A method to assess the application of additive manufacturing to inventory replenishment : a thesis presented in partial fulfilment of the requirements for the Master of Supply Chain Management at Massey University, Albany, New Zealand

Companies have historically struggled to deal with their stock, especially the long inventory tail. As most of the inventory management techniques that deal with slow-moving stock have proved to be rather inefficient, this research investigates the use of additive manufacturing to 3D print items on demand and therefore mitigate the inventory carrying and associated costs. This research has been applied to a Hydraulic Equipment Business in New Zealand, which was tested through an inequation that models the traditional manufacturing and 3D printing costs, yielding the ‘tipping point’ for the use of the 3D printing technology. Even though the results obtained herein were negative for this particular case regarding the use of additive manufacturing, this research has developed a methodology to assess the trade-off between traditional manufacturing and 3D printing and also provides insights into the characteristics of the inventory of the businesses that are most likely to benefit from the use of the technology

Portfolio selection in euro area with CAPM and Lower Partial Moments models

This article selects portfolios using estimates given by CAPM and three Lower Partial Moments models (LPM). The CAPM assumption about investors’ behaviour towards risk is that they are equally concerned with upside and downside risk. The LPM models, however, are based on the assumption that investors’ utility functions weight downside risk more heavily than upside risk. The major difference between LPM models is their definition of upside and downside risk. The asset pricing models estimations and the corresponding portfolio selection were conducted on several euro area domestic stock indexes and the European Monetary Union stock market index (EMU). A pairwise comparison of portfolio performance is conducted through Sharpe ratios calculated sepa- rately for upside and downside market conditions. The results of this comparative analysis of different pricing models provide evidence that CAPM and one LPM model offer better protection against adverse market conditions than the other two LPM models studied.info:eu-repo/semantics/publishedVersio

The Co-integration of European Stock Markets after the Launch of the Euro

This article studies the international integration of the national stock markets of sixteen European countries. The international financial market is represented by two indices: a European index and a World index. The methodology of co-integration, used in this article, is the proper econometrical solution for the treatment of non-stationary series as those used in the present research. Complementarily, co-integration offers the possibility of distinguishing the long-term and the short-term interdependence, which very important when the variables are financial market indices. The empirical tests in this research have shown that both European and non European international factors are necessary to explain the international integration of the national stock markets under analysis.Co-integration, Stock markets, Euro

A flexible matrix Libor model with smiles

We present a flexible approach for the valuation of interest rate derivatives based on Affine Processes. We extend the methodology proposed in Keller-Ressel et al. (2009) by changing the choice of the state space. We provide semi-closed-form solutions for the pricing of caps and floors. We then show that it is possible to price swaptions in a multifactor setting with a good degree of analytical tractability. This is done via the Edgeworth expansion approach developed in Collin-Dufresne and Goldstein (2002). A numerical exercise illustrates the flexibility of Wishart Libor model in describing the movements of the implied volatility surface