. Method: The study employs a qualitative approach with quantitative elements, where the first research question is primarily qualitative and the second, quantitative. Data collection was conducted through structured, semi-structured, and unstructured interviews. Furthermore, data was gathered from two focus groups, as well as directly from T-Emballage’s business system and statistical programs. Conclusion: The study finds that T-Emballage’s nine largest suppliers, in terms of spend, require different activities for supplier development. For the strategic suppliers, whose performance in the supplier evaluation had room for improvement, direct activities are recommended, in the categories of training and support, technical development, communication and collaboration as well as evaluation and assessment. For the strategic suppliers that have performed well based on the supplier evaluation, along with the bottleneck supplier, non-critical and the leverage supplier, various indirect supplier development activities are recommended. Furthermore, it appears that the implementation of the recommended supplier development activities for T-Emballage’s strategic suppliers potentially generate both cost increases and reductions. The indirect activities offer the greatest potential for cost reductions, while several of the direct ones were considered unfeasible considering, among other things, the resources that would be required. Contribution: The study contributes to filling a research gap regarding supplier development for retail SMEs in the packaging industry. By using portfolio analysis and supplier evaluation, the study offers a unique framework to determine appropriate supplier development activities for different suppliers. In addition, the results of the study constitute a significant decision basis for T-Emballage in terms of the choice of supplier development activities. The study’s societal contribution lies in promoting an ethical supply chain practice through supplier development, fostering long-term stability, potentially benefiting the wider community through improved economic growth and responsible business conduct.