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 29 for “"risk adjusted performance"”.
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Essays on credit risk, risk adjusted performance and economic capital in financial institutions
… plain vanilla credit derivatives, 2. the use of risk-adjusted performance measurement, for optimal portfolio management in the banking, asset management and insurance industries 3. return on economic capital as a measure of value created by the holding of bank assets and the operation of bank …
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Improving risk-adjusted performance in high-frequency trading: The role of fuzzy logic systems
… trading have been the subject of increasing risk concerns. A general theme that we adopt in this thesis is that trading practitioners are predominantly interested in risk-adjusted performance. Likewise, regulators are demanding stricter risk controls. First, we scrutinise conventional AI …
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SMEs Behavioral Models of Risk-Adjusted Performance (A cross-sectoral empirical inquiry from Albanian market).
… into a business intelligence prospect the performance of SMEs operating in Albanian market and pertaining to trade, service, production and construction sectors. OBJECTIVE: MATERIALS AND METHODS: In this light the research put confidence on SMEs organizational behavioral features …
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A risk-adjusted performance history of public and private market real estate investment, 1978-1997
… efficiency to its investors as measured by risk adjusted total return over the 20 year period from 1978-1997. The initial objective of this thesis was to create a publicly traded real estate equity index(the "Thesis index") for comparison to the existing National Association of Real Estate …
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The impact of fund size on the risk adjusted performance of South African unit trust funds
… of assets under management, and their respective risk adjusted returns. The study also seeks to determine the degree to which an identifiable range of asset sizes exists within which the risk adjusted fund returns are maximised. The results of the regression and ranking analysis, performed on a …
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The prima facie relationship between size of assets under management and the risk-adjusted performance of South African collective investment schemes
… scheme's (or mutual fund) size and its risk-adjusted performance but the research has produced contradictory results with no apparent consensus. Data from a sample size of 100 (one hundred) collective investment schemes in the Association for Savings and Investments (South Africa) …
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The Development Role Played by Targeted Development Investments in South Africa and Their Risk-Adjusted Performance Over a 10-Year Period
… investments in South Africa and their risk adjusted performance over a 10-Year period, that is from 2008 to 2017. Targeted development investments as a subset of socially responsible investments have transformed the way capital is allocated towards development funding needs. In the …
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Performance of Socially Responsible Investment Funds in South Africa
This thesis examines how the risk-adjusted performance of Socially Responsible Investment (“SRI”) funds are affected by key events in South Africa, namely, the introduction of King IV and the introduction of socially responsible indices in South Africa, events and their impact on socially …
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The performance of equity funds in Thailand, 1992-2000
… aim of this study is to examine Thai equity fund performance during the period 1992-2000. The achievement of the primary aim will involve investigation of fund performance in sub-periods of expansionary and contractionary market environments, the relationship between investment performance and …
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The Cross-Section of Investing Skill
… a flexible and realistic function. Forecasted performance is dramatically improved relative to standard regression estimates: an investor selecting (avoiding) the best (worst) decile of funds would improve risk-adjusted performance by 2% (3%) annually. The distribution of skill is found to be …
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ESSAYS IN HEDGE FUND GOVERNANCE
… new evidence regarding the correlation risk-adjusted performance of funds with high strategy distinctiveness indexes (SDIs).
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Market thinness and the potential benefits of domestic-only portfolio diversification in Canadian equity markets
… are required, on average, to obtain most of the risk-reduction (variance-reduction) benefits from diversification for all-domestic divrsification for Canadian equities. Second, the same level of diversification is achieved with less securities for the less stringent trading infrequency index. …
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Essays in capital markets
… which will understate volatility and increase risk-adjusted performance measures such as the Sharpe ratio. We propose an econometric model of illiquidity exposure and develop estimators for the smoothing profile as well as a smoothing-adjusted Sharpe ratio.
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Do money managers outperform their respective benchmark? Evidence from South African Unit Trust industry
… from 1 January 2002 to 2 September 2012. The performance is examined over two sub-periods and the overall examination period, where the first sub-period captures the performance of the unit trusts before the 2007/2008 global financial crisis and the second sub-period captures the devastation …
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Enhanced minimum variance optimisation: a pragmatic approach
… together with covariance shrinkage – improve the performance of the MVP. The factor tilts examined include Active Distance, Concentration and Volume. Additionally, the constant correlation model is employed in the estimation of the shrinkage intensity, structured covariance target and shrinkage …
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What drives hedge fund returns? : models of flows, autocorrelation, optimal size, limits to arbitrage and fund failures
… managed by hedge funds in 2003. However, high risks associated with hedge fund strategies, competition and limited arbitrage opportunities contributed to an annual attrition rate of 7.10%. In this thesis, models were developed and tested that describe characteristics of fund returns, fund …
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The performance of Chinese equity securities investment funds
… 2003 – May 2014, this study examines numerous risk-adjusted performance models in three classes: (i) unconditional models, (ii) conditional beta models and (iii) conditional alpha-beta models. Findings from all performance measures suggest no evidence of statistically significant stock …
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Essays on investment
… literature of sector rotation by studying the risk-adjusted performance of sector portfolios with Fama-French three-factor (3FM) and five-factor models (5FM). We argue that if either of the models generates true alpha then we can incorporate investment strategies to generate higher returns. …
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The Impact of Corporate Diversification on the Financial Performance of U.S. Bank Holding Companies Pre and Post the Financial Services Modernization Act of 1999
… services industry on the profitability and the risk-adjusted performance of bank holding companies. Using a variety of diversification measures, the study analyzes the relationship between corporate diversification and the financial performance of BHCs pre- and post-GLBA, from 1990 to 2011.</p> …
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UK mutual fund performance
… distinguish between `skill' and `luck' in fund performance. This methodology allows for non-normality in the idiosyncratic risks of the funds -a major issue when considering the `best' and `worst' funds and these are the funds which investors are most interested in. The study points to the …
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