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Gotowe bibliografie tematyczne / Portfolio management Australia Econometric models

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Gotowa bibliografia na temat „Portfolio management Australia Econometric models”

Autor: Grafiati

Data publikacji: 4 czerwca 2021

Data aktualizacji: 12 lutego 2022

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Artykuły w czasopismach na temat "Portfolio management Australia Econometric models"

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Yong, Jaime, and Anh Khoi Pham. "The long-term linkages between direct and indirect property in Australia." Journal of Property Investment & Finance 33, no. 4 (July 6, 2015): 374–92. http://dx.doi.org/10.1108/jpif-01-2015-0005.

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Purpose– Investment in Australia’s property market, whether directly or indirectly through Australian real estate investment trusts (A-REITs), grew remarkably since the 1990s. The degree of segregation between the property market and other financial assets, such as shares and bonds, can influence the diversification benefits within multi-asset portfolios. This raises the question of whether direct and indirect property investments are substitutable. Establishing how information transmits between asset classes and impacts the predictability of returns is of interest to investors. The paper aims

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Reddy, Wejendra. "Evaluation of Australian industry superannuation fund performance; asset allocation to property." Journal of Property Investment & Finance 34, no. 4 (July 4, 2016): 301–20. http://dx.doi.org/10.1108/jpif-12-2015-0084.

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Purpose – Property is a key investment asset class that offers considerable benefits in a mixed-asset portfolio. Previous studies have concluded that property allocation should be within the 10-30 per cent range. However, there seems to be wide variation in theory and practice. Historical Australian superannuation data shows that the level of allocation to property asset class in institutional portfolios has remained constant in recent decades, restricted at 10 per cent or lower. This is seen by many in the property profession as a subjective measure and needs further investigation. The purpos

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Shah, Rohan, and Phani R. Jammalamadaka. "Optimal Portfolio Strategy for Risk Management in Toll Road Forecasts and Investments." Transportation Research Record: Journal of the Transportation Research Board 2670, no. 1 (January 2017): 83–94. http://dx.doi.org/10.3141/2670-11.

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The study leveraged modern portfolio theory and stochastic time series models to develop a risk management strategy for future traffic projections along brownfield toll facilities. Uncertainty in future traffic forecasts may raise concerns about performance reliability and revenue potential. Historical time series traffic data from brownfield corridors were used for developing econometric forecast estimates, and Monte Carlo simulation was used to quantify a priori risks or variance to develop optimal forecasts by using mean-variance optimization strategies. Numerical analysis is presented with

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Brdyś, Mietek A., Marcin T. Brdyś, and Sebastian M. Maciejewski. "Adaptive predictions of the euro/złoty currency exchange rate using state space wavelet networks and forecast combinations." International Journal of Applied Mathematics and Computer Science 26, no. 1 (March 1, 2016): 161–73. http://dx.doi.org/10.1515/amcs-2016-0011.

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Abstract The paper considers the forecasting of the euro/Polish złoty (EUR/PLN) spot exchange rate by applying state space wavelet network and econometric forecast combination models. Both prediction methods are applied to produce one-trading-day-ahead forecasts of the EUR/PLN exchange rate. The paper presents the general state space wavelet network and forecast combination models as well as their underlying principles. The state space wavelet network model is, in contrast to econometric forecast combinations, a non-parametric prediction technique which does not make any distributional assumpt

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Ogorelkova, Natalya Vladimirovna, and Irina Mikhaylovna Reutova. "FACTORS OF THE EFFICIENCY OF MANAGING PORTFOLIO PENSION RESERVES OF NON-STATE PENSION FUNDS." Scientific Bulletin: finance, banking, investment., no. 3 (52) (2021): 22–30. http://dx.doi.org/10.37279/2312-5330-2020-3-22-30.

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The article is devoted to the consideration of approaches and assessment of the efficiency of management of investment portfolios of non-state pension funds. This article is a logical continuation of the previously conducted research on assessing the effectiveness of pension savings management and contains an analysis of the effectiveness of the second component of investment portfolios of non-state pension funds (NPF) — pension reserves. The article examines the factors influencing the efficiency of managing the portfolios of pension reserves of non-state pension funds on the basis of statist

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Kucukkocaoglu, Guray, and M. Ayhan Altintas. "Using non-performing loan ratios as default rates in the estimation of credit losses and macroeconomic credit risk stress testing: A case from Turkey." Risk Governance and Control: Financial Markets and Institutions 6, no. 1 (2016): 52–63. http://dx.doi.org/10.22495/rgcv6i1art6.

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In this study, inspired by the Credit Portfolio View approach, we intend to develop an econometric credit risk model to estimate credit loss distributions of Turkish Banking System under baseline and stress macro scenarios, by substituting default rates with non-performing loan (NPL) ratios. Since customer number based historical default rates are not available for the whole Turkish banking system’s credit portfolio, we used NPL ratios as dependent variable instead of default rates, a common practice for many countries where historical default rates are not available. Although, there are many

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Zagaglia, Paolo. "International diversification for portfolios of European fixed-income mutual funds." Managerial Finance 43, no. 2 (February 13, 2017): 242–62. http://dx.doi.org/10.1108/mf-01-2015-0026.

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Purpose The purpose of this paper is to study the scope for country diversification in international portfolios of mutual funds for the “core” EMU countries. The author uses a sample of daily returns for country indices of French, German and Italian funds to investigate the quest for international diversification. The author focuses on fixed-income mutual funds during the period of the financial market turmoil since 2007. Design/methodology/approach The author compute optimal portfolio allocations from both unconstrained and constrained mean-variance frameworks that take as input the out-of-sa

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Jacobs Jr., Michael. "Supervisory requirements and expectations for portfolio level counterparty credit risk measurement and management." Journal of Financial Regulation and Compliance 22, no. 3 (July 8, 2014): 252–70. http://dx.doi.org/10.1108/jfrc-10-2013-0034.

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Purpose – This study aims to survey supervisory requirements and expectations for counterparty credit risk (CCR). Design/methodology/approach – In this paper, a survey of CCR including the following elements has been performed. First, various concepts in CCR measurement and management, including prevalent practices, definitions and conceptual issues have been introduced. Then, various supervisory requirements and expectations with respect to CCR have been summarized. This study has multiple areas of relevance and may be extended in various ways. Risk managers, traders and regulators may find t

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Shirur, Srinivas. "Are Managers Measuring the Financial Risk in the Right Manner? An Exploratory Study." Vikalpa: The Journal for Decision Makers 38, no. 2 (April 2013): 81–94. http://dx.doi.org/10.1177/0256090920130205.

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The basic problem with corporate finance is that it deals with the fundamental analysis issues while the tools used are those applicable for technical analysis. That is the reason why finance managers often arrive at wrong decisions which snowball into issues like the subprime crisis. Initially, Markowitz model was used to calculate risk for portfolio management. It gave importance only to systematic risk as unsystematic risk could be avoided through diversification. Later on, CAPM model was developed for corporate finance and project finance for calculation of risk. Finance models dealing wit

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Duppati, Geeta, and Mengying Zhu. "Oil prices changes and volatility in sector stock returns: Evidence from Australia, New Zealand, China, Germany and Norway." Corporate Ownership and Control 13, no. 2 (2016): 351–70. http://dx.doi.org/10.22495/cocv13i2clp4.

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The paper examines the exposure of sectoral stock returns to oil price changes in Australia, China, Germany, New Zealand and Norway over the period 2000-2015 using weekly data drawn from DataStream. The issue of volatility has important implications for the theory of finance and as is well-known accurate volatility forecasts are important in a variety of settings including option and other derivatives pricing, portfolio and risk management (e.g. in the calculation of hedge ratios and Value-at-Risk measures), and trading strategies (David and Ruiz, 2009). This study adopts GARCH and EGARCH to u

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Rozprawy doktorskie na temat "Portfolio management Australia Econometric models"

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Eadie, Edward Norman. "Small resource stock share price behaviour and prediction." Title page, contents and abstract only, 2002. http://web4.library.adelaide.edu.au/theses/09CM/09cme11.pdf.

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Limkriangkrai, Manapon. "An empirical investigation of asset-pricing models in Australia." University of Western Australia. Faculty of Business, 2007. http://theses.library.uwa.edu.au/adt-WU2007.0197.

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[Truncated abstract] This thesis examines competing asset-pricing models in Australia with the goal of establishing the model which best explains cross-sectional stock returns. The research employs Australian equity data over the period 1980-2001, with the major analyses covering the more recent period 1990-2001. The study first documents that existing asset-pricing models namely the capital asset pricing model (CAPM) and domestic Fama-French three-factor model fail to meet the widely applied Merton?s zero-intercept criterion for a well-specified pricing model. This study instead documents th

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Milunovich, George Economics Australian School of Business UNSW. "Modelling and valuing multivariate interdependencies in financial time series." Awarded by:University of New South Wales. School of Economics, 2006. http://handle.unsw.edu.au/1959.4/25162.

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This thesis investigates implications of interdependence between stock market prices in the context of several financial applications including: portfolio selection, tests of market efficiency and measuring the extent of integration among national stock markets. In Chapter 2, I note that volatility spillovers (transmissions of risk) have been found in numerous empirical studies but that no one, to my knowledge, has evaluated their effects in the general portfolio framework. I dynamically forecast two multivariate GARCH models, one that accounts for volatility spillovers and one that does not,

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Chen, Hongqing. "An Empirical Study on the Jump-diffusion Two-beta Asset Pricing Model." PDXScholar, 1996. https://pdxscholar.library.pdx.edu/open_access_etds/1325.

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This dissertation focuses on testing and exploring the usage of the jump-diffusion two-beta asset pricing model. Daily and monthly security returns from both NYSE and AMEX are employed to form various samples for the empirical study. The maximum likelihood estimation is employed to estimate parameters of the jump-diffusion processes. A thorough study on the existence of jump-diffusion processes is carried out with the likelihood ratio test. The probability of existence of the jump process is introduced as an indicator of "switching" between the diffusion process and the jump process. This new

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Hakim, Abdul. "Modelling the interactions across international stock, bond and foreign exchange markets." UWA Business School, 2009. http://theses.library.uwa.edu.au/adt-WU2009.0202.

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[Truncated abstract] Given the theoretical and historical evidence that support the benefit of investing internationally. there is Iittle knowledge available of proper international portfolio construction in terms of how much should be invested in foreign countries, which countries should be targeted, and types of assets to be included in the portfolio. The prospects of these benefits depend on the market volatilities, cross-country correlations, and currency risks to change in the future. Another important issue in international portfolio diversification is the growth of newly emerging market

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"Multi-period optimal portfolio selection with limited rebalancing opportunities." 2011. http://library.cuhk.edu.hk/record=b5894622.

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Wang, Yang.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 2011.<br>Includes bibliographical references (p. 72-74).<br>Abstracts in English and Chinese.<br>Chapter 1 --- Literature Review and Model Description --- p.1<br>Chapter 1.1 --- Portfolio theory under mean-variance framework --- p.2<br>Chapter 1.2 --- Portfolio theory under utility-maximizing framework --- p.5<br>Chapter 1.3 --- Model Description --- p.11<br>Chapter 2 --- Parameterized optimal rebalancing strategy --- p.14<br>Chapter 2.1 --- An open-loop policy of the T-horizon model --- p.16<br>Chapter 2.2 --- A closed-lo

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"Exploit market abnormal return using data mining with application to optimal portfolio selection." 2004. http://library.cuhk.edu.hk/record=b5892005.

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Tsui Chuk Wah.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 2004.<br>Includes bibliographical references (leaves 69-70).<br>Abstracts in English and Chinese.<br>Abstract --- p.iv<br>Chapter 1 --- Introduction --- p.1<br>Chapter 2 --- Data --- p.8<br>Chapter 3 --- Methodology --- p.23<br>Chapter 4 --- Results --- p.45<br>Chapter 5 --- Conclusion and Further Development --- p.59<br>Appendix --- p.63<br>Reference --- p.69

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Książki na temat "Portfolio management Australia Econometric models"

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Clark, Francis Jack, and Francis Jack Clark, eds. Portfolio analysis. 3rd ed. Englewood Cliffs, N.J: Prentice-Hall, 1986.

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Brandt, Michael W. Dynamic portfolio selection by augmenting the asset space. Cambridge, MA: National Bureau of Economic Research, 2004.

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Mohan, S. R. Portfolio selection for management of foreign exchange reserves. Mumbai: Dept. of Economic Analysis and Policy, Reserve Bank of India, 1993.

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Jurek, Jakub W. Optimal value and growth tilts in long-horizon portfolios. Cambridge, Mass: National Bureau of Economic Research, 2006.

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Mohan, S. R. Portfolio selection for management of foreign exchange reserves. Mumbai: Dept. of Economic Analysis and Policy, Reserve Bank of India, 1993.

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Mohan, S. R. Portfolio selection for management of foreign exchange reserves. Mumbai: Dept. of Economic Analysis and Policy, Reserve Bank of India, 1993.

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Dovalee, Dorsett, and Institute of Chartered Financial Analysts. Research Foundation., eds. Time diversification revisited. [Charlottesville, Va.]: Research Foundation of the Institute of Chartered Financial Analysts, 1995.

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Liu, Jun. Dynamic asset allocation with event risk. Cambridge, MA: National Bureau of Economic Research, 2002.

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Personal sector expenditure and portfolio decisions: An integrated model. Aldershot, Hants, England: Avebury, 1991.

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Satchell, Stephen E. A demystification of the Black-Littermann model: Managing quantitative and traditional portfolio construction. Cambridge: Judge Institute of Management Studies, University of Cambridge, 1997.

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Części książek na temat "Portfolio management Australia Econometric models"

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"Econometric Models." In Active Credit Portfolio Management in Practice, 182–253. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2011. http://dx.doi.org/10.1002/9781118266830.ch4.

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Streszczenia konferencji na temat "Portfolio management Australia Econometric models"

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Dobrina, Maria V., Yana A. Yurova, and Galina V. Shurshikova. "Econometric Models with Discrete Dependent Variable in Portfolio Analysis." In Proceedings of the 2nd International Conference on Economy, Management and Entrepreneurship (ICOEME 2019). Paris, France: Atlantis Press, 2019. http://dx.doi.org/10.2991/icoeme-19.2019.18.

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