Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 109 for “"Asset allocation"”.
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Machine Learning Asset Allocation
La optimización de portafolios de instrumentos financieros es una actividad que ocurre de manera diaria en el mundo financiero. En la mayoría de los casos se utiliza una metodología de optimización cuadrática que está diseñada para solucionar problemas de optimización de cartera con restricciones …
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Essays in Asset Allocation
This dissertation consists of two essays in asset allocation. In the first essay, I measure the value of active money management. I explore this issue by comprehensively examining the parametric rule proposed by Brandt, Santa-Clara and Valkanov (2009) (the BSV rule) out-of-sample for portfolio …
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Skew Normal Bayesian Asset Allocation
<p>This dissertation explores a Bayesian asset allocation problem based on the skew-normal distribution assumption and extends the Bayesian asset allocation model obtained by assuming hidden truncation skew-normal returns. Hidden truncation model provides a flexible family of skewed alternatives to …
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Asset allocation and Regulation 28
… the impact Regulation 28 has on optimal asset allocation. The revised Regulation 28 of the pensions fund act came into effect as of 1 July 2011 which imposed certain restrictions or constraints on pension funds under direct control of trustees. This study evaluates some of the constraints …
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General superposition strategies and asset allocation
Investors commonly use stopping rules to help them get in and out of their investment positions. Despite their widespread use and support from behavioral finance, there has been little discussion of their impact on portfolio performance in classic portfolio choice theory. In this thesis, I remedy …
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Dynamic optimal asset allocation with optimal stopping
We develop a model of optimal consumption, labor and portfolio choice with endogenous retirement for an individual's life-cycle decisions. Explicit solutions for finite horizon are derived both for an individual with power utility and for an individual with log utility. There are two distinct …
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Asset allocation in the South African environment
The aim of this paper is to find solutions to the asset allocation problem in the South African environment. These solutions look at a variety of different investor's preferences. These include an investor's age, risk aversion and required levels of returns. To do this, an analysis was done of …
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Electronic warfare asset allocation with human-swarm interaction
Finding the optimal placement of receiving assets among transmitting targets in a three-dimensional (3D) space is a complex and dynamic problem that is solved in this work. The placement of assets in R^6 to optimize the best coverage of transmitting targets requires the placement in 3D-spatiality, …
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A framework for regime identification and asset allocation
… of this thesis is to examine a regime-based asset allocation strategy and evaluate whether accounting for regime-dependent risk and return of asset classes provides any significant improvement on portfolio performance. The South African market and economy are considered as a proxy for the …
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Application of robust statistics to asset allocation models
Many strategies for asset allocation involve the computation of expected returns and the covariance or correlation matrix of financial instruments returns. How much of each instrument to own is determined by an attempt to minimize risk (the variance of linear combinations of investments in these …
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Racial differences in households' financial asset allocation, 1992-2004
… racial differences in households' financial asset allocation over the years. This study categorized the financial assets into four categories: equities held directly or indirectly, bonds held directly or indirectly, cash account and other financial asset. Based on Heckman Selection model, the …
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'Ex-ante' asset allocation strategies for global index portfolios
… the issue of developing optimal "ex~ante" global asset allocation strategies from the viewpoint of a UK investor, without the need to resort in fundamental forecasts of the portfolio inputs. In this context, the main emphasis is placed on the market selection, currency hedging and asset mix …
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Optimal asset allocation for retirement funds: a South African perspective
This paper aims to determine the optimal asset allocation for South African retirement funds under the constraints of Regulation 28. Regulation 28 allows retirement funds to invest a maximum of 25 into offshore assets. Within this offshore allocation, retirement funds are able to invest in a range …
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The optimal asset allocation for South African real return investors
This research aims to establish the optimal asset allocations for targeting specific real returns over short, medium and long-term investment horizons. The joint returns are modelled with data-centric methods that are empirical and non-parametric in nature, and are able to capture the dependencies …
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Alternative distributions in the Black-Litterman model of asset allocation
In this thesis we replace the normal distribution assumption in the calculation of the prior equilibrium returns used in the model with a more general distribution which captures the skewness and fat tails exhibited by stock data. We consider the á stable distributions as an alternative …
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Systematic asset allocation using flexible views for South African markets
We implement a systematic asset allocation model using the Historical Simulation with Flexible Probabilities (HS-FP) framework developed by Meucci [142, 144, 145]. The HS-FP framework is a flexible non-parametric estimation approach that considers future asset class behavior to be conditional on …
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Mean reversion in asset prices and asset allocation in investment management
This thesis examines the predictability of asset prices for an Australian investor. Evidence supporting the mean reversion alternative to the random walk hypothesis is presented, with a discussion of potential models, both linear and nonlinear. The normality and homoscedasticity assumptions are …
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Stochastic modelling in bank management and optimization of bank asset allocation
… is computed from credit and market risk-weighted assets (RWAs) and bank regulatory capital (BRC) in a stochastic setting. Secondly, we demonstrate how the CAR can be optimized in terms of equity allocation. Here, we employ dynamic programming for stochastic optimization, to obtain and verify the …
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Modelling of asset allocation in banking using the mean-variance approach
Bank asset management mainly involves profit maximization through invest- ment in loans giving high returns on loans, investment in securities for reducing risk and providing liquidity needs. In particular, commercial banks grant loans to creditors who pay high interest rates and are not likely to …
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