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Essays on investingUnknown Date (has links)
The Market Timing - Buy and Hold (MT-BH) is introduced, tested against widely accepted performance models of market timing and tested if implamentation is possible. The MT-BH metric measures the condition of engaging in market timing strategies relative to buy and hold investing across an equity market. The metric provides an alternative explanation to why market timing results of investors and managers vary through time and across different equity markets. This dissertation examines how the is correlated with traditional market timing measures of the Treynor and Sharpe ratios over the 1995-2010 time period and how it affects widely used measures of regression based market timing models of Treynor- Mazuy and Henriksson-Merton. The Market Timing - Buy and Hold (MT-BH) metric can be applied to any equity market over any time period to condition the market timing skill of money managers in any equity market around the world. The final accomplishment of this dissertation is to determine if readily available finance and macro-economic variables can help investors determine which years are more favorable to pursue market timing strategies and which years favor buy and hold investing. When real GDP growth rates, inflation rates and PE ratios were low or negative and when dividend yields were high, market timing strategies were favorable across 44 country market indexes from 1994-2008. These results were robust to country level of development, negative market return years and other control variables. The conditions for pursing market timing strategies were time variant and detectable with macro-economic and finance variables. The MT-BH metric allows investors and brokers to determine when to switch from buy and hold investing to a market timing strategy using macro-economic and financial variables and helps to explain why market timing skill of managers is rarely found to be persistent. / by William Fount Johnson, III. / Thesis (Ph.D.)--Florida Atlantic University, 2011. / Includes bibliography. / Electronic reproduction. Boca Raton, Fla., 2011. Mode of access: World Wide Web.
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Portfolio Construction using Clustering MethodsRen, Zhiwei 26 April 2005 (has links)
One major criticism about the traditional mean-variance portfolio optimization is that it tends to magnify the estimation error. A little estimation error can cause the distortion of the whole portfolio. Two popular ways to solve this problem are to use a resampling method or the Black-Litterman method (Bayesian method). The clustering method is a newer way to solve the problem. Clustering means we group the highly correlated stocks first and treat the group as a single stock. After we group the stocks, we will have some clusters of stocks, then we run the traditional mean-variance portfolio optimization for these clusters. The clustering method can improve the stability of the portfolio and reduce the impact of estimation error. In this project, we will explain why it works and we will perform tests to determine if clustering methods do improve the stabilities and performance of the portfolio.
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Seleção ótima de ativos multi-período com restrições intermediárias utilizando o critério de média-variância. / Multi-period mean-variance portfolio selection problem with intermediate constraints.Rodrigo de Barros Nabholz 10 April 2006 (has links)
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.
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Essays in foreign exchangeIvanova, Yuliya Rumenova 01 May 2015 (has links)
This thesis consists of three chapters and focuses on the relationship between foreign exchange rates and other areas of Finance. The first chapter is sole-authored and is titled `Foreign Exchange Rate Exposure and Corporate Policies.' The second chapter is coauthored work with Professor Emeritus Paul Weller, Assistant Vice President Chris Neely and Professor David Rapach and is titled `Can Risk Explain the Profitability of Technical Trading in Currency Markets.' The third chapter is titled `Foreign Exchange Movements and Cross-country Fund Allocation Decisions.'
In the first chapter, I examine the relationship between foreign exchange rate exposure and corporate policies. Despite the fact that empirical tests estimate foreign exchange rate exposure net of corporate hedging, there are still firms that exhibit significant residual exposures. It is believed that when faced with higher foreign exchange rate exposure, companies are more likely to run into an underinvestment problem. Therefore, in the current study I explore whether foreign exchange rate exposure is reflected in corporate policies beyond hedging. I establish that companies with higher foreign exchange rate exposure tend to hold more cash, have a higher likelihood of accessing capital markets and are less likely to issue dividends. Further, the relationship between foreign exchange rate exposure and these corporate policies is more pronounced for firms for which the underinvestment problem is likely to be more severe, namely firms with higher growth opportunities and firms operating in more competitive industries. Additionally, I find that half of the significant foreign exchange rate exposures in my sample come from firms with only domestic sales. Thus, I believe that foreign exchange rate exposure is relevant not only to the decisions of multinational corporations with international involvement and deserves additional investigation.
The second chapter examines the robust finding that technical trading rules applied to foreign exchange markets have earned substantial excess returns over long periods of time. However, the approach to risk adjustment has typically been rather cursory, and has tended to focus on the CAPM. We examine the returns to a set of dynamic trading rules and look at the explanatory power of a wide range of models: CAPM, quadratic CAPM, C-CAPM, Carhart's 4-factor model, an extended C-CAPM with durable consumption, Lustig-Verdelhan (LV) factors, volatility and skewness. Although skewness has some modest explanatory power for the observed excess returns, no model can plausibly account for the very strong evidence in favor of the profitability of technical analysis in the foreign exchange market. We conclude that these findings strengthen the case for considering models incorporating cognitive bias and the processes of learning and adaptation, as exemplified in the Adaptive Markets Hypothesis.
The third chapter is motivated by the fact that success of investment in international equity markets is a function of the stock picking ability of the manager within the particular foreign market as well as the (un)favorable foreign exchange rate movements against the domestic currency. Therefore, the objective of this paper is to study in more detail the relationship between currency returns and the cross country equity flows of U.S. international equity mutual funds. We are interested whether mutual funds are able to take advantage of beneficial currency movements and more importantly whether they destroy value through inappropriate currency positions. We establish that funds are better at managing contemporaneous changes in currency movements rather than at predicting future changes. We find that 80% of the funds increase their portfolio exposure to a particular currency (by increasing the relevant country allocation) when it has positive returns and decrease the exposure to that currency when it has negative returns. Further, the average fund does not create or destroy significant value through its country allocation decisions. Moreover, mutual fund managers do not have an advantage in predicting certain currencies over others. Most importantly however, it has to be noted that international mutual funds are not eroding value through their currency management even in the case of the most active funds.
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退休基金管理運用與委託經營之配置策略李松杰 Unknown Date (has links)
有關退休基金的運用方式,目前仍由政府統一管理與支配,並未引進企業化經營理念與市場競爭機制,投資方式不但易受官僚體系及政治因素干擾,且很難有傑出表現。而有效的管理運用龐大的退休基金,以及適當的委託專業機構進行管理,乃國內三大退休基金管理單位刻不容緩的改進議題。本研究將針對退撫基金目前所具有的委託經營管理辦法與自行經營之法令要求架構下,探討委外經營與否對於退休基金所產生的影響;並且依據退休基金成長型態之三大階段,分別探討其委託經營方式與基金之選擇,最後再建議退休基金經營管理尚可改進之處。
本研究的內容與流程主要為:(1)分別就退休金體系、計畫、管理與運用原則、管理型態,以及我國退休基金制度與管理發展現況與未來趨勢加以分析。(2)退休基金投資政策與資產配置策略之探討。(3)退休基金委外經營之探討。(4)退休基金資產配置之實證研究與設計。(5)資產配置之結果與分析。除對委外經營前的資產配置進行分析與說明外,並對退休基金成長型態設計一套委外經營之方式與配置策略。(6)提出本研究之研究結論及意見。
本研究結論為:(1)在自行經營下的資產配置,如能增加放款一項確能使效率前緣向外擴展。(2)從自行經營的效率觀點來看,退休基金要達成法定收益率標準只要投資於債券與少許的股票市場即可輕易達成。如以退撫基金設定的精算目標報酬12%,則只要將資金一半投入於債市,另一半投入於股市即可達成。且再提升投資目標報酬要求下之投資組合不過是債券與證券間配置比例的轉換而已。(3)自行經營法令限制下,在股票投資比重上仍可再增加,而在購買債券上比重也應再增加;反而是不應購買過多的商業票券。(4)在退休基金年輕階段,以委託積極成長風格的基金為配適對象,確能達到高度投資報酬水準。在配置內容上,只要維持20%左右的委外經營比重,其餘資產投入債市即可。當進入成熟階段,委託經營佔兩成左右,其餘投入債市即可。在衰退階段,委託管理比重以三成為原則,其他仍以債券操作為自行管理內容;但在委外部分以平衡型基金為主。(5)如果限制流動性資產最低水準,則發現增加流動性要求不會增加過多風險,並可維持委託經營比重,可符合保本保息的要求。
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投資組合保險策略—在台灣股市之相關研究邱瑜明, Chiu, Yu-Ming Unknown Date (has links)
投資組合保險的概念可運用於較不願承受風險或是對於股市走勢不清楚的投資者身上,這種策略既可以保障原本所投資的本金,又可以參與股票市場的上方獲利,一般大眾可以利用投資組合保險策略作為投資的準則之外,投資組合保險的概念更可以運用在退休基金的管理、保本基金的設計上。
本篇論文主要研究的是動態投資組合保險策略:複製性賣權及固定比例投資組合險兩種策略,利用蒙地卡羅模擬法以及台灣股市從民國78年至88年的實際資料來做驗證,投資組合保險策略是可以有效的降低投資者所面對的投資風險,並且提供投資大眾選擇投資組合保險策略時的準則。
從本論文的模擬和實證的結果,可以得到以下的結論:
一、對市場波動度的預期,會影響複製性賣權與固定比例投資組合保險,當市場的波動越大,就須要採用較為保守的策略,才能有較好的保險效果。
二、投資組合保險的績效和景氣的好壞有密切的關係,在市場為大空頭或是大多頭的時候,投資組合保險策略的績效是最好的。
三、投資組合保險的目的雖然不是為了擊敗大盤,但長期平均而言仍然是可以有優於大盤的表現。
四、減少交易成本可以使投資組合保險策略的績效更好。
五、固定比例投資組合保險策略(CPPI),是可依照個人對於風險不同的偏好來量身定作投資組合保險策略,所以一般投資者在運用上較為簡單方便。
六、複製賣權策略可以從事超額保險、完全保險及不足額保險,三種不同的保險方式,可提供投資人另一種選擇,但是要估計市場的波動度、決定投資資產的部位配置等等,並不容易,所以這樣的投資策略是較合適於專業經理人。
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Internationell diversifiering i portföljinvesteringar av institutionella investerare.Internationell jämförelse med fokus i Japan / International diversification in portfolio investments of institutional investors.International comparison with focus in Japan.Railo, Tomi January 2000 (has links)
<p>Background: The global capital markets have enlarged investment opportunities and thus also the sources of funds for companies which increasingly face global markets for their services and products. Huge capital movements show that investors are constantly searching ways to minimise risk and maximise returns. In the light of the substantial growth of assets in institutional funds, an important question for international finance is the degree to which institutional investors have diversified their portfolios internationally. </p><p>Purpose: The purpose of this study is to examine the international diversification of portfolio investments of institutional investors in Japan, the US and the UK and deepen into international diversification in portfolios of Japanese institutional investors. </p><p>Demarcations: Institutional investors can use their power directly in companies or indirectly through capital markets. In this thesis, I will not discuss corporate governance issues. Nor is it an aim of this thesis to try to find the optimal portfolio or the best performing portfolio. </p><p>Method: Secondary data in this study are based on several sources from academic literature as well as from public data and statistics. Primary data for this study include interviews and background discussions as well as my own calculations. Interviews were made in order to obtain more information and make a proper comparison. The interviews were held in Tokyo, Japan. </p><p>Conclusions: International diversification of portfolio investment of institutional investors tend to differ more between countries where the investors are based than between the type of investor in different countries. Institutional investors in UK tend to diversify their investments more internationally compared to Japanese and US counterparts. Japanese institutional investors tend to have very similar international diversification strategies. This can be explained by cultural aspects which traditionally have promoted risk averse and domestic investment strategies. Furthermore, there are reasons which make investment strategies more country contingent. Currency risk, level of knowledge and domestic investment opportunities have critical impact on international investments.</p>
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Internationell diversifiering i portföljinvesteringar av institutionella investerare.Internationell jämförelse med fokus i Japan / International diversification in portfolio investments of institutional investors.International comparison with focus in Japan.Railo, Tomi January 2000 (has links)
Background: The global capital markets have enlarged investment opportunities and thus also the sources of funds for companies which increasingly face global markets for their services and products. Huge capital movements show that investors are constantly searching ways to minimise risk and maximise returns. In the light of the substantial growth of assets in institutional funds, an important question for international finance is the degree to which institutional investors have diversified their portfolios internationally. Purpose: The purpose of this study is to examine the international diversification of portfolio investments of institutional investors in Japan, the US and the UK and deepen into international diversification in portfolios of Japanese institutional investors. Demarcations: Institutional investors can use their power directly in companies or indirectly through capital markets. In this thesis, I will not discuss corporate governance issues. Nor is it an aim of this thesis to try to find the optimal portfolio or the best performing portfolio. Method: Secondary data in this study are based on several sources from academic literature as well as from public data and statistics. Primary data for this study include interviews and background discussions as well as my own calculations. Interviews were made in order to obtain more information and make a proper comparison. The interviews were held in Tokyo, Japan. Conclusions: International diversification of portfolio investment of institutional investors tend to differ more between countries where the investors are based than between the type of investor in different countries. Institutional investors in UK tend to diversify their investments more internationally compared to Japanese and US counterparts. Japanese institutional investors tend to have very similar international diversification strategies. This can be explained by cultural aspects which traditionally have promoted risk averse and domestic investment strategies. Furthermore, there are reasons which make investment strategies more country contingent. Currency risk, level of knowledge and domestic investment opportunities have critical impact on international investments.
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Practical Application of Modern Portfolio TheoryPersson, Jakob, Lejon, Carl, Kierkegaard, Kristian January 2007 (has links)
There are several authors Markowitz (1991), Elton and Gruber (1997) that discuss the main issues that an investor faces when investing, for example how to allocate resources among the variety of different securities. These issues have led to the discussion of portfolio theories, especially the Modern Portfolio Theory (MPT), which is developed by Nobel Prize awarded economist Harry Markowitz. This theory is the philosophical opposite of tradi-tional asset picking. The purpose of this thesis is to investigate if an investor can apply MPT in order to achieve a higher return than investing in an index portfolio. Combining a strong portfolio that beats the market in the longrun would be the ultimate goal for most investors. The theories that are used to analyze the problem and the empirical findings provide the essential concepts such as standard deviation, risk and return of the portfolio. Further, diversification, correlation and covariance are used to achieve the optimal risky portfolio. There will be a walk-through of the MPT, with the efficient frontier as the graphical guide to express the optimal risky portfolio. The methodology constitutes as the frame for the thesis. The quantitative method is used since the data input is gathered from historical data. This thesis is based on existing theories, and the deductive approach aims to use these theories in order to accomplish a valid and accurate analysis. The benchmark that is used to compare the results from the portfolio is the Stockholm stock exchange OMX 30. This index mimics and reflects the market as a whole. The portfolio will be reweighed at a preplanned schedule, each quarter to constantly obtain an optimal risky portfolio. The finding from this study indicates that the actively managed portfolio outperforms the passive benchmark during the selected timeframe. The outcome someway differs when evaluating the risk adjusted result and becomes less significant. The risk adjusted result does not provide any strong evidence for a greater return than index. Finally, with this finding, the authors can conclude by stating that an actively managed optimal risky portfolio with guidance of the MPT can surpass the OMX 30 within the selected timeframe.
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A Study of Investment Policy for University Endowment Fund ¢w National Sun Yat-sen University as An ExampleChen, Ling-Ying 29 June 2012 (has links)
In order to mitigate the burden of government expenditure and improve the management of university, national universities in Taiwan have implemented the system of University Endowment Fund. The establishment of University Endowment Fund System has enacted for 16 years since 1996. The maintenance of National University mostly depends on government support in the past. And the college maintenance fund turned into half government support and half self-raised fund after the University Endowment Fund System has been enact. The investment gain is the most undeveloped item in five self-raised items. Most of National universities take bank deposit as its only investment. As a result, this paper aims to study about university investment. Investigate the latest law and regulation of national university and find the characteristic of college investment. Take National Sun Yat-sen University for example and establish the investment policy for national university. Select appropriate invest stock for National Sun Yat-sen University, and the select mechanism depends on the investment policy. Take the cash dividend to improve the financial income. The University Endowment Fund can improve its asset allocation gradually in the future.
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