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 5 of 5 for “"active portfolio management"”.
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Active portfolio management adapted for the emerging markets
… excess return against the benchmark from active portfolio management. In this paper, after defining what an active portfolio is, we tested various alpha generating strategies empirically in the emerging markets and reviewed possible asset allocation models as implementation methods for …
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The Performance Of Alternative Interest Rate Risk Measures And Immunization Strategies Under A Heath-Jarrow-Morton Framework
… and managing interest rate risk. Yet risk management strategies in the form of immunization portfolios using duration, convexity, and M-square are still widely used in bond portfolio management today. This study addresses the question of how traditional risk measures and immunization …
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Essays on Performance Evaluation of Portfolio Managers of Mutual and Hedge Funds
… essays focusing on the performance evaluation of portfolio managers of mutual and hedge funds. The first essay shows the performance of corporate bond mutual funds tends to be estimated using models with limited empirical validation. I test several models and find considerable variation in …
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Fixed income portfolio construction: a Bayesian approach for the allocation of risk factors
Active portfolio management is driven by the trade-off between the expected return and the associated risks. In light of the most recent extensions of Black-Litterman model, we stick to a Bayesian approach for the construction of active fixed income portfolios. Within the investment grade universe, …
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Constructing low cost core-satellite portfolios with multiple risk constraints: practical applications to Robo advising in South Africa using active, passive and smart-beta strategies
… investors. These techniques contribute to the portfolio optimisation process by limiting the extent to which a portfolio can deviate from its benchmark with regards to risk and tracking error. This is an ambitious paper that attempts to determine the optimal strategy to practically implement …