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 14 of 14 for “"estimation risk"”.
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Robust portfolio construction controlling the alpha-weight angle
Estimation risk is widely seen to have a significant impact on mean-variance portfolios and is one of the major reasons the standard Markowitz theory has been criticized in practice. While several attempts to incorporate estimation risk has been considered in the past, the approach by of Golts and …
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Flexible risk-based portfolio optimisation
… is to present and test a general framework for risk-based investing. It permits various risk-based portfolios such as the global minimum variance, equal risk contribution and equal weight portfolios. The framework also allows for different estimation techniques to be used in finding the …
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'Ex-ante' asset allocation strategies for global index portfolios
… and in developing appropriate multivariate estimation procedures that aim to assist investors in achieving superior out of sample portfolio performance. The empirical results from application of MANOY A techniques provide strong evidence about the inter~ temporal instability of the global …
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Three Essays on Commodity Risk Management
"This dissertation consists of three papers on risk management with empirical applications for commodity markets. The first two papers analyze selective hedging, where risk managers have views on future market conditions and sometimes hedge selectively based on these views. I develop two Bayesian …
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Two applications of U-Statistic type processes to detecting failures in risk models and structural breaks in linear regression models
… is concerned with detecting failures in Risk Models and in detecting structural breaks in linear regression models. By applying Theorem 2.1 of Szyszkowicz on U-statistic type process, a number of weak convergence results regarding three weighted partial sum processes are established. It …
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Improved affordability in DoD acquisitions through strategic management of systemic cost risk
… efforts and implementation of sophisticated cost estimation techniques, this cost growth continues to exist. Accurate cost estimates are vital to the capital budgeting process for the DoD since they are used to set the affordability cap for each MDAP and across DoD Component weapon system program …
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Contributions to solvency risk measurement
The thesis focuses on risk measures used to calculate solvency capital requirements. It consists of three independent papers. The first paper (Chapter 2) investigates time-consistency, the relation that should hold across risk measurements of the same financial position at different time points. …
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Differential information, divergence of opinion, and security returns in an efficient market
… opinion results from differing levels of estimation risk across securities. Furthermore, their model shows that the OLS estimate of beta, used in most empirical studies requiring excess returns, underadjusts for a security's systematic risk when investors' expectations are highly dispersed …
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Disclosure and the cost of capital
… rate of return as the level of uncertainty and risks associated with the firm's present and future performance is reduced. This study has attempted to empirically determine whether or not South African companies manage the level of information disparity between investors and themselves so as to …
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The impact on share prices of reporting financial targets and constraints
… this reporting are that a positive impact on in estimation risk the potential share price impact there will be share prices through a reduction an increase in the dispersion of share price changes owing to a revision of expectations a positive impact on share prices owing to a signalling effect. …
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Risk-based framework for ballast water safety management
… of recipient regions and port states. The risks associated with the discharged NIS are uncertain and difficult to assess due to the stochastic nature of species assemblages and dispersal mechanism. The safest control measure advocated by the IMO is the conduct of ballast water exchange at …
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Leveraging the Linear Response Theory in Sensitivity Analysis of Chaotic Dynamical Systems and Turbulent Flows
… of optimization, control, numerical error estimation, risk assessment and other advanced computational methodologies. Efficient computation of sensitivities in the presence of chaos has been a major and still unresolved challenge in the field. While chaotic systems are prevalent in several …
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Evaluation of Adaptation Options to Flood Risk in a Probabilistic Framework
Probabilistic risk assessment (PRA) has been used in various engineering and technological fields to assist regulatory agencies, and decision-makers to assess and reduce the risks inherent in complex systems. PRA allows decision-makers to make risk-informed choices rather than simply relying on …