Against a backdrop of controversy surrounding market timing, this research assesses the merits of a tactical asset allocation strategy for the South African market. The purpose of this research is to assess whether a simple quantitative method - initially presented by Faber (2007) - can successfully reduce volatility and increase returns of selected indices within the Johannesburg Stock Exchange (JSE). The All Share (ALSI), Financial&Industrial (FINI), Resource (RESI), Africa Gold Mining (AGMI), Government Bond (GOVI) and Property Unit Trust (PUTI) indices were examined. A strategy based on a ten-month simple moving average was compared against a buy-and-hold strategy, with results presented for these strategies both excluding and including transaction costs. The strategies were tested over a 50-year period from 1961 to 2010. The results show that superior risk-adjusted returns are possible even in the presence of high transaction costs. Further insights suggest that tactical asset allocation strategies yield improved performances when used in specific sectors and/or asset classes, instead of in consolidated sectors represented by the market.Copyright / Dissertation (MBA)--University of Pretoria, 2012. / Gordon Institute of Business Science (GIBS) / unrestricted

The performance of cash protection strategies implemented in the South African market are investigated in order to establish if investors are able to add value through the use of dynamic portfolio insurance methods. The analysis is performed, using monthly data, from January 1961 to August 2014 using six alternative methodologies including both a Fixed Rate and Rolling Average Stop-Loss approach, a Lock-In approach, a Constant Mix strategy, a Constant Proportion Portfolio Insurance ("CPPI") approach and an alternative CPPI approach using a Ratchet mechanism. The results indicate that the use of such cash protection strategies can markedly improve portfolio performance from a risk return perspective compared to a pure diversified investment strategy. Notably, the use of older, simpler trading strategies such as the Stop-Loss and Lock-In approaches at optimum threshold levels can still offer investors higher risk to reward benefits with less commitment required. These strategies, though, lack the flexibility observed with the more recently developed dynamic trading strategies in terms of providing for varying risk appetites.

Indiana University-Purdue University Indianapolis (IUPUI) / This research improves the realism of an electronic warfare (EW) environment involving dynamic motion of assets and transmitters. Particle Swarm Optimization (PSO) continues to be used to place assets in such a manner where they can communicate with the largest number of highest priority transmitters. This new research accomplishes improvement in three areas. First, the previously stationary assets and transmitters are given a velocity component, allowing them to change positions over time. Because the assets now have a starting position and velocity, they require time to reach the PSO solution. In order to optimally assign each asset to move in the direction of a PSO solution location, a graph-based method is implemented. This encompasses the second area of research. The graph algorithm runs in O(n^3) time and consumes less than 0.2% of the total measured computation time to find a solution. Transmitter location updates prompt a recalculation of the PSO, causing the assets to change their assignments and trajectories every second. The computation required to ensure accuracy with this behavior is less than 0.5% of the total computation time. The final area of research is the completion of algorithmic performance analysis. A scenario with 3 assets and 30 transmitters only requires an average of 147ms to update all relevant information in a single time interval of one second. Analysis conducted on the data collected in this process indicates that more than 95% of the time providing automatic updates is spent with PSO calculations. Recommendations on minimizing the impact of the PSO are also provided in this research.

Indiana University-Purdue University Indianapolis (IUPUI) / The contribution of this research work can be divided into two main tasks: 1) implementing this Electronic Warfare Asset Allocation Problem (EWAAP) with the Genetic Algorithm (GA); 2) Comparing performance of Genetic Algorithm to Particle Swarm Optimization (PSO) algorithm. This research problem implemented Genetic Algorithm in C++ and used QT Data Visualization for displaying three-dimensional space, pheromone, and Terrain. The Genetic algorithm implementation maintained and preserved the coding style, data structure, and visualization from the PSO implementation. Although the Genetic Algorithm has higher fitness values and better global solutions for 3 or more receivers, it increases the running time. The Genetic Algorithm is around (15-30\%) more accurate for asset counts from 3 to 6 but requires (26-82\%) more computational time. When the allocation problem complexity increases by adding 3D space, pheromones and complex terrains, the accuracy of GA is 3.71\% better but the speed of GA is 121\% slower than PSO. In summary, the Genetic Algorithm gives a better global solution in some cases but the computational time is higher for the Genetic Algorithm with than Particle Swarm Optimization.

The 1997-98 Asia financial crisis provides a natural experiment to examine how firms adapt their strategic choices to the changing business environment. In this study, I investigate the evolution of the board and asset structure of the 83 surviving commercial banks in Hong Kong, Indonesia, Korea, Malaysia, the Philippines, Singapore and Thailand around the financial crisis. I find that after the crisis (1) the board practice has been significantly improved. In particular, the percentage of independent directors increased and more banks had the board duality and the chairman/CEO with professional backgrounds and fewer banks had politically-connected chairman/CEO; (2) the asset structure tended to be more liquid and diversified. The commercial and industrial loan reduced and the liquid asset and the consumer loan ratio substantially increased. These results suggest that the Asian banks strived to adapt their board and asset structure to the dynamic regulatory and market environment in the post-crisis period. I also find that the locally controlled banks and the banks in the sample economies with more aggressive market opening policy tended to have more significant changes of board and asset structure in the post-crisis period. / This study sheds light on how firms adapt their strategic choices to the changing business environment by examining the adaptation of the board and asset structures of the Asian commercial banks around the financial crisis. My research results also indicate that the new corporate governance of Asian banks shows convergence towards the Anglo-American model and the adoption of more Western board practices can help improving bank transparency and performance. These findings provide some insights for the Asian regulators in the policy formulations in the future. / To examine whether board and asset structure are related to bank transparency, the results show that bank's transparency is positively related to board independence. However, I do not find strong support that bank transparency is related to its asset structure. For the relations between board and asset structure and performance, I find that bank profitability and interest spreads are positively related to the board size and non-political connection of board. Also, the results indicate that the liquid asset, security-to-total assets and consumer lending ratios are positively associated with bank profitability, interest margin and market-to-book ratio and negatively associated with non-performing loan ratios. The overall evidence suggests that the adaptability to dynamic business environment is critical to the Asian bank's performance. / Fung, Lai Kin Sammy. / "March 2008." / Adviser: Joseph P. H. Fan. / Source: Dissertation Abstracts International, Volume: 70-03, Section: A, page: 0928. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2008. / Includes bibliographical references (p. 73-77). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. [Ann Arbor, MI] : ProQuest Information and Learning, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts in English and Chinese. / School code: 1307.

The purpose of the present research paper was three fold. First, determine if there is a trade interdependence between the United States and Nordic countries (Denmark, Finland, Sweden, and Baltic States). Second, determine if there is correlation between the respective equity markets. Third, determine if the changes in the trade relations lead to the changes in stock market correlations. The hypothesis of the project was that weaker trade relations between two countries would lead to lower correlation between their stock markets, providing beneficial opportunities for portfolio diversification. The overall objective is to ascertain if Nordic markets are good targets to hedge portfolio risk for U.S. investors, and if the risks of investing in these markets would be rewarded by the higher returns.

Assignment (MComm)--University of Stellenbosch, 2001. / ENGLISH ABSTRACT: Rapid development of asset pricing models, asset return prediction models, information technologies, and the integration and globalisation of world economic markets, require the investor to have a fundamental understanding of the role of asset allocation (diversification) and the various strategies available in achieving investor's risk and return objectives. Assets are allocated across different asset classes in an attempt to optimise the combination of investment returns and investment risk. In this way your investment will not be subject to the volatility of anyone asset class alone. It is important to note that the movements of one class of assets (stocks, bonds or cash) may be somewhat offset by the non-correlated movement of a different class of assets. The intent of asset allocation is not necessarily to increase return as much as it is to fmd the accepted rate of return, while simultaneously reducing risk or maintaining it at a predefined level. This study explores the underlying theories concerning the relative importance of asset allocation in determining portfolio performance, and the three primary asset allocation strategies available. It also discusses relevant theory of how the predictability of asset returns and the investment horizon of a portfolio can have an impact on which asset allocation strategy to utilize in achieving the necessary risk and return objectives of the investor. / AFRIKAANSE OPSOMMING: Die toenemende ontwikkeling van bate prys modelle, modelle wat die opbrengs van bates vooruitskat, informasie tegnologie, asook die integrasie en globalisering van internasionale ekonomiese markte, vereis dat die investeerder 'n omvangryke kennis moet beskik oor die rol van bate allokasie (diversifisering) en die verskillende strategië beskikbaar tot die bereiking van investeerder risiko en opbrengs doelwitte. Bates word geallokeer tussen verskillende bate kategorieë (aandele, effekte of kontant) in die poging om die kombinasie tussen belegging opbrengste en belegging risiko te optimaliseer. Sodoende word die belegging nie blootgestel aan die onbestendigheid van slegs een bate kategorie nie. Daar moet gelet word dat die beweging van een kategorie van bates (aandele, effekte of kontant) teengewerk kan word deur die nie-korrelerende beweging van 'n ander kategorie van bates. Die voorneming van bate allokasie is nie noodwendig die toename van opbrengste nie. Daar word gestreef na die bereiking van 'n aanvaarbare opbrengskoers, terwyl risiko verminder word of volhou word op 'n voorafbepaalde vlak. Hierdie studie ondersoek die onderliggende teorieë rakende die relatiewe belangrikheid van bate allokasie om portefuelje opbrengste te kan bepaal, asook die drie primêre bate allokasie strategieë beskikbaar. Relevante teorie word bespreek, betreffende die vooruitskatting van bate opbrengste en die horison van 'n portefuelje, asook die impak wat beide het op die keuse van 'n geskikte bate allokasie strategie, om sodoende aan die nodige risiko en opbrengs doelwitte van die investeerder te kan voldoen.

本篇論文主要以事後的角度，分析美國實施量化寬鬆政策前後，在股市和房市上分別以ETF和REITs作為工具，研究如何進行國際資產配置以及匯率避險。國際資產配置包含兩項重要的工作：投資組合的建立以及匯率風險的管理，首先本研究會先以平均數─變異數投資組合模型以及夏普評鑑法進行投資組合的建構，接著以詹森迴歸法比較該投資組合與市場上其他指標基金有無超額報酬，最後再以最低變異數避險比率進行匯率避險，觀察績效改善的情況。 研究期間為2003年1月至2014年3月，時間序列切成金融危機前、金融危機期間、QE I、QE II和QE III期間，分析ETF投資在已開發和新興共24個國家，以及REITs投資在18個國家的結果。本篇研究發現： 一、從相關係數的變化可以發現一個國家所引發的金融事件可能會成為國際性的金融危機。 二、前後三次量化寬鬆政策成效以第一次最為明顯，之後報酬率的成長大抵上和量化寬鬆的規模呈正向關係。 三、金融危機前大多配置在新興國家，但股市於前兩次量化寬鬆時期配置於新興國家的比重較多，在第三次時則較多配置在已開發國家；而房市在三次量化寬鬆期間並無配置於某一型國家的偏好。 四、三次量化寬鬆期間最佳配置組合均優於新興國家型指標基金，說明單獨投資在新興國家頗不理想，突顯出國際資產配置的重要性。 五、金融危機前進行匯率避險績效可獲得改善，但除了ETF最適配置組合在QE I時期有獲得相當的績效改善之外，其他時期和REITs最適配置組合僅只報酬率標準差下降，績效改善幅度均不大。

This paper consolidates and compares the applicability and practicality of Black-Litterman model versus traditional Markowitz Mean-Variance model. Although well-known model such as Mean-Variance is academically sound and popular, it is rarely used among asset managers due to its deficiencies. To put the discussion into context we shed light on the improvement made by Fisher Black and Robert Litterman by putting the performance and practicality of both Black- Litterman and Markowitz Mean-Variance models into test. We will illustrate detailed mathematical derivations of how the models are constructed and bring clarity and profound understanding of the intuition behind the models. We generate two different portfolios, composing data from 10-Swedish equities over the course of 10-year period and respectively select 30-days Swedish Treasury Bill as a risk-free rate. The resulting portfolios orientate our discussion towards the better comparison of the performance and applicability of these two models and we will theoretically and geometrically illustrate the differences. Finally, based on extracted results of the performance of both models we demonstrate the superiority and practicality of Black-Litterman model, which in our particular case outperform traditional Mean- Variance model.

Esta tese é dedicada ao estudo de modelos de otimização de carteiras de investimento multi-período. Daremos ênfase a um modelo com restrições intermediárias formulado como um problema de controle ótimo e resolvido utilizando técnicas de programação dinâmica. Serão tratados aspectos teóricos e práticos desta classe de problemas. Primeiramente faremos uma revisão das principais hipóteses dos modelos de otimização de carteiras e o caso uni-período. Analisaremos a seguir as generalizações para o caso multi-período, onde os modelos utilizam apenas restrições para o valor esperado e/ou para a variância da carteira no instante final do período analisado. Apresentaremos então o principal resultado proposto neste trabalho onde consideramos o problema de seleção ótima de ativos multi-período no qual podemos incorporar ao modelo restrições intermediárias para o valor esperado e variância da carteira durante o período de análise. A grande vantagem desta técnica é permitir o controle do valor esperado e/ou da variância da carteira ao longo de todo o horizonte de análise. Faremos uma comparação o entre as formulações apresentadas e realizaremos experimentos numéricos com o modelo proposta nesta tese. Os principais resultados originais desta tese encontram-se no Capítulo 5. No Capítulo 6 apresentamos as simulações numéricas realizadas com o modelo proposto. / The subject of this thesis is the study of multi-period portfolio optimization problems. We focus on a model with intermediate constraints formulated as an optimal control problem and solved by using dynamic programming techniques. Both theoretical and practical issues are addressed. Firstly we will analyze the main hypothesis of portfolio optimization models and the single period case. Then we will present the generalization for the multi-period case, where the models use only constraints for the expected value and variance at the final period. The main result proposed in this work considers the multi-period portfolio selection problem with intermediate constraints on the expected value and variance of the portfolio taken into account in the optimization problem. The main advantage of this technique is that it is possible to control the intermediate expected value or variance of the portfolio during the time horizon considered. Comparison between the presented formulations and numerical experiments of the proposed model will be exposed. The main original results of this thesis can be found in Chapter 5. In Chapter 6 we present numerical simulations with the proposed model.