Academic literature on the topic 'Risk-adjusted analysis'
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Journal articles on the topic "Risk-adjusted analysis"
Longley-Cook, Alastair G. "Risk-Adjusted Economic Value Analysis." North American Actuarial Journal 2, no. 1 (January 1998): 87–98. http://dx.doi.org/10.1080/10920277.1998.10595678.
Full textFisher, Jeffrey D., and Joseph D’Alessandro. "Risk-Adjusted Attribution Analysis of Real Estate Portfolios." Journal of Portfolio Management 45, no. 7 (August 23, 2019): 80–94. http://dx.doi.org/10.3905/jpm.2019.1.102.
Full textMelnikov, A., and D. Vyachkileva. "Performance Analysis Based on Adequate Risk-Adjusted Measures." Review of Business and Economics Studies 6, no. 3 (September 30, 2018): 5–18. http://dx.doi.org/10.26794/2308-944x-2018-6-2-5-18.
Full textBurzoni, Matteo, Marco Frittelli, and Federico Zorzi. "Short Communication: Robust Market-Adjusted Systemic Risk Measures." SIAM Journal on Financial Mathematics 12, no. 3 (January 2021): SC70—SC82. http://dx.doi.org/10.1137/21m1401723.
Full textArugaslan, Onur, Ajay Samant, and Devrim Yaman. "Portfolio Spiking with Cryptocurrency: A Risk-Adjusted Performance Analysis." Australian Journal of Business and Management Research 07, no. 01 (September 1, 2022): 36–44. http://dx.doi.org/10.52283/nswrca.ajbmr.20220701a03.
Full textReilly, Frank K., and David J. Wright. "Analysis of Risk-Adjusted Performance of Global Market Assets." Journal of Portfolio Management 30, no. 3 (April 30, 2004): 63–77. http://dx.doi.org/10.3905/jpm.2004.412321.
Full textSackley, William H. "Analysis of Risk-Adjusted Performance of Global Market Assets." CFA Digest 34, no. 4 (November 2004): 90. http://dx.doi.org/10.2469/dig.v34.n4.1586.
Full textKim, Hyunjoon, and Zheng Gu. "Risk-Adjusted Performance: A Sector Analysis of Restaurant Firms." Journal of Hospitality & Tourism Research 27, no. 2 (May 2003): 200–216. http://dx.doi.org/10.1177/1096348003027002004.
Full textCho, Seong, Liang Fu, and Yin Yu. "New risk analysis tools with accounting changes: adjusted Z-score." Journal of Credit Risk 8, no. 1 (March 2012): 89–108. http://dx.doi.org/10.21314/jcr.2012.137.
Full textCreswell, David L. "“Risk-Adjusted Economic Value Analysis,” Alastair Longley-Cook, January 1998." North American Actuarial Journal 2, no. 2 (April 1998): 111–13. http://dx.doi.org/10.1080/10920277.1998.10595710.
Full textDissertations / Theses on the topic "Risk-adjusted analysis"
De, Villiers H. O. "Risk-adjusted performance : an overview." Thesis, Stellenbosch : Stellenbosch University, 2005. http://hdl.handle.net/10019.1/50442.
Full textENGLISH ABSTRACT: Investors accept that actual investment pertormance differs from anticipated pertormance. The difference between the two is attributed to investment risk. Professional investment managers charge significant fees for active investment management. Investors funding this industry should evaluate the risk-adjusted investment pertormance to determine if it justifies the associated costs. A number of research papers have presented various methods for adjusting investment pertormance for the risk assumed in the generation thereof. This study presents an overview of techniques available for measuring riskadjusted pertormance of listed equity related investments. The classic pertormance measures of Treynor, Sharpe and Jensen are discussed. Alternative ways of quantifying risk offer different methods for risk-adjusting periormance. This leads to the discussion of more modern approaches to risk-adjustment, such as the Sortino ratio and the Omega measure. The lack of risk-adjusted pertormance reporting within the South African investment management industry is highlighted. An overview of guidelines for risk-adjusted pertormance reporting is presented. As such, it is relevant to investment managers, policy makers of the industry and the financial press reporting on investment management. A comparison of risk-adjusted pertormance figures between unitised-, indexand direct equity investment approaches show that a simple direct equity investment strategy outpertorm on risk-adjusted basis for the five year period reviewed.
AFRIKAANSE OPSOMMING: Beleggers aanvaar die feit dat gerealiseerde beleggings opbrengste van verwagte opbrengste verskil. Die verskil word aan beleggings risiko toegeskryf. Professionele beleggingsbestuurders hef aansienlike fooie om beleggings aktief te bestuur. Beleggers wat hierdie industrie befonds behoort die risiko-aangepaste beleggingsprestasie te evalueer ten einde vas te stel of dit die kostes regverdig wat daarmee gepaardgaan. 'n Aantal navorsingsverslae het reeds verskeie metodes voorgestel vir die aanpassing van beleggingsprestasie vir risiko aanvaar tydens die najaag van prestasie. Hierdie studie bied 'n oorsig van beskikbare tegnieke vir die meet van risiko aangepaste prestasie van genoteerde aandeel- en verwante beleggings. Die klassieke metodes van Treynor, Sharpe en Jensen word bespreek. Alternatiewe metodes om risiko te kwantifiseer bied verskillende metodes om prestasie vir risiko aan te pas. Dit lei tot die bespreking van meer moderne benaderings tot risiko aanpassing, soos die Sortino verhouding en die Omega maatstaf. Hierdie studie bring die tekort van risiko aangepaste prestasie verslaggewing in die Suid-Afrikaanse beleggingsbestuur industrie aan die lig. 'n Oorsig van riglyne vir risiko-aangepaste prestasie verslaggewing word gelewer. Die studie is gevolglik relevant vir beleggingsbestuurders, industrie beleidmakers en die finansiele pers wat oor beleggingsbestuur verslag doen. 'n Vergelyking van risiko-aangepaste opbrengs syfers tussen kollektiewe-. indeks- en direkte aandele beleggings benaderings lig uit dat 'n eenvoudige direkte aandele belegging strategie op 'n risiko-aangepaste basis oor die vyf jaar periode ondersoek, uitpresteer het.
Wang, Peiyu. "Liquidity Adjusted Value-at-Risk and Its Applications." Thesis, Uppsala universitet, Tillämpad matematik och statistik, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-322970.
Full textPires, Carla Alexandra Delgado. "Risk management and value creation in banking institutions : analysis to the risk adjusted performance measures." Master's thesis, Instituto Superior de Economia e Gestão, 2015. http://hdl.handle.net/10400.5/10692.
Full textAs métricas tradicionais, com base nas demonstrações financeiras, foram até à década de 80, a metodologia privilegiada para avaliar a performance bancária, mas estas demonstraram um afastamento significativo entre a realidade contabilística e económica, e como tal, insuficientes para análise à percepção se as intituições estariam ou não a criar valor para os seus accionistas e principalmente denotou-se que não estavam a incluir uma correcta gestão dos diferentes riscos a que as instituições financeiras estão expostas. Emergiram assim, novas métricas de avaliação e gestão da performance baseadas no valor ajustada ao risco, sendo a mais utilizada o Risk Adjusted Return on Capital (RAROC), em contraposição com estes indicadores mais tradicionais. Este trabalho é desenvolvido tendo por base este contexto. São descritas algumas das métricas tradicionais utilizadas, inferindo sobre as suas vantagens e desvantagens. E por fim, é efectuada uma introdução abrangente da métrica RAROC, adicionalmente acrescido de um estudo empiríco prático de implementação do modelo, como qual se pretende-se contribuir com uma possível abordagem de implementação e uma maior compreensão e adopção da medida RAROC. Conclui-se, que com o uso de modelos de avaliação e quantificação das rentabilidades ajustadas ao risco subjacente às operações bancárias, é possível a obtenção de decisões de crédito e alocação de capital mais consistente, eficientes e concretas, porque se evidenciam e corrigem as inconsistências verificadas entre os critérios tradicionais e os critérios que utilizam a componente de risco.
Until the 1980s, traditional metrics based on financial statements have been the primary methodology used to assess banking performance. However, such metrics have shown significant divergence between accounting and economic realities, therefore becoming inadequate to analyze the perception of institutions in terms of value creation for its shareholders and, most importantly, it has become clear that they weren't including a correct management of the several risks to which financial institutions are exposed. New value-based corporate performance assessment metrics have emerged, and risk-adjusted value-based management systems started to be implemented, as opposed to the more traditional indicators. Thus, the so-called RAPM - Risk-Adjusted Performance Measures arose. The dichotomy between accounting indicators and value-based indicators is the focus of this work, whose main objective is the study of the RAROC metric - Risk-Adjusted Return on Capital, to infer about its advantages and disadvantages. We intend to contribute with a possible implementation approach, to have a better understanding of and to adopt the RAROC methodology through a practical experiment which implements this framework. In conclusion, the use of risk-adjusted profitability assessment and measurement frameworks, with such risk being inherent to banking operations, proves to be extremely important, so that we can avert the inconsistencies shown by traditional and risk-based criteria.
Apostolidou, Ilektra-Georgia, and Georgios Karmiris. "Risk-adjusted Earned Value and Earned Duration Management models for project performance forecasting." Thesis, Blekinge Tekniska Högskola, Institutionen för industriell ekonomi, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:bth-18965.
Full textCarlsson, Sandra, and Erica Eikner. "Mutual Fund Performance : An analysis of determinants of risk-adjusted performance for mutual equity funds available for Swedish investors." Thesis, Umeå universitet, Företagsekonomi, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-172313.
Full textMING, JASON LEE WEI. "The quantification of risk-adjusted increases in medical resource utilization associated with healthcare-associated infections: A multi-institutional analysis." Kyoto University, 2011. http://hdl.handle.net/2433/142066.
Full textShloma, Elena. "The financial performance of ethical funds : A comparative analysis of the risk-adjusted performance of ethical and non-ethical mutual funds in UK." Thesis, Jönköping University, JIBS, Economics, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-9603.
Full textThe review of the ethical funds literature shows the significant growth of the Socially Responsible Investments (SRI) in the last few decades. The increase of the interest towards SRI indicates that ethical issues have become more essential for the investors. However the number of surveys reveals that financial performance remains of an important concern for the socially responsible investors. Therefore the benchmark analysis of the expected returns and management fees of the ethical mutual funds is chosen as a topic for this thesis research. The risk-adjusted measures are used to analyze and compare the performance of the ethical and non-ethical mutual funds in United Kingdom. The analysis does not indicate the significant difference in the expected returns between the two groups of funds. However this study concludes that on average ethical funds charge higher management fees. Thus investing in ethical funds is more costly but gives about the same returns as investing in conventional funds.
Ferreira, James Stuart. "An analysis of the risk adjusted returns of active versus passive South African general equity unit trusts during varying economic periods: an individual investor's perspective." Thesis, Rhodes University, 2015. http://hdl.handle.net/10962/d1019753.
Full textBörjesson, Oscar, and Sebastian Rezwanul HaQ. "Do hedge funds yield greater risk-adjusted rate of returns than mutual funds?A quantitative study comparing hedge funds to mutual funds and hedge fund strategies." Thesis, KTH, Matematisk statistik, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-146730.
Full textHedgefonder har den senaste tiden ökat i popularitet. Samtidigt finns det delade meningar huruvida hedgefonder genererar absolutavkastning och om de fungerar som bra alternativ till traditionella fonder. Denna uppsats syftar till att undersöka huruvida hedgefonder skapar absolutavkastning samt om det finns investeringsstrategier som presterar bättre än andra. Denna uppsats jämför hedgefonders riskjusterade avkastning med traditionella fonder, för att på sätt se om en viss investeringsstrategi ar mer lukrativ i termer av överavkastning i förhållande till motsvarande index. Vi har använt ekonometriska metoder för att söka efter statistiskt signifikanta skillnader mellan avkastningen för hedgefonder och traditionella fonder. Våra resultat visar att svenska hedgefonder inte genererar högre risk-justerade avkastningar än svenska aktiefonder. Våra resultat visar inga signifikanta skillnader vad gäller avkastning mellan olika strategier. Slutligen finner vi heller inga bevis för att hedgefonder går emot den effektiva marknadshypotesen
Värnlund, Frida, and Max Bacco. "A Study on the Relationship Between a Mutual Fund’s Risk-Adjusted Return and Sustainability : Do Mutual Funds with High Sustainability Scores Outperform Those with Low Ones?" Thesis, KTH, Matematisk statistik, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-252743.
Full textUnder de senaste årtionden har hållbara investeringar ökat och på senare tid även blivit en väletablerad investeringsstrategi. Då tidigare studier inom området uppvisat motstridiga resultat gällande hur effektiv denna strategi är inom värdeskapande, fokuserar denna rapport på att klargöra ifall hållbara alternativt vanliga fonder är fördelaktiga utifrån ett finansiellt perspektiv. Mer specifikt undersöks fyra geografiska områden över en tidsperiod på tre år. Genom regressionsanalys bestäms korrelationen mellan en fonds Portfolio Sustainability Score, ett betyg som erhålls av Morningstar som representerar hur väl den specifika fonden inkorporerar ESG, och dess riskjusterade avkastning. De slutgiltiga resultaten av denna analys varierar i de fyra geografiska områdena. I USA och Asien där Japan exkluderas är korrelationen positiv medan en negativ korrelation råder i Europa och Norden. Dock är resultaten inte av statistisk signifikans vilket indikerar att det inte är någon skillnad i den riskjusterade avkastningen mellan hållbara och vanliga fonder.
Books on the topic "Risk-adjusted analysis"
Palicka, John. Fusion analysis: Merging fundamental and technical analysis for risk-adjusted excess returns. New York: McGraw-Hill, 2011.
Find full textCavallo, Eduardo A. The determinants of corporate risk in emerging markets: An option-adjusted spread analysis. [Washington, D.C.]: International Monetary Fund, Research Dept., 2007.
Find full textLauerbach, Maximilian. Investitionssteuerung Mit Risk Adjusted Performance Measures Im Nicht-Finanzbereich. Lang GmbH, Internationaler Verlag der Wissenschaften, Peter, 2012.
Find full textLauerbach, Maximilian. Investitionssteuerung Mit Risk Adjusted Performance Measures Im Nicht-Finanzbereich. Lang Publishing, Incorporated, Peter, 2012.
Find full textLauerbach, Maximilian. Investitionssteuerung Mit Risk Adjusted Performance Measures Im Nicht-Finanzbereich. Lang GmbH, Internationaler Verlag der Wissenschaften, Peter, 2012.
Find full textMassari, Mario, Gianfranco Gianfrate, and Laura Zanetti. Corporate Valuation: Advanced Scenario-Based and Risk-Adjusted Tools and Techniques for Investment Bankers and Equity Analysts. Wiley & Sons, Limited, John, 2016.
Find full textSuicide Mortality in the Americas. Regional Report 2010–2014. Pan American Health Organization, 2021. http://dx.doi.org/10.37774/9789275123300.
Full textBook chapters on the topic "Risk-adjusted analysis"
Subramanian R, Kannan, and Dr Sudheesh Kumar Kattumannil. "ERRM Gap Analysis & Identification." In Event- and Data-Centric Enterprise Risk-Adjusted Return Management, 205–83. Berkeley, CA: Apress, 2022. http://dx.doi.org/10.1007/978-1-4842-7440-8_3.
Full textGalloppo, Giuseppe. "Financial Analyst Recommendation Driven Funds: A Risk Adjusted Measure Analysis." In Asset Pricing, Real Estate and Public Finance over the Crisis, 56–76. London: Palgrave Macmillan UK, 2013. http://dx.doi.org/10.1057/9781137293770_5.
Full textKoch, Julian, Kolja Eggers, Jan-Erik Rath, and Thorsten Schüppstuhl. "Development Process for Information Security Concepts in IIoT-Based Manufacturing." In Lecture Notes in Mechanical Engineering, 316–31. Cham: Springer International Publishing, 2022. http://dx.doi.org/10.1007/978-3-031-18326-3_31.
Full text"Regression Analysis." In Practical Risk-Adjusted Performance Measurement, 69–96. Oxford, UK: John Wiley & Sons Ltd, 2013. http://dx.doi.org/10.1002/9781118673621.ch4.
Full text"Risk-Adjusted Return Metrics." In Hedge Fund Modelling and Analysis Using Excel and VBA, 151–83. Chichester, West Sussex, UK: John Wiley & Sons, Ltd., 2012. http://dx.doi.org/10.1002/9781118467336.ch5.
Full textRonn, Ehud I., and Avinash K. Verma. "Pricing Risk-Adjusted Deposit Insurance: An Option-Based Model." In World Scientific Reference on Contingent Claims Analysis in Corporate Finance, 13–42. World Scientific Publishing Company, 2019. http://dx.doi.org/10.1142/9789814759618_0002.
Full textGregoriou, Greg N., and Razvan Pascalau. "An Empirical Analysis of Short-Biased Hedge Funds’ Risk-Adjusted Performance." In Handbook of Short Selling, 419–36. Elsevier, 2012. http://dx.doi.org/10.1016/b978-0-12-387724-6.00029-5.
Full textLeggio, Karyl B., and Donald Lien. "Is Covered Call Investing Wise? Evaluating the Strategy using Risk-Adjusted Performance Measures." In Advances in Quantitative Analysis of Finance & Accounting, 187–204. WORLD SCIENTIFIC, 2004. http://dx.doi.org/10.1142/9789812565457_0011.
Full textLeggio, Karyl B., and Donald Lien. "Is Covered Call Investing Wise?: Evaluating the Strategy using Risk-Adjusted Performance Measures." In Advances in Quantitative Analysis of Finance & Accounting, 187–204. WORLD SCIENTIFIC, 2005. http://dx.doi.org/10.1142/9789812701213_0011.
Full textPetris, Panagiotis, and Panayotis Alexakis. "The Return Performance of Real Estate Investment Trusts (REITs) and Portfolio Diversification Benefits." In Recent Advances and Applications in Alternative Investments, 57–81. IGI Global, 2020. http://dx.doi.org/10.4018/978-1-7998-2436-7.ch003.
Full textConference papers on the topic "Risk-adjusted analysis"
Peyper, W., and A. Mellet. "ETF indexation methods: A risk-adjusted performance analysis." In 7th International Conference on Business and Finance. AOSIS, 2015. http://dx.doi.org/10.4102/jbmd.v5i1.13.
Full textUbaidillah, Zaqqi, Yulia Yulia, and Henny Permatasari. "Risk-Adjusted Analysis of Relevant Outcome Drivers to Patients with Diabetes." In Health Science International Conference (HSIC 2017). Paris, France: Atlantis Press, 2017. http://dx.doi.org/10.2991/hsic-17.2017.71.
Full textSyafi’ie, Hisyam, Hanung Prasetya, and Bhisma Murti. "Obesity and the Risk of Suicide in Adults: A Meta-Analysis." In The 7th International Conference on Public Health 2020. Masters Program in Public Health, Universitas Sebelas Maret, 2020. http://dx.doi.org/10.26911/the7thicph.01.39.
Full textMehta, Bella, Susan Goodman, Kaylee Ho, Debra D’angelo, Michael Parks, and Said Ibrahim. "THU0442 SOCIAL VULNERABILITY AND DISCHARGE DISPOSITION AFTER ELECTIVE TOTAL HIP REPLACEMENT? RISK-ADJUSTED ANALYSIS OF LARGE REGIONAL DATASET." In Annual European Congress of Rheumatology, EULAR 2019, Madrid, 12–15 June 2019. BMJ Publishing Group Ltd and European League Against Rheumatism, 2019. http://dx.doi.org/10.1136/annrheumdis-2019-eular.6114.
Full textMansoori, J. N., W. Linde-Zwirble, P. Hou, E. P. Havranek, and I. S. Douglas. "A Retrospective Analysis of Fluid Resuscitation and Risk-Adjusted Hospital Mortality Among Mechanically Ventilated Patients with Septic Shock." In American Thoracic Society 2019 International Conference, May 17-22, 2019 - Dallas, TX. American Thoracic Society, 2019. http://dx.doi.org/10.1164/ajrccm-conference.2019.199.1_meetingabstracts.a5998.
Full textPapachristidis, Alexandros, Sarah Denny, George Vaughan, Tamim Akbari, Edith Avornyo, Tracey Griffiths, Emma Saunders, Jonathan Byrne, Mark Monaghan, and Khaled Alfakih. "109 ESC risk score-adjusted cost analysis of the investigations in stable chest pain: NICE vs. ESC guidelines." In British Cardiovascular Society Annual Conference ‘Digital Health Revolution’ 3–5 June 2019. BMJ Publishing Group Ltd and British Cardiovascular Society, 2019. http://dx.doi.org/10.1136/heartjnl-2019-bcs.106.
Full textSalsabilla, Dinda Anindita, Hanung Prasetya, and Bhisma Murti. "The Effect of Unplanned Pregnancy on Antenatal Depression: A Meta-Analysis." In The 7th International Conference on Public Health 2020. Masters Program in Public Health, Universitas Sebelas Maret, 2020. http://dx.doi.org/10.26911/the7thicph.03.116.
Full textPratiwi, Silvalia Rahma, Hanung Prasetya, and Bhisma Murti. "Low Birth Weight and Neonatal Mortality: Meta Analysis." In The 7th International Conference on Public Health 2020. Masters Program in Public Health, Universitas Sebelas Maret, 2020. http://dx.doi.org/10.26911/the7thicph.03.113.
Full textAbida, Liza Laela, Bhisma Murti, and Hanung Prasetya. "Effect of HIV Infection on Mortality in Patients with Tuberculosis in Asia: A Meta-Analysis." In The 7th International Conference on Public Health 2020. Masters Program in Public Health, Universitas Sebelas Maret, 2020. http://dx.doi.org/10.26911/the7thicph.01.52.
Full textLidyanto, D. I. "A Comparative Study of Using Risk Adjusted Discount Rate and Historical-Based Monte Carlo Simulation to Evaluate Risk/Uncertainty in Oil and Gas Investment." In Indonesian Petroleum Association 44th Annual Convention and Exhibition. Indonesian Petroleum Association, 2021. http://dx.doi.org/10.29118/ipa21-bc-1.
Full textReports on the topic "Risk-adjusted analysis"
Trachunthong, Deondara, Suchintana Chumseng, Worrayot Darasawang, and Mathuros Tipayamongkholgul. Risk Factors and National Burden of Selected Noncommunicable Diseases in People Living with HIV: Systematic Review, Meta-Analysis and, Disability-Adjusted Life Years protocol. INPLASY - International Platform of Registered Systematic Review and Meta-analysis Protocols, September 2022. http://dx.doi.org/10.37766/inplasy2022.9.0018.
Full textKonnyu, Kristin J., Louise M. Thoma, Monika Reddy Bhuma, Wagnan Cao, Gaelen P. Adam, Shivani Mehta, Roy K. Aaron, et al. Prehabilitation and Rehabilitation for Major Joint Replacement. Agency for Healthcare Research and Quality (AHRQ), November 2021. http://dx.doi.org/10.23970/ahrqepccer248.
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