Academic literature on the topic 'Risk-adjusted analysis'

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Journal articles on the topic "Risk-adjusted analysis"

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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.

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Fisher, 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.

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Melnikov, 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.

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There are many potential investment options for investors and they should be able to compare them on a risk-adjusted basis. If investors rely only on pure return they can be exposed to a high risk. Therefore, many investors rely on adequate performance measures to evaluate potential investment opportunities. In this paper, we describe widely used risk-adjusted performance measures and add correlation through the M3 measure. We apply described measures to real financial data in order to rank managers and compare rankings between measures. We also look at the following year measures to compare the results with predictions.
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Burzoni, 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.

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Arugaslan, 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.

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The objective of this study is to provide empirical documentation on the risk-adjusted performance of portfolios formed by investing in a Cryptocurrency such as Bitcoin and a risk-free asset. The study evaluates the performance of these Bitcoin-spiked portfolios using statistical measures grounded in modern portfolio theory. Market returns are adjusted for the degree of total risk, systematic risk, and downside risk inherent in each portfolio, and the securities are then ranked on the basis of risk-adjusted performance. In addition to standard Sharpe, Jensen, and Treynor performance measures, two newer evaluation metrics, the Modigliani and Sortino measures, are used for ranking the portfolios. We report that these portfolios have varying levels of risk and return. Our key finding is that these portfolios’ risk-adjusted returns are not only quite impressive but also exceed that of S&P 500, our benchmark market portfolio. The implication of our results is that investors with higher risk tolerance could earn substantially higher returns by including a larger percentage of Bitcoin in their portfolios. Our results should be informative to individual and institutional investors contemplating investing in cryptocurrencies but aware of their high risk.
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Reilly, 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.

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Sackley, 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.

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Kim, 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.

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Cho, 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.

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Creswell, 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.

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Dissertations / Theses on the topic "Risk-adjusted analysis"

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De, Villiers H. O. "Risk-adjusted performance : an overview." Thesis, Stellenbosch : Stellenbosch University, 2005. http://hdl.handle.net/10019.1/50442.

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Thesis (MBA)--Stellenbosch University, 2005.
ENGLISH 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.
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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.

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Pires, 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.

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Mestrado em Finanças
As 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.
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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.

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Project control is essential to ensure that the investment on a project is providing the intended benefits and is valuable to the customers. Previous methods offer project performance monitoring and forecasting tools, but they lack accuracy and the associated techniques omit the project financial risk (any unplanned event that has an impact on schedule and budget); the main factor of project failure. Poor project execution, and particularly failure to control and accurately forecast the project performance, may lead to increased costs, upset customers and eventually loss of market share. These gaps have been filled in this study by the development of novel models that use statistical analysis of the previous project performance, including risk evaluation techniques. The proposed models succeeded in providing remarkably improved forecasts in three project dimensions: duration, cost and resources. The robustness of the models has been verified by testing them on real projects. The results show superiority in terms of accuracy and easy application compared to any existing method, proving that the risk inclusion provides improvement compared to previous studies. The most important features of the models are: risk-based adjustment of the forecasted values, periodic and completion forecasts, statistical processing and holistic approach. The greatest advancements have been made in the cost forecast, for which the risk adjustment inclusion is examined for the first time. The resources (man-hours) forecast is another pioneer element of the proposed models. All the above provide a complete image of the project status and paint the picture of future performance. The models results are fed in a Decision Support System, which highlights the overperforming and underperforming areas of the project. This confirms the proposition that the model results can be used to initiate restorative action. The contribution of this study to the project management field is easy-to-use and accurate models, which include the financial risk and facilitate the project manager’s decisions and actions. Anticipation of the project performance, by considering the risk, can result to significant time and cost savings, crucial for project success.
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Carlsson, 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.

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The mutual fund industry in Sweden has grown rapidly over the past years. Research has been made on the topic for over 50 years, however there are still uncertainties about the determinants of fund performance. The purpose of this study was to examine what determines the risk-adjusted performance of mutual equity funds available to Swedish investors.  A side-purpose was included to examine to what extent the Efficient Market Hypothesis holds in Sweden. A simple random sample was conducted where 500 equity funds were included. From Refinitiv/Thomson Reuters Eikon Datastream fund characteristics were downloaded. To find the abnormal return of mutual equity funds, a hybrid Fama-French Carhart factor model was used which includes both domestic Swedish factors and global factors. The model was used to calculate the yearly risk-adjusted performance for each fund using 12 months return. This was denominated Alpha which was used as the dependent variable in the regression models. Further, to determine the characteristics which affect risk-adjusted performance two multiple regression models with six independent variables and three control variables are constructed. Further, a one sample t-test was conducted to test the market efficiency for mutual funds available to Swedish investors. Eight statistical hypotheses were created and tested in which two found a significant result which were that alpha differs from zero and Total Expense Ratio determines the risk-adjusted performance.   To conclude, findings showed only the character Total Expense Ratio determines risk-adjusted performance of mutual equity funds available to Swedish investors. In conclusion the control variables year, geographical focus and currency affect the fund performance. The study is an interesting aspect for Swedish investors and fund managers since the study implies deeper knowledge about the mutual fund industry in Sweden and therefore should be concerned by the variable TER to earn abnormal returns. Further, the study contributes with a theoretical discussion in line with the results concerning Efficient Market Hypothesis, the Diversification Effect and Modern Portfolio Theory. Conclusions are drawn based on our result that the Efficient Market Hypothesis does hold in the Swedish fund market. Although only one character determines the risk-adjusted performance and average investor should choose funds that follow the market, based on the skill level of average investors.
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MING, 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.

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Shloma, 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.

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The 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.

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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.

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This thesis used the events of the 2007 financial crisis as a means of being able to add to the research already done on South African unit trusts. The objective was to study the risk-adjusted performance of South African general equity unit trusts against the market during the period between 2005 and 2014. This period took into account the bull market preceding the financial crisis, the market crash of 2007 and the subsequent market recovery that followed. Data was obtained online through the I-Net BFA data base and included 161 general equity unit trusts that contained a full data set. In addition to the general equity unit trusts, the Satrix40 was studied to compare a passive unit trust against those that are actively managed. The 10 year Government bond was also used as a risk-free rate to add to the comparisons of performance results. The Sharpe, Treynor and Jensen measures were applied to the data with the results adding more support to the opinions that markets are fairly efficient and active investment strategies are being challenged by consistently well performing passive investments. Throughout the duration of the study, taking into account the varying economic cycles, the Satrix40 passive investment showed the best average overall return on simple return calculations as well as during the risk-adjusted measurements. In support of active investment management, unit trusts showed their best relative performance figures during the period of the financial crisis. This suggested that active financial managers were able to make the active calls necessary to weather the storm of the financial crisis. While the study did have its limitations, the results it produced are intended to offer investors further knowledge in enabling them to make more educated investment decisions in the future.
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Börjesson, 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.

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In recent times, the popularity of hedge funds has undoubtedly increased. There are shared opinions on whether hedge funds generate absolute rates of returns and whether they provide a strong alternative investment to mutual funds. This thesis aims to examine whether hedge funds with different investment strategies create absolute returns and if certain investment strategies outperform others. This thesis compares hedge funds risk-adjusted rate of return towards mutual funds, such as mutual funds, to see if certain investment strategies are more lucrative than the corresponding investments in terms of excess returns to corresponding indices. An econometric approach was applied to search for significant differences in risk-adjusted returns of hedge funds in contrast to mutual funds. Our results show that Swedish hedge funds do not generate as high risk-adjusted returns as Swedish mutual funds. In regard to the best performing hedge fund strategy, the results are inconclusive. Also, we do not find any evidence that hedge funds violate the effective market hypothesis.
Hedgefonder 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
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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.

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During the past few decades, social responsible investing (SRI) has rapidly grown to become a renowned investment strategy. Because of the contradictory findings on how successful this strategy is in terms of financial return, the aim of this thesis is to compare the performance of sustainable and conventional funds in four different geographical areas during the last three years. With the use of regression analysis, the correlation between the Portfolio Sustainability Score of a fund, which is a Morningstar-provided rating that represents how well a fund incorporates ESG, and its risk-adjusted return is determined. The final results of this analysis varies among the four geographical regions. The correlation between the two variables is positive in USA and Asia ex-Japan, whereas a negative relationship is found in Europe and the Nordic region. However, the obtained findings are not of statistical significance, implying that there is no difference between the risk-adjusted returns of sustainable versus conventional funds.
Under 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.
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Books on the topic "Risk-adjusted analysis"

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Palicka, John. Fusion analysis: Merging fundamental and technical analysis for risk-adjusted excess returns. New York: McGraw-Hill, 2011.

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Cavallo, Eduardo A. The determinants of corporate risk in emerging markets: An option-adjusted spread analysis. [Washington, D.C.]: International Monetary Fund, Research Dept., 2007.

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Lauerbach, Maximilian. Investitionssteuerung Mit Risk Adjusted Performance Measures Im Nicht-Finanzbereich. Lang GmbH, Internationaler Verlag der Wissenschaften, Peter, 2012.

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Lauerbach, Maximilian. Investitionssteuerung Mit Risk Adjusted Performance Measures Im Nicht-Finanzbereich. Lang Publishing, Incorporated, Peter, 2012.

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Lauerbach, Maximilian. Investitionssteuerung Mit Risk Adjusted Performance Measures Im Nicht-Finanzbereich. Lang GmbH, Internationaler Verlag der Wissenschaften, Peter, 2012.

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Massari, 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.

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Suicide Mortality in the Americas. Regional Report 2010–2014. Pan American Health Organization, 2021. http://dx.doi.org/10.37774/9789275123300.

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Suicide is a serious public health problem surrounded by stigma, myths, and taboos. With an annual average of 81,746 suicide deaths in the period 2010–2014 and an age-adjusted suicide rate of 9.3 per 100,000 population (age-unadjusted rate of 9.6), suicide continues to be a public health problem of great relevance in the Region of the Americas. Contrary to common belief, suicides are preventable with timely, evidence-based, and often low-cost interventions. It is estimated that for each suicide that occurs, there are more than 20 attempts. Suicide can occur at any age and it is the third highest cause of death among young people between the ages of 20 and 24 in the Region of the Americas. This report corresponds to the five-year period between 2010 and 2014. It provides a general description of suicide mortality in the Americas, by subregions and countries. It analyzes the distribution of suicide according to age, sex, and methods used, along with the changes in suicide from 2010 to 2014. This report is limited to the study of mortality as, in most countries, no record of self-harm exists, due to lack of appropriate surveillance systems. In the period 2010–2014, 55.8% of suicide deaths in the Region occurred in North America. The age-adjusted suicide rate was also highest in North America (12.8 per 100,000 population), which along with the non-Hispanic Caribbean (9.8) was higher than the regional rate, while the other two subregions had rates lower than the regional rate (6.7 in Central America, the Hispanic Caribbean, and Mexico; 6.9 in South America). In Latin America and the Caribbean, it is essential that national suicide prevention programs be developed, especially in those countries with higher suicide rates. This report identifies 12 countries in the Region of the Americas with high suicide rates compared with the regional average and where two-thirds of the suicide deaths are concentrated. Strengthening information systems and surveillance of suicidal behavior is required. Improving mortality registries alone is not enough. It is also necessary to develop registries of suicidal behavior and implement follow-up mechanisms in high-risk cases. This report identifies the most frequent suicide methods. The availability of firearms is an important risk factor, particularly in North America. Access to pesticides in rural areas is another risk factor, especially in the non-Hispanic
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Book chapters on the topic "Risk-adjusted analysis"

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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.

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Galloppo, 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.

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Koch, 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.

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AbstractDigital technologies are increasingly utilized by manufacturers to make processes more transparent, efficient and networked. Novel utilization elicits the challenge of preventing deployed information technology from compromising processual security. The digital enabling of formerly analog operation technology, the extensive use of information technology connectivity like MQTT, TCP/IP, Wi-Fi, and the deployment of IoT edge computing platforms create an application scenario for the Industrial Internet of Things (IIoT), which also introduces the associated vulnerabilities, which have been extensively exploited in the past. This paper introduces a development process for information security concepts designed for production scenarios based on the IIoT. This concept is then applied using an illustrative use case from aircraft production. The main contents of the development process include: Formulation of reasonable assumptions, system modelling, threat analysis including risk assessment, recommendation of countermeasures, reassessment after incorporating countermeasures. Specifically, a Data Flow Diagram as the model is developed, and a “risk first” variation of the STRIDE methodology is applied to identify threats and prioritize them. The aforementioned state-of-the-art methodologies are adjusted to our cyber-physical use case in the IIoT. The resulting concept aims to enable manufacturing processes to be digitized as sought. The adjustments to the methodologies are independent from our use case and may be suitable to a broad field of scenarios in the IIoT.
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"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.

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"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.

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Ronn, 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.

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Gregoriou, 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.

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Leggio, 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.

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Leggio, 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.

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Petris, 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.

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This study describes the emergence and the structure of Real Estate Investment Trusts (REITs) and investigates whether European REITs provide higher risk-adjusted returns and portfolio diversification benefits relative to the market portfolio. The top public listed companies of five (5) established (Belgium, France, Germany, Netherlands, UK), three (3) emerging (Italy, Spain, Ireland) and one (1) nascent (Greece) European REIT markets, are considered over period 2007 – 2018. The empirical findings denote poor performance of most European REITS over the Global Financial Crisis period but strong risk adjusted returns, overall, outperforming the equivalent European stock market indices and bonds over the first years of post - GFC period. In the recent period (2015 – 2018), most European REITs continued to deliver positive but modest risk adjusted returns relative to the previous period. The analysis provides evidence of poor portfolio diversification benefits and weak cross country diversification benefits among the European REITs.
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Conference papers on the topic "Risk-adjusted analysis"

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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.

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Ubaidillah, 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.

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Syafi’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.

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ABSTRACT Background: Some prospective studies reported that obesity is positively associated with depression. Adults with obese might have higher suicide risk, as patients with major depression disorder have a higher risk of committing suicide compared to the normal population. This study aimed to examine the association between obesity and the risk of suicide in adults. Subjects and Method: This was a meta-analysis and systematic review. The study was collected published articles from 2010 to 2020 in Google Scholar, PubMed, Springer Link, Hindawi, Clinical Key, and ProQuest electronic databases. Searching process by insert “obesity” AND “suicidal” AND “cross sectional” AND “adjusted odd ratio” keywords. The inclusion criteria were full text, in English language, cross-sectional design, and reporting adjusted odds ratio. The data were analyzed by PRISMA flow chart and Revman 5.3. Results: 4 articles reported that obesity increased the risk of suicidal ideas in adults (aOR= 1.12; 95% CI= 0.96 to 1.31; p= 0.14). Conclusion: Obesity increased the risk of suicide in adults. Keywords: obesity, suicidal Correspondence: Hisyam Syafi’ie. Masters Program in Public Health. Universitas Sebelas Maret, Jl. Ir. Sutami 36A, Surakarta 57126, Central Java. Email: bunghifi@gmail.com. Mobile: 081326002006. DOI: https://doi.org/10.26911/the7thicph.01.39
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Mehta, 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.

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Mansoori, 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.

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Papachristidis, 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.

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Salsabilla, 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.

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ABSTRACT Background: Family planning is a potential strategy for the prevention of postpartum depression. Women who report unintended pregnancies during prenatal care must be educated of their increased risk, even if they do not exhibit antenatal depressive symptoms. This study aimed to examine the effect of unplanned pregnancy on antenatal depression. Subjects and Method: This was a meta-analysis and systematic review toward unplanned pregnancy and antenatal depression. The study was conducted by selected published articles from 2010 to 2020 in Google Scholar, PubMed, and Springer Link electronic databases. “unplanned pregnancy” AND “antenatal depression” OR “risk factor” AND “antenatal depression” OR “antenatal depression” AND “cross sectional” AND “EPDS” AND “adjusted odd ratio” keywords were used to collected the articles. The inclusion criteria were full text, using cross-sectional study, and reporting adjusted odd ratio. The articles were analyzed using PRISMA guidelines and Revman 5.3. Results: 7 articles were reported that unplanned pregnancy escalated the risk of antenatal depression (aOR= 2.32; 95% CI=1.86 to 2.90; p<0.001). Conclusion: Unplanned pregnancy escalates the risk of antenatal depression. Keywords: unplanned pregnancy, depression, pregnancy Correspondence: Dinda Anindita Salsabilla. Masters Program in Public Health, Universitas Sebelas Maret. Jl. Ir. Sutami 36A, Surakarta 57126, Central Java. Email: dindaaninditasalsa@gmail.com. Mobile: 081249007525. DOI: https://doi.org/10.26911/the7thicph.03.116
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Pratiwi, 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.

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ABSTRACT Background: Low birth weight (LBW) has been used as an important public health indicator. LBW is one of the key drivers and indirect causes of neonatal death. It contributes to 60% to 80% of all neonatal deaths, annually. This study aimed to examine association between LBW and neonatal mortality using meta analysis. Subjects and Methods: This was meta-analysis and systematic review. Published articles in 2010-2020 were collected from Google Scholar, PubMed, Springer Link, Hindawi, Clinical Key, ProQuest databases. Keywords used “low birth weight” AND “mortality” OR “birth weight mortality” OR “neonatal death” AND “cross sectional” AND “adjusted odd ratio”. The inclusion criteria were full text, using cross-sectional study design, and reporting adjusted ratio. The data were analyzed by PRISMA flow chart and Revman 5.3. Results: 6 studies were met criteria. This study showed that low birth weight increased the risk of neonatal mortality (aOR= 2.23; 95% CI= 1.12 to 4.44; p= 0.02). Conclusion: Low birth weight increases the risk of neonatal mortality. Keywords: low birth weight, mortality, neonatal death Correspondence: Silvalia Rahma Pratiwi. Masters Program in Public Health. Universitas Sebelas Maret, Jl. Ir. Sutami 36A, Surakarta 57126, Central Java. Email: silvaliarahmapratiwi@gmail.com. Mobile: 082324820288. DOI: https://doi.org/10.26911/the7thicph.03.113
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Abida, 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.

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ABSTRACT Background: TB/HIV coinfectioned remains the leading cause of mortality among people living with HIV (PLHIV). The purpose of this study was to explore the effect of HIV infection on mortality in patients with tuberculosis in Asia. Subjects and Method: This was meta-analysis and systematic review. The study was conducted by collecting published studies from Google Scholar, PubMed, Springer Link, Hindawi, Clinical Key, and ProQuest databases, from 2010 to 2020. Keywords used “HIV” AND “mortality” OR “HIV Mortality” OR “Tuberculosis Mortality” AND “cross sectional” AND “adjusted odd ratio”. The inclusion criteria were full text, using English or Indonesian language, using cross-sectional study design, and reporting adjusted odds ratio. The articles were selected by PRISMA flow chart. The quantitative data were analyzed using random effect model run on Review Manager 5.3. Results: 5 studies in Asia (Thailand, China, Malaysia, and Oman) were included for this study. Meta analysis study reported that HIV elevated the risk of mortality in patients with tuberculosis (aOR= 3.45; 95% CI= 1.14 to 10.45; p = 0.030). Conclusion: HIV elevates the risk of mortality in patients with tuberculosis. Keywords: HIV, mortality, Tuberculosis Correspondence: Liza Laela Abida. Masters Program in Public Health, Universitas Sebelas Maret. Jl. Ir. Sutami 36A, Surakarta 57126, Central Java. Email: lizalaela@gmail.com. Mobile: 085640115633. DOI: https://doi.org/10.26911/the7thicph.01.52
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Lidyanto, 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.

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This paper presents a comparative analysis of the use of two methods, Risk Adjusted Discount Rate (RADR) and Monte Carlo Simulation, in evaluating the risks and uncertainties in an oil and gas investment proposal. Basically, RADR method is the same as the usual discounted cash flow. But the discount rate already considers any risk/uncertainty that a project will face. Thus, some percentage, based on trusted publisher, will be added to the discount rate. While using monte carlo simulation, an economic model, with base discount rate, will be evaluated by creating hundreds of possible iterations that continually change the major economic assumption based on historical data such as production, capital expenditure, operating expenditure, oil and gas price. The purpose of this paper is to compare the use of two methods, RADR and Historical-Based Monte Carlo Simulation in evaluating risk/uncertainty in oil and gas investment proposal. There are four real oil and gas projects which will be evaluated: Project 1 (Gas Development Project), Project 2 (Shallow Water Development Project), Project 3 (Offshore Development Project), and Project 4 (EOR Development Project). The Net Present Value (NPV) of each project with those two methods will be evaluated and analyzed. The comparison study shows that NPV Calculation with Historical-Based Monte Carlo Simulation tend to have higher NPV. This is important to maintain the level of project attractiveness. Historical Based Monte Carlo Simulation method also shows the real risks and uncertainties because it is based on the historical data. Besides, this method gives real picture of what the project might face in the future instead of allowing static variables to be introduced into potential dynamic model. However, to make Historical-Based Monte Carlo Simulation robust, complete historical database is needed. While, Risk Adjusted Discount Rate method can simply be used by trusted publication.
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Reports on the topic "Risk-adjusted analysis"

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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.

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Review question / Objective: 1. Are the prevalence/incidence of four major groups of NCDs including MetS, DM, CVD, and CKD different among adults with and without HIV infection? 2. Are there relationships between HIV status, ART (ART use, short and long-term effects of ART), traditional risk factors (BMI), and the development of four major NCDs? 3. Does the trend of NCDs burden attributable to HIV in Thailand increase according to the time? Information sources: 1. Electronic databases: the following databases will be searched: PubMed/Medline, Scopus, Embase, Cochrane Library Thai journals online (ThaiJO), Thai digital collection (TDC), Thai journal index (TJI), and Thai-journal citation index (TCI). 2. Authors or experts in the field will be contacted through emails for any relevant data, results and information.
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Konnyu, 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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Objectives. This systematic review evaluates the rehabilitation interventions for patients who have undergone (or will undergo) total knee arthroplasty (TKA) or total hip arthroplasty (THA) for the treatment of osteoarthritis. We addressed four Key Questions (KQs): comparisons of (1) rehabilitation prior (“prehabilitation”) to TKA versus no prehabilitation, (2) comparative effectiveness of different rehabilitation programs after TKA, (3) prehabilitation prior to THA versus no prehabilitation, (4) comparative effectiveness of different rehabilitation programs after THA. Data sources and review methods. We searched Medline®, PsycINFO®, Embase®, the Cochrane Register of Clinical Trials, CINAHL®, Scopus®, and ClinicalTrials.gov from Jan 1, 2005, to May 3, 2021, to identify randomized controlled trials (RCTs) and adequately adjusted nonrandomized comparative studies (NRCSs). We evaluated clinical outcomes selected with input from a range of stakeholders. We assessed the risk of bias and evaluated the strength of evidence (SoE) using standard methods. Meta-analysis was not feasible, and evidence was synthesized and reported descriptively. The PROSPERO protocol registration number is CRD42020199102. Results. We found 78 RCTs and 5 adjusted NRCSs. Risk of bias was moderate to high for most studies. • KQ 1: Compared with no prehabilitation, prehabilitation prior to TKA may increase strength and reduce length of hospital stay (low SoE) but may lead to comparable results in pain, range of motion (ROM), and activities of daily living (ADL) (low SoE). There was no evidence of an increased risk of harms due to prehabilitation (low SoE). • KQ 2: Various rehabilitation interventions after TKA may lead to comparable improvements in pain, ROM, and ADL (low SoE). Rehabilitation in the acute phase (initiated within 2 weeks of surgery) may lead to increased strength (low SoE) but result in similar strength when delivered in the post-acute phase (low SoE). No studies reported evidence of risk of harms due to rehabilitation delivered in the acute period following TKA. Compared with various controls, post-acute rehabilitation may not increase the risk of harms (low SoE). • KQ 3: For all assessed outcomes, there is insufficient (or no) evidence addressing the comparison between prehabilitation and no prehabilitation prior to THA. • KQ 4: Various rehabilitation interventions after THA may lead to comparable improvements in pain, strength, ADL, and quality of life. There is some evidence of no increased risk of harms due to the intervention (low SoE). • There is insufficient evidence regarding which patients may benefit from (p)rehabilitation for all KQs and insufficient evidence regarding comparisons of different providers and different settings of (p)rehabilitation for all KQs. There is insufficient evidence on costs of (p)rehabilitation and no evidence on cost effectiveness for all KQs. Conclusion. Despite the large number of studies found, the evidence regarding various prehabilitation programs and comparisons of rehabilitation programs for TKA and THA is ultimately sparse. This is a result of the diversity of interventions studied and outcomes reported across studies. As a result, the evidence is largely insufficient or of low SoE. New high-quality research is needed, using standardized intervention terminology and core outcome sets, especially to allow network meta-analyses to explore the impact of intervention attributes on patient-reported, performance-based, and healthcare-utilization outcomes.
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