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Autor: Grafiati

Data publikacji: 4 czerwca 2021

Data aktualizacji: 20 lutego 2023

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1

Pedron, Nieves Hicks. "Model-based asset management : a comparative study." Thesis, University of Cambridge, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.299230.

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Laurinavičius, Algimantas. "The implementation model of the Asset-based policy in Lithuania." Doctoral thesis, Lithuanian Academic Libraries Network (LABT), 2013. http://vddb.library.lt/obj/LT-eLABa-0001:E.02~2013~D_20131028_140957-69469.

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The object of the research is the asset-based policy, as a measure to reduce poverty and inequality, based on saving, investment and asset accumulation. The purpose of the research is to analyse the experience of foreign countries, evaluate the need of asset-based policy in Lithuania and create a hypothetical model for implementation of this policy. In order to meet this purpose theoretical aspects of the asset-based welfare have been reviewed, asset-based policy models implemented in foreign countries have been analyzed, socio-economic, demographic situation of Lithuanian population, as well

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Bjorheim, Jacob. "The epistemological value of the consumption based capital asset pricing model." Thesis, London School of Economics and Political Science (University of London), 2014. http://etheses.lse.ac.uk/939/.

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The thesis is a philosophical analysis of the consumption based capital asset pricing model (CCAPM), investigating in particular its epistemological and methodological foundations. Financial markets are integral parts of advanced and developing economies. They matter because they channel unspent household income into banks’ savings accounts and assets such as bonds and stocks. Financial economists have traditionally taken interest in the pricing mechanism that underlies this capital allocation. The consumption based capital asset pricing model (CCAPM) is a prominent effort to describe, explain

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McEwan, Peter Gareth Fredric. "The GARCH-EVT-Copula model and simulation in scenario-based asset allocation." Thesis, Nelson Mandela Metropolitan University, 2016. http://hdl.handle.net/10948/11732.

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Financial market integration, in particular, portfolio allocations from advanced economies to South African markets, continues to strengthen volatility linkages and quicken volatility transmissions between participating markets. Largely as a result, South African portfolios are net recipients of returns and volatility shocks emanating from major world markets. In light of these, and other, sources of risk, this dissertation proposes a methodology to improve risk management systems in funds by building a contemporary asset allocation framework that offers practitioners an opportunity to explici

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Wang, Hui. "An empirical analysis of household asset allocation based on a rational expectations model /." The Ohio State University, 1997. http://rave.ohiolink.edu/etdc/view?acc_num=osu1487948807587516.

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Mathew, Avin D. "Asset management data warehouse data modelling." Thesis, Queensland University of Technology, 2008. https://eprints.qut.edu.au/19310/1/Avin_Mathew_Thesis.pdf.

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Data are the lifeblood of an organisation, being employed by virtually all business functions within a firm. Data management, therefore, is a critical process in prolonging the life of a company and determining the success of each of an organisation’s business functions. The last decade and a half has seen data warehousing rising in priority within corporate data management as it provides an effective supporting platform for decision support tools. A cross-sectional survey conducted by this research showed that data warehousing is starting to be used within organisations for their engineering

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Mathew, Avin D. "Asset management data warehouse data modelling." Queensland University of Technology, 2008. http://eprints.qut.edu.au/19310/.

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Data are the lifeblood of an organisation, being employed by virtually all business functions within a firm. Data management, therefore, is a critical process in prolonging the life of a company and determining the success of each of an organisation’s business functions. The last decade and a half has seen data warehousing rising in priority within corporate data management as it provides an effective supporting platform for decision support tools. A cross-sectional survey conducted by this research showed that data warehousing is starting to be used within organisations for their engineering

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Moghaddaszadeh, Kermani Mohammad. "Criticality strategic decision making model for maintenance and asset management." Thesis, University of Manchester, 2016. https://www.research.manchester.ac.uk/portal/en/theses/criticality-based-strategic-decision-making-model-for-maintenance-and-asset-management(913ab341-1c44-480c-875e-77d8e28f037b).html.

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Over the last century, there has been growing interest in changing the approach to maintenance management. The current practice for selecting critical equipment and making a decision on the most appropriate maintenance strategy is perceived to have serious limitations, principally because it lacks decision analysis. Due to the complex nature of decision-making in maintenance management, different models have been developed for selecting critical equipment. However, many of these models considered maintenance management as operational concern and ignored the strategic concerns of maintenance ma

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Venter, Marie. "A teacher’s experience of implementing the asset-based approach to teach Grade 7 learners." Diss., University of Pretoria, 2013. http://hdl.handle.net/2263/40451.

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The purpose of this study was to gain insight into a teacher’s experience in implementing the asset-based approach to teach Life Orientation to a Grade 7 class. More specifically I explored expected and unexpected benefits as well as challenges in relation to the implementation of asset-based teaching. My working assumptions were that both teachers and learners possess assets that may support teaching and learning and that the process of asset-based teaching can support teachers to attend to a variety of needs in one classroom. Nested within the wider positive psychology paradigm I relie

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Kaminska, Karolina. "Applying the RE-AIM Model to Asset-Based Community Health Interventions: A Multiple Case Study in Tower Hamlets, London, UK." Thesis, Université d'Ottawa / University of Ottawa, 2016. http://hdl.handle.net/10393/35522.

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Public health policy and practice principally acknowledge a needs-based approach when developing, implementing, and evaluating community health programs. This needs-based perspective receives criticism because it focuses too heavily on what is missing or wrong with communities as opposed to building on their strengths. As a result, community members are perceived as passive recipients, which is disempowering, and ultimately risks creating unsustainable and ineffective programs. In recent years, there has been a growing interest in achieving a balance between the needs-based approach and the as

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Goode, Heather A. "Using the Herrmann whole brain® model for mentoring academic staff." Diss., University of Pretoria, 2014. http://hdl.handle.net/2263/45935.

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My research provides an account of evaluating my mentoring practice using an Action Research design complemented by a mixed methods approach and the Hermann Whole Brain® Model (Herrmann, 1995). I explored how I can transform my mentoring practice using the principles of Whole Brain® thinking and how I can contribute to enriching the professional development of academic staff. My research has proceeded from an innovative idea and existing practice as an asset-based approach (Du Toit, 2009). By utilising an Action Research design my research articulates the construction of my understanding of m

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Severino, L??lian Santos Marques. "Modelos CAPM e CCAPM aplicados ao mercado imobili??rio de S??o Paulo e Rio de Janeiro." Universidade Cat??lica de Bras??lia, 2016. https://bdtd.ucb.br:8443/jspui/handle/tede/2148.

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Submitted by Sara Ribeiro (sara.ribeiro@ucb.br) on 2017-06-12T14:43:29Z No. of bitstreams: 1 LilianSantosMarquesSeverinoDissertacao2016.pdf: 852227 bytes, checksum: a6811612b93a51167387d223e191b16c (MD5)<br>Approved for entry into archive by Sara Ribeiro (sara.ribeiro@ucb.br) on 2017-06-12T14:43:48Z (GMT) No. of bitstreams: 1 LilianSantosMarquesSeverinoDissertacao2016.pdf: 852227 bytes, checksum: a6811612b93a51167387d223e191b16c (MD5)<br>Made available in DSpace on 2017-06-12T14:43:48Z (GMT). No. of bitstreams: 1 LilianSantosMarquesSeverinoDissertacao2016.pdf: 852227 bytes, checksum: a6811612b

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Koh, Woo Hwa. "Essays on the Cross-section of Returns." The Ohio State University, 2015. http://rave.ohiolink.edu/etdc/view?acc_num=osu1436980305.

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Stein-Balock, Amanda. "Predicting the quality of center-based early care and education programs for preschool children a cumulative asset model /." [Ames, Iowa : Iowa State University], 2007.

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Falconer, E. "The development of a conceptual model for supporting a case based reasoning selection among decision support systems for strategic asset allocation." Thesis, University of the West of Scotland, 2008. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.556185.

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The research which forms the basis of this thesis introduces a conceptual model for supporting a case-based reasoning (CBR) selection among decision support systems for strategic asset allocation. Strategic asset allocation is part of an investment policy and is used when choosing an investment portfolio. Strategic asset allocation decision support systems commonly follow a rule-based approach to decision making. The purpose of the conceptual model, introduced by this research, is to support the adoption of a CAR approach, as CAR can be used to produce learning abilities and flexibility. The c

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Aldaarmi, Abdulaziz Adel Abdulaziz. "An electronic financial system adviser for investors : the case of Saudi Arabia." Thesis, Brunel University, 2015. http://bura.brunel.ac.uk/handle/2438/11239.

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Financial markets, particularly capital and stock markets, play an important role in mobilizing and canalising the idle savings of individuals and institutions to the investment options where they are really required for productive purposes. The prediction of stock prices and returns is carried out in order to enhance the quality of investment decisions in stock markets, but it is considered to be tricky and complicates tasks as these prices behave in a random fashion and vary with time. Owing to the potential of returns and inherent risk factors in stock market returns. Various stock market p

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BORELLO, GIULIANA. "EMPIRICAL EVIDENCE ON PREDICTABILITY OF EXCESS RETURNS: CONTRARIAN STRATEGY, DOLLAR COST AVERAGING, TACTICAL ASSET ALLOCATION BASED ON A THICK MODELING STRATEGY." Doctoral thesis, Università Cattolica del Sacro Cuore, 2010. http://hdl.handle.net/10280/694.

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Questa tesi è composta da 3 differenti lavori che ci confermano la prevedibilità degli extra rendimenti rispetto al mercato usando semplici strategie di portafoglio azionario utilizzabili sia dal semplice risparmiatore sia dall'investitore istituzionale. Nel primo capitolo è stata analizzata la profittabilità della contrarian strategy nel mercato azionario Italiano. In letteratura é stato già abbondantemente dimostrato che i rendimenti azionari sono caratterizzati da un’autocorrelazione negativa nel breve periodo e da un effetto di ritorno alla media nel lungo periodo. La contrarian strategy

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Methi, Lina Mmakgabo. "Exploring how a school community copes with violence." Diss., University of Pretoria, 2010. http://hdl.handle.net/2263/26122.

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My study is informed by a partnership initiated between Gun Free South Africa and the Department of Education (District Tshwane South) with the concern of addressing violence in schools. Schools are often seen as professionalised and distant from their local communities. Learners belong to the very communities that are distanced from the school. They bring to school the unresolved issues from their families and interpersonal relations within the community. The study aimed to explore and describe the experiences of violence by a school community and how they cope with it. The study was informed

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Pai, Yu-Jou. "Risks in Financial Markets." University of Cincinnati / OhioLINK, 2020. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1584003500272517.

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Shahwan, Yousef Said. "The Australian market perception of goodwill and identifiable intangibles." Thesis, View thesis, 2002. http://handle.uws.edu.au:8081/1959.7/782.

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Accounting for goodwill and identifiable intangibles is one of the most controversial issues in financial reporting. It has been on the agenda of the Australian Accounting Standards Board, the US, UK, and the International Accounting Standards Boards, and the Full High Court of Australia. The Australian Securities and Investments Commission has also placed accounting for intangibles in its Media Releases directed at specific companies. Evidence suggests that the materiality of goodwill and identifiable intangible assets in corporate statements of financial position for a large number of compan

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Ebersohn, Suzette. "Die benutting van veerkrag deur middel-adolessente in ’n hersaamgestelde gesin." Thesis, University of Pretoria, 2011. http://hdl.handle.net/2263/24197.

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Divorce is a potentially destructive reality in society. According to the bio-ecological model of Bronfenbrenner, the development of the child takes place within two micro family systems when a family is reconstituted following divorce: the primary micro family system, where the child resides permanently with his/her biological parent who has parental rights and responsibilities, as well as the secondary micro family system of the other biological parent who also has parental rights and responsibilities, where the child visits periodically. Challenges that the child faces in the context of the

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22

Caliskan, Nilufer. "Asset Pricing Models: Stochastic Volatility And Information-based Approaches." Master's thesis, METU, 2007. http://etd.lib.metu.edu.tr/upload/12608213/index.pdf.

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We present two option pricing models, both different from the classical Black-Scholes-Merton model. The first model, suggested by Heston, considers the case where the asset price volatility is stochastic. For this model we study the asset price process and give in detail the derivation of the European call option price process. The second model, suggested by Brody-Hughston-Macrina, describes the observation of certain information about the claim perturbed by a noise represented by a Brownian bridge. Here we also study in detail the properties of this noisy information process and give the deri

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Gorjian, Nima. "Asset health prediction using the explicit hazard model." Thesis, Queensland University of Technology, 2012. https://eprints.qut.edu.au/57314/1/Nima_Gorjian_Jolfaei_Thesis.pdf.

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The ability to estimate the asset reliability and the probability of failure is critical to reducing maintenance costs, operation downtime, and safety hazards. Predicting the survival time and the probability of failure in future time is an indispensable requirement in prognostics and asset health management. In traditional reliability models, the lifetime of an asset is estimated using failure event data, alone; however, statistically sufficient failure event data are often difficult to attain in real-life situations due to poor data management, effective preventive maintenance, and the small

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Watari, Yugo. "Aplicação de alocação de risco em fatores (Risk Factor Budgeting) ao mercado brasileiro de ações." reponame:Repositório Institucional do FGV, 2017. http://hdl.handle.net/10438/18806.

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Submitted by Yugo Watari (ywatari@gmail.com) on 2017-09-19T16:23:48Z No. of bitstreams: 1 main.pdf: 2611498 bytes, checksum: 1f50a4c20e7433334a4e2b45acd23424 (MD5)<br>Approved for entry into archive by Thais Oliveira (thais.oliveira@fgv.br) on 2017-09-19T16:31:51Z (GMT) No. of bitstreams: 1 main.pdf: 2611498 bytes, checksum: 1f50a4c20e7433334a4e2b45acd23424 (MD5)<br>Made available in DSpace on 2017-09-19T17:31:18Z (GMT). No. of bitstreams: 1 main.pdf: 2611498 bytes, checksum: 1f50a4c20e7433334a4e2b45acd23424 (MD5) Previous issue date: 2017-08-21<br>We approach portfolio construction wit

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Abdel, Moteleb Moustafa. "Risk Based Decision Making Tools for Sewer Infrastructure Management." University of Cincinnati / OhioLINK, 2010. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1282051778.

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Hoagland, Steven. "TRANSIENT-BASED RISK ANALYSIS OF WATER DISTRIBUTION SYSTEMS." UKnowledge, 2016. http://uknowledge.uky.edu/ce_etds/39.

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Water distribution system utilities must be able to maintain a system’s assets (i.e., pumps, tanks, water mains, etc.) in good working condition in order to provide adequate water quantity and quality to its customers. Various asset management approaches are employed by utilities in order to make optimal decisions regarding the renewal of system components. Part of a good asset management approach is performing a comprehensive risk analysis which consists of considering all potential ways in which the system may fail, the likelihood failure of for each scenario, and the consequences of said fa

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Pickard, Brian D. "Development of A GIS Based Infrastructure Replacement Prioritization System; A Case Study." [Tampa, Fla] : University of South Florida, 2006. http://purl.fcla.edu/usf/dc/et/SFE0001496.

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Reschreiter, Andreas. "Conventional and indexed UK bond returns and the macroeconomy : an empirical analysis based on asset pricing and reduced form VAR models." Thesis, Imperial College London, 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.271099.

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Neto, Aníbal Emiliano da Silva. "Comparação de métodos de estimação de modelos de apreçamento de ativos." Universidade de São Paulo, 2012. http://www.teses.usp.br/teses/disponiveis/45/45133/tde-01032013-224944/.

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O objetivo deste trabalho é comparar diferentes formas de estimação de modelos de apreçamento de ativos. Além dos métodos tradicionais, que utilizam toda a amostra no processo de estimação dos parâmetros do modelo, será utilizado o método rolling, que estima os parâmetros através da utilização de janelas móveis de tamanho fixo. Com isso, utilizando a técnica de backtesting, procura-se averiguar se o método rolling proporciona um ganho na qualidade de ajuste em modelos de apreçamento de ativos.<br>The aim of this project is to compare methods of estimating asset pricing models. In addition to u

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Adolfsson, Teodor, and Henrik Domellöf. "Factor Investing on the Swedish Stock Market : A Quantitative Study of a Model Based on Quality and Value." Thesis, Umeå universitet, Företagsekonomi, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-149715.

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Investors and fund managers have, since the start of financial markets, always been on the lookout for new ways of beating the market. However, researchers of the Efficient Market Hypothesis have shown that markets are usually highly efficient, implying that there are few possibilities of earning returns that are higher than the market returns, on a risk adjusted basis. Prevailing theories, such as the Capital Asset Pricing Model, has shown that increased return must stem from taking on higher risk. Though, this model’s explanatory power has been challenged by numerous researchers who propose

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Bharadwaj, Ujjwal R. "Risk based life management of offshore structures and equipment." Thesis, Loughborough University, 2010. https://dspace.lboro.ac.uk/2134/8554.

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Risk based approaches are gaining currency as industry looks for rational, efficient and flexible approaches to managing their structures and equipment. When applied to inspection and maintenance of industrial assets, risk based approaches differ from other approaches mainly in their assessment of failure in its wider context and ramifications. These advanced techniques provide more insight into the causes and avoidance of structural failure and competing risks, as well as the resources needed to manage them. Measuring risk is a challenge that is being met with state of the art technology, ski

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32

LE, TAI YUAN, and 戴源樂. "Asset Allocation Performance Based on Three Factor Model." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/udzrvv.

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碩士<br>逢甲大學<br>財務金融學系<br>107<br>This paper investigates the Fama and French Three Factor Model for Taiwan equities and makes asset allocation choices by Three Factor Model. First of all, the size factor in Taiwan has large average returns and explains significant amount of test portfolio returns, with relatively low alphas. This paper also found that the average returns and risk premiums for the value factor is relatively low. The most certain observation in this paper is that the robustness of the size factor which can be easily observed in factors regression and has significantly large averag

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chen, hwang-chun, and 陳歡聰. "The Empirical Analysis of Production-Based Asset-Pricing Model in Taiwan." Thesis, 1997. http://ndltd.ncl.edu.tw/handle/05175412430220703094.

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Chen, Kuei-Lun, and 陳奎倫. "Asset Allocation Strategy Model Construction and Analysis by Applying Scenario-Based Approach." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/60284065329997413233.

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碩士<br>國立高雄應用科技大學<br>金融資訊研究所<br>97<br>This research focuses on the analysis of the mid-term and long-term strategic asset allocation strategy and its model construction. We investigate the defect of the traditional Mean-Variance analysis framework, and then construct a standard procedure for the asset allocation model to meet investors’ need practically. Firstly, this research applies the scenario-based analysis approach and mixes the principle of Markov switching and the concept of Maximum Likelihood method to obtain the best asset allocation portfolio. From the empirical results, we find that

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Liu, Wei. "A New Asset Pricing Model based on the Zero-Beta CAPM: Theory and Evidence." Thesis, 2013. http://hdl.handle.net/1969.1/149521.

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This work utilizes zero-beta CAPM to derive an alternative form dubbed the ZCAPM. The ZCAPM posits that asset prices are a function of market risk composed of two components: average market returns and cross-sectional market volatility. Market risk associated with average market returns in the CAPM market model is known as beta risk. We refer to market risk related to cross-sectional market volatility as zeta risk. Using U.S. stock returns from January 1965 to December 2010, out-of-sample cross-sectional asset pricing tests show that the ZCAPM better predicts stock returns than popular three-

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Chao, Cheng, and 趙崢. "The Application of Capital Asset Pricing Model Based on the Value and Momentum Strategies." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/47822651339755646809.

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碩士<br>銘傳大學<br>財務金融學系碩士在職專班<br>101<br>The aim of this study is to examine whether investors can obtain securities gains by using the value and momentum strategies in Taiwanese stock market. To investigate whether the value strategy can improve investors'' return; this study uses the selected stocks based on the value strategy to further rebuild investment portfolios by using the momentum strategy. In addition, this study employs Sharp''s capital asset pricing model (CAPM) and three-factor Fama-French model to measure the portfolios'' performance. Results find that

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Zhang, Jia-Hua, and 張家華. "Dynamic Asset Allocation Strategies Based on DCC Copula-GARCH Model with Non-Gaussian Distributions." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/69815800203821003713.

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碩士<br>國立高雄第一科技大學<br>風險管理與保險研究所<br>100<br>Due to the recent financial crisis, the dependence structure of different assets, together with the trade-off between risks and returns, has been emphasized in the portfolio management. In this study, we construct a dynamic asset allocation framework which applies Monte Carlo method to generate the dynamic optimal weights from dynamic conditional correlation (DCC) copula structure with non-Gaussian distributions based on minimum conditional-value-risk (CVaR) strategies. In addition, Zakamouline and Koekebakker (2009) propose adjusted for skewness and ku

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王英雪 and 王英雪. "An Entropic Test of Consumption-based Capital Asset Pricing Model: The Case of Power Utility Function." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/31440398868540197821.

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碩士<br>銘傳大學<br>財務金融學系碩士在職專班<br>91<br>An Entropic Test of Consumption-based Capital Asset Pricing Model: The Case of Power Utility Function Keywords: entropy, CCAPM, pricing, KLIC, integration, power utility function The purpose of this study is to propose an alternative test of consumption-based capital asset pricing model (CCAPM) under the entropy pricing framework. The advantage of the proposed test is that it provides the preliminary test for the implicit assumption that all the assets used in an econometric analysis should be in a perfectly integrated m

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Yu-Ren, Hsiao. "The Internal Rating Based Model in New Basel Accord - Focusing on the calibration of Asset Return Correlation." 2004. http://www.cetd.com.tw/ec/thesisdetail.aspx?etdun=U0009-0112200611361859.

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Hsiao, Yu-Ren, and 蕭育仁. "The Internal Rating Based Model in New Basel Accord — Focusing on the calibration of Asset Return Correlation." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/56958688436729945848.

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Liu, Xiaodong, and 劉曉東. "A Study on Consumption Capital Asset Pricing Model Theory: Based on Mainland-China House and Stock Market." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/v3hv67.

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碩士<br>國立臺灣大學<br>國際企業學研究所<br>107<br>Compared with the traditional CCAPM model, this study divides consumer''s consumption into non-durable goods consumption and housing consumption in each period, and then derives a new formula of return rate and asset price, building a consumption-ratio-based CAPM. Apart from the traditional intertemporal consumption risk, the marginal substitution between consumption goods in the same period was added as a new risk indicator, thus CCAPM was partially improved. The assets discussed in this study include financial assets such as stocks and real estate

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Sankaran, Bharathwaj. "An investigation of factors impacting life-cycle application of Civil Integrated Management (CIM)." Thesis, 2014. http://hdl.handle.net/2152/28253.

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Highway projects are delivered in a complex environment that involves participation of diverse stakeholders with different objectives. Technological advancements have provided better tools and techniques that if incorporated can lead to effective project delivery complying with the multitude of objectives. Often the projects are cost-driven, schedule-driven, or both. Presence of ongoing traffic poses an additional challenge for the developers as it impacts the safety and comfort of both the commuters and the construction workers. A wide variety of tools, techniques and work processes are adopt

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Damaris, Peter. "Applying the Care Group Model in relief contexts : case studies in South Sudan and Somalia." Diss., 2017. http://hdl.handle.net/10500/23779.

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Text in English<br>This study analyses the application of a community based intervention, the Care Group (CG) model, in relief work in Somalia and South Sudan. On the basis of expert interviews and a variety of documents it was researched whether the CG model is applicable to the context mentioned or if adaptations would be necessary. An increase in prolonged crises challenges humanitarian action to adapt relief work to longer-term interventions. The concept of combining the strengths of development cooperation and humanitarian action - Linking Relief, Rehabilitation and Development - is look

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"Essays in Finance and Macroeconomics: Household Financial Obligations and the Equity Premium." Doctoral diss., 2017. http://hdl.handle.net/2286/R.I.43948.

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abstract: This dissertation is a collection of three essays relating household financial obligations to asset prices. Financial obligations include both debt payments and other financial commitments. In the first essay, I investigate how household financial obligations affect the equity premium. I modify the standard Mehra-Prescott (1985) consumption-based asset pricing model to resolve the equity risk premium puzzle. I focus on two channels: the preference channel and the borrowing constraints channel. Under reasonable parameterizations, my model generates equity risk premiums similar in mag

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Lin, Wei-hung, and 林煒紘. "Asset Allocation Based on the Black-Litterman and GARCH Models." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/2k89b9.

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碩士<br>國立中央大學<br>統計研究所<br>103<br>Asset allocation using Markowitz model has many disadvantages, particularly because the optimal weight is sensitive to the estimation error of the model. To overcome the problem of estimation error, we follow Black-Litterman model, where the initial expected returns are linked to market implied return and subjective views of investor for each asset to adjust the expect return. To adjust the heteroscedasticity of the volatility, we further combine the standard Black-Litterman model with several GARCH-typed models to estimate time-varying covariance matrix. Finall

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Al-Bukhari, Ibraheem. "Multi-Level GIS-Based Data Management Model for Building Maintenance and Repair Data." Thesis, 2008. http://hdl.handle.net/10012/3600.

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With the increasing cost of new construction projects, keeping the built facilities at acceptable levels of functionality has become a vital and challenging task. This is particularly so for non-residential buildings, such as schools, which are important infrastructure assets that require frequent maintenance and repair of their many components and sub-components. Maintenance and repair jobs, however, involve huge sets of data which contain useful interrelated information about costs, resources, conditions, and productivity. To support decision making at different management levels with respe

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Alaboodi, Saad Saleh. "Model-based Evaluation: from Dependability Theory to Security." Thesis, 2013. http://hdl.handle.net/10012/7649.

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How to quantify security is a classic question in the security community that until today has had no plausible answer. Unfortunately, current security evaluation models are often either quantitative but too specific (i.e., applicability is limited), or comprehensive (i.e., system-level) but qualitative. The importance of quantifying security cannot be overstated, but doing so is difficult and complex, for many reason: the “physics” of the amount of security is ambiguous; the operational state is defined by two confronting parties; protecting and breaking systems is a cross-disciplinary mechani

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Hrachovec, Miloš. "Záhada prémie vlastního kapitálu: přehled literatury a česká data." Master's thesis, 2013. http://www.nusl.cz/ntk/nusl-329079.

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This thesis focuses on the equity premium puzzle, risk-free rate puzzle and possible solutions of these two quantitative conundrums. Original formulation of both puzzles is introduced and comprehensive literature survey is presented to show the developments regarding this topic. These include risk-based explanations, non-risk based explanations and behavioral finance perspective. Main contribution of this study dwells in estimation of these two puzzles for the Czech Republic. Using consumption-based asset pricing model with time separable preferences, presence of the two puzzles is estimated e

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