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The determinants of beta : an empirical study with reference to the Hong Kong stock market /Tsang, Hon-kwan. January 1984 (has links)
Thesis (M.B.A.)--University of Hong Kong, 1984.
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Modern portfolio analysis, capital asset pricing model and the Hong Kong stock market /Wan, Wai-keung. January 1981 (has links)
Thesis (M.B.A.)--University of Hong Kong, 1981.
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Hedge-Fonds im Portfolio von Privatinvestoren Konsequenzen für die AnlageberatungNolte, Diana January 2009 (has links)
Zugl.: Düsseldorf, Univ., Diss., 2009
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Some topics in risk theory and optimal capital allocation problemsLiu, Binbin, 刘彬彬 January 2012 (has links)
In recent years, the Markov Regime-Switching model and the class of Archimedean
copulas have been widely applied to a variety of finance-related fields. The
Markov Regime-Switching model can reflect the reality that the underlying economy
is changing over time. Archimedean copulas are one of the most popular
classes of copulas because they have closed form expressions and have great flexibility in modeling different kinds of dependencies.
In the thesis, we first consider a discrete-time risk process based on the compound
binomial model with regime-switching. Some general recursive formulas
of the expected penalty function have been obtained. The orderings of ruin probabilities are investigated. In particular, we show that if there exists a stochastic
dominance relationship between random claims at different regimes, then we can
order ruin probabilities under different initial regimes.
Regarding capital allocation problems, which are important areas in finance
and risk management, this thesis studies the problems of optimal allocation of
policy limits and deductibles when the dependence structure among risks is modeled
by an Archimedean copula. By employing the concept of arrangement
increasing and stochastic dominance, useful qualitative results of the optimal
allocations are obtained.
Then we turn our attention to a new family of risk measures satisfying a set
of proposed axioms, which includes the class of distortion risk measures with
concave distortion functions. By minimizing the new risk measures, we consider
the optimal allocation of policy limits and deductibles problems based on the
assumption that for each risk there exists an indicator random variable which
determines whether the risk occurs or not. Several sufficient conditions to order
the optimal allocations are obtained using tools in stochastic dominance theory. / published_or_final_version / Statistics and Actuarial Science / Doctoral / Doctor of Philosophy
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Asset pricing, hedging and portfolio optimizationFu, Jun, 付君 January 2012 (has links)
Starting from the most famous Black-Scholes model for the underlying asset
price, there has been a large variety of extensions made in recent decades.
One main strand is about the models which allow a jump component in the
asset price. The first topic of this thesis is about the study of jump risk
premium by an equilibrium approach. Different from others, this work provides
a more general result by modeling the underlying asset price as the ordinary
exponential of a L?vy process. For any given asset price process, the equity
premium, pricing kernel and an equilibrium option pricing formula can be
derived. Moreover, some empirical evidence such as the negative variance risk
premium, implied volatility smirk, and negative skewness risk premium can
be well explained by using the relation between the physical and risk-neutral
distributions for the jump component.
Another strand of the extensions of the Black-Scholes model is about the
models which can incorporate stochastic volatility in the asset price. The second
topic of this thesis is about the replication of exponential variance, where
the key risks are the ones induced by the stochastic volatility and moreover it
can be correlated with the returns of the asset, referred to as leverage effect.
A time-changed L?vy process is used to incorporate jumps, stochastic volatility
and leverage effect all together. The exponential variance can be robustly
replicated by European portfolios, without any specification of a model for the
stochastic volatility.
Beyond the above asset pricing and hedging, portfolio optimization is also
discussed. Based on the Merton (1969, 1971)'s reduced portfolio optimization
and the delta hedging problem, a portfolio of an option, the underlying stock
and a risk-free bond can be optimized in discrete time and its optimal solution
can be shown to be a mixture of the Merton's result and the delta hedging
strategy. The main approach is the elasticity approach, which has initially
been proposed in continuous time.
In addition to the above optimization problem in discrete time, the same
topic but in a continuous-time regime-switching market is also presented. The
use of regime-switching makes our market incomplete, and makes it difficult to
use some approaches which are applicable in complete market. To overcome
this challenge, two methods are provided. The first method is that we simply
do not price the regime-switching risk when obtaining the risk-neutral probability.
Then by the idea of elasticity, the utility maximization problem can be
formulated as a stochastic control problem with only a single control variable,
and explicit solutions can be obtained. The second method is to introduce
a functional operator to general value functions of stochastic control problem
in such a way that the optimal value function in our setting can be given by
the limit of a sequence of value functions defined by iterating the operator.
Hence the original problem can be deduced to an auxiliary optimization problem,
which can be solved as if we were in a single-regime market, which is
complete. / published_or_final_version / Statistics and Actuarial Science / Doctoral / Doctor of Philosophy
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Essays in asset pricingGarlappi, Lorenzo 05 1900 (has links)
This dissertation consists of two essays dealing with two selected aspects of the investment
decision process faced by individuals and corporations.
In the first essay, I develop a model of a multiple-stage patent race between two rival firms
to study the impact of technological competition on value and return dynamics of Research and
Development (R&D) ventures. The model describes a firm's capital budgeting decision process
in the presence of technical uncertainty, market uncertainty and preemption. I characterize the
equilibrium of the race and derive optimal investment strategies. Analysis of the equilibrium
firm value shows that the premium accruing to the technology "leader" is larger than the loss
accruing to the technology "lagger" and that the marginal effect of success/failure is increasing in
the uncertainty of cash flows. Risk premia demanded by an ownership claim to competing R&D
ventures (i) increase when a rival pulls ahead in the race and (ii) are lower when rivals are "closer"
to each other in the development process. Compared to the case where rival firms merge, R&D
competition reduces the industry value and lowers the expected completion time for a project. The
erosion in value, due to preemption, is higher when firms are "neck-and-neck" and in early stages
of development. Numerical simulations show that, in later stages of development, risk premia
demanded by the perfectly collusive market are generally lower than risk premia demanded by a
portfolio of competing firms. The opposite is true in early stages of development, which suggests
that R&D competition may actually lower the cost of early stage financing.
In the second essay, I solve a portfolio allocation problem for an individual who can select
between two risky assets and a riskless asset in the presence of capital gains taxes. I treat capital
gains taxes as a form of endogenous transaction costs. Using this analogy, I characterize the trading
strategy for the two assets, and study the effect of taxes on optimal portfolio diversification. The
optimal strategy contains a "no trade" region and a dynamic tax-timing option. I find that the
diversification costs due to capital gains taxes are substantial and the value of the tax deferral
option is decreasing in the correlation among assets and in the volatility of the risky assets. By
comparing the solution of the multiple asset portfolio problem to the one of an investor who can
trade only in a mutual fund I am able to measure the value of the flexibility option of the multi-asset
case as well as the cost of mutual fund turnover. Finally, I show that imposing a wash-sale
constraint generates discontinuous portfolio rebalancing strategies.
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Management of Project Interdependencies in a Project PortfolioTasevska, Frosina, Toropova, Olga January 2013 (has links)
In the contemporary business environment multiple projects are a common way of organising work and they are usually implemented and managed as a portfolio of projects. It is widely recognised that effective project portfolio management delivers a range of strategic benefits and significantly contributes to overall organisational success. However, project portfolio management is acknowledged by both theory and practice to be a highly challenging task which is even amplified by the presence of project interdependencies. Managing project interdependencies is found to be an area of weakness for contemporary portfolio management, which so far remains under investigated but emergent field within general portfolio management theory. Therefore this study presents an empirical investigation that aims to uncover why and how organisations from the Information and Communication Technology (ICT) industry manage project interdependencies. In order to answer why organisations manage project interdependencies the study examines the benefits of project interdependency management, the negative effects of failed project interdependency management and the related challenges. In order to investigate how project interdependencies are managed this study focuses on the hard and soft practices that portfolio practitioners use. The study is based on cross-case analysis of two case organisations operating within the ICT industry in Italy. The ICT is chosen as an excellent ground for studying project interdependency management since it is of significant importance for the contemporary world’s economy where project and portfolio management is practiced intensively. Qualitative data is collected via semi-structure interviews. The key findings apply to both case organisations demonstrating their similar reasons and manner of managing project interdependencies. The research findings show that there are various types of project interdependencies in the project portfolios that practitioners need to account for and that effective management of these interdependencies delivers significant benefits contributing to the portfolio success, while failed interdependency management distorts the portfolio success. The study indicates potential challenges that project interdependency management may encounter and confirms that comprehensive consideration of project interdependencies is a rather complex task within a project portfolio management. In order to manage issues arising from interdependent projects and leverage related benefits, organisations implement the following hard practices: web application platforms and tracking tools; and soft practices: formal and informal PM meetings, creation of a cooperative culture, leadership, negotiation and convincing and sacred cow. These practices are examined along with their benefits, limitations and context of their application. Although both hard and soft practices are found to be important in the case organisations, the preference is given to soft ones, mainly because of the benefits that soft practices offer over hard ones and the fact that the indicated hard practices allow only identification of project interdependencies, but do not provide managerial solutions per se. Therefore similar organisations operating within ICT industry may find it useful to devote attention to soft practices as they are found to be a prevailing mechanism for managing project interdependencies. The combination of hard and soft practices can also be seen beneficial for realisation of effective project interdependency management.
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The use of earnings per share disclosures in annual financial statements by managers of South African equity unit trust portfolios as a performance indicator.Suliman, Yasmeen. January 2000 (has links)
The earnings per share ratio is often quoted in financial publications as an indictor
of how well a company has performed financially. However, there is much
controversy over the usefulness of earnings per share information, especially in
respect of its potential for manipulation by the preparers of financial information.
Recent changes to South African accounting standards through the International
Harmonisation Project resulted in a revision of the Statement of Generally
Accepted Accounting Practice 104: Earnings per Share (AC104). Significant
changes to the method of calculation and disclosure of both basic and diluted
earnings per share were implemented.
Unit trusts have gained popularity in South Africa over the past decade. Members
of the public prefer to invest on the Johannesburg .Stock Exchange through
intermediaries such as unit trusts rather than undertake investment decisions
personally. Unit trust portfolio managers are in an important and a responsible
position: they wield significant power on the stock exchange with their daily
dealings in shares but they also carry the responsibility of making sound investment
decisions.
Research has tended to focus more on earnings than earnings per share. A review
of literature and prior research revealed several controversial issues: the usefulness
of earnings in making investment decisions, the susceptibility of both earnings and
earnings per share to manipulation, the predictive value of earnings, the use of
earnings in the valuation of securities and the use of earnings and earnings per
share in performance measurement.
The research problem was thus developed as follows: are the earnings per share
disclosures of South African listed companies sufficient to meet the needs of equity
unit trust portfolio managers in South Africa as a performance indicator, and if not,
what additional information do they require?
In addressing the research problem, the following four objectives were formulated:
(i) to determine what changes have been made to earnings per share calculation
and disclosure by the issue of the new ACI04,
(ii) to determine what characteristics South African equity unit trust portfolio
managers regard as indicative of a good financial performance indicator,
(iii) to determine what impact the changes made to the earnings per share
calculation and disclosure by the new AC104 has had on the use of earnings
per share information by South African unit trust portfolio managers as a
performance indicator, and
(iv) to determine the extent of use of other similar performance indicators, such as
headline earnings per share and cash flows per share, as compared to earnings
per share.
In order to meet these objectives, it was necessary to conduct a survey of South
African equity unit trust portfolio managers. The descriptive survey method was
identified as being appropriate and a mailed survey was undertaken.
The main conclusions to this research were that:
(i) the characteristics of a useful performance indicator are related to reliability,
consistency, comparability, adequate disclosure and ease of computation and
understanding,
(ii) equity unit trust portfolio managers regard the changes to the calculation and
disclosure of basic earnings per share to be improvements to the standard but
their use of basic earnings per share as a performance indicator has remained
unchanged,
(iii) equity unit trust portfolio managers regard the changes to the calculation and
disclosure of diluted earnings per share to be improvements to the standard
and their use of diluted earnings per share as a performance indicator has, as a
result, increased,
(iv) headline earnings per share and diluted earnings per share are considered to be
better performance indicators and are used more frequently as performance
indicators than basic earnings per share.
Thus the research project achieved its objectives. In addition, interesting findings in
respect of other issues were identified. Further areas for research were also
identified. / Thesis (M.Acc.)-University of Natal, Durban, 2000.
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Portfolio management issues in Mauritius.Uppiah, Krishnaveni. January 2002 (has links)
This dissertation relates to the study of the financial market of Mauritius, which is categorised as "Emerging". Its performance as an exchange system has been assessed with a view to find whether it is operationally efficient. Consequently, two issues in portfolio management have been analysed. In the first instance, the risk reduction effect of increasing portfolio size, based on the simple diversification strategy has been experienced. Secondly, the hypothesis that investment in low
P/BV shares on average yields higher returns than investment in high P/BV shares has been tested. / Thesis (MBA)-University of Natal, 2002.
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An empirical study of capital asset pricing model anomalies on the JSE.Lyes, Paul. January 2000 (has links)
The introduction of the Capital Asset Pricing Model in 1964, and its
subsequent study by hundreds of thousands if not millions of people at
universities throughout the world, has had far reaching consequences in
terms of the way portfolios were constructed for many insurance and
pension funds. It has affected the investment philosophies of large
numbers of investors as well as influenced the calculations of firms costs of
capital. Countless investment proposals have been accepted or rejected
based on what the Capital Asset Pricing model has calculated the minimum
return demanded by shareholders to be. This dissertation looks at the
empirical evidence supporting the debate about the usefulness of the
Capital Asset Pricing model, as well as presenting evidence as to any
possible anomalies to this model on the JSE. / Thesis (MBA)-University of Natal, Durban, 2000.
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