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.
Results
Showing 1 to 20 of 43 for “"Portfolio risk"”.
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Accurate portfolio risk-return structure modelling
Markowitz's modem portfolio theory has played a vital role in investment portfolio management, which is constantly pushing the development on volatility models. Particularly, the stochastic volatility model which reveals the dynamics of conditional volatility. Financial time series and volatility …
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Portfolio risk minimization under departures from normality
This thesis revisits the portfolio selection problem in cases where returns cannot be modeled as Gaussian. The emphasis is on the development of financially intuitive and statistically sound approaches to portfolio risk minimization. When returns exhibit asymmetry, we propose using a quantile-based …
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Financial Portfolio Risk Management: Model Risk, Robustness and Rebalancing Error
Risk management has always been in key component of portfolio management. While more and more complicated models are proposed and implemented as research advances, they all inevitably rely on imperfect assumptions and estimates. This dissertation aims to investigate the gap between complicated …
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Portfolio risk analysis : conditional estimates of value-at-risk and international volatility spillovers
… and easily implemented methods of modelling portfolio Value-at-Risk (VaR) . We establish this by taking the view that unconditional volatility estimates are inappropriate in VaR analysis. To provide the motivation and the justification for forwarding an alternative model we examine three …
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A Descriptive analysis of the various sources of portfolio risk on the Namibian Stock Market
We conducted a study on the terrestrial small mammal communities (< 1kg) in the Volcanoes National Park (VNP), Rwanda, to determine species diversity and altitudinal/habitat associations. Data on environmental variables (habitat cover, temperature, wind speed and rainfall) were incorporated into …
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Robust optimization for portfolio risk : a ravisit of worst-case risk management procedures after Basel III award.
… and practical improvements on robust portfolio optimization procedures. Firstly, the thesis discusses the drawbacks of classical mean-variance optimization models, and examines robust portfolio optimization procedures with CVaR and worst-case CVaR risk models by providing a clear …
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Credit Risk Evaluation : Modeling - Analysis - Management
… of the building blocks of modern credit risk management: -Definitions of default -Estimation of default probabilities -Exposures -Recovery Rates -Pricing -Concepts of portfolio dependence -Time horizons for risk calculations -Quantification of portfolio risk -Estimation of risk measures …
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Two Essays on Equity Mutual Funds
… to such incentives by strategically altering portfolio risk. Using the semiparametric regression model proposed by Chevalier and Ellison (1997), we show that the flow-performance relationship has become linear in recent years (2000-2009) and fund managers no longer respond to such incentives. …
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Improving Market Risk Management with Heuristic Algorithms
… institutions. In this thesis, we research active portfolio optimisation techniques with heuristic algorithms to manage new regulatory challenges faced in risk management. We first study if heuristic algorithms can support risk management to find global optimal solutions to reduce the regulatory …
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Managing portfolios of products and securities
… modifications of the classical Mean-Variance Portfolio Optimization model. Our objective is to identify an optimal subset of assets from all available assets to maximize the expected return while incurring the minimum risk. In addition, we test several approaches to measuring the effect of the …
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Essays in economics and finance
… per se, but rather the utility derived by their risk averse citizens who receive those profits; and who face positive fixed operating costs. The chapter provides conditions under which it is most difficult for cartel members to collusively restrict output when demand is especially low, but it …
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Assessing the attractiveness of cryptocurrencies in relation to traditional investments in South Africa
… examined the effect of cryptocurrencies on the portfolio risk-adjusted returns of traditional and alternative investments using daily arithmetic returns from August 2015 to October 2018 of traditional assets (South African stocks, bonds, currencies), alternative assets (commodities, South …
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Pathways for Investor Climate Action: Trade-offs and Synergies under the Banner of Net Zero
… issue for financial markets because of physical risk to assets from extreme weather events, and risks and opportunities arising from the world’s transition to a low carbon economy. This transition can be understood as a wave - a metaphor in which investors use different logics in response, …
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A robust optimization approach to finance
… three financial applications: single period portfolio optimization, multiperiod portfolio management, and credit risk estimation. In the area of single period portfolio optimization, we propose ways of modeling inaccuracy in parameter estimates, and explore the benefits of robust optimal …
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Modelling and valuing multivariate interdependencies in financial time series
… of several financial applications including: portfolio selection, tests of market efficiency and measuring the extent of integration among national stock markets. In Chapter 2, I note that volatility spillovers (transmissions of risk) have been found in numerous empirical studies but that no …
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Biosimilars: A New Look on Process Innovation and the Impact of Competitive Dynamics
… market due to key metrics such as patent / portfolio risk, prior biologics or generic experience, strength of the R&D pipeline, and the firm’s R&D intensity. The biosimilar construct due to the strict regulatory pathway definition provides this unique and novel opportunity to study process …
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Asset Liability Management (ALM) em RPS: uma análise do Instituto de Previdência dos Servidores Municipais de Cabedelo - PB (IPSEMC)
The concern in identifying the risks of mismatches between actuarial liabilities and assets with a focus on healthy flow of payments is typical of the pension fund of social security, specifically in defined benefit plans. In this regard, risk management becomes an important tool in the process, in …
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Stability-based, random matrix theory filtering of financial portfolios
… proposed and its potential, for reducing stock portfolio risk, is compared to two well-known alternatives. In terms of performance, the stability-based filter achieved 17.3% overall improvement in risk reduction for equally weighted forecasts, and 49.2% for exponentially weighted. Of the filters …
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