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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
251

Portfolio management toward optimal consumption and terminal wealth

Ellett, Andrew. January 2005 (has links)
Thesis (Ph.D.)--Indiana University, Dept. of Mathematics, 2005. / Source: Dissertation Abstracts International, Volume: 66-01, Section: B, page: 0306. Chair: Victor Goodman.
252

Pricing caps and swaptions when bond prices follow jump-diffusion processes and have log-price volatility

Zhang, Siyu. January 2008 (has links)
Thesis (Ph.D.)--Indiana University, Dept. of Mathematics, 2008. / Title from PDF t.p. (viewed Dec. 9, 2008). Source: Dissertation Abstracts International, Volume: 69-05, Section: B, page: 3039. Adviser: Victor Goodman.
253

Three essays on NYSE specialist strategies

Koksal, Bulent. January 2005 (has links)
Thesis (Ph.D.)--Indiana University, Dept. of Economics, 2005. / Source: Dissertation Abstracts International, Volume: 66-04, Section: A, page: 1448. Adviser: Craig W. Holden. "Title from dissertation home page (viewed Nov. 15, 2006)."
254

Stochastic volatility models : option price approximation, asymptotics and maximum likelihood estimation /

Yang, Jian, January 2006 (has links)
Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 2006. / Source: Dissertation Abstracts International, Volume: 67-07, Section: B, page: 3841. Advisers: Richard B. Sowers; Neil D. Pearson. Includes bibliographical references (leaves 67-70) Available on microfilm from Pro Quest Information and Learning.
255

The investment risk of institutional-grade commercial real estate in Australia

Schuck, Edward John January 2003 (has links)
Knowledge of the investment risk of investment-grade commercial real estate (‘ICRE’) is important because it determines the approaches which should be taken to portfolio management. However, relatively little is known about this risk. This research expands the body of knowledge of ICRE investment risk by producing conclusions about the information content of prices and the distribution of returns in the ICRE context. It is broken into three main parts. First, the ICRE returns-generating process is characterised to form a basis for deducing theoretical conclusions about the information content of prices and the stochastic attributes of returns. The rationale for this approach lies in capital markets literature, which demonstrates that the characteristics of the information structure of markets, the decision-making processes of investors and the market trading mechanism determine the main attributes of the process of price evolution (which is assumed to be the main driver of returns). The analysis concludes that ICRE prices are partially informed, and changes in prices are described by a ‘jump’ process. Second, analysis of a database of ‘large’ price changes supplied by the Property Council of Australia is undertaken to empirically test the jump process hypothesis. This analysis provides evidence that natural events associated with changes in the leasing structure of properties are a primary driver of relatively large, infrequent dislocations in valuation-based prices. With parts one and two as a backdrop, the third part of this research empirically tests a discrete mixture of normals (‘DMON’) model of investment risk. Capital markets research shows that a DMON model flows naturally from jump price processes. DMON models fitted to cross-sectional returns on individual properties supplied by the PCA are found to be superior to the normal and stable Paretian models previously proposed by other researchers. In aggregate these conclusions have serious implications for the management of ICRE portfolios, and suggest a need for additional research. Some implications include: (1) Mean-lower partial variance is superior to mean-variance optimisation. (2) Forecasting the distribution of ICRE returns forms a new tool for active management. (3) Passive portfolio management is inappropriate. (4) Comparables-based valuations may be unreliable for investment decisions. / Subscription resource available via Digital Dissertations only.
256

Portfolio Modeling, Analysis and Management

January 2010 (has links)
abstract: A systematic top down approach to minimize risk and maximize the profits of an investment over a given period of time is proposed. Macroeconomic factors such as Gross Domestic Product (GDP), Consumer Price Index (CPI), Outstanding Consumer Credit, Industrial Production Index, Money Supply (MS), Unemployment Rate, and Ten-Year Treasury are used to predict/estimate asset (sector ETF`s) returns. Fundamental ratios of individual stocks are used to predict the stock returns. An a priori known cash-flow sequence is assumed available for investment. Given the importance of sector performance on stock performance, sector based Exchange Traded Funds (ETFs) for the S&P; and Dow Jones are considered and wealth is allocated. Mean variance optimization with risk and return constraints are used to distribute the wealth in individual sectors among the selected stocks. The results presented should be viewed as providing an outer control/decision loop generating sector target allocations that will ultimately drive an inner control/decision loop focusing on stock selection. Receding horizon control (RHC) ideas are exploited to pose and solve two relevant constrained optimization problems. First, the classic problem of wealth maximization subject to risk constraints (as measured by a metric on the covariance matrices) is considered. Special consideration is given to an optimization problem that attempts to minimize the peak risk over the prediction horizon, while trying to track a wealth objective. It is concluded that this approach may be particularly beneficial during downturns - appreciably limiting downside during downturns while providing most of the upside during upturns. Investment in stocks during upturns and in sector ETF`s during downturns is profitable. / Dissertation/Thesis / M.S. Electrical Engineering 2010
257

Accruals Quality and Firm Value

Kiriukhin, Oleg 04 July 2018 (has links)
<p> I examine the importance of the properties of accounting information to equity investors by estimating the implicit prices of accruals quality and operating volatility revealed from observed stock prices. I measure accruals quality parameters based on the model in Nikolaev [2016], which separates the volatility of accounting error from the volatility of the performance component of accruals. I use the hedonic regression approach, which relies on rational expectations (<i>Bajari et al</i>. [2012]) to identify the effect of accruals quality on firm value. This approach isolates time-varying unobservable factors correlated with accruals quality. My findings indicate that investors have preferences for higher accruals quality. At the margin, a 1% increase in the volatility of accounting error results in a 0.50% decrease in the firm value. At the same time, my findings indicate that investors have preferences for lower operating risk, which statistically and economically dominates preferences for accruals quality. At the margin, a 1% increase in the operating volatility results in a 1.43% decrease in the firm value. Overall, my findings suggest that the effect of accruals quality on firm value is largely driven by the operating risk. This result is robust to the choice of the model of time-varying unobservable firm characteristics and to different sets of control variables.</p><p>
258

Essays on macroeconometric modelling : housing and financial markets in the light of inflation targeting monetary policy : evidence from the United Kingdom

Chatziantoniou, Ioannis January 2013 (has links)
The aim of this study is to present four essays related to the macroeconometric modelling of specific relations within the economy of the United Kingdom for the period 1992-2012. The focal point of these essays is the link between inflation targeting monetary policy decision making and housing or financial prices. In particular, we investigate whether traditional channels of monetary policy are still in effect under the adopted monetary policy regime. At the same time, findings associated with the specific relation between both asset markets or with the various working assumptions which facilitate our investigation are also reported. The specific econometric methods employed include the development of structural vector autoregressive (SVAR), Markov regime-switching, as well as, multivariate generalised autoregressive conditionally heteroskedastic (MGARCH) models. The formulation of these models is predicated upon the selection of appropriate approximations for all financial and macroeconomic indicators of interest. The main findings of the first essay suggest that under the inflation targeting monetary policy regime, innovations in the monetary policy instrument have no direct effect on the stock market as previously suggested by traditional channels of monetary policy. The said innovations though, appear to have a significant negative impact on the housing market. Furthermore, variation in the stock market can be explained by innovations in the housing market. Turning to the second essay, prominent among our results is the fact that innovations in fiscal policy have a significantly negative effect on the stock market (direct impact). In addition, the effects of monetary policy on the stock market also become negative (indirect impact). According to the third essay when both the stock and the housing market are in a highly volatile regime, then contractionary monetary policy pushes both markets to remain at that regime. Finally, the main outcome from the fourth essay is that the time-varying correlation between monetary policy and housing or financial prices becomes stronger during turbulent times. Overall, our findings suggest that within an inflation targeting monetary policy regime the effects of monetary policy decisions on the stock market strongly depend on the broader economic conditions. By contrast, traditional monetary policy channels with respect to the housing market appear to be in effect; however, broader economic conditions have a key role to play in this case as well.
259

Stated preferences for future management developments in the hospitality sector : a case study of Abu Dhabi, UAE

Al Suwaidi, Hamed January 2014 (has links)
Abu-Dhabi (AD) is the largest of the seven Emirates that comprise the United Arab Emirates. Abu-Dhabi, the capital of the UAE with 1,493,000 inhabitants, accounts for 86.7% of the total surface area of the state. The emirate of Abu-Dhabi, through its Policy Agenda 2007-2008, the strategic Plan 2008-2012 and the Plan Vision Abu-Dhabi 2030 has recently re-branded itself and has made a series of assertive moves in order to boost the tourism and hospitality sectors as a means to a more diversified economy. The proposed study aims to examine the scope of accommodating alternative forms of hotel developments in the Abu Dhabi Emirate. Ultimately, the goal of the study is to evaluate consumers' decision making process with respect to the emirate's effort to tap into new markets by investing in various types of accommodation establishments. A major part of my research has concentrated in the use of stated preference discrete choice modelling (SPDCM) in the area of hospitality management. This is because understanding the basic drivers of tourists' choice patterns in terms of their vacation accommodation is at the heart of consumer behaviour in the hospitality sector (Mattila 2004). In practice, the empirical investigation has revealed that price, aversion to risk and quality matters are probably the 3 most significant factors driving individual preference patterns for the hospitality sector currently. When evaluating respondents' stated preferences for future or hypothetical managerial initiatives in the hospitality sector, the analysis identified particularly strong preferences towards more integrated and holistic types of advertisement and communication. At the same time, it appears that respondents value quite significantly their privacy and security of their personal space. This piece of finding from the elicitation of their stated preferences is a way confirms earlier findings regarding aversion to hotel security risk from the analysis of respondents' revealed preferences. The analysis of respondents' stated preferences also identified very strong and positive preferences towards superior 5* hotel developments in AD. This point alone could suggest a number of things. First, this piece of evidence, similar to the case presented above, confirms respondents revealed preferences from the descriptive analysis as far as the significance of quality matters on travellers' choice patterns. Second, it rather indicates that respondents have already developed an image of top – class destination (or probably a luxury type of destination) for the Emirate as a whole. In turn, this could imply that policy makers at a destination level, as opposed to a resort or a hotel level should make sure that the Abu Dhabi Emirate does not lose this comparative advantage. Compared to neighbouring Dubai that has not been promoted as a luxury but affordable destination but where one visits mainly for shopping destination, Abu Dhabi is perceived as the luxury destination alternative that offers a 'once – in – the – lifetime' experience. Finally, further analysis also focuses on the examination of visiting friends and relatives (VFR) travellers in Abu Dhabi Emirate, as a separate case of tourism demand at the destination. The empirical results indicate that VFR travellers to Abu Dhabi illustrate considerable heterogeneity as far as their duration of stay, their gender, their age structure, their educational attainment and the income classification. The empirical results suggest that policy makers and planners should take advantage of the current scale of values (culture and religion) as well as economic reasons in order to attract more VFR visitors at the destination. This is mainly due to the large European and Asian communities currently established in Abu Dhabi.
260

A microeconomic investigation into the themes of social participation, social exclusion and collective action affecting individuals, households, state and society : evidence from a modern British city

Bunyan, Sabrina January 2015 (has links)
The UK Government encourages citizens to help themselves through policy initiatives such as the ‘Big Society’. This study provides an empirical snapshot of different aspects of modern society that contributes to existing literature on social participation, social exclusion and collective action. This study uses novel interview survey data from a representative sample of 1,005 households in the UK coastal city of Portsmouth. Particular aspects of society that this study investigates includes; understanding the determinants of social engagement; through citizen’s willingness to volunteer and the intensity of their voluntary efforts. In this study, willingness to volunteer includes giving unpaid help to groups, clubs or organisations, or voluntarily participating in local decision-making groups, for example, a group making decisions on crime in the city. To contrast civic engagement, this study addresses issues of social exclusion with a focus on digital exclusion and financial exclusion. In this study, digital exclusion refers to those individuals who do not use the internet either at home, work, place of study or elsewhere. Indicators of household financial exclusion include credit refusal or the use of ‘doorstep lenders’ while indicators of financial self-exclusion include the absence of a savings account or home contents insurance. Additionally, this study examines the determinants of citizens’ concerns and perceptions of helplessness in face of the societal threat posed by climate change and flooding in Portsmouth, a city at risk of inundation from rising sea levels and the city has recent experience of flooding. A simple local and global public good framework is used to organise the understanding of reported attitudes and their determinants. As such, this high resolution data from one UK city provides an indication of the nature of society in modern Britain. Multivariate statistical analysis is used in identifying the attributes of individuals who are willing or actively involved in society, who are concerned or express perceptions of helplessness in the face of environmental threats, and also draws on the attributes of those who experience exclusion from society for whatever reason. The City of Portsmouth context provides a unique backdrop to understanding each of these issues. The main findings from the study shows that some of the most vulnerable people in society are less likely to choose to participate in local community activities, but rather they are more likely to experience social exclusion. Indeed, even within the confines of a densely populated city such as Portsmouth, locality matters, even after controlling for a range of socio-economic and demographic variables.

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