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1
List, Hans-Fredo. "Limited risk arbitrage investment management." Thesis, Imperial College London, 1996. http://hdl.handle.net/10044/1/8651.
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Ying, Jie. "Essays on investment and risk management." Diss., University of Iowa, 2018. https://ir.uiowa.edu/etd/6527.
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In this dissertation, I consider a range of topics in investment and risk management. I seek to understand several existing yet puzzling phenomena from a theoretical perspective.
In the first chapter, we study the optimal insurance demand of a risk- and ambiguity-averse consumer if contract nonperformance risk is perceived as ambiguous. Ambiguity lowers optimal insurance demand and the consumer's degree of ambiguity aversion is negatively associated with the optimal level of coverage. Biased beliefs and greater ambiguity may increase or decrease the optimal demand for insurance, and we determine sufficient conditions for a negative effect. We also discuss wealth effects and evaluate the robustness of our results by considering several alternative models of ambiguity aversion. Our findings show how ambiguous nonperformance risk can undermine the functioning of insurance markets, making it a concern for regulators. Caution is required though because, as we show, demand reactions are only imperfectly informative about the welfare effects of nonperformance risk.
In the second chapter, we address an ongoing debate on pension investment policy: should defined-benefit corporate pension plans invest aggressively in risky securities or completely de-risk their assets? In our model, firms maximize shareholder value subject to the participation constraint of employees, who are wealth-constrained and are partially exposed to pension investment risk via a corporate bankruptcy channel and a pension surplus sharing channel. For a reasonable set of parameter values, the model-suggested optimal pension allocation to risky assets exceeds 50%. The level of pension risk-taking predicted by the model, and its relation with a firm's bankruptcy probability and pension funding ratio, match with empirical observations. We show that due to limited sharing of the investment risk by employees. Defined-benefit pensions may take on even more risk than what employees choose in the defined contribution plans. Further, firms may substantially reduce their overall pension funding costs under an alternative arrangement in which employees bear all the systematic pension investment risk. This is consistent with the secular trend of firms switching from defined benefit plans to defined contribution plans.
In the third chapter, I model the shadow banking mechanism and discusses its functionality of risk sharing and its impact on financial instability. In equilibrium, the shadow banking becomes more active when investors perceive higher expected returns from the capital market. The shadow banking yield arises when the capital market gets more volatile. Lower interest rates from regulated banks encourage the shadow banking and the magnitude of impacts depends on investors' aggregate risk preference. Overactive shadow banking activities can “cool down” themselves. The shadow banking's influence over the economy is twofold: it improves the overall welfare of heterogeneous agents by risk sharing, but it spreads the risk through the financing channel, which makes the savers more vulnerable to the negative shocks in financial markets.
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Eftekhari, Babak. "Essays on risk and portfolio management." Thesis, University of Cambridge, 1997. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.363958.
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Kumar, Mukesh. "Risk management practices in global manufacturing investment." Thesis, University of Cambridge, 2010. https://www.repository.cam.ac.uk/handle/1810/226745.
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This thesis explores risk management practices in global manufacturing investment. It reflects the growing internationalisation of manufacturing and the increasing complexity and fragmentation of manufacturing systems. Issues of risk management have become increasingly important in financial and company governance contexts not least because of growing international concerns about the consequences of unregulated risk. However while significant progress has been made in the awareness and articulation of financial risk there appeared to be little evidence of systematic management of risks associated with the globalisation of manufacturing despite the fact that ill-advised internationalisation projects could risk companies' futures. Investment risk management practice has evolved as risk analysis in global manufacturing investment from theoretical and practice perspectives. The need to actively manage risk has tended to be lost by the adoption of complex financial risk analysis methods in industrial investment projects. The approach adopted in this research was to undertake detailed case investigations in a cross section of industrial businesses at different levels of maturity in order to observe current practices, identify common principles and to seek to synthesise systematic approaches to risk management where appropriate. These field studies were conducted against a background of a detailed review of the literature and practice in finance and consulting and a detailed review of literature and practice in manufacturing strategy and system design. The key findings are as follows: (i) Elements of global manufacturing risk are managed by a variety of implicit and explicit methods, typically embedded in strategic and financial evaluations. There are no widely recognised comprehensive and systematic approaches to the analysis and mitigation of risks associated with global manufacturing investments. (ii) A broad review and analysis of global manufacturing investment projects identified key categories of investment risks and key dimensions of investment risk management. (iii) A very preliminary classification of global manufacturers from an investment risk management practice perspective, which may be helpful to companies in assessing their own risk management capabilities and behaviours. (iv) A prototype investment risk management process architecture is proposed based upon the key research findings. It presents a structured approach to the key risk management tasks and demonstrates their generality across a range of industrial environment. This provides confidence though not conclusive evidence that these methods might be applicable across a broad spectrum of manufacturing industries. The research findings extend the current understanding of risk management into the domain of global manufacturing strategy and provide the basis for more comprehensive and systematic assessment of risk in global investment projects. Further research will be required to validate the proposed risk management process and to explore the particular risks associated with different sectors, technologies, and business contexts.
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Memtsa, Chrysi D. "Factor models, risk management and investment decisions." Thesis, Durham University, 1999. http://etheses.dur.ac.uk/4606/.
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The recent extending empirical evidence regarding the power of factor models versus the traditional CAPM has motivated the research in the current thesis. Substantial controversy has been raised over two issues: 1) Are the new factors, market value and book-to-market equity, the most important sources of risk? and 2) Is it time to consider CAPM as a useless model? Effectively, these are the main questions we attempt to address in the current research within a unified framework of firm attributes and more aspects of the econometrical applied approaches. The main findings of the empirical research in this thesis show that, firstly the beta portfolio returns exhibit the highest volatility, confirming thus the beta as the most significant risk source. Secondly, the market portfolio absorbs the excess returns of the majority of value-weighted factor portfolios which is partly attributed to the mitigation of the January effect. In the seasonality area, we identify a strong October effect with high volatility but not high returns, a phenomenon that cannot be explained with a rational story. The re-examination of the Fama and French 1992 model with corrections of econometrical problems and the application of panel data methodology reveals that the sole significant factor over all the candidate variables is the price variable. Yet, even the power of the price factor is eliminating with the application of non-linear systems where the CAPM constraints are directly validated but with a negative sign. However, the presence of negative risk premium is consistent with the valid application of CAPM in a financial world where the occurrence of bad states of world is more frequent than the presence of up markets. Overall, the results of this thesis contribute to a thorough understanding of the factor models' performance which plays a key role in the financial investment decisions. The implication is that the CAPM should be still regarded as the basic financial model in the risk-return management process.
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Grant, Peter. "Developing risk management strategies for stock market investment portfolio management." Thesis, Port Elizabeth Technikon, 2004. http://hdl.handle.net/10948/215.
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This study was conducted to establish whether risk management strategies could be developed to enable stock market investment portfolio managers to reduce the risk involved in stock market trading. The awareness of stock market risk elevates the requirement for risk management strategies as discussed in Chapter 1. The research scope is identified, and an overview of the study gives further guidance as to what lies ahead. The theory behind macroeconomic forces and how they influence share prices is discussed in Chapter 2. It is established that market sectors and companies within those sectors react differently to macroeconomic forces. Technical analysis is discussed as a mechanism to identify buying and selling signals. In Chapter 3, risk management strategies are developed from the literature. The hypothesis of the study as described in Chapter 4 is that these risk management strategies are able to reduce the risk associated with trading in the stock market. The market simulation in Chapter 5 offers the opportunity to observe the risk management strategies at work in a simulated stock market investment portfolio. In Chapter 6, the outcome of the market simulation is compared to the criteria set in Chapter 4, and the conclusion that the risk management strategies were able to reduce the risk involved in stock market trading is drawn.
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De, Villiers H. O. "Risk-adjusted performance : an overview." Thesis, Stellenbosch : Stellenbosch University, 2005. http://hdl.handle.net/10019.1/50442.
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Thesis (MBA)--Stellenbosch University, 2005.ENGLISH ABSTRACT: Investors accept that actual investment pertormance differs from anticipated pertormance. The difference between the two is attributed to investment risk. Professional investment managers charge significant fees for active investment management. Investors funding this industry should evaluate the risk-adjusted investment pertormance to determine if it justifies the associated costs. A number of research papers have presented various methods for adjusting investment pertormance for the risk assumed in the generation thereof. This study presents an overview of techniques available for measuring riskadjusted pertormance of listed equity related investments. The classic pertormance measures of Treynor, Sharpe and Jensen are discussed. Alternative ways of quantifying risk offer different methods for risk-adjusting periormance. This leads to the discussion of more modern approaches to risk-adjustment, such as the Sortino ratio and the Omega measure. The lack of risk-adjusted pertormance reporting within the South African investment management industry is highlighted. An overview of guidelines for risk-adjusted pertormance reporting is presented. As such, it is relevant to investment managers, policy makers of the industry and the financial press reporting on investment management. A comparison of risk-adjusted pertormance figures between unitised-, indexand direct equity investment approaches show that a simple direct equity investment strategy outpertorm on risk-adjusted basis for the five year period reviewed.
AFRIKAANSE OPSOMMING: Beleggers aanvaar die feit dat gerealiseerde beleggings opbrengste van verwagte opbrengste verskil. Die verskil word aan beleggings risiko toegeskryf. Professionele beleggingsbestuurders hef aansienlike fooie om beleggings aktief te bestuur. Beleggers wat hierdie industrie befonds behoort die risiko-aangepaste beleggingsprestasie te evalueer ten einde vas te stel of dit die kostes regverdig wat daarmee gepaardgaan. 'n Aantal navorsingsverslae het reeds verskeie metodes voorgestel vir die aanpassing van beleggingsprestasie vir risiko aanvaar tydens die najaag van prestasie. Hierdie studie bied 'n oorsig van beskikbare tegnieke vir die meet van risiko aangepaste prestasie van genoteerde aandeel- en verwante beleggings. Die klassieke metodes van Treynor, Sharpe en Jensen word bespreek. Alternatiewe metodes om risiko te kwantifiseer bied verskillende metodes om prestasie vir risiko aan te pas. Dit lei tot die bespreking van meer moderne benaderings tot risiko aanpassing, soos die Sortino verhouding en die Omega maatstaf. Hierdie studie bring die tekort van risiko aangepaste prestasie verslaggewing in die Suid-Afrikaanse beleggingsbestuur industrie aan die lig. 'n Oorsig van riglyne vir risiko-aangepaste prestasie verslaggewing word gelewer. Die studie is gevolglik relevant vir beleggingsbestuurders, industrie beleidmakers en die finansiele pers wat oor beleggingsbestuur verslag doen. 'n Vergelyking van risiko-aangepaste opbrengs syfers tussen kollektiewe-. indeks- en direkte aandele beleggings benaderings lig uit dat 'n eenvoudige direkte aandele belegging strategie op 'n risiko-aangepaste basis oor die vyf jaar periode ondersoek, uitpresteer het.
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Wu, Yi-Tsung. "Essays on international investment holdings and risk sharing." Diss., Online access via UMI:, 2007.
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Wolfram, Raphael. "Commercial real estate price risk A risk management approach using capital markets /." St. Gallen, 2007. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/01666379002/$FILE/01666379002.pdf.
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Mills, Bradley. "Portfolio diversification utilising rolling economic drawdown constraints and risk factor analysis." Master's thesis, University of Cape Town, 2018. http://hdl.handle.net/11427/29201.
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This study investigates a new asset allocation technique termed Factor Adjusted Rolling Economic Drawdown (FAREDD), whereby resources are allocated to different assets by way of integrating Principle Component Analysis (PCA) with existing Rolling Economic Drawdown Methods (REDD). The primary purpose of this model is to create a portfolio with low drawdown levels, that can withstand turbulent market periods thus protecting portfolio value through providing stronger diversification benefits while still seeking to maximise risk adjusted and overall return. This will have strong implications for investors as it could provide an additional method and tool to be considered during the asset allocation decision stage if they have a strong drawdown aversion. The concept of FAREDD is developed in this study within a South African context and compares this method with several traditional allocation methods including mean-variance optimised models, risk parity as well as traditional rolling economic drawdown models. So far, at the point of writing this study, the author has been unable to find any previous studies documenting this type of application of PCA to REDD. In addition to this, all previous studies that has investigated rolling economic drawdown has been conducted exclusively on the United States of America. The literature finds that REDD provides a viable and superior alternative to traditional asset allocation in the long run. Thus, as part of this study, a second objective is to investigate whether REDD models provide sufficient protection and superior returns in a developing economy with a significantly lower number of available liquid assets and higher volatility due to increased political, economic and business risk, when compared to alternative more traditional allocation techniques. The key findings of this study are that the FAREDD model does outperform the traditional REDD model that it is compared to for the period and it also meets the objective of providing low drawdowns and volatility while achieving strong risk-adjusted returns. However, the model does not provide the strongest drawdown protection of all portfolios tested. The FAREDD model is surpassed by the minimum-variance portfolio in this regard but from a risk adjusted basis and an overall return perspective it far outperforms the minimum-variance portfolio. Therefore, the performance of the FAREDD model is mixed and its optimality would need to be assessed relative to an investor’s risk appetite and risk-return trade-off. In addition to this, the paper finds that the performance of traditional REDD models in the South African context are mixed when compared to traditional asset allocation techniques thereby indicating that REDD models may not be superior in the South African market place at all times. However, they can provide relevant and potential asset allocation alternatives for mangers to consider.
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Tse, David. "Conditional Systematic Risk of Equity Real Estate Investment Trusts." Scholarship @ Claremont, 2015. http://scholarship.claremont.edu/cmc_theses/1128.
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BRUNO, SERGIO VITOR DE BARROS. "STRATEGIC RISK MANAGEMENT: A FRAMEWORK FOR RENEWABLE GENERATION INVESTMENT UNDER UNCERTAINTY." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2016. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=27453@1.
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COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIORPROGRAMA DE EXCELENCIA ACADEMICA
O investimento em fontes renováveis, apesar do crescimento recente, ainda é dificultado devido à volatilidade dos mercados de curto prazo. Contratos forward são essenciais mesmo em mercados de balcão como o Ambiente de Contratação Livre (ACL) Brasileiro. Contatos forward permitem a redução da incerteza sobre a receita, ajudam a garantir a adequação do fornecimento graças à sinalização de preços para a expansão e podem também ser obrigatórios para realização do project finance de novos empreendimentos. Apesar da oferta de contratos, as fontes renováveis ainda possuem o risco adicional em sua geração, o que pode, combinando-se altos preços spot em um momento de baixa geração, ocasionar uma exposição ao risco de preço-quantidade. Investimento em fontes renováveis pode ser incentivado através da aplicação de técnicas de gestão de riscos como contratação forward, diversificação e definição do momento ótimo de investimento. Através da negociação de contratos e aproveitando complementariedades sazonais entre as fontes, é possível minimizar a exposição aos riscos do mercado. O problema de investimento em centrais de energia renovável pode ser visto como um modelo de otimização estocástica multiestágio com variáveis inteiras, de difícil resolução. As principais soluções disponíveis na literatura simplificam o problema ao reduzir a dimensionalidade da árvore de cenários, ou assumindo hipóteses simplificadoras sobre os processos estocásticos. Nosso objetivo é apresentar um framework para valoração de investimentos em energia renovável, considerando as principais fontes de incerteza e alternativas para composição de uma carteira de investimentos. A principal contribuição desse trabalho é uma metodologia para resolver, utilizando técnicas de decomposição, o problema de investimento ótimo em centrais renováveis complementares no mercado elétrico brasileiro. Este é um problema estocástico multiestágio e não convexo. Nossas políticas de investimento são geradas através de um algoritmo baseado em Programação Dinâmica Dual Estocástica (SDDP). Restrições de integralidade são consideradas no passo forward, onde as políticas são avaliadas, e relaxados no passo backward, onde as políticas são geradas, para garantir a convexidade das funções de recurso. Os resultados numéricos mostram que não é possível assumir independência entre estágios dos processos estocásticos de preços. A estrutura Markoviana dos processos estocásticos é preservada usando uma discretização do espaço de probabilidade, que é resolvida utilizando uma conhecida extensão do SDDP. A avaliação da performance é feita utilizando os dados originais, validando nossa heurística. Nosso framework requer um modelo para o preço forward de energia. Nós aplicamos o modelo Schwartz-Smith usando dados do mercado spot e de balcão para construir a curva forward do mercado brasileiro. O framework contempla as particularidades do ACL no mercado brasileiro, mas também pode ser utilizado em mercados similares. Utilizando medidas coerentes de risco, incorporamos aversão a risco e avaliamos as estratégias concorrentes utilizando conceitos modernos de gestão de riscos.
Despite recent trend for investment in renewable energy, high volatility in shortterm markets still may hinder some opportunities. Forwarding contracting is essential even in Over The Counter (OTC) markets such as the Brazilian Free Trading Environment. Forward contracts allow reducing revenue uncertainty, help ensure supply adequacy by signaling generation expansion and may also be required for project financing in new ventures. Still, renewable sources face the additional risk of uncertain generation, which, in low periods, combined with high spot prices, pose the hazardous price-quantity risk. Renewable investment may be fostered by applying risk management techniques such as forward contracting, diversification and optimal investment timing. By trading contracts and exploiting the seasonal complementarity of the renewable sources, it is possible to reduce risk exposure. The problem of investment in renewable energy plants may be seen as a multistage stochastic optimization model with integer variables, which is very hard to solve. The main approaches in the current literature simplify the problem by reducing the dimensionality of the scenario tree or by assuming simplifying hypothesis on the stochastic processes. Our objective is to introduce a renewable investment valuation framework, considering the main uncertainty sources and portfolio investment alternatives. The main contribution of this work is a method to solve, by applying decomposition techniques, the problem of optimal investment in seasonal complementary renewable plants in the Brazilian energy market. This is a multistage stochastic and non-convex problem. Our investment policies are devised using an algorithm based on Stochastic Dual Dynamic Programming (SDDP). Integrality constraints are considered in the forward step, where policies are evaluated, and relaxed in the backward step, where policies are built, to ensure convexity of the recourse functions. Numerical results show that it is not possible to assume stagewise independence of the price processes. We maintain the Markovian property of the stochastic processes by a discretization of the probability space, solvable by a known extension to the SDDP method. Performance evaluation is carried out using the original data, validating our heuristic. A forward energy price model is required in our framework. We apply the Schwartz-Smith model with spot and OTC data of the Brazilian market to build such a forward price curve. The framework is able to represent the characteristics of the Brazilian FTE and may be applied to similar markets. We incorporate risk aversion with coherent measures of risk and evaluate alternative strategies based on modern risk management concepts.
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Afanasieva, Olha Borysivna, Ольга Борисівна Афанасьєва, Ольга Борисовна Афанасьева, Yuliia Hryhorivna Lapina, Юлія Григорівна Лапіна, Юлия Григорьевна Лапина, Tetiana Volodymyrivna Shcherbyna, Тетяна Володимирівна Щербина, Татьяна Владимировна Щербина, and D. A. Govorun. "Risk management, corporate governance and investment banking: the role of CRO." Thesis, Українська академія банківської справи Національного банку України, 2013. http://essuir.sumdu.edu.ua/handle/123456789/59596.
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After recent events of global financial crisis and further recession bank
boards became more disturbed about the risk governance issues. The lesson
was learned that timely risk oversight and measures to its minimization would
lead to stability of a bank. That’s why the foundation and ensuring of effective
functioning of Risk Management Committee in bank is one of the primary
goals in this context.
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Gross, Eden. "Risk Management in South Africa Before, During, and After the 2008 Global Financial Crisis: An Application to Different Sectors." Master's thesis, Faculty of Commerce, 2021. http://hdl.handle.net/11427/32693.
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The risk management functions of most financial institutions occupy themselves with the estimation of the value at risk (VaR) of their portfolios as a measure of market risk. Various methods are available to calculate the VaR measure, and this can be done at various degrees of confidence. This study evaluates and analyses the performance of five popular VaR forecasting methods in the South African context, using the closing values of three of the major indices available on the Johannesburg Stock Exchange (JSE), namely the All Share Index (ALSI), the Financials-Industrials Index (FINDI), and the Resources Index (RESI). These three indices are considered based on the findings of prior studies that indicate that not only does decomposing the ALSI into its constituent (the FINDI and the RESI) indices provide a better measurement of market risk on the JSE, but these sub-indices also have different systematic risk exposures which may necessitate different treatments in measuring their risks appropriately. The periods examined surrounded the 2008 global financial crisis in order to allow an evaluation of the impact of varying levels of volatility on the analysis. Overall, the study concludes that the performance of the VaR models examined is similar when assessing the risk of the ALSI and the RESI returns, while they are very different for the FINDI. This conclusion provides crucial insight into the risk management and investment decisions concerning portfolios which are more heavily invested in the FINDI as opposed to the other two, as this study suggests that a blanket treatment to the South African market is incorrect.
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Kettis, Magdalena. "The Challenge of Political Risk : Exploring the political risk management of Swedsih multinational corporations." Doctoral thesis, Stockholms universitet, Statsvetenskapliga institutionen, 2004. http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-112.
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In an overarching aim to bridge the gap between political science and international business studies, this study explores how, against the backgrond of globalization, multinational coprorations understand and deal with the influence of many differet and sometimes very dynamic political environments, by focusing on the political risk management of a number of Swedish multinational corporations invoved in foreign investing. Based on interviewswith coproate executives in these corporations, this qualitative study found that Swedish invetsors use a "pragmatic" approach toeards political risk and the political envrionments in which they operate. The study also drwas attention to teh role of multinational corporations in teh formation of politica risk as teh result of corporate politiacl activity and the possibility that multinational corporations are moving towards a more pronounced political role.It is suggetsed that political risk needs to be considered not only in terms of the potential impact of the political environment on firms, but also in terms of teh impact of teh firm on the environment, as the political environment cannot be taken as a given, but is the outcome of a process that involves adaption to the environment as well as attempts to change that environment.
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Andriosopoulos, Kostas. "Modelling spot prices, risk management, and investment strategies for the energy markets." Thesis, City University London, 2011. http://openaccess.city.ac.uk/11670/.
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This thesis addresses the topics of spot price modelling, risk management, and investment applications in the energy markets. Eight of the most important energy markets that trade futures contracts on NYMEX, and one Spot Energy Index (SEI) proposed for the first time in this thesis, are investigated. A new modelling approach is proposed for optimally capturing the behaviour of the energy spot prices, combining a mean-reverting and a spike model that incorporate two different speeds of mean reversion, and time-varying volatility modelled as a GARCH and an EGARCH process. The aforementioned modelling approach is also evaluated in terms of its ability to quantify energy spot price risk by accurately calculating Value-at-Risk (VaR) and Expected Shortfall (ES) measures. A number of commonly used VaR methodologies are evaluated along with various Monte Carlo (MC) simulations based models and a Hybrid Monte Carlo with Historical Simulation (MC-HS) approach, introduced in this thesis for the first time. This thesis also delves into index investment applications for the energy markets that have recently attracted a lot of attention. To that end, the index tracking problem is addressed by applying equity algorithmic trading using two innovative Evolutionary Algorithms (EAs), aiming to replicate the performance of a direct energy commodity investment which is proxied by the constructed spot energy index. The empirical evidence in this thesis shows that the proposed modelling approach can effectively capture the behaviour of the energy spot prices examined, and that it is the most reasonable, efficient, and consistent approach for calculating the VaR of spot energy prices and the SEI, for both long and short positions. Hence, it can be successfully applied for forecasting, risk management, derivatives pricing, and policy development and monitoring purposes. Finally, it is shown that energy commodities, proxied by the SEI, can have equity-like returns as they can be effectively tracked with stock portfolios selected by the investment methodology proposed in this thesis. The latter investment approach can be used by fund managers to set-up energy Exchange Traded Funds that would track the performance of the SEI, giving them the full flexibility of any investment style, long or short, that equities can provide.
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O'Har, John Patrick. "Transportation asset management systems: a risk-oriented decision making approach to bridge investment." Thesis, Georgia Institute of Technology, 2011. http://hdl.handle.net/1853/41231.
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Transportation Asset Management (TAM) systems are in use at a significant number of transportation agencies. These systems can be used to effectively allocate resources and continuously inventory and monitor the condition of transportation infrastructure assets. Risk-oriented decision making is becoming an increasingly important component of the management process at many organizations, including transportation agencies. TAM systems can be used to incorporate risk assessment and risk management techniques at transportation agencies.
To demonstrate the value of incorporating risk in TAM systems, an examination of the literature was performed, and a case study was conducted. This case study incorporated risk in bridge project prioritization through the utilization of data from the National Bridge Inventory (NBI), and application of Multi Attribute Decision Making (MADM) concepts to address uncertainty and prioritize selected bridges in the state of Georgia.
The case study examines the impacts of data aggregation and disaggregation, and the incorporation of uncertainty on bridge project prioritization. Results of this analysis show that when available, disaggregate data on bridge condition should be used. In addition, uncertainty, in terms of performance risk, should be incorporated when past bridge condition data is available. Furthermore, decision-maker input is an important component of the Multi Attribute Utility Theory (MAUT) prioritization methodology used in this analysis. Decision-makers determine the relative importance of certain attributes, which is one of the strengths of this type of prioritization effort.
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Talas, Risto Henrik Aleksander. "The efficient relationship between residual security risk and security investment for maritime port facilities." Thesis, City University London, 2010. http://openaccess.city.ac.uk/8730/.
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The research employs an adaptive cross-disciplinary research strategy in an industrial example to address port facilities’ inability to assess whether their security systems are efficient. The research combines a twin-pronged approach of first, adapting Markowitz (1952) theory of portfolio selection from the field of finance to maritime port security to examine each port facility’s security systems as a portfolio; and secondly, through portfolio optimization to construct the optimum theoretical portfolio of security systems drawn from a number of different port facilities owned by Dubai Ports World. The research builds on the existing literature and proposes new definitions of security, port security, port security risk and port security risk management. The research also develops a model of port security risk based on Willis et al’s (2005) definition of terrorist risk. Furthermore, the research builds on the work of Gleason (1980) and examines terrorist attacks on ports and on shipping in ports between 1968 and 2007 and shows, using the Kolmogorov-Smirnov test, that they follow a Poisson distribution. The contribution which the research makes is in terms of adapting Markowitz (1952) theory to the port security environment; and the modelling and measurement of the impact of the introduction of new port security technology, changes in background port security threat levels and for the planning of port security in Greenfield sites. Furthermore, the adaptive approach of the research is generalisable to all nodes in the supply chain and is not limited to port facilities alone.
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Goussard, Heleen. "The relationship between various risk factors and the cost of equity premium implied by analysts' forecasts on the New York Stock Exchange." Master's thesis, University of Cape Town, 2018. http://hdl.handle.net/11427/27961.
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The cost of equity is used extensively for capital allocation decisions, and the various methods used to estimate it often result in materially different outcomes. A model of the impact of known risk factors on the implied cost of equity used by equity analysts, who are seen as informed market participants, could be a guideline and sense check for other professionals estimating cost of equity for capital allocation decisions. This study, an implementation of Arbitrage Pricing Theory, attempts to create a parsimonious model of factors that are associated with the implied cost of equity premium utilised by equity analysts on the New York Stock Exchange ("NYSE"). After limiting the sample to NYSE-listed companies that were primarily exposed to US macro-economic conditions and were likely to be valued overwhelmingly on a going-concern basis, the test sample consisted of 5,343 company quarters covering the period 2006 to 2015. In the first part of the methodology, sixteen factors identified from previous literature as possibly influencing the cost of equity were tested for their association with the implied equity risk premium, as calculated from analysts' two-year earnings forecasts and target share prices using the Easton-method. Only those factors that were statistically significantly associated with the implied cost of equity were retained for the second part of the methodology, in which mixed effects modelling and optimisation using the Akaike information criterion was used to find a parsimonious model linking the statistically most significant factors to the implied cost of equity. The final model could explain 40% of the variation in implied risk premium by the fixed effects (specified variables), and 62% when the random effects (observable effects of unspecified variables) were included. The study found that the risk free rate was most strongly (and negatively) associated with the size of the implied equity risk premium. Other factors that are statistically significantly associated with the implied equity risk premium are the two-year beta (+), the profitability dummy variable (-), return on equity (-), two-year share price volatility (+), long-term growth (+), Market momentum (+), and the debt to equity ratio (+). It was further found that not all factors which have historically been shown to influence returns are significantly associated with implied cost of equity estimates, which is contrary to expectations in a fully efficient market, where the only difference in the two would result from the information that changes cash flow expectations or the risk profile of the cash flows. This study contributes to the current body of literature on cost of equity in the following ways: • To the author's knowledge, this study combines a far wider array of factors of all types than any of the previous studies on the topic, and uses target prices rather than market prices to calculate the implied cost of equity premium. • The study uses the adaptive and recursive option valuation model to eliminate companies for which the testing would not be relevant. • The study used mixed effects modelling to measure the impact of the various factors on the cost of equity premium.
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Zeise, Carl Eric. "Analysis of trade dependence and correlation of market returns to hedge portfolio risk." CSUSB ScholarWorks, 2006. https://scholarworks.lib.csusb.edu/etd-project/3036.
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The project examines the relationship between trade interdependency and correlation of market returns between the United States and the four emerging economies of Singapore, Malaysia, Thailand and the Philippines. The author analyzed statistical data for trade interdependency and market return to determine if there is a pattern that would provide the basis for increasing the return of a security portfolio without increasing the risk to the investor. The project analysis relied on mathematical formulas to measure the trade relationships between the selected countries and to calculate the measure of return and measure of risk of investing in each emergent market.
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BARBOSA, LUCIANA SALLES. "ECONOMIC FEASIBILITIES IN THE REAL ESTATE INVESTMENT MARKET: RISK MANAGEMENT AND REAL OPTIONS." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2005. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=7064@1.
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COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIORInvestimentos no mercado imobiliário envolvem grande aporte de capital e baixa liquidez, não sendo incorporados de forma instantânea, apresentando lento payback, além de diversas incertezas econômicas relativas à demanda, preço/m2 e velocidade de vendas, que aumentam o risco percebido dos investidores. Foi analisada a viabilidade econômica de um lançamento imobiliário na cidade do Rio de Janeiro identificando as opções reais relevantes ao empreendimento como a aquisição de informações, opções de adiamento e abandono do projeto, permitindo ao incorporador a escolha de decisões que maximizem o valor de seu empreendimento. Estima-se o valor máximo pago ao proprietário do terreno em função do direito de exclusividade. Ao considerar estratégias de opções inseridas na metodologia de fluxo de caixa descontado, diminui-se exposição de risco (Value-At-Risk) do empreendimento em 50 por cento e aumenta o valor do empreendimento em R$ 3MM. É importante, estabelecer uma cultura empresarial que empregue a teoria de opções de forma a proporcionar um efetivo gerenciamento de risco do empreendimento.
Real Estate investments are characterized by high capital outflows, low liquidity and short payback together with economic uncertainties related to demand, price/m2 and sales speed that increase the risk perceived by investors. It is often the case when the property developer and the land owner sign an agreement where the former obtain the exclusive property rights to construct on the land for a certain period of time against an initial payment. This contract introduces in the real estate investment project the option to wait or abandon development depending on the information gathered from the market during the expiration period. It was analyzed a real estate investment in the city of Rio de Janeiro where the previous Real Options are identified and valued, allowing a better management of the decision process and an effective risk management for the company. It was estimated the ceiling price for the exclusive property rights. The adoption of the Real Option Strategy shows a reduction of 50 percent in the Valueat- Risk with respect to the traditional valuation (that does not considers the real options embedded) and the value of the project increases R$ 3MM.
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Troßbach, Maximilian Bernhard [Verfasser], Lutz [Gutachter] Johanning, and von Bieberstein Frauke [Gutachter] Marschall. "Experimental studies on risk preferences, investment risk disclosure, and motives for risk-taking / Maximilian Bernhard Troßbach. Gutachter: Lutz Johanning ; Frauke Freifrau Marschall von Bieberstein." Vallendar : WHU - Otto Beisheim School of Management, 2016. http://d-nb.info/1113594780/34.
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Troßbach, Maximilian Bernhard Verfasser], Lutz [Gutachter] [Johanning, and von Bieberstein Frauke [Gutachter] Marschall. "Experimental studies on risk preferences, investment risk disclosure, and motives for risk-taking / Maximilian Bernhard Troßbach. Gutachter: Lutz Johanning ; Frauke Freifrau Marschall von Bieberstein." Vallendar : WHU - Otto Beisheim School of Management, 2016. http://nbn-resolving.de/urn:nbn:de:hbz:992-opus4-1091.
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Grundke, Peter. "Integrated market and credit portfolio models risk measurement and computational aspects." Wiesbaden Gabler, 2006. http://d-nb.info/987215159/04.
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Theart, Lomari. "Liquidity as an investment style : evidence from the Johannesburg Stock Exchange." Thesis, Stellenbosch : Stellenbosch University, 2014. http://hdl.handle.net/10019.1/86258.
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Thesis (MComm)--Stellenbosch University, 2014.ENGLISH ABSTRACT: Individual and institutional investors alike are continuously searching for investment styles and strategies that can yield enhanced risk-adjusted portfolio returns. In this regard, a number of investment styles have emerged in empirical analysis as explanatory factors of portfolio return. These include size (the rationale that small stocks outperform large stocks), value (high book-to-market ratio stocks outperform low book-to-market ratio stocks) and momentum (stocks currently outperforming will continue to do so). During the mid-eighties it has been proposed that liquidity (investing in low liquidity stocks relative to high liquidity stocks) is a missing investment style that can further enhance the risk-adjusted performance in the United States equity market. In the South African equity market this so-called liquidity effect, however, has remained largely unexplored. The focus of this study was therefore to determine whether the liquidity effect is prevalent in the South African equity market and whether by employing a liquidity strategy an investor could enhance risk-adjusted returns. This study was conducted over a period of 17 years, from 1996 to 2012. As a primary objective, this study analysed liquidity as a risk factor affecting portfolio returns, first as a residual purged from the influence of the market premium, size and book-to-market (value/growth) factors, and then in the presence of these explanatory factors affecting stock returns. Next, as a secondary objective, this study explored whether incorporating a liquidity style into passive portfolio strategies yielded enhanced risk-adjusted performance relative to other pure-liquidity and liquidity-neutral passive ‘style index’ strategies. The results from this study indicated that liquidity is not a statistically significant risk factor affecting broad market returns in the South African equity market. Instead the effect of liquidity is significant in small and low liquidity portfolios only. However, the study indicated that including liquidity as a risk factor improved the Fama-French three-factor model in capturing shared variation in stock returns. Lastly, incorporating a liquidity style into passive portfolio strategies yielded weak evidence of enhanced risk-adjusted performance relative to other pure-liquidity and liquidity-neutral passive ‘style index’ strategies. This research ultimately provided a better understanding of the return generating process of the South African equity market. It analysed previously omitted variables and gave an indication of how these factors influence returns. Furthermore, in analysing the risk- adjusted performance of liquidity-biased portfolio strategies, light was shed upon how a liquidity bias could influence portfolio returns.
AFRIKAANSE OPSOMMING: Individuele en institusionele beleggers is voortdurend op soek na beleggingstyle en strategieë wat verhoogde risiko-aangepaste portefeulje-opbrengste kan lewer. In hierdie verband is ’n aantal beleggingstyle deur empiriese analise geïdentifiseer as verklarende faktore van portefeulje-opbrengs. Hierdie style sluit in: grootte (die rasionaal dat klein aandele beter presteer as groot aandele), waarde (hoë boek-tot-mark verhouding aandele presteer beter as lae boek-tot-mark verhouding aandele) en momentum (aandele wat tans oorpresteer sal daarmee voortduur). Gedurende die midtagtigs is dit aangevoer dat likiditeit (die belegging in lae likiditeit aandele relatief tot hoë likiditeit aandele) ’n ontbrekende beleggingstyl is wat die risiko- aangepaste prestasie in die Verenigde State van Amerika (VSA) aandelemark verder kan verhoog. In die Suid-Afrikaanse aandelemark bly hierdie sogenaamde likiditeit-effek egter grootliks onverken. Die fokus van hierdie studie was dus om te bepaal of die likiditeit-effek teenwoordig is in die Suid-Afrikaanse aandelemark en of dit vir ’n belegger moontlik is om risiko-aangepaste opbrengste te verbeter deur ’n likiditeit-strategie te volg. Die studie is uitgevoer oor ’n tydperk van 17 jaar, vanaf 1996 tot 2012. As ’n primêre doelwit het hierdie studie likiditeit ontleed as ’n risiko faktor van portefeulje-opbrengste, eers as ’n residu-effek vry van die invloed van die markpremie, grootte en boek-tot-mark (waarde/groei) faktore, en daarna in die teenwoordigheid van hierdie verklarende faktore van aandeel opbrengste. As ’n sekondêre doelwit, het hierdie studie ondersoek of die insluiting van ’n likiditeit-styl in passiewe portefeulje-strategieë verbeterde risiko- aangepaste prestasie kan lewer relatief tot ander suiwer-likiditeit en likiditeit-neutrale passiewe ‘styl indeks’ strategieë. Die resultate van hierdie studie het aangedui dat likiditeit nie ’n statisties beduidende risiko faktor is wat die breë markopbrengs in die Suid-Afrikaanse aandelemark beïnvloed nie. In plaas daarvan is die effek van likiditeit beperk tot slegs klein en lae likiditeit portefeuljes. Die studie het wel aangedui dat die insluiting van likiditeit as ’n risiko faktor die Fama- French drie-faktor model verbeter in sy vermoë om die gedeelde variasie in aandeel opbrengste te verduidelik. Laastens lewer passiewe portefeulje strategieë, geïnkorporeer met ’n likiditeit-styl, swak bewyse van verbeterde risiko-aangepaste opbrengs relatief tot ander suiwer-likiditeit en likiditeit-neutrale passiewe ‘styl indeks’ strategieë. Hierdie navorsing verskaf ’n beter begrip van die opbrengs-genererende proses van die Suid-Afrikaanse aandelemark. Dit ontleed voorheen weggelate veranderlikes en gee ’n aanduiding van hoe hierdie faktore opbrengste beïnvloed. Daarbenewens word lig gewerp op die invloed van ’n likiditeit vooroordeel op portefeulje-opbrengste deur die risiko- aangepaste opbrengs van likiditeit-bevooroordeelde strategieë te analiseer.
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Oberholtzer, Daniel Vincent. "Margin-at-Risk for Agricultural Processors: Flour Milling Scenarios." Thesis, North Dakota State University, 2011. https://hdl.handle.net/10365/29554.
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Historic market volatility has made risk management decisions by firms in the agricultural supply chain more challenging. Market risk measurement methods, such as Value-at-Risk, were developed in the financial industry to objectively measure, and thus better comprehend, market risk's effect on positions. This thesis gives a thorough background of the issues involved with risk measurement. Different scenarios were then used to demonstrate how the risk measurement method can be applied to the agricultural processing margin. In this thesis, the flour milling margin was used to demonstrate how a firm can incorporate sophisticated risk analytics into its risk management decision making process. Multiple scenarios were developed to account for different situations faced by flour millers. Ocean freight, exchange rate risk, futures price risk, basis risk and flour price risk are all included to provide examples of how market risk measurement can be beneficial to industry participants.
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Olson, Rickard, Erik Forsman, and Tommy Brehmer. "The Investment Process : Risk and Uncertainty Handling in Small and Medium Sized Subcontractors." Thesis, Jönköping University, JIBS, Business Administration, 2005. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-139.
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Seo, Sangtaek. "Effects of federal risk management programs on investment, production, and contract design under uncertainty." Texas A&M University, 2004. http://hdl.handle.net/1969.1/3117.
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Agricultural producers face uncertain agricultural production and market
conditions. Much of the uncertainty faced by agricultural producers cannot be controlled
by the producer, but can be managed. Several risk management programs are available
in the U.S. to help manage uncertainties in agricultural production, marketing, and
finance. This study focuses on the farm level economic implications of the federal risk
management programs. In particular, the effects of the federal risk management
programs on investment, production, and contract design are investigated.
The dissertation is comprised of three essays. The unifying theme of these
essays is the economic analysis of crop insurance programs. The first essay examines
the effects of revenue insurance on the entry and exit thresholds of table grape producers
using a real option approach. The results show that revenue insurance decreases the
entry and exit thresholds compared with no revenue insurance, thus increasing the
investment and current farming operation. If the policy goal is to induce more farmers
in grape farming, the insurance policy with a high coverage level and high subsidy rate
is effective.
In the second essay, a mathematical programming model is used to examine the
effects of federal risk management programs on optimal nitrogen fertilizer use and land
allocation simultaneously. Current insurance programs and the Marketing Loan
Program increase the optimal fertilizer rate 2% and increase the optimal cotton acreage
119-130% in a Texas cotton-sorghum system. Assuming nitrogen is harmful to the
environment and cotton requires higher nitrogen use, these risk management programs
counteract federal environmental programs.
The third essay uses a principal-agent model to examine the optimal contract
design that induces the best effort from the farmer when crop insurance is purchased.
With the introduction of crop insurance, the investorÂs optimal equity financing contract
requires that the farmer bear more risk in order to have the incentive to work hard, which
is achieved by increasing variable compensation and decreasing fixed compensation.
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DAVID, PEDRO AMERICO MORETZ-SOHN. "SPOT PRICE REGULATION, INVESTMENT ATTRACTION AND RISK MANAGEMENT IN THE BRAZILIAN ELECTRICAL ENERGY MARKET." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2004. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=5216@1.
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FURNAS CENTRAIS ELÉTRICAS S.AO mercado brasileiro de energia elétrica ainda não encontrou um modelo de mercado e de formação de preço que garanta a expansão auto-sustentada da oferta. Investigando em detalhe o modelo atual de despacho da geração e formação do preço, demonstramos a sua pouca eficácia na atração de investimentos, e identificamos a causa dessa falha como sendo a miopia do modelo de despacho, uma vez os estados críticos do sistema só aprecem de forma significativa quando o sistema já estiver degradado. São estudados três modelos alternativos que modificam a função-objetivo ou a regra de formação do preço, ajustados de modo a viabilizar e tornar suficientemente atrativos os investimentos na expansão da oferta. Finalmente, estes modelos são então comparados entre si e com o modelo atual, quanto ao valor para o investidor e quanto ao custo para o sistema e para o consumidor. Um mercado é dito completo se permite aos agentes alocar livremente seus recursos e demandas quando estiverem disponíveis e/ou forem necessários e permite que os agentes condicionem estes recursos / demandas ao estado (preço) do mercado. Estas funcionalidades são implementadas através dos derivativos financeiros, negociados no mercado futuro. Neste trabalho fazemos uma análise conceitual do mercado futuro de energia elétrica, indicando a diferença em relação ao de outras commodities e apresentando um modelo da oferta e demanda por contratos futuros de energia elétrica.
The Brazilian Market of Electrical Energy has not yet found a stable market and price model that ensues the feasibility and makes attractive a self-sustained investment for the expansion of electrical energy generation. Researching the current generation dispatch and spot price model, we show that it is ineffective to attract investments because the model is myopic, since the range of critical system states that is foreseen at the current state is not significant until the system is already too degraded. Stemming from this conclusion, we develop three alternative models, modifying the dispatch model objective and the price formation rule. These alternative models are tuned to make the investments in generation expansion feasible and attractive. The models are compared regarding their value to the investor and the cost to the system and to the consumer. A complete market allows the economic agents to freely allocate their resources and requirements whenever they are available and/or required. A complete market also allows conditional settlement, i.e., to condition the resource availability and/or requirement to a particular market state (price). These features are realized by financial derivatives, in the, so called, futures market. We present a conceptual analysis of the electrical energy s future market, pointing the differences to other commodities future markets that are due to economical unfeasibility of storing electricity. We also present an equilibrium model for the forward electrical energy contracts.
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Salomon, Tania. "The Risk-Return Characteristics and Diversification Benefits of Fine Wine Investment." Scholarship @ Claremont, 2017. http://scholarship.claremont.edu/cmc_theses/1668.
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This thesis evaluates the risk-return characteristics and diversification benefits of fine wine investment. It compares the historical performance of wine to that of equity, fixed income, real estate, and commodities. I calculate the correlation, volatility, and expected returns of these assets to examine whether adding wine to a portfolio increases its risk-adjusted return. I do this through the Markowitz portfolio optimization technique. The findings suggest that wine has a low correlation with traditional assets, providing diversification benefits. My results also show that adding wine to a portfolio increases its risk-adjusted return only when there is an allocation constraint of 0 to 25% per asset. This does not hold, however, when there are no asset allocation constraints.
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Allie, Jahangir. "The value of financial advice : an analysis of the investment performance of advised and non-advised individual investors." Master's thesis, University of Cape Town, 2015. http://hdl.handle.net/11427/20038.
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Financial advisors have long been considered a part of the financial market through the advice that they offer investors. Behavioural finance has demonstrated that individual investors do not always behave in a rational manner, unlike financial advisors who seem not be prone to the behavioural biases that individuals experience when investment decisions are made. Furthermore, financial advisors have greater access to information, financial analytical tools, as well as better education in financial markets compared to the average individual. Financial advisors are thus better equipped to assist individual investors and provide them with improved investment results. This study investigated the value added by financial advisors in the investment performance of advised individual investors as opposed to non-advised individuals. The study wanted to establish whether financially advised individuals showed greater return on investments than non-advised individuals. A sample of individual investors from a large South African investment house were analysed across the investment categories of an advised investor and a non-advised investor for a period of 10 years from 1 January 2005 to 31 December 2014. The data was analysed to draw conclusions on returns, trading behaviour, the risk profile of investors and the reasons for differences identified. The results indicated that there is no statistical difference between the returns generated between advised investors, non-advised investors and the fund invested over the period. There was a statistical difference between the number of trades entered into by advised and non-advised investors, with advised investors making statistically more trades than nonadvised investors. There was no significant difference between the risk profiles of the investors based on qualitative data. The results indicate that there is no significant additional benefit of utilising a financial advisor, after the initial decision of which fund to invest in has been made.
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Turner, Neil J. K. "Tenant environmental performance and property investment : the use of environmental management systems in reducing risk." Thesis, University of South Wales, 1995. https://pure.southwales.ac.uk/en/studentthesis/tenant-environmental-performance-and-property-investment(bba421ea-ccf8-448f-96cd-331424b58016).html.
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Within the property research community consideration of environmental risk in relation to a tenant's polluting activities has received little attention. Whilst the profession has begun to address environmental issues through various research initiatives, the study of current land uses causing environmental problems and, m particular, the consequences for property investors, is at a very early stage. Through the literature review, and the major empirical project undertaken in the course of this research, significant advancements have been made in this area. It has been possible to establish the following: that the property investment portfolios of financial institutions and property investment companies are unlikely to be completely devoid of properties occupied by tenants capable of causing environmental damage; where such damage occurs an increasing body of opinion suggests that landlords could be held criminally liable for fines and/or statutory clean up costs; even where the tenant has sole liability (perhaps because the liabilities arise from activities the tenant has undertaken at another site) there are income security repercussions for the property investor. Site specific case studies, where industrial properties were inspected by the researcher and discussed with environmental auditors, played an important part in obtaining the information to support these findings. Consequently, improvements in the environmental performance1 of tenants occupying their properties, possibly, through the implementation of an environmental management system (EMS), will provide investors with a less risky property investment vis a vis other similar property investment opportunities occupied by tenants displaying low levels of environmental awareness. The empirical work within this thesis also found that property investors are beginning to acknowledge the concept of EMSs by considering it in the stock selection process. The research introduces a new consideration into the catalogue of property investment risks, namely, the environmental performance of the tenant and the role of environmental management systems therein. This strengthens the existing academic literature on property investment risk, and as such provides an original and significant contribution to this field of knowledge.
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Fife, Allan, University of Western Sydney, College of Law and Business, and of Construction Property and Planning School. "A comparative assessment of the factors influencing the valuation and market pricing of fractional interests in real estate." THESIS_CLAB_CPP_Fife_A.xml, 2001. http://handle.uws.edu.au:8081/1959.7/509.
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As the relative capital value of major real estate investment grows, and investment risk continues to centralise, the requirement to diversify this risk through shared ownership has increased. This international trend toward increased co-ownership has been manifested in cross border collaborations and, with this sharing of risks has come the dilemma of preserving the operational integrity of these assets and the capital value of the fractional interests created. This thesis considers the process of valuation of fractional interests, examining the methods employed in both the real estate and securities investment communities, and it identifies the shortcomings of the current unstructured approach to the problem. It reveals the impact of improperly structured agreements between co-owners on the value of their interests and illustrates the enormity of this in terms of the Australian publicly traded real estate securities sector. This thesis concludes that the current deficiencies in fractional interest valuation methodologies can be effectively addressed through the adoption, by professional real estate valuers, of a common approach to the investigation of the factors influencing the value of fractional interests and the terms of agreements which underlie these interestsDoctor of Philosophy (PhD)
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Rubio, Jose F. "Analysis of investment strategies: a new look at investment returns." ScholarWorks@UNO, 2013. http://scholarworks.uno.edu/td/1759.
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Chapter 1:
Intuition suggests that constraint investment strategies will result in losses due to a limited portfolio allocation. Yet prior research has shown that this is not the case for a particular set of constraint mutual funds so-called Socially Responsible Investing, SRI. In this paper I show that such assets do face loses to portfolio efficiency due to their limited asset universe. I contribute to the literature by employing two techniques to estimate asset performance. First, I estimate a DEA based efficiency score that allows for direct comparison between ex-post efficiency rankings and test the ex-ante relevance of such scores by including them into asset pricing models. Second, I further check if these results are consistent when comparing the performance of ethical funds based on the alphas of traditional asset pricing models even after adjusting for coskewness risk. Overall, the results suggest that ethical funds underperform traditional unconstraint investment assets.
Chapter 2:
Starting after the turn of the millennium, inflation has been persistently higher than the short term T-Bill rate. Following the traditional view, this will imply a negative real rates of return that have become commonplace in the US economy. This paper examines the possibility that if an inflation risk discount contained in nominal rates exist and can explain low or negative real rates, using consumption based asset pricing model. Evidence suggests using the traditional Fisher equation to calculate real rates leads to an overestimate of real rates due to a modest inflation risk premium. To achieve non-negative real rates in a consumption based asset pricing framework the covariance between consumption growth and inflation innovations would have to be at least thirty times larger than empirically found, and in opposite direction, for the Post-Volker era. Still, though the after 2000’s covariance is positive, which suggest a discount on risk free, the magnitude is still too small to explain negativity of real rates.
JEL Classification : E21, E31
Key Words : Mutual Funds, Performance, Data Envelop Analysis, Coskewness, Risk Factors, Real Returns, Consumption Bases Asset Pricing Models, Inflation
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Merdad, Hesham J. "Two Essays in Islamic Finance and Investment." ScholarWorks@UNO, 2012. http://scholarworks.uno.edu/td/1467.
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The main purpose of this dissertation is to lessen the gap in the Islamic finance and investment literature by providing new answers to the most vital question raised in that literature: Is the adherence to the Shariah law associated with at any cost?
The first chapter provides a primer on Islamic finance. It discusses several restrictions and necessary adaptations that must be made to have a Shariah-compliant product. The takeaway is that Shariah law mandates is related to fundamentals 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.”
The second chapter investigates that Islamic-effect in a cross-sectional stock return context. This is done in two steps. First, looking at differences in stock returns between Islamic and conventional firms in Saudi Arabia during the period from January 2003 to April 2011. Results indicate that there is a negative relationship between Saudi Islamic firms and average returns. This is referred to as the “negative Islamic-effect.” Second, examine whether that negative Islamic-effect is considered a common, systematic, and undiversified risk factor that affects cross-sectional expected stock returns. Time-series regressions results indicate that the Islamic risk factor (CMI) does indeed capture strong common variation in Saudi stock returns regardless what is included in the model. Also, findings suggest that using a four-factor model that controls for the Islamic-effect is more appropriate than using a single- or a three-factor model in Islamic finance applications that require estimates of expected stock returns.
The third chapter investigates the Islamic-effect in a mutual fund context. A unique sample of 143 Saudi mutual funds (96-Islamic and 47-conventional) is used to assess the performance and riskiness of Saudi Islamic funds relative to Saudi conventional funds and relative to different Islamic and conventional indices for the period from July 2004 to January 2010. Findings suggest that there is a benefit (cost) from adhering to the Shariah law when locally-focused (internationally-focused) fund portfolios are investigated. When Arab-focused fund portfolios are investigated, findings suggest that there is neither a cost nor a benefit from adhering to the Shariah law.
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Leboho, Nakedi Wilson. "Quantitative Risk Management and Pricing for Equity Based Insurance Guarantees." Thesis, Stellenbosch : Stellenbosch University, 2015. http://hdl.handle.net/10019.1/96980.
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Thesis (MSc)--Stellenbosch University, 2015ENGLISH ABSTRACT : Equity-based insurance guarantees also known as unit-linked annuities are annuities with embedded exotic, long-term and path-dependent options which can be categorised into variable and equity indexed annuities, whereby investors participate in the security markets through insurance companies that guarantee them a minimum of their invested premiums. The difference between the financial options and options embedded in equity-based policies is that financial ones are financed by the option buyers’ premiums, whereas options of the equity-based policies are financed by also continuous fees that follow the premium paid first by the policyholders during the life of the contracts. Other important dissimilarities are that equity-based policies do not give the owner the right to sell the contract, and carry not just security market related risk, but also insurance related risks such as the selection rate, behavioural, mortality, others and the systematic longevity. Thus equity-based annuities are much complicated insurance products to precisely value and hedge. For insurance companies to successfully fulfil their promise of eventually returning at least initially invested amount to the policyholders, they have to be able to measure and manage risks within the equity-based policies. So in this thesis, we do fair pricing of the variable and equity indexed annuities, then discuss management of financial market and insurance risks management.
AFRIKAANSE OPSOMMING : Aandeel-gebaseerde versekering waarborg ook bekend as eenheid-gekoppelde annuiteite is eksotiese, langtermyn-en pad-afhanklike opsies wat in veranderlike en gelykheid geindekseer annuiteite, waardeur beleggers neem in die sekuriteit markte deur middel van versekering maatskappye wat waarborg hulle ’n minimum van geklassifiseer kan word hulle belˆe premies. Die verskil tussen die finansi¨ele opsies en opsies is ingesluit in aandele-gebaseerde beleid is dat die finansi¨ele mense is gefinansier deur die opsie kopers se premies, terwyl opsies van die aandele-gebaseerde beleid word deur ook deurlopende fooie wat volg op die premie wat betaal word eers deur die polishouers gefinansier gedurende die lewe van die kontrakte. Ander belangrike verskille is dat aandele-gebaseerde beleid gee nie die eienaar die reg om die kontrak te verkoop, en dra nie net markverwante risiko sekuriteit, maar ook versekering risiko’s, soos die seleksie koers, gedrags, sterftes, ander en die sistematiese langslewendheid. So aandeel-gebaseerde annuiteite baie ingewikkeld versekering produkte om presies waarde en heining. Vir versekeringsmaatskappye suksesvol te vervul hul belofte van uiteindelik ten minste aanvanklik belˆe bedrag terug te keer na die polishouers, hulle moet in staat wees om te meet en te bestuur risiko’s binne die aandeel-gebaseerde beleid. So in hierdie tesis, ons doen billike pryse van die veranderlike en gelykheid geïndekseer annuiteite, bespreek dan die bestuur van finansiele markte en versekering risiko’s bestuur.
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Ellis, Maryke Louise. "Potential impact of the Mineral and Petroleum Resources Development Amendment Bill on investment in South Africa's upstream oil and gas industry." Master's thesis, University of Cape Town, 2015. http://hdl.handle.net/11427/15747.
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The Mineral and Petroleum Resources Development Amendment Bill has drawn criticism from industry experts and the press. There are a number of amendments that could be damaging to future investment in South Africa's upstream oil and gas industry. This study examines the key changes brought about by the Bill, South Africa's fiscal terms, how the fiscal terms are impacted by the Bill and current activity in South Africa's upstream oil and gas sector. The report then focuses on the most significant change made by the Bill, which is the level of State Participation. A fit for purpose economic model was built and the resulting cash flows were used to calculate the economic indicators presented in the results. The results from the model indicate how the increase in State Participation levels affects the ranking of South Africa's fiscal terms and the profitability of hypothetical investment opportunities. When ranked on fiscal terms, the country moves from having some of the best terms in Africa without the new Bill, to a position where the fiscal terms can be described as average or even onerous, depending on the interpretation of the State Participation clause. Accordingly, the result of the hypothetical investment opportunity has very positive economic indicators without the changes from the new Bill. If the most optimistic interpretation of the State Participation clause is modelled, the opportunity is less attractive but still viable and if the most pessimistic interpretation is modelled, the opportunity would not warrant investment. Even though South Africa has limited reserves, significant exploration activity is taking place under the existing legal and fiscal framework. If the Bill is implemented in its current format, it is likely that the country will see a significant decline in investment in the upstream oil and gas industry. Attracting new investment by international oil and gas companies in an environment governed by the terms of the proposed Bill will be challenging.
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Ho, Man-fong Christabel. "Risk analysis of Hong Kong's real estate market towards 1997 and beyond /." Hong Kong : University of Hong Kong, 1996. http://sunzi.lib.hku.hk/hkuto/record.jsp?B25947643.
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Louw, Jacobus M. "Improving risk-adjusted returns through the use of derivatives." Thesis, Stellenbosch : University of Stellenbosch, 2010. http://hdl.handle.net/10019.1/6416.
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Ganief, Moegamad Shahiem. "Development of value at risk measures : towards an extreme value approach." Thesis, Stellenbosch : Stellenbosch University, 2001. http://hdl.handle.net/10019.1/52189.
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Thesis (MBA)--Stellenbosch University, 2001.ENGLISH ABSTRACT: Commercial banks, investment banks, insurance companies, non-financial firms, and pension funds hold portfolios of assets that may include stocks, bonds, currencies, and derivatives. Each institution needs to quantify the amount of risk its portfolio is exposed to in the course of a day, week, month, or year. Extreme events in financial markets, such as the stock market crash of October 1987, are central issues in finance and particularly in risk management and financial regulation. A method called value at risk (VaR) can be used to estimate market risk. Value at risk is a powerful measure of risk that is gaining wide acceptance amongst institutions for the management of market risk. Value at Risk is an estimate of the largest lost that a portfolio is likely to suffer during all but truly exceptional periods. More precisely, the VaR is the maximum loss that an institution can be confident it would lose a certain fraction of the time over a particular period. The power of the concept is its generality. VaR measures are applicable to entire portfolios - encompassing many asset categories and multiple sources of risk. As with its power, the challenge of calculating VaR also stems from its generality. In order to measure risk in a portfolio using VaR, some means must be found for determining a return distribution for the portfolio. There exists a wide range of literature on different methods of implementing VaR. But, when one attempts to apply the results, several questions remain open. For example, given a VaR measure, how can the risk manager test that the particular measure at hand is appropriately specified? And secondly, given two different VaR measures, how can the risk manager pick the best measure? Despite the popularity of VaR for measuring market risk, no consensus has yet been reach as to the best method to implement this risk measure. The absence of consensus is in part derived from the realization that each method currently in use has some significant drawbacks. The aim of this project is threefold: to introduce the reader to the concept of VaR; present the theoretical basis for the general approaches to VaR computations; and to introduce and apply Extreme Value Theory to VaR calculations. The general approaches to VaR computation falls into three categories, namely, Analytic (Parametric) Approach, Historical Simulation Approach, and Monte Carlo Simulation Approach. Each of these approaches has its strengths and weaknesses, which will study more closely. The extreme value approach to VaR calculation is a relatively new approach. Since most observed returns are central ones, traditional VaR methods tend to ignore extreme events and focus on risk measures that accommodate the whole empirical distribution of central returns. The danger of this approach is that these models are prone to fail just when they are needed most - in large market moves, when institutions can suffer very large losses. The extreme value approach is a tool that attempts to provide the user with the best possible estimate of the tail area of the distribution. Even in the absence of useful historical data, extreme value theory provides guidance on the kind of distribution that should be selected so that extreme risks are handled conservatively. As an illustration, the extreme value method will be applied to a foreign exchange futures contract. The validity of EVT to VaR calculations will be tested by examining the data of the Rand/Dollar One Year Futures Contracts. An extended worked example will be provided wherein which attempts to highlight the considerable strengths of the methods as well as the pitfalls and limitations. These results will be compared to VaR measures calculated using a GARCH(l,l) model.
AFRIKAANSE OPSOMMING: Handelsbanke, aksepbanke, assuransiemaatskappye, nie-finansiële instellings en pensioenfondse beskik oor portefeuljes van finansiële bates soos aandele, effekte, geldeenhede en afgeleides. Elke instelling moet die omvang kan bepaal van die risiko waaraan die portefeulje blootgestel is in die loop van 'n dag, week, maand of jaar. Uitsonderlike gebeure op finansiële markte, soos die ineenstorting van die aandelemark in Oktober 1987, is van besondere belang vir finansies en veral vir risikobestuur en finansiële regulering. 'n Metode wat genoem word Waarde op Risiko (WoR), kan gebruik word om markverliese te meet. WoR is 'n kragtige maatstaf vir risiko en word deur vele instellings gebruik vir die bestuur van mark-risiko. Waarde op Risiko is 'n raming van die grootste verlies wat 'n portefeulje moontlik kan ly gedurende enige tydperk, met uitsluiting van werklik uitsonderlike tydperke. Van nader beskou, is WoR die maksimum verlies wat 'n instelling kan verwag om gedurende 'n sekere tydperk binne 'n bepaalde periode te ly. Die waarde van die konsep lê in die algemene aard daarvan. WoR metings is van toepassing op portefeuljes in dié geheel en dit omvat baie kategorieë bates en veelvuldige bronne van risiko. Soos met die waarde van die konsep, hou die uitdaging om WoR te bereken ook verband met die algemene aard van die konsep. Ten einde die risiko te bepaal in 'n portefeulje waar WoR gebruik word, moet metodes gevind word waarvolgens 'n opbrengsverdeling vir die portefeulje vasgestel kan word. Daar bestaan 'n groot verskeidenheid literatuur oor die verskillende metodes om WoR te implementeer. Wanneer dit egter kom by die toepassing van die resultate, bly verskeie vrae onbeantwoord. Byvoorbeeld, hoe kan die risikobestuurder aan die hand van 'n gegewe WoR-maatstaf toets of die spesifieke maatstaf reg gespesifiseer is? Tweedens, hoe kan die risikobestuurder die beste maatstaf kies in die geval van twee verskillende WoR-maatstawwe? Ondanks die feit dat WoR algemeen gebruik word vir die meting van markrisiko, is daar nog nie konsensus bereik oor die beste metode om hierdie benadering tot risikometing te implementeer nie. Die feit dat daar nie konsensus bestaan nie, kan deels daaraan toegeskryf word dat elkeen van die metodes wat tans gebruik word, ernstige leemtes het. Die doel van hierdie projek is om die konsep WoR bekend te stel, om die teoretiese grondslag te lê vir die algemene benadering tot die berekening van WoR en om die Ekstreme Waarde-teorie bekend te stel en toe te pas op WoR-berekenings. Die algemene benadering tot die berekening van WoR word in drie kategorieë verdeel naamlik die Analitiese (Parametriese) benadering, die Historiese simulasiebenadering en die Monte Carlo-simulasiebenadering. Elkeen van die benaderings het sterk- en swakpunte wat van nader ondersoek sal word. Die Ekstreme Waarde-benadering tot WoR is 'n relatief nuwe benadering. Aangesien die meeste opbrengste middelwaarde-gesentreer is, is tradisionele WoR-metodes geneig om uitsonderlike gebeure buite rekening te laat en te fokus op risiko-maatstawwe wat die hele empiriese verdeling van middelwaarde-gesentreerde opbrengste akkommodeer. Die gevaar bestaan dan dat hierdie modelle geneig is om te faal juis wanneer dit die meeste benodig word, byvoorbeeld in die geval van groot markverskuiwings waartydens organisasies baie groot verliese kan ly. Daar word beoog om met behulp van die Ekstreme Waarde-benadering aan die gebruiker die beste moontlike skatting van die stert-area van die verdeling te gee. Selfs in die afwesigheid van bruikbare historiese data verskaf die Ekstreme Waarde-teorie riglyne ten opsigte van die aard van die verdeling wat gekies moet word, sodat uiterste risiko's versigtig hanteer kan word. Ten einde hierdie metode te illustreer, word dit in hierdie studie toegepas op 'n termynkontrak ten opsigte van buitelandse wisselkoerse. Die geldigheid van die Ekstreme Waarde-teorie ten opsigte van WoR berekenings word getoets deur die data van die Rand/Dollar Eenjaartermynkontrak te bestudeer. 'n Volledig uitgewerkte voorbeeld word verskaf waarin die slaggate en beperkings asook die talle sterkpunte van die model uitgewys word. Hierdie resultate sal vergelyk word met 'n WoR-meting wat bereken is met die GARCH (1,1) model.
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Ho, Simon Shun-Man. "Risk handling in capital budgeting : an investigation of risk analysis practice in the capital investment process and its relationship with selected characteristics of firms." Thesis, University of Bradford, 1988. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.328015.
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Lee, Anne Lim. "Return on Investment of the CFTP Framework With and Without Risk Assessment." ScholarWorks, 2017. https://scholarworks.waldenu.edu/dissertations/3306.
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In recent years, numerous high tech companies have developed and used technology roadmaps when making their investment decisions. Jay Paap has proposed the Customer Focused Technology Planning (CFTP) framework to draw future technology roadmaps. However, the CFTP framework does not include risk assessment as a critical factor in decision making. The problem addressed in this quantitative study was that high tech companies are either losing money or getting a much smaller than expected return on investment when making technology investment decisions. The purpose of this research was to determine the relationship between returns on investment before and after adding risk assessment to the CFTP framework. Paap's CFTP framework and process to improve technology investments thus served as the theoretical framework for this study. Data were obtained from cloud computing companies using the companies' market risk data and actual returns on investment data. The results and findings of paired sample two-tailed t tests for means and equal variances showed that return on investment was positively related to adding a traditional risk assessment model to Paap's CFTP framework. These findings regarding the addition of risk assessment to the technology investment framework may be used by investors to (a) make better and more expeditious decisions, and (b) obtain a high return on technology investment by selecting the highest return value and lowest risk value.
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Naumov, D. L. "Management of financial flows at an enterprise with foreign investment." Master's thesis, Sumy State University, 2020. https://essuir.sumdu.edu.ua/handle/123456789/81372.
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У роботі досліджено вплив управління фінансовими потоками на розвиток та функціонування українського підприємства з іноземними інвестиціями. Аналіз управління фінансовими потоками та капіталом здійснювався на базі підприємства АТ "Технологія". Проведений аналіз сучасного фінансового стану підприємства, та методи управління фінансами, капіталом та ризиками у проведенні господарської діяльності підприємства. Основною метою цього дослідження є розробка рекомендацій щодо поліпшення системи управління фінансами та залучення додаткового інвестиційного капіталу.The paper examines the impact of financial flow management on the development and operation of Ukrainian enterprises with foreign investment. The analysis of financial flows and capital management was carried out on the basis of JSC "Technology". The analysis of a modern financial condition of the enterprise, and methods of management of finances, the capital and risks in carrying out economic activity of the enterprise is carried out. The main purpose of this study is to develop recommendations for improving the financial management system and attracting additional investment capital.
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Čičmanec, Juraj. "Posouzení efektivnosti a rizik soukromého stavebního projektu." Master's thesis, Vysoké učení technické v Brně. Fakulta stavební, 2020. http://www.nusl.cz/ntk/nusl-409881.
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The diploma thesis deals with the evaluation of the effectiveness and risks of a private construction project. This work is divided into two parts. The first part is a theoretical part, which defines the basic concepts associated with investment as such, but also directly with investment in real estate and construction investment. In the second part, this work deals with risk assessment, determination of their size and finally risk management. The end of the theoretical part is the elaboration of methodology for the practical part. The beginning of the practical part the work is devoted to the description of the construction area and specification of the building itself. In the next part are set investment costs, operating income and expenses. Operating income consists of the lease itself. This was determined on the basis of similar investments in the area. Operating expenses are divided into fixed and variable where only fixed are included in the evaluation. Subsequently, the work establishes the profit and loss statement and therefrom the cash flows. The second part defines the risks associated with the construction of the project. The switching value is then calculated for critical project risks. The end of the practical part is devoted to risk management. The conclusion summarizes the results of individual parts of the thesis and a written recommendation for the investor whether to realize the project or not.
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Hulín, Michal. "A drug development from risk management perspective." Master's thesis, Vysoká škola ekonomická v Praze, 2011. http://www.nusl.cz/ntk/nusl-124943.
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The purpose of this diploma thesis is to understand financing of drug development from an enterprise risk management perspective as well as to critically assess the efficiency of the ISO framework and risk management techniques used for determining whether to fund drug development or not. The diploma thesis is divided into theoretical and practical part. The first part starts with perception and assessment of uncertainty and risk in the past. It describes how risk-averse individuals attempted to deal with uncertainty and different risk. This is followed by the evolution of traditional risk management into the fast developing enterprise risk management. The text further analyses commonly used risk management standards COSO ERM and ISO 31000:2009. However, the main focus is on the critical assessment of analytical tools which are frequently used for evaluating and assessing risks, especially financial ones, during drug development. The theoretical part is finished by a drug development process, whose phases are briefly described. The practical part was written in co-operation with AstraZeneca, a top-notch pharmaceutical company. The overview of its business is preceded by an explanation of current issues in the pharmaceutical industry. Furthermore, the risk analysis is conducted with respect to the ISO framework. Subsequently, selected risk assessment techniques are applied on the simplified financial model of two different drugs, which was created based on AstraZeneca's real data. These risk assessment tools are used in different phases of drug development so it could be seen clearly how the results are changing during a project. The outcomes of this risk analysis are compared with original plans used by AstraZeneca which were used for deciding whether to fund drug development or not.
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Zaidi, Syeda Farheen Batul. "Risky decision making in investment : an experimental study." Thesis, Kingston University, 2017. http://eprints.kingston.ac.uk/39754/.
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This research investigates why some individuals make better decisions in risky investments than others and what individual/socio-demographic characteristics influence in making these decisions. Three research questions with nineteen hypotheses were developed for the investigation. The first research question was (RQ1) Which demographic factors (gender, age, ethnicity, education, and investment experience), decision making styles and personality traits affect financial risk tolerance, financial literacy and risky decision making? Second research questionw as (RQ2) Is there any significant relationship between financial risk tolerance, financial literacy and risky decision making? And the third and last research question was (RQ3) Which combination of demographic factors (gender, age, ethnicity, education, and investment experience), decision making styles and personality traits predict financial risk tolerance score and financial literacy score? The investigation included two risk decisions making experimental tasks i.e. Iowa gambling task (IGT) and the balloon analogue risk task (BART) and an online questionnaire in which 244 UK respondents participated. The participants included professional (71%) and nonprofessional (29%) investors. Mixed factor ANOVA, one way ANOVA, Pearson correlation and multiple regression were used to analyse the data. (RQ1) There were no significant differences in the gambling task performance based on financial knowledge, investment experience, personality traits and demographics. There were significant differences in basic and advances financial literacy based on gender, age and investment experience. (RQ2) The results of the mixed factor ANOVA showed that there was no significant main effect of financial risk tolerance on the Iowa gambling task performance but a significant interaction was found to be present. Thus, financial risk tolerance high or low does not affect the risky decision-making task performance. The results of mixed factor ANOVA results show that same level of perceived financial knowledge and actual financial literacy was significantly related to better performance on the Iowa gambling task. Therefore, overconfidence or under confidence about one's level of financial understanding affects performance on risky decision-making tasks. (RQ3) 28% variability in the financial risk tolerance score is explained by the predictors gender, financial literacy score, spontaneous decision style, extraversion and investment experience. The regression model showed that gender, financial risk tolerance score, rational decision making, intuitive decision making and investment experience cause 38% variability in financial literacy score. The participants did learn to make better selections in the gambling task but still majority 56% of them displayed impaired performance. Based on the findings of the research it is recommended that the importance of financial literacy and investment experience should be considered when the financial consultants prepare the investors profile. It is also recommended that the assumptions for measuring healthy performance on the Iowa gambling task should be evaluated carefully when applied to healthy participants in such a way that the individual differences are also incorporated.
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Nguyen, Huyen T., University of Western Sydney, College of Law and Business, and School of Accounting. "Project finance risk pricing decision : Australian evidence." THESIS_CLAB_ACC_Nguyen_H.xml, 2002. http://handle.uws.edu.au:8081/1959.7/352.
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This thesis presents empirical research into the project risk pricing decision undertaken by Australian project leaders for domestic project finance. It addresses questions about the relative importance of various project finance risks on the project risk pricing decision; the impact of risk interactions; and the degree of self-insight possessed by Australian project leaders when making this decision. Five project financing risk most frequently cited in the literature, namely: operating, environmental, market, political/regulation, and sponsors, were selected. Sixteen hypothetical risk pricing cases were structured, which were completed by twenty-five project leaders working in Sydney. The collected data was analysed, and the results show that the five project financing risks had strong impact on the project risk pricing decision. Among them, market risk is the most influential factor, followed by operating, sponsors, and political/regulation risks, while environmental risk was the factor with least effect. Very little support, however, was provided for the hypothesis that risk interactions impact the project risk pricing decision. Among the ten two-level risk interactions tested, only the interaction between sponsors and political/regulation was found to be significant. In relations to the degree of self-insight, various comparisons between subjective and objective weights demonstrated that the project leaders, in general, were quite insightful about their project finance risk pricing decisionsMaster of Commerce (Hons)
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Padilha, Guilherme Castro. "Analysis of efficiency of funds management investment shares in brazil." Universidade Federal do CearÃ, 2012. http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=10157.
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Conselho Nacional de Desenvolvimento CientÃfico e TecnolÃgicoThis article analyzes the effect of decisions on resource allocation among items of operating expenses, administrative and otherwise, in the unilateral moments of the distribution of returns on Brazilian stock mutual funds. We follow methodologically Chambers, Chung and Fare (1996, 1998), using the Directional Distance Function (DDF) technique, which allows us to measure the behavior of the average value, and semicurtose semivariance of returns of funds, together with inputs associated with the internal allocation of resources. The boundary of "production" was constructed from the observation of the accounting entries monthly and daily returns for a panel of 59 mutual funds within the class of Ibovespa Activity during 2005 to 2009. We are able to evidence a high level of persistence in terms of efficiency, corroborating the evidence reported in Castro and Matos (2012). The more efficient funds have higher levels of cumulative return, except in 2008, lower levels of undesirable products associated with the risk and composition of operating expenses, such that the value of the ratio of non administrative expenses/ administrative expenses is approximately half of the observed for the most inefficient funds.
Este trabalho estuda os nÃveis de eficiÃncia do processo produtivo dos fundos de investimento em aÃÃes no Brasil, visando acomodar as crÃticas de Murthi et al. (1997) e Basso e Funari (2001). Analisa-se o efeito das decisÃes em termos de alocaÃÃo de recursos dentre rubricas de despesas especificamente operacionais ou administrativas nos nÃveis de ganho e de risco mensurado pela semivariÃncia e semicurtose, a partir da FunÃÃo DistÃncia Direcional proposta por Chambers, Chung e FÃre (1996, 1998). A observaÃÃo do comportamento conjunto dos inputs e outputs e a construÃÃo da fronteira de produÃÃo para um painel de 59 fundos mÃtuos de investimento em aÃÃo, categoria Ibovespa Ativo, durante 2005 a 2009, permitem evidenciar um elevado nÃvel de persistÃncia em termos de eficiÃncia, corroborando a evidÃncia de persistÃncia de performance reportada em Matos e Castro (2012). Os fundos sistematicamente eficientes sÃo todos administrados por instituiÃÃes financeiras privadas, possuem uma tendÃncia de alocar proporcionalmente mais em cotas de outros fundos que os fundos ineficientes e atendem essencialmente clientes institucionais, private ou de alta renda, enquanto os fundos ineficientes sÃo direcionados essencialmente para o pÃblico em geral. A eficiÃncia està associada ainda a maiores nÃveis de retorno acumulado, exceto em 2008, menores nÃveis de produtos indesejÃveis associados ao risco e a uma composiÃÃo dos gastos tal que, o valor da razÃo de gastos nÃo administrativos/gastos administrativos à aproximadamente a metade do evidenciado para os fundos sistematicamente ineficientes. Os resultados parecem robustos quando comparados aos tradicionais rankings de performance risco-retorno. Evidencia-se uma maior heterogeneidade de eficiÃncia no turbulento ano de 2008, caracterizada por uma maior quantidade de fundos na fronteira, quase 30%, e pelos maiores nÃveis de ineficiÃncia.
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De, Wet Ronel. "The evaluation of Omega as an effective tool for portfolio evaluation in the South African context." Thesis, Stellenbosch : Stellenbosch University, 2006. http://hdl.handle.net/10019.1/70664.
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Thesis (MBA)--Stellenbosch University, 2006.ENGLISH ABSTRACT: The Omega function is a relatively newly developed performance measure, falling within the class of downside risk measures. This measure does not make any assumptions regarding the return distributions evaluated, but incorporates the actual return distribution in its calculation. The sensitivity of this measure to simulated changes within the class of stable distributions was tested, within the range of parameters that was evident in the South African investment environment. The Omega and Sharpe ratios that were calculated for these distributions were ranked and compared. Even though the rankings were similar, discrepancies did occur. On investigation it was found that these discrepancies were caused by the inability of the Sharpe measure to differentiate between increased volatility caused by higher probability weighted gains (or positive skewness) and losses, as the Sharpe ratio penalises funds for volatility. The simulated tests were extended to various distributions, which have different risk profiles and distribution shapes, and ranked. A higher incidence of ranking differences occurred due to the inability of the Sharpe ratio to differentiate between gains and losses, correctly account for the risk of positively skewed distributions and lastly due to negative Sharpe ratios, caused by the average realised returns being exceeded by the threshold (target) rate, resulting in incorrect rankings. Comparison of rankings based on the Sharpe and Omega measures was performed on the class of general equity unit trusts over a five-year period, which resulted in statistically similar rankings. In extending the evaluation over shorter periods, the ran kings were still statistically similar, even though some differences were noteworthy. As the returns became more variable, the Omega measure captured this variation and risk whilst the Sharpe ratio was unable to, as its formulation is limited to two statistics, thus losing all this additional information. Normally performance evaluation is not initiated with a detailed analysis of the return distributions in order to determine which performance measure is more appropriate. The Omega measure incorporates the distribution into the calculation, which is not the case with the Sharpe measure. Therefore, even if the distributions are normal, the Omega measure gives exacty the same result as the Sharpe measure. However, where return distributions diverge from normality, we can be certain that the Omega measure will correctly incorporate the divergence, whilst it has been shown that in certain instances the Sharpe measure does not. The Omega measure adds another dimension to risk-adjusted performance evaluation and should be incorporated in the evaluation process.
AFRIKAANSE OPSOMMING: Die Omega-funksie, wat as 'n afwaartse risikomaatstaf geklassifiseer word, is 'n relatiewe nuut-ontwikkelde prestasiemaatstaf. Hierdie maatstaf maak nie enige aannames ten opsigte van die opbrengsverdelings wat ge-evalueer word nie, maar inkorporeer die werklike opbrengsverdeling in die berekening. Die sensitiwiteit van hierdie maatstaf tot gesimuleerde veranderinge in die klas van stabiele verdelings is getoets, binne die parameters van toepassing in die Suid Afrikaanse beleggingsomgewing. Die Omega- en Sharpe-maatstawe is bereken, georden en vergelyk. Alhoewel die rangordes meestal dieselfde was, het verskille in sommige gevalle voorgekom. Hierdie verskille is veroorsaak deur die onvermoe van die Sharpe-maatstaf om te onderskei tussen verhoogde volatiliteit veroorsaak deur 'n hoer waarskynlikheidsgeweegde wins, of positiewe skeefheid en verliese. Die Sharpe-maatstaf penaliseer alle volatiliteit. Die gesimuleerde toetse is uitgebrei na alternatiewe verdelings wat verskillende risikoprofiele het en is weereens georden. Weereens was die rangordes meestal dieselfde. Die verskille wat plaasgevind het, is veroorsaak deur die onvermoe van die Sharpe-maatstaf om tussen winste en verliese te onderskei, positiewe skeefheid korrek te verdiskonteer en laastens om negatiewe Sharpe-verhoudings in die korrekte rangorde te plaas. 'n Vergelyking van die rangordes van die Sharpe- en Omega-maatstawe is gedoen op die algemene effektetrusts oor 'n tydperk van vyf jaar. Die rangordes in geheel was statisties dieselfde. Hierdie toetse is vervolgens uitgebrei om korter tydperke in te sluit, wat weereens in geheel statisties dieselfde korrelasie getoon het, maar 'n paar individuele portefeuljes se rangordes het heelwat verskil. Soos die opbrengste gevarieer het, kon die Omega-maatstaf hierdie variasies en risiko verdiskonteer terwyl die Sharpe-maatstaf nie in staat was om hierdie risiko te verdiskonteer nie, aangesien sy formulering beperk is tot twee statistieke wat 'n verlies van inligting tot gevolg het. Normaalweg word prestasie-beoordeling nie begin met 'n gedetailleerde analise van die opbrengsverdelings om te bepaal watter prestasie-maatstaf meer toepaslik is nie. Die Omega-maatstaf inkorporeer die verdeling in die berekening, wat nie die geval is met die Sharpe-maatstaf nie. AI is die opbrengsverdelings normaal, gee die Omega-maatstaf dieselfde resultate as die Sharpe-maatstaf. Waar die verdelings egter afwyk van normaal, weet ons dat die Omega-maatstaf die afwykings korrek verdiskonteer, terwyl dit bewys is dat die Sharpe-maatstaf in sekere omstandighede nie die afwykings korrek verdiskonteer nie. Die Omega-maatstaf voeg 'n verdere dimensie by risiko-aangepaste prestasiemeting en behoort dus ingesluit te word in die evauleringsproses.
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Kopke, Kerry-Leigh Elizabeth. "The prima facie relationship between size of assets under management and the risk-adjusted performance of South African collective investment schemes." Master's thesis, University of Cape Town, 2015. http://hdl.handle.net/11427/16662.
Full textAbstract:
Includes bibliographical referencesThere is a plethora of academic literature on the relationship between a collective investment 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) ("ASISA"), SA Equity General Fund classification group over a 10 (ten) year period was analysed using regression techniques and ranking analysis to examine whether there was any prime facie relationship between the fund size and the risk-adjusted performance of South African collective investment schemes. The regression analysis found no statistically significant correlation between fund size and risk-adjusted performance. However, the results of the ranking analysis suggested a possible inverted U-Shape relationship between collective investment scheme fund size and risk-adjusted performance. This therefore presents an argument for an optimal fund size range of between R912,267,649.3 and R1,930,696,676 (about 1 - 2 billion Rand) in assets under management to maximise risk-adjusted performance.