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Thesis (M. Sc.)--University of Hong Kong, 1997. / Includes bibliographical references.

Thesis (Ph. D.)--University of Hong Kong, 2007. / Also available online.

Thesis (Ph. D.)--University of Hong Kong, 2007. / Title proper from title frame. Also available in printed format.

Magistro baigiamajame darbe išanalizuota ir įvertinta tarptautinė valiutų rinka, jos struktūra bei analizės ir prognozės būdai. Taip pat analizuojami neuronini tinklai bei įvairios jų struktūros: daugiasluoksnis perseptronas, radialinių bazinių funkcijų neuroniniai tinklai, GRNN bei rekurentiniai neuroniniai tinklai. Tyrimu siekiama nustatyti ar valiutų kursų prognozavimo tikslumas, taikant neuroninius tinklus, priklauso nuo investavimo rizikos lygio. Darbas susideda iš trijų skyrių. Pirmame skyriuje nagrinėjama tarptautinės valiutų rinkos teorija, didesnį dėmesį atkreipiant į pačia FOREX koncepciją, rinkos dalyvius bei jų elgesį ir finansinius instrumentus, naudojamus šioje rinkoje. Tiriami pagrindiniai valiutų kursų prognozės bei analizės būdai, skirstant juos fundamentalią ir techninę analizę. Analizė atliekama, tiriant Lietuvos ir užsienio mokslininkų darbus valiutų rinkos prognozavimo srityje. Antrame skyriuje analizuojami neuroniniai tinklai. Aprašoma neuroninių tinklų koncepcija bei taikymo sritys. Naudojant literatūros analizės metodą, tiriami Lietuvos ir užsienio autorių moksliniai darbai, kuriuose aprašomi neuroninių tinklų tyrimai valiutų rinkos prognozavimo srityje. Pateikiama aktualiausių straipsnių meta analizė. Trečiame skyriuje atliekamas tyrimas su pasirinktų tyrimų duomenimis. Aprašomi šių pasirinkimo motyvai. Skyriaus galia pateikti statistiniai analizės rezultatai: MAE (angl. Mean absoliute error), MAPE (angl. Mean absolute percentage error) krypties... [toliau žr. visą tekstą] / The master thesis analyses the application of the neural networks for foreign exchange market forecast. Multilayer perceptron, radial basis functionneural networks, GRNN and recurrent neural networks are analyzed in order to find the correlation level between the forecast accuracy and the level of the investment risk. The work consists of three main parts. The first part analyses the conception, the main participants, trading characteristics and trading instruments of the FOREX market as well as the trading strategies and the methods of forecasting currency market. The second part is appointed to analyze the neural networks. The analyzes the conception, the structure and the application of the neural networks is made. The Meta-analyses of the main scientific articles are provided in every sub-part. In the third part the forecasting data analysis is performed to evaluate the correlation rate between the forecast accuracy and the level of the investment risk. Mean absolute error, Mean absolute percentage error, sign function andStandard deviation are used as indicators.

The Master Thesis deals with main topic of Ivestment plan of company XYZ. The investment plan relates to connection water tanks for selected municipality (villages, cities, etc.) and conclusion of this project. The first part is theoretical and the investment plan of a company as the topic of this master thesis is based on these theoretical information. Analysis, statistics, risk analysis, investment project effectiveness and other research methods are set in the middle part. The last part is conclusion of all mentioned data. The result should establish if the investment plan is suitable for this specific company.

The portfolio selection problem has been widely understood and practised for millennia, but it was rst formalised by Markowitz (1952) with the proposition of a risk-reward trade-o model. Since then, portfolio selection models have continued to evolve. The general consensus is that three objectives, to maximise the uncertain Rate Of Return (ROR), to maximise liquidity and to minimise risk, should be considered. It was found that there are opportunities for improvement within the existing portfolio selection models. This can be attributed to three gaps within the existing models. Generally, existing portfolio selection models are generic, especially in how they incorporate risk, they generally do not incorporate Socially Responsible Investing (SRI), and generally they are considered to be unvalidated. This dissertation set out to address these gaps and compare the real-world performance of generic and individualised portfolio selection models. A new method of accounting for risk was developed that consolidates the portfolio's market risk with the investor's nancial risk tolerance. Two portfolio selection models that incorporate individualised risk and SRI objectives were developed. These two models were called the risk-adjusted and social models, respectively. These individualised models were compared to an existing generic Markowitz model. These models were formulated using stochastic goal programming. A sample of 208 companies JSE Limited companies was selected and two independent datasets were extracted for these companies, a training (2010/01/01 { 2016/12/31) and testing (2017/01/01 { 2019/12/31) dataset. The models solved were in LINGO using the training dataset and tested on an unknown future by using the testing dataset. It was found that in the training period, the individualised risk-adjusted model outperformed the generic Markowitz model and the individualised social model. Furthermore, it was found that it would not be bene cial for an investor to be Socially Responsible (SR). Nevertheless, investors invest to achieve their ROR and SRI goals in the future, not in the present. Thus, it was necessary to evaluate how the portfolios selected by all three models would have performed in an unknown future. In the testing period, both the generic Markowitz model and the risk-adjusted models had dismal performance and were signi cantly outperformed by the South African market and unit trusts. Thus, these models are not useful or suitable for their intended purpose. On the contrary, the social model portfolios achieved high ROR values, were SR, and outperformed the market and the unit trusts. Thus, this model was useful and suitable for its intended purpose. The individualised social model signi cantly outperformed the other two models. Thus, it was concluded that an individualised approach that incorporates SRI outperforms a generic portfolio selection approach. Given its unparalleled performance and novel model formulation, the social model makes a contribution to the eld of portfolio selection. This dissertation also highlighted the importance of testing portfolio selection models on an unknown future and demonstrated the potentially horri c consequences of neglecting this analysis. / Dissertation (MEng (Industrial Engineering))--University of Pretoria 2021. / Industrial and Systems Engineering / MEng (Industrial Engineering) / Unrestricted

The diploma thesis deals with the issues of a company´s investment strategy. The aim is to propose an investment portfolio that will meet the company requirements regardless of its field of business, efficiently utilize various financial instruments and, at the same time, meet the requirement of liquid money.

This dissertation consists of two topics. Chapter 1 explores the relationship between U.S. Property-Casualty (P/C) insurers’ underwriting risk, investment risk, and leverage risk, using data from 1998 to 2013. I test the trade-off hypothesis using a simultaneous equation model framework with partial adjustment effects. The three equations model intend to examine the interrelations between insurers’ leverage and two measures of firm risks: underwriting risk and investment risk. The empirical evidence, various to different sample periods and model specifications, suggests there is no significant relationship existing between insurers’ underwriting risk and investment risk. But these two types of risks are both significantly and negatively related to the leverage ratio. The overall results imply that insurers tend to tradeoff leverage risk and underwriting risk/investment risk, but it appears that they have not taken an integrated approach between the total level of underwriting risk and investment risk yet. The second part of this dissertation empirically investigates the impact of credit risk on insurers’ reinsurance demand, using data on the U.S. P/C insurance industry from 2000 to 2014. I mainly explore how insurers’ credit rating status and downgrade risk affects their reinsurance demand. Using a two-stage least square (2SLS) regression model, I find that low-rated insurers are associated with a higher utilization of reinsurance. In addition, insurers that are downgraded in the previous year tend to have a higher reinsurance demand than the others. Results also show that downgraded group-affiliated insurers tend to significantly increase their internal reinsurance demand from the group-affiliated members while decreasing the purchase of external reinsurance significantly. In general, I find that insurers’ reinsurance demand is affected by their credit rating and downgrade risk. / Business Administration/Risk Management and Insurance

Thesis (MBA)--Stellenbosch University, 2012. / Asset restrictions are prudential regulations applied by regulators around the globe. In essence, they prescribe asset restrictions as a risk-control measure to establish appropriate capital requirements for regulated institutions. The aim of prudential regulations and standards is to protect consumers who acquire the products and services offered by these institutions. Pension funds in Namibia must comply with Regulation 28 of the Pension Funds Act, 1956. Regulation 28 is the prudential regulation that governs investment limits for pension funds. The regulation prescribes maximum investment limits for all asset classes. In 2009, the government made a policy decision to amend Regulation 28 to prescribe a minimum investment in unlisted shares (private equity) that would be applicable to pension funds, long-term insurance companies and unit trusts. The objective of government is to use Regulation 28 as a macroeconomic tool to control capital flows and channel capital to domestic companies. The regulation will stimulate economic activities, local ownership, create employment and reduce poverty, which will eventually facilitate economic development. In addition, this objective has the potential to assist the development of the private equity sector in Namibia. The implication of this development is that retirement savings will be utilised to achieve macroeconomic objectives and develop an industry sector. Private equity has shown tremendous growth in developed economies and is beginning to grow in Africa as well. Private equity is a sector that has the potential to realise excellent returns for pension funds, provided the risks are adequately controlled and managed. The study proposes a regulatory framework for unlisted investments (private equity) by pension funds. The framework considers risks and proposes how to best manage and control them. The conclusion is to abolish a prescribed minimum and to increase the domestic asset requirement. Ultimately, regulators exist to protect consumers while the development of markets is a secondary priority.