In this paper, I evaluate the out-of-sample performance of the portfolio optimizer relative to the naïve and market strategy on the Swedish stock market from January 1998 to December 2012. Recent studies suggest that simpler strategies, such as the naïve strategy, outperforms optimized strategies and that they should be implemented in the absence of better estimation models. Of the 12 strategies I evaluate, 11 of them significantly outperform both benchmark strategies in terms of Sharpe ratio. I find that the no-short-sales constrained minimum-variance strategy is preferred over the mean-variance strategy, and that the historical sample estimator creates better minimum-variance portfolios than the single-factor model and the three-factor model. My results suggest that there are considerable gains to optimization in terms of risk reduction and return in the context of portfolio selection.

The primary investment objective of investors is to create their wealth which is reflected in the change of stock market price and dividend yield they receive over the investment period. Thus, investors need financial tools to assess and forecast company performance before making investment decisions. Traditionally, such accounting measures as Earnings Per Share (EPS), Return On Assets (ROA), Return On Equity (ROE) and Return On Sales (ROS) are basic tools for investors in Thailand to evaluate companies¡¦ performance in the stock market. Value based approaches such as Economic Value Added (EVA) and Market Value Added (MVA) are not widely known among investors yet. Therefore, this study aims to examine the explanatory power of various accounting measures (EPS, ROA, ROE and ROS ) and value based measures ( EVA and MVA ) on the stock returns. This study focuses on 190 sample companies which are representative of all listed companies in the years from 2006-2010 in terms of the spread of EPS and industry diversification. The empirical results indicate that accounting measures are more associated with stock returns than MVA and EVA respectively. Among accounting measures, ROA provides highest explanatory power on stock return although the analysis is done separately by sector. In contrast, the results for EVA appear in some sectors and are not consistent with the past research done in other stock markets including Thailand. Thus, the analysis is extended to examine the company characteristics that have relationship between EVA and stock return. The findings indicate that EVA tends to be associated with stock return in companies that have low book to market ratio. In terms of portfolio returns, typical investing styles, such as value and growth strategies still outperform the return from MVA and EVA strategies.

In 2009, GOOGLE with the brand value of 100 billion U.S dollars won the first prize of BrandZ Top 100 again. Brand investigation is not only popular in western countries, but also in Taiwan now. Management Magazine has carried out the investigation on consumers¡¦ ideal brand for 24years. More and more Taiwanese enterprises are proud of being in higher ranking, it means that Taiwanese enterprises begin to understand how important brand management for their business is and they are willing to invest more resources to build a brand. Moreover, enterprises take brand portfolio to compete with others. From literature review, business model would affect the content of brand portfolio, but there¡¦s no material to explain how to affect. Therefore, the thesis focuses on the relationship of business model and brand portfolio strategy, and considers the interference of consumer behavior, besides, the feedback of brand portfolio objectives is also concluded. The method is case study, and Shiseido, LEXUS and AGV are the subjects. After collecting and analyzing primary data from the interviews and secondary data, the results are: (1) Business model would affect the content of brand portfolio strategy directly. (2) The roles of brand portfolio strategy would affect the two elements of business model which are ¡§revenue resources¡¨ and ¡§sustainability ¡§. (3) Involvement would adjust the relationship of business model and brand portfolio strategy. (4) Accomplishment of brand portfolio objectives would benefit the two elements of business model which are ¡§capabilities¡¨ and ¡§scope¡¨.

Indiana University-Purdue University Indianapolis (IUPUI) / The purpose of this research is to explore if policy makers and implementers shift and/or change their understandings of the portfolio management model (PMM) when engaged in equity-oriented transformative professional learning. The portfolio approach to urban education, at present, is being implemented or considered by over one third of the US. There are 20 states, 40 cities, and the District of Columbia that are pursuing and/or implementing the portfolio management model (PMM). This research study examines how systemic, socio-political, socio-historical, and interconnected policy networks have resulted in inequity. Furthermore, this study focuses on how policy makers and implementers engage with one another and their context(s) while learning about educational equity. This occurred via facilitating transformative professional learning opportunities aimed to illicit critical self-awareness, reflection, and examination of perhaps the more pernicious underpinnings of authentic decision and choice making in US education reform. The study also explores the ways in which institutional context and the research design itself may have impacted and/or impeded shifts in learning. The study’s theoretical frameworks guided the decision to use critical qualitative inquiry and narrative inquiry to investigate the raced, gendered, sexed, and classed experiences of policy makers and implementers, and further, implications for policy implementation regarding other forms of othering such as ableism, linguicism, ageism, etc. Thematic analysis of the data, analyzed using critical frameworks, were articulated as interspliced data vignettes. Findings suggest that learning is social and that designed experiences around educational equity can provide ways in which policy makers and implementers can formally intervene in their own practices of developing and/or cultivating critical consciousness, as well as decision-making toward PMM adoption and implementation in their respective contexts. Participant’s narratives both challenge and perpetuate dominant, historical approaches of urban education reform adoption and implementation, and exposes how US urban education policy arenas have not systemically centered critical consciousness, resulting in equity-oriented policies being interpreted and implemented in inequitable ways. Findings from this study guide future research and practice that focuses on urban education policy creation, adoption, and implementation.

Customer-centric business approaches have been theorized over the last decades (Sheth, Sisodia and Sharma, 2000; Sheth, Sethia and Srinivas, 2011; Rajagopal, 2020). However, the active usage of customer input for a successful product portfolio strategy is widespread but not yet fully implemented (Cooper, Edgett and Kleinschmidt, 2002). The co-creation aspects of having two equal partners in performing the product portfolio structuring task is a key issue for managers (Rajagopal, 2020). The aim is to find how customer input can be used as an important influencing factor for the product portfolio strategy. This aim is achieved through an analysis of the most commonly used influencing factors and the expert's assessment of information gathering procedures and their categorisation, supported by the Edvardsson et al. (2012) framework. Furthermore, a framework by Voss (2012) is examined regarding customer integration into project portfolio management to investigated possible additions. As an appropriate method, an exploratory approach with a single case study and semi-structured interviews of experts of the field is selected. The primary data of this case study is compared with a structured literature review, which consists of the latest theories on customer integration into the product portfolio strategy. Four major results are found. First, product portfolio strategy is mainly driven by financial input and not yet by customer input. Second, customer input should be collected through multiple channels. Thirdly, customer input is assessed as being a useful factor for the product portfolio strategy. Fourths the execution of input gathering is currently performed more towards past performances than for future-oriented input as needs and wishes for the product portfolio structuring. Finally, managerial implications with a method is provided for the collection, storage, analysis and distribution of customer input. In conclusion, the implementation fidelity of the future related customer input is not yet performed but desired. The approach of input collection from customers is considered to be valuable, however a suitable method is needed. Furthermore, two new connections can be made for the structuring phase of Voss’s framework and avenues for future research of the customer input integration are presented. / Över de senaste årtiondena har det teoretiserats kring affärmodeller koncentrerade kring konsumenterna (Sheth, Sisodia och Sharma, 2000; Sheth, Sethia och Srinivas, 2011; Rajagopal, 2020). Idèn att använda konsumenternas åsikter för att utveckla strategier kring sortimentet är välkänd, men ännu inte helt implementerad (Cooper, Edgett and Kleinschmidt, 2002). Frågorna kring hur två affärspartners tillsammans ska strukturera sina sortiment är av stor vikt för chefer (Rajagopal, 2020). Målet är att undersöka hur konsumenternas feedback kan användas för att påverka strategin avseende sortimentet. Detta uppnås genom en analys av de vanligaste fallen där kunderna påverkat strategin, samt utlåtanden från experter om insamling av information. Vidare undersöks ett ramverk från Voss (2012) vars syfte är att involvera kunderna i utformningen av sortimentet. En fallstudie samt öppna intervjufrågor till experter inom ämnet lade grunden till detta. Den viktigaste datan från studien jämfördes med aktuella teorier kring integration av kunder i utvecklingen av sortimentet. Resultatet visade framför allt fyra tydliga samband. Det första var att strategier kring sortiment framför allt drivs av finansiella faktorer, och inte konsumentkritik. Det andra var att feedback från kunderna borde samlas in från flera olika kanaler. Det tredje var att kundernas kritik värderades högt i utformningen av sortimentet, och det fjärde var att insamlingen av kritik från kunderna ofta fokuserar på utvärdering av tidigare sortiment, istället för att ta in önskemål från kunder om ändringar av sortimentet. Slutligen tillhandahålls en metod för insamling, förvaring, analys och distribution av kundernas kritik. Sammanfattningsvis är exaktheten för insamling av framtidsorienterad kritik ännu inte bra nog, men värderad högt. Att jobba tillsammans med kunderna anses mer värdefullt, speciellt när en lämplig metod är tillgänglig. Dessutom kan två nya kopplingar göras för strukturen i Voss's ramverk, och tillvägagångssätt för framtida forskning på konsumentkritik presenteras.

As organizações enfrentam pressão por geração de valor e, para tanto, buscam posicionar-se favoravelmente em seus setores de atuação, o que impõe a necessidade de definir uma estratégia clara e realizar investimentos alinhados a ela. Os investimentos são concretizados por meio de projetos, cuja seleção deve ser conduzida por um processo rigoroso, transparente e objetivo o que pode ser obtido com a definição de critérios de seleção baseados em indicadores quantitativos financeiros. Apesar da existência de muitos trabalhos com foco no alinhamento da carteira de projetos à estratégia do negócio, as discussões são conduzidas de modo qualitativo ou baseadas em exemplos específicos e aplicação de poucos critérios. O presente trabalho avalia, por meio de simulações, as implicações estratégicas dos diferentes tipos de critérios de seleção, incluindo visão de risco e retorno. Em resumo, o critério de maximizar o Valor Presente Líquido seleciona projetos de mais longa duração e fluxos de caixas positivos no longo prazo, o que favorece o crescimento da organização. Uma carteira desta natureza pode adequar-se a empresas que competem em indústrias em ritmo acelerado de crescimento. Os critérios, baseados na Taxa Interna de Retorno e no Índice de Lucratividade, selecionam projetos de elevado retorno sobre o capital investido, o que tende a privilegiar rentabilidade em vez de crescimento. Carteiras com estas características podem favorecer a atuação em indústrias de expressivo volume de mercado, porém baixas taxas de crescimento. Em contrapartida, os critérios baseados no Período de Retorno selecionam projetos de menor duração, cujos retornos ocorrem no curto prazo, característica que pode ser desejada quando a organização atua em uma indústria em declínio ou em linhas de negócio em que pretende desinvestir. / Organizations face pressure for value creation and seek a favorable position in their industry segments, what demands a clear strategy and investments aligned to it. Such investments are implemented through projects, which should be selected by a rigorous, transparent and objective process what can be achieved using quantitative financial criteria for project selection. Although there are several studies focused on the alignment of Project Portfolio to Corporate Strategy, discussions are qualitative in most cases or they are based on few specific selection criteria. In order to present a broader study on the field, this work simulates the strategic implication of different selection criteria, using a risk-reward framework. Major conclusion could be achieved on that way. For example, maximizing the Net Present Value selects long lasting projects with strong cash flow generation in the long term. Such portfolios have good fit for companies competing in high growth industries. Selection criteria based on the Internal Rate of Return or the Profitability Index select high return on investment projects, which drive more profitability than growth. Such portfolios are applicable for companies competing in high volume but low growth industries. On the other hand, criteria based on the Payback Period select short term return projects, which are applicable for companies competing in shrinking industries or in divesting business lines.

As organizações enfrentam pressão por geração de valor e, para tanto, buscam posicionar-se favoravelmente em seus setores de atuação, o que impõe a necessidade de definir uma estratégia clara e realizar investimentos alinhados a ela. Os investimentos são concretizados por meio de projetos, cuja seleção deve ser conduzida por um processo rigoroso, transparente e objetivo o que pode ser obtido com a definição de critérios de seleção baseados em indicadores quantitativos financeiros. Apesar da existência de muitos trabalhos com foco no alinhamento da carteira de projetos à estratégia do negócio, as discussões são conduzidas de modo qualitativo ou baseadas em exemplos específicos e aplicação de poucos critérios. O presente trabalho avalia, por meio de simulações, as implicações estratégicas dos diferentes tipos de critérios de seleção, incluindo visão de risco e retorno. Em resumo, o critério de maximizar o Valor Presente Líquido seleciona projetos de mais longa duração e fluxos de caixas positivos no longo prazo, o que favorece o crescimento da organização. Uma carteira desta natureza pode adequar-se a empresas que competem em indústrias em ritmo acelerado de crescimento. Os critérios, baseados na Taxa Interna de Retorno e no Índice de Lucratividade, selecionam projetos de elevado retorno sobre o capital investido, o que tende a privilegiar rentabilidade em vez de crescimento. Carteiras com estas características podem favorecer a atuação em indústrias de expressivo volume de mercado, porém baixas taxas de crescimento. Em contrapartida, os critérios baseados no Período de Retorno selecionam projetos de menor duração, cujos retornos ocorrem no curto prazo, característica que pode ser desejada quando a organização atua em uma indústria em declínio ou em linhas de negócio em que pretende desinvestir. / Organizations face pressure for value creation and seek a favorable position in their industry segments, what demands a clear strategy and investments aligned to it. Such investments are implemented through projects, which should be selected by a rigorous, transparent and objective process what can be achieved using quantitative financial criteria for project selection. Although there are several studies focused on the alignment of Project Portfolio to Corporate Strategy, discussions are qualitative in most cases or they are based on few specific selection criteria. In order to present a broader study on the field, this work simulates the strategic implication of different selection criteria, using a risk-reward framework. Major conclusion could be achieved on that way. For example, maximizing the Net Present Value selects long lasting projects with strong cash flow generation in the long term. Such portfolios have good fit for companies competing in high growth industries. Selection criteria based on the Internal Rate of Return or the Profitability Index select high return on investment projects, which drive more profitability than growth. Such portfolios are applicable for companies competing in high volume but low growth industries. On the other hand, criteria based on the Payback Period select short term return projects, which are applicable for companies competing in shrinking industries or in divesting business lines.

This dissertation focused on an increasingly prevalent phenomenon in today’s global business environment—strategic alliance portfolio. Building on resource-based view, resource dependency theory and real options theory, this dissertation adopted a multi-dimensional perspective to examine the performance implications, strategic antecedents of alliance portfolio configuration, and its strategic effects on firms’ decision-making on their continuing foreign expansion. The dissertation consisted of three interrelated essays, each of which dealt with a specific research question. In the first essay I applied a two-dimensional construct that embraces both alliance relations’ and alliance partners’ attributes to illustrate alliance portfolio configuration. Based on this framework, a longitudinal study was conducted attempting to explore the performance properties of alliance portfolio configuration. The results revealed that alliance diversity and partner diversity have different relative contributions to firms’ economic performance. The relationship between alliance portfolio configuration and firm performance was shaped by degree of multinationality in a curvilinear pattern. The second essay attempted to identify the firm level driving forces of alliance portfolio configuration and how these forces interacting with firms’ internationalization influence firms’ strategic choices on alliance portfolio configuration. The empirical results indicated that past alliance experience, slack resource and firms’ brand images are three critical determinants shaping alliance portfolios, but those shaping relationships are conditioned by firms’ multinationality. The third essay primarily employed real options theory to build a conceptual framework, revealing how country-, alliance portfolio-, firm-, and industry level factors and their interactions influence firms’ strategic decision-making on post-entry continuing expansion in foreign markets. The two empirical studies were resided in global hospitality and travel industries and use panel data to test the relevant theoretical models. Overall, the dissertation advanced and enriched the theoretical domain of alliance portfolio. It particularly shed valuable insights on three fundamental questions in the domain of alliance portfolio research, namely “if and how alliance portfolios contribute to firms’ economic performance”; “what determines the appearance of alliance portfolios; and “how alliance portfolios affect firms’ strategic decision-making”. This dissertation also extended the international business and strategic management research on service multinationals’ foreign expansion and performance.

An optimal dividend problem with investment opportunities, taking into consideration a source of strategic risk is being considered, as well as the effect of market frictions on the decision process of the financial entities. It concerns the problem of determining an optimal control of the dividend under debt constraints and investment opportunities in an economy with business cycles. It is assumed that the company is to be allowed to accept or reject investment opportunities arriving at random times with random sizes, by changing its outstanding indebtedness, which would impact its capital structure and risk profile. This work mainly focuses on the strategic risk faced by the companies; and, in particular, it focuses on the manager's problem of setting appropriate priorities to deploy the limited resources available. This component is taken into account by introducing frictions in the capital structure modification process. The problem is formulated as a bi-dimensional singular control problem under regime switching in presence of jumps. An explicit condition is obtained in order to ensure that the value function is finite. A viscosity solution approach is used to get qualitative descriptions of the solution. Moreover, a lending scheme for a system of interconnected banks with probabilistic constraints of failure is being considered. The problem arises from the fact that financial institutions cannot possibly carry enough capital to withstand counterparty failures or systemic risk. In such situations, the central bank or the government becomes effectively the risk manager of last resort or, in extreme cases, the lender of last resort. If, on the one hand, the health of the whole financial system depends on government intervention, on the other hand, guaranteeing a high probability of salvage may result in increasing the moral hazard of the banks in the financial network. A closed form solution for an optimal control problem related to interbank lending schemes has been derived, subject to terminal probability constraints on the failure of banks which are interconnected through a financial network. The derived solution applies to real bank networks by obtaining a general solution when the aforementioned probability constraints are assumed for all the banks. We also present a direct method to compute the systemic relevance parameter for each bank within the network. Finally, a possible computation technique for the Default Risk Charge under to regulatory risk measurement processes is being considered. We focus on the Default Risk Charge measure as an effective alternative to the Incremental Risk Charge one, proposing its implementation by a quasi exhaustive-heuristic algorithm to determine the minimum capital requested to a bank facing the market risk associated to portfolios based on assets emitted by several financial agents. While most of the banks use the Monte Carlo simulation approach and the empirical quantile to estimate this risk measure, we provide new computational approaches, exhaustive or heuristic, currently becoming feasible, because of both new regulation and the high speed - low cost technology available nowadays.

本研究之宗旨在於探究中國大陸對亞洲區域內國家的金融市場影響程度之變化。由過去的各國股市日報酬率資料間相關程度與政策改變間的影響結果，來觀察是否未來在兩岸政策更開放下會使中國大陸對台灣的影響程度上升，進而使國際間投資組合的風險分散效果下降。本研究自DataStream選取台灣、香港、中國大陸、泰國、印尼、新加坡、馬來西亞、菲律賓、日本以及美國等十國的股價指數日資料，以對數轉換為日報酬率後年化加以分析。選取時間自1991年7月15日(中國大陸上海證券交易所股價指數公開後)至2008年12月31日。本研究選用的方法為使用風險值(VaR; Value at Risk)的概念來取代傳統的標準差，衡量以該十國所分別組成的各投資組合風險值變動情形；以及由風險值所衍生出的Diversification Benefit與Incremental VaR的結果。發現到僅由亞洲區域國家內組成的投資組合風險分散效果逐漸下降；且效果並不如有納入區域外國家(如美國)的投資組合。接著本研究將Gaussian Copula模型放入VaR中以增加對極端值的捕捉能力，結果發現本研究所選用的指數加權移動平均法所求得之相關係數已可有效反應出各國之間的相依程度，即加入Copula的效果有限。另外藉由Copula所求得之相關係數顯示，台灣、香港對中國大陸之間的相依程度已逐漸上升，並開始出現超越美國之現象，其中又以2005年為上升趨勢的起點。最後本研究以向量自我迴歸模型(VARs)來驗證2005年前後中國大陸股市對其他亞洲區域國家的影響力是否存在結構性的改變；並再佐以變異數拆解之方法來觀察2005年前後各國家之間自發性衝擊對彼此之間的影響程度變化。研究結果發現，透過VARs可證明中國大陸對亞洲區域各國的影響力在2005年後轉變為顯著；僅對美國不存在此一現象。另外變異數拆解的結果也顯示各國之間的相依程度在2005年後有明顯的上升，中國大陸對各國的影響程度亦然。透過本研究之結論，在未來兩岸將簽訂金融監理備忘錄使整合關係提升的環境下，需提醒投資人整合關係的上升將使得以之為標的之投資組合風險分散效果下降，需作為投資策略之考量。 / The object of this research is to find out the trend of dependence and correlation between China and other Asian countries. Based on past information about the relationship between equity markets’ correlation and changes in policies, this research can make suggestions to the foreseeable future of Taiwan and China whose relationship will be more solid due to new policy. The data of this research are gathered from DataStream, which includes Taiwan, Hong Kong, China, Thailand, Indonesia, Singapore, Malaysia, Philippines, Japan and United States. Selected from 1991/07/15 (when the Shanghai SE Composite went public) to 2008/12/31, this research calculates the annualized daily return using natural logarithms of two consecutive daily index prices. This research uses Value at Risk (VaR) to measure the risk exposure of portfolios formed by ten countries, and extends to the use of Diversification Benefit and Incremental VaR. The results found out that the diversification effects of portfolio which includes only Asian countries are decreasing and inferior to the effects when cross region countries are included. The second study of this research is to combine Gaussian Copula Model with VaR to capture the effects of extreme values. Empirical results found out that the VaR using Exponentially Weighted Moving Average method is good enough for analyzing Asian stock markets. The correlation in Copula model suggests that the dependence between Taiwan and China had increased since 2005 and has the increasing trend which might overwhelm the dependence between Taiwan and United States. Final research is about using Vector Autoregressions Model (VARs) to testify is there exist any structural change of dependence before and after 2005, and using Variance Decomposition to observe the relationships between these ten countries. The results found out that there exist structural change in 2005, the post-2005 periods shows that for Asian countries the effect from China are significant and greater than pre-2005 periods.