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 13 of 13 for “"risk-return profile"”.
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Farmland Risk-Return Characteristics and Fama-French 5 Factor Model
… been a burgeoning interest in the distinctive risk-return profile of farmland, especially when contrasted with conventional financial assets like stocks. Building on the foundational work of scholars such as Barry (1980), who utilized the CAPM model to ascertain the marginal risk farmland …
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Alternative risk management: correlation and complexity
… of hypersynchronisation. In this Thesis, the Risk Characterisation and Reduction of Complex Systems is studied, using the Cross-Correlation matrix to condense the system complexity. The systems studied display interactions between multivariate time series of varying granularities, including …
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An empirical study of hedge funds
… and academic research. We further examine the risk return profile of Hedge Funds, effective diversification and portfolio allocation decisions. The results of our study offer a thorough explanation of issues essential to Hedge Fund investment and their usefulness as an alternative asset class …
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Hedge fund structured products
… investors realize these investments offer better return potential with relatively low correlation to traditional asset classes. However, returns of hedge funds have been somewhat lackluster recently, on average, and several factors indicate investors should expect similarly muted performance in …
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Improving Market Risk Management 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 capital requirements. In a benchmark comparison of variance, Value-at-Risk (VaR) and Conditional …
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The relationship between foreign direct investment and the maturity of the real estate market: an assessment of investment activities of South African real estate companies with exposure on the African continent
… what investors seek. An element of the risk/return profile is influenced by the maturity of markets: the less mature markets have the greater level of risk and the more mature markets have very little risk in comparison.
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Bitcoin: The New Virtual Gold? An investigation into the diversification properties of Bitcoin within a South African portfolio
… the study investigates: ( i) key statistics, returns and correlations between Bitcoin’s returns and those of the components of a standard South African base portfolio and gold bullion; (ii) the risk-return efficiency enhancements and asset allocation effects (weightings) from the inclusion of …
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Incorporating property characteristics and capital market conditions in optimizing commercial real estate portfolios
… Model links the asset's characteristics to the risk-return profile and further advances the portfolio theory. However, in practice, due to uncertainty and lack of data, none of those theories gets implemented in a way that can help construct a complex portfolio and generate portfolio …
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Two Essays in Islamic Finance and Investment
… and, thus has a direct effect on the risk-return profile of all sorts of different products. This is referred to as the “Islamic-effect.”</em></p> <p><em>The second chapter investigates that Islamic-effect in a cross-sectional stock return context. This is done in two steps. First, …
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Essays in international finance
… trading strategy, on monthly exchange-rate returns for four developed and four emerging countries across different horizons. I implement a rolling window approach to the estimation and forecasting of the models, and construct an encompassing forecast. I also assess the economic value of the …
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A Shariah compliant private equity fund : compatibility in South Africa
… emphasise the relationship between profit and risk as well as responsibilities of institutions and individuals. Many of the guiding principles of corporate finance and banking would not be pegged on religious provisions and doctrines. The Western, conventional economic system holds opposing …
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PRICING BARRIER OPTIONS - USE OF NUMERICAL SIMULATION METHODS
… they offer. They can be tailor made to suit the risk - return profile of any investor and hence they are an important tool in Modem Finance. Barrier options are the most popular amongst the various exotic options in the market and it is essential to develop a general model for pricing them. Both …
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Engineering Strategy for Reshoring
… by COVID-19 and the increase in geopolitical risks driven by events such as armed-conflicts in various parts of the globe, the idea of reshoring manufacturing capabilities has gained momentum both in popular press and in studied business decisions. In theory, reshoring decisions may be based …