Gotowe bibliografie tematyczne / Asset Allocation / Rozprawy doktorskie
Kliknij ten link, aby zobaczyć inne rodzaje publikacji na ten temat: Asset Allocation.

Rozprawy doktorskie na temat „Asset Allocation”

Autor: Grafiati
Data publikacji: 4 czerwca 2021
Data aktualizacji: 25 lipca 2025

Utwórz poprawne odniesienie w stylach APA, MLA, Chicago, Harvard i wielu innych

Wybierz rodzaj źródła:

Sprawdź 50 najlepszych rozpraw doktorskich naukowych na temat „Asset Allocation”.

Przycisk „Dodaj do bibliografii” jest dostępny obok każdej pracy w bibliografii. Użyj go – a my automatycznie utworzymy odniesienie bibliograficzne do wybranej pracy w stylu cytowania, którego potrzebujesz: APA, MLA, Harvard, Chicago, Vancouver itp.

Możesz również pobrać pełny tekst publikacji naukowej w formacie „.pdf” i przeczytać adnotację do pracy online, jeśli odpowiednie parametry są dostępne w metadanych.

Przeglądaj rozprawy doktorskie z różnych dziedzin i twórz odpowiednie bibliografie.

1

Ibrahim, Boulis Maher Boulis. "Asset allocation." Thesis, University of Strathclyde, 1997. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.287041.

Pełny tekst źródła
Style APA, Harvard, Vancouver, ISO itp.
2

Brinkmann, Ulf. "Robuste Asset-Allocation /." Bad Soden/Ts. : Uhlenbruch, 2007. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=016280816&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.

Pełny tekst źródła
Style APA, Harvard, Vancouver, ISO itp.
3

Flavin, Thomas J. "Tactical asset allocation." Thesis, University of York, 1999. http://etheses.whiterose.ac.uk/2493/.

Pełny tekst źródła
Style APA, Harvard, Vancouver, ISO itp.
4

Hoevenaars, Roy Peter Maria Mathieu. "Strategic asset allocation & asset liability management." [Maastricht] : Maastricht : Universiteit Maastricht ; University Library, Universiteit Maastricht [host], 2008. http://arno.unimaas.nl/show.cgi?fid=9679.

Pełny tekst źródła
Style APA, Harvard, Vancouver, ISO itp.
5

Simon, Sarah. "Asset Allocation und Zeithorizonteffekte." St. Gallen, 2005. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/01654235001/$FILE/01654235001.pdf.

Pełny tekst źródła
Style APA, Harvard, Vancouver, ISO itp.
6

Zhang, Huacheng. "Essays in Asset Allocation." Diss., The University of Arizona, 2013. http://hdl.handle.net/10150/293404.

Pełny tekst źródła
Streszczenie:
This dissertation consists of two essays in asset allocation. In the first essay, I measure the value of active money management. I explore this issue by comprehensively examining the parametric rule proposed by Brandt, Santa-Clara and Valkanov (2009) (the BSV rule) out-of-sample for portfolio selection among 3516 stocks in CRSP and comparing this rule to the mean-variance (MV) rule and the naïve 1/N rule recently advocated by DeMiguel, Garlappi and Uppal (2009). The BSV rule outperforms both the MV and 1/N rules and the outperformance is robust to investment horizons and stock market states.
Style APA, Harvard, Vancouver, ISO itp.
7

UBERTI, PIERPAOLO. "Higher moments asset allocation." Doctoral thesis, Università degli Studi di Milano-Bicocca, 2010. http://hdl.handle.net/10281/11955.

Pełny tekst źródła
Streszczenie:
In this dissertation a four moment asset allocation model is proposed. Some assumptions are made in order to simplify the optimization model and to obtain a closed form solution for the optimal portfolio. In particular, the key assumption concerns the representation of skewness and kurtosis. The obtained optimal portfolio is a generalization of the classical two moments optimal portfolio, see Markowitz (1952). This generalization permits to write the optimal portfolio as the sum of three portfolios: the first one is the meanvariance optimal portfolio, the second one depends on the skewn
Style APA, Harvard, Vancouver, ISO itp.
8

Burri, Silvan. "Asset Allocation including Currency Managers." St. Gallen, 2006. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/01649268002/$FILE/01649268002.pdf.

Pełny tekst źródła
Style APA, Harvard, Vancouver, ISO itp.
9

Russo, Agostino. "Asset allocation under liquidity constraints." Thesis, Imperial College London, 2003. http://hdl.handle.net/10044/1/8477.

Pełny tekst źródła
Style APA, Harvard, Vancouver, ISO itp.
10

Kearns, Michael. "Learning and strategic asset allocation." Thesis, University of Southampton, 2016. https://eprints.soton.ac.uk/408016/.

Pełny tekst źródła
Streszczenie:
This thesis investigates whether or not models that portray the relationship between what an investor learns and how he allocates his portfolio can explain phenomena related to household behaviour in the stock market. Endogenous modelling of household learning is utilised, which builds on a growing literature called bounded rationality with increasing explanatory power, offering an alternative to the classical rational expectations theory. Such phenomena include firstly why households often hold portfolios that are little diversified, secondly why household beliefs about the stock market exhib
Style APA, Harvard, Vancouver, ISO itp.
11

Mjebeza, Athenkosi. "Asset allocation and Regulation 28." Master's thesis, University of Cape Town, 2016. http://hdl.handle.net/11427/20586.

Pełny tekst źródła
Streszczenie:
This paper aims to determine the impact Regulation 28 has on optimal asset allocation. The revised Regulation 28 of the pensions fund act came into effect as of 1 July 2011 which imposed certain restrictions or constraints on pension funds under direct control of trustees. This study evaluates some of the constraints imposed on the Regulation 28 through the use of Markowitz (1952) efficient frontier framework and a non-parametric model. With offshore allocation increased to 25% and an additional 5% to African (ex SA) markets the study also explores the diversification prospects to internationa
Style APA, Harvard, Vancouver, ISO itp.
12

Xie, Yuxin. "Asset allocation under disappointment aversion." Thesis, University of Liverpool, 2014. http://livrepository.liverpool.ac.uk/2005780/.

Pełny tekst źródła
Streszczenie:
The present thesis examines one of the non–standard preferences, the theory of disappointment aversion (DA) from Gul (1991), within an asset allocation problem. Related to the area of decision–making under risk, it sheds light on: (i) at the global level, how the risk exposure reduces quantitatively in the presence of disappointment aversion; (ii) given the empirical data, what are the plausible levels of disappointment aversion around different financial markets; and (iii) how disappointment aversion interacts with both inherent risk attitudes (i.e., risk aversion, subjective probability weig
Style APA, Harvard, Vancouver, ISO itp.
13

Shigeta, Yuki. "Regime Switching and Asset Allocation." Kyoto University, 2016. http://hdl.handle.net/2433/217128.

Pełny tekst źródła
Style APA, Harvard, Vancouver, ISO itp.
14

Herold, Ulf. "Asset Allocation und Prognoseunsicherheit : die Berücksichtigung von Schätzfehlern in der strategischen und taktischen Asset Allocation /." Bad Soden : Uhlenbruch Verlag, 2004. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=010723393&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA.

Pełny tekst źródła
Style APA, Harvard, Vancouver, ISO itp.
15

Wang, Cong. "Household Risky Assets: Selection And Allocation." Columbus, Ohio : Ohio State University, 2008. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1204747467.

Pełny tekst źródła
Style APA, Harvard, Vancouver, ISO itp.
16

Bendrich, Denise, and Johan Bergström. "Impact of Asset Allocation on Insurance Companies’ Performance : A study of the European Economic Area." Thesis, Umeå universitet, Handelshögskolan vid Umeå universitet (USBE), 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-106692.

Pełny tekst źródła
Streszczenie:
Insurance companies offer business and individuals the possibility to reduce the financial impact of a risk occurring by transferring it away from themselves onto someone. For taking on risk on behalf of someone else the insurance company requires a premium from the policyholder which is pooled and invested in order to meet future obligations towards the policyholder. However, the importance of the European insurance industry goes beyond economic protection of the policyholder as the industry with its EUR8.4 trillion or 58 percent of EU GDP in assets is the largest institutional investor in Eu
Style APA, Harvard, Vancouver, ISO itp.
17

Niebuhr, Philippe. "Branchenstrategien in der integrierten Asset-Allocation /." [S.l.] : [s.n.], 2001. http://aleph.unisg.ch/hsgscan/hm00151707.pdf.

Pełny tekst źródła
Style APA, Harvard, Vancouver, ISO itp.
18

Čumova, Denisa. "Asset Allocation Based on Shortfall Risk." Doctoral thesis, Universitätsbibliothek Chemnitz, 2005. http://nbn-resolving.de/urn:nbn:de:swb:ch1-200500848.

Pełny tekst źródła
Streszczenie:
In der Dissertation wurde ein innovatives Portfoliomodell entwickelt, welches den Präferenzen einer großen Gruppe von Investoren entspricht, die mit der traditionellen Portfolio Selektion auf Basis von Mittelwertrendite und Varianz nicht zufrieden sind. Vor allem bezieht sich die Unzufriedenheit auf eine sehr spezifische Definition der Risiko- und Wertmaße, die angenommene Nutzenfunktion, die Risikodiversifizierung sowie die Beschränkung des Assetuniversums. Dies erschwert vor allem die Optimierung der modernen Finanzprodukte. Das im Modell verwendete Risikomaß-Ausfallrisiko drückt die Präfere
Style APA, Harvard, Vancouver, ISO itp.
19

Douglass, Julian James. "Nonparametric portfolio estimation and asset allocation." Thesis, University of British Columbia, 2009. http://hdl.handle.net/2429/5414.

Pełny tekst źródła
Streszczenie:
This thesis comprises two essays that apply nonparametric methods to the estimation of portfolio allocations. In the first essay, I test the significance to investor welfare of (i) adding additional assets to the portfolio choice set and (ii) conditioning on predictor variables. I estimate unconditional and conditional optimal allocations of a constant relative risk aversion investor by maximizing a nonparametric approximation of the expected utility integral. Investors can improve their expected utility significantly over that of an equities and cash investor by adding portfolios based on th
Style APA, Harvard, Vancouver, ISO itp.
20

許偉才 and Wai-choi Hui. "Optimal asset allocation under GARCH model." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2000. http://hub.hku.hk/bib/B31222717.

Pełny tekst źródła
Style APA, Harvard, Vancouver, ISO itp.
21

Tobelem-Foldvari, Sandrine. "Robust asset allocation under model ambiguity." Thesis, London School of Economics and Political Science (University of London), 2010. http://etheses.lse.ac.uk/262/.

Pełny tekst źródła
Streszczenie:
A decision maker, when facing a decision problem, often considers several models to represent the outcomes of the decision variable considered. More often than not, the decision maker does not trust fully any of those models and hence displays ambiguity or model uncertainty aversion. In this PhD thesis, focus is given to the specific case of asset allocation problem under ambiguity faced by financial investors. The aim is not to find an optimal solution for the investor, but rather come up with a general methodology that can be applied in particular to the asset allocation problem and allows t
Style APA, Harvard, Vancouver, ISO itp.
22

SILVA, THUENER ARMANDO DA. "OPTIMIZATION UNDER UNCERTAINTY FOR ASSET ALLOCATION." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2015. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=26187@1.

Pełny tekst źródła
Streszczenie:
PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO<br>CONSELHO NACIONAL DE DESENVOLVIMENTO CIENTÍFICO E TECNOLÓGICO<br>A alocação de ativos é uma das mais importantes decisões financeiras para investidores. No entanto, as decisões humanas não são totalmente racionais. Sabemos que as pessoas cometem muitos erros sistemáticos como, excesso de confiança, aversão à perda irracional e mau uso da informação entre outros. Nesta tese desenvolvemos duas metodologias distintas para enfrentar esse problema. A primeira abordagem é qualitativa, utiliza o modelo de Black-Litterman e tenta mapear a visão que
Style APA, Harvard, Vancouver, ISO itp.
23

Kaminski, Kathryn Margaret. "General superposition strategies and asset allocation." Thesis, Massachusetts Institute of Technology, 2007. http://hdl.handle.net/1721.1/40384.

Pełny tekst źródła
Streszczenie:
Thesis (Ph. D.)--Massachusetts Institute of Technology, Sloan School of Management, Operations Research Center, 2007.<br>Includes bibliographical references (p. 139-150).<br>Investors commonly use stopping rules to help them get in and out of their investment positions. Despite their widespread use and support from behavioral finance, there has been little discussion of their impact on portfolio performance in classic portfolio choice theory. In this thesis, I remedy this situation by discussing the performance impact of stopping rules, highlighting the stop-loss rule. Stop-loss rules-predeter
Style APA, Harvard, Vancouver, ISO itp.
24

Kollár, Miroslav. "Macrofinance Modeling from Asset Allocation Perspective." Doctoral thesis, Vysoká škola ekonomická v Praze, 2006. http://www.nusl.cz/ntk/nusl-79535.

Pełny tekst źródła
Streszczenie:
The dissertation dealt with the interaction between the macro-economy and financial markets. In the first part of the dissertation I laid down a general case for macro-based active asset allocation. In the main part of my dissertation, after a theoretical introduction to term structure models and macrofinance models, I developed a VAR macrofinance model of the term structure of interest rates for the Czech economy based on the dynamic interpretation of the Nelson-Siegel model, and showed the use of such modeling framework in bond-yield prediction and asset allocation.
Style APA, Harvard, Vancouver, ISO itp.
25

Hui, Wai-choi. "Optimal asset allocation under GARCH model /." Hong Kong : University of Hong Kong, 2000. http://sunzi.lib.hku.hk/hkuto/record.jsp?B2160616X.

Pełny tekst źródła
Style APA, Harvard, Vancouver, ISO itp.
26

Vita, Marco. "Un modello di asset allocation strategica." Bachelor's thesis, Alma Mater Studiorum - Università di Bologna, 2015. http://amslaurea.unibo.it/8487/.

Pełny tekst źródła
Streszczenie:
La tesi affronta il problema di Finanza Matematica dell'asset allocation strategica che consiste nel processo di ripartizione ottimale delle risorse tra diverse attività finanziarie presenti su un mercato. Sulla base della teoria di Harry Markowitz, attraverso passaggi matematici rigorosi si costruisce un portafoglio che risponde a dei requisiti di efficienza in termini di rapporto rischio-rendimento. Vengono inoltre forniti esempi di applicazione elaborati attraverso il software Mathematica.
Style APA, Harvard, Vancouver, ISO itp.
27

FARAGALLI, ANDREA. "Asset Allocation e Copulae Multivariate Dinamiche." Doctoral thesis, Università Politecnica delle Marche, 2018. http://hdl.handle.net/11566/260233.

Pełny tekst źródła
Streszczenie:
La continua evoluzione dei mercati finanziari ha portato, nel corso degli ultimi decenni, alla creazione di diverse tecniche per lo studio e la gestione dei rischi assunti dagli operatori finanziari nel corso delle loro attività di investimento. Il rischio di mercato, in ambito finanziario, e spesso inteso come la variabilità dei rendimenti degli strumenti finanziari nel corso del tempo. L'elemento cardine di molti lavori empirici, e l'assunzione di normalità delle distribuzioni dei rendimenti dei diversi asset finanziari e della loro distribuzione congiunta. Tale assunzione risulta, però, es
Style APA, Harvard, Vancouver, ISO itp.
28

Mendecka, Magda. "The asset allocation puzzle with special reference to the asset allocations of financial advisors in South Africa." Master's thesis, University of Cape Town, 2006. http://hdl.handle.net/11427/5875.

Pełny tekst źródła
Style APA, Harvard, Vancouver, ISO itp.
29

Rey, David. "Stock market predictability and tactical asset allocation /." [S.l. : s.n.], 2004. http://www.gbv.de/dms/zbw/470721448.pdf.

Pełny tekst źródła
Style APA, Harvard, Vancouver, ISO itp.
30

Zhang, Jin. "Innovations in asset allocation with optimization heuristics." Thesis, University of Essex, 2010. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.522094.

Pełny tekst źródła
Style APA, Harvard, Vancouver, ISO itp.
31

Rudman, Wilber. "Post-retirement planning : asset allocation / W. Rudman." Thesis, North-West University, 2009. http://hdl.handle.net/10394/4787.

Pełny tekst źródła
Streszczenie:
The purpose of the study is to investigate optimal asset allocation as a means of minimising the investment risk, drawdown risk and longevity risk associated with an investment linked living annuity. The three risk elements were tested for various categories of retirees investing the full retirement savings amount in a living annuity. At first the paper examines the South African public's current pre-retirement savings habits, propensity to save and knowledge on the financial industry. The literature concludes that very few people are saving adequately for retirement, thus leaving a gap betwee
Style APA, Harvard, Vancouver, ISO itp.
32

Madebrink, Erika. "Break Point Detection for Strategic Asset Allocation." Thesis, KTH, Matematisk statistik, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-244051.

Pełny tekst źródła
Streszczenie:
This paper focuses on how to improve strategic asset allocation in practice. Strategic asset allocation is perhaps the most fundamental issue in portfolio management and it has been thoroughly discussed in previous research. We take our starting point in the traditional work of Markowitz within portfolio optimization. We provide a new solution of how to perform portfolio optimization in practice, or more specifically how to estimate the covariance matrix, which is needed to perform conventional portfolio optimization. Many researchers within this field have noted that the return distribution o
Style APA, Harvard, Vancouver, ISO itp.
33

Middleton, Laun Peter. "Topics in quantitative asset pricing and allocation." Thesis, University of Cambridge, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.620217.

Pełny tekst źródła
Style APA, Harvard, Vancouver, ISO itp.
34

Galane, Lesiba Charles. "The risk parity approach to asset allocation." Thesis, Stellenbosch : Stellenbosch University, 2014. http://hdl.handle.net/10019.1/95974.

Pełny tekst źródła
Streszczenie:
Thesis (MSc)--Stellenbosch University, 2014.<br>ENGLISH ABSTRACT: We consider the problem of portfolio's asset allocation characterised by risk and return. Prior to the 2007-2008 financial crisis, this important problem was tackled using mainly the Markowitz mean-variance framework. However, throughout the past decade of challenging markets, particularly for equities, this framework has exhibited multiple drawbacks. Today many investors approach this problem with a 'safety first' rule that puts risk management at the heart of decision-making. Risk-based strategies have gained a lot of p
Style APA, Harvard, Vancouver, ISO itp.
35

Rodrigues, Marco Antônio. "Pension funds asset allocation : an international analysis." Master's thesis, Instituto Superior de Economia e Gestão, 2019. http://hdl.handle.net/10400.5/19359.

Pełny tekst źródła
Streszczenie:
Mestrado em Economia Monetária e Financeira<br>Esta dissertação sugere novas ideias na questão essencial sobre alocação de ativos de fundos de pensão e sua consistência com as premissas fundamentais da teoria econômica. A pesquisa consiste em uma confirmação empírica através de cálculos de regressão linear, em que a taxa de retorno do investimento foi estabelecida como variável central e dependente das variáveis indicativas de alocação de ativos em ações e alocação de ativos em títulos, utilizando dados de dez anos, especificamente para o período de 2008 a 2017 e, posteriormente, recalculando
Style APA, Harvard, Vancouver, ISO itp.
36

Chetouane, Mabrouk. "Strategic asset allocation for DC plan members." Paris 9, 2011. https://portail.bu.dauphine.fr/fileviewer/index.php?doc=2011PA090081.

Pełny tekst źródła
Style APA, Harvard, Vancouver, ISO itp.
37

Mahoney, Kevin. "Asset allocation in the South African environment." Master's thesis, University of Cape Town, 2014. http://hdl.handle.net/11427/8552.

Pełny tekst źródła
Streszczenie:
Includes bibliographical references.<br>The aim of this paper is to find solutions to the asset allocation problem in the South African environment. These solutions look at a variety of different investor's preferences. These include an investor's age, risk aversion and required levels of returns. To do this, an analysis was done of prior research, so the most up to date mean-variance asset allocation model could be developed. Returns from 10 different indices, over different asset classes were gathered. The indices of importance were found to be: All Bond Index (ALBI), Inflation Linked All Ma
Style APA, Harvard, Vancouver, ISO itp.
38

LOREGIAN, ANGELA. "Multivariate Lèvy models: estimation and asset allocation." Doctoral thesis, Università degli Studi di Milano-Bicocca, 2013. http://hdl.handle.net/10281/49727.

Pełny tekst źródła
Streszczenie:
Multidimensional asset models based on Lévy processes have been introduced to meet the necessity of capturing market shocks using more refined distribution assumptions compared to the standard Gaussian framework. In particular, along with accurately modeling marginal distributions of asset returns, capturing the dependence structure among them is of paramount importance, for example, to correctly price derivatives written on more than one underlying asset. Most of the literature on multivariate Lévy models focuses in fact on pricing multi-asset products, which is also the case of the mod
Style APA, Harvard, Vancouver, ISO itp.
39

Charpentier, Carl-Emil, and Somnell Erik Allenius. "Asset Allocation under Solvency II : The impact of Solvency II on the asset allocation of Swedish life insurance companies." Thesis, KTH, Industriell ekonomi och organisation (Inst.), 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-98653.

Pełny tekst źródła
Streszczenie:
This thesis investigates the impact of Solvency II on the asset side of Swedish mutual life insurers. With the help of a quantitative analysis and a qualitative examination of our results we find that there will be a significant change in demand for certain products. A substantial increase in demand for government bonds and interest rate swaps with long maturities should be expected. Furthermore, both corporate and covered bonds will be more attractive investments under the new regulatory framework. Another big impact is the lower risk-adjusted return for equity, which over time will lead to a
Style APA, Harvard, Vancouver, ISO itp.
40

Lekander, Jon. "Institutional Real Investments : Real Estate in a Multi-Asset Portfolio." Doctoral thesis, KTH, Bygg- och fastighetsekonomi, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-196536.

Pełny tekst źródła
Streszczenie:
The purpose of this thesis is to analyze real estate investments from the vantage point of an institutional multi asset investor perspective, both in terms of the potential benefits real estate can bring as well as the challenges it can pose. The thesis consists of six papers and approaches the research question from three distinct perspectives. The quantitative papers consists of paper 1 and 5. Paper 1 analyses the portfolio characteristics of domestic and international real estate in a mean variance framework over seven investor domiciles. It is found that the optimal allocation to real esta
Style APA, Harvard, Vancouver, ISO itp.
41

Skaanes, Stephan. "Einflussfaktoren auf die strategische Asset Allocation Schweizer Pensionskassen." Bern Stuttgart Wien Haupt, 2005. http://d-nb.info/974029858/04.

Pełny tekst źródła
Style APA, Harvard, Vancouver, ISO itp.
42

Trolle, Anders Bjerre. "Essays on derivatives pricing and dynamic asset allocation /." København, 2007. http://www.gbv.de/dms/zbw/543401952.pdf.

Pełny tekst źródła
Style APA, Harvard, Vancouver, ISO itp.
43

Shim, Kyung Hwan. "Non tradeable human capital and household asset allocation." Thesis, University of British Columbia, 2009. http://hdl.handle.net/2429/12270.

Pełny tekst źródła
Streszczenie:
This thesis is comprised of two essays that investigate household consumption and portfolio choices in dynamic life cycle frameworks. In the first essay, I explain that stock market participation and stockholding are increasing in the level of education and financial wealth without relying on commonly used assumptions about differences in the cost of processing financial information among households. The key aspects of the model are recursive preferences, education attainment and stock market participation. Households with low risk aversion and high elasticity of intertemporal substitution
Style APA, Harvard, Vancouver, ISO itp.
44

Nguyen, Anh Thi Hoang. "Long memory conditional volatility and dynamic asset allocation." Thesis, University of Exeter, 2011. http://hdl.handle.net/10036/3279.

Pełny tekst źródła
Streszczenie:
The thesis evaluates the benefit of allowing for long memory volatility dynamics in forecasts of the variance-covariance matrix for asset allocation. First, I compare the forecast performance of multivariate long memory conditional volatility models (the long memory EWMA, long memory EWMA-DCC, FIGARCH-DCC and Component GARCH-DCC models) with that of short memory conditional volatility models (the short memory EWMA and GARCH-DCC models), using the asset allocation framework of Engle and Colacito (2006). The research reports two main findings. First, for longer horizon forecasts, long memory vol
Style APA, Harvard, Vancouver, ISO itp.
45

Zhou, Xinfeng. "Application of robust statistics to asset allocation models." Thesis, Massachusetts Institute of Technology, 2006. http://hdl.handle.net/1721.1/36231.

Pełny tekst źródła
Streszczenie:
Thesis (S.M.)--Massachusetts Institute of Technology, Sloan School of Management, Operations Research Center, 2006.<br>Includes bibliographical references (p. 105-107).<br>Many strategies for asset allocation involve the computation of expected returns and the covariance or correlation matrix of financial instruments returns. How much of each instrument to own is determined by an attempt to minimize risk (the variance of linear combinations of investments in these financial assets) subject to various constraints such as a given level of return, concentration limits, etc. The expected returns a
Style APA, Harvard, Vancouver, ISO itp.
46

Kostakis, Alexandros. "Essays on dynamic asset allocation and performance measures." Thesis, University of York, 2008. http://etheses.whiterose.ac.uk/11078/.

Pełny tekst źródła
Streszczenie:
The present thesis examines two central issues in financial theory, optimal portfolio choice and investment performance evaluation, when the restrictive assumptions of the traditional static, mean-variance framework of analysis are relaxed. Chapter 2 presents a series of model specifications for the risky asset's returns and the underlying risk factor and derives the corresponding optimal portfolio choices. It shows how important the modelling assumptions are for the implementation of dynamic asset allocation in practice and it contributes to the literature by examining the impact of horizon e
Style APA, Harvard, Vancouver, ISO itp.
47

Lee, Yai-Shan, and 李艾珊. "Individual investor’s asset allocation." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/30206369466782020690.

Pełny tekst źródła
Streszczenie:
碩士<br>輔仁大學<br>管理學研究所<br>95<br>In this study we use a valuable dataset provided by a renowned fund house covering VIP investors in the sampling period to investigate individual portfolio allocation in risky assets using equity fund investment as the proxy of risky asset and time deposit as the proxy of risk-free asset. We further investigate whether individual characteristics and economic issues are related to individual asset allocation. The result shows that male and young investors allocate a higher proportion in risky assets than female and old investors. The result sustains when using alte
Style APA, Harvard, Vancouver, ISO itp.
48

Tsai, Chia-Fen, and 蔡佳芬. "Research in Asset Allocation." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/10338688293652352527.

Pełny tekst źródła
Streszczenie:
博士<br>國立臺灣大學<br>國際企業學研究所<br>100<br>In this thesis, I focus on how the presence of income risks from sources such as performance-based pay or equity incentive contracts influence employees’ and top managers’ portfolio allocations. Firstly, utilizing comprehensive data on investor portfolio holdings and employer information from Taiwan, I provide novel evidence on how employer-level risks influence employees’ portfolio choices. Individuals employed at listed companies with greater return volatilities are less likely to invest in equities in general and in the employer stocks in particular. Conse
Style APA, Harvard, Vancouver, ISO itp.
49

Chen, Yung-Chih, and 陳勇志. "Asset Allocation and Money Supply." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/51132121516613792019.

Pełny tekst źródła
Streszczenie:
碩士<br>國立臺灣大學<br>經濟學研究所<br>99<br>The purpose of this paper is to study how the interest rate policy of central bank to affect money supply by way of people’s portfolio choice on monetary assets, such as time deposits and bond fund, taking into account their relative risk aversion fluctuates rather than taking constant overtime. The analysis of this paper is structured on three steps. First of all, specifying the parameters of asset allocation model, including the parameter about people’s preference to risk. Secondly, constructing asset allocation model which should consider the volatility of th
Style APA, Harvard, Vancouver, ISO itp.
50

Yu, hsin hui, and 游欣慧. "Asset allocation under multiple scenarios." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/35895972612403592709.

Pełny tekst źródła
Streszczenie:
碩士<br>國立臺灣大學<br>財務金融學研究所<br>87<br>Mean-Variance optimization is the most common quantitative methodology employed for asset allocation. Under traditional mean-variance optimization techniques, forecasts of the expected return, expected volatility, and expected covariance of the assets are driven by consideration of the average market behavior at some period in the past, which period is chosen more or less arbitrarily. One drawback of this approach is that as world economic conditions and financial markets change, historical averages may not be sufficiently representative of current conditions.
Style APA, Harvard, Vancouver, ISO itp.
Możesz być także zainteresowany bibliografiami na temat „Asset Allocation” dla innych typów źródeł:
Artykuły w czasopismach Książki
Oferujemy zniżki na wszystkie plany premium dla autorów, których prace zostały uwzględnione w tematycznych zestawieniach literatury. Skontaktuj się z nami, aby uzyskać unikalny kod promocyjny!

Do bibliografii