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.
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.
Bodin, Andreas, and Marko Peteri. "Utvärdering av svenska aktie- och aktieindexfonder : En empirisk studie av Sharpekvot, Treynorkvot och M-kvadrat, år 1998-2008." Thesis, Södertörn University College, School of Business Studies, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-1709.
Full textVan, Heerden Petrus Marthinus Stephanus. "Estimating efficiency of a South African bank using data envelopment analysis / by P.M.S. van Heerden." Thesis, North-West University, 2007. http://hdl.handle.net/10394/1854.
Full textThesis (M.Com. (Risk Management))--North-West University, Potchefstroom Campus, 2008.
Saffert, Andrew Thomas. "An economic analysis of adjusted gross Revenue-Lite insurance on farm income variability for southeast Kansas farms." Thesis, Manhattan, Kan. : Kansas State University, 2007. http://hdl.handle.net/2097/308.
Full text"Risk-adjusted momentum strategies." 2008. http://library.cuhk.edu.hk/record=b5893643.
Full textThesis (M.Phil.)--Chinese University of Hong Kong, 2008.
Includes bibliographical references (leaves 59-61).
Abstracts in English and Chinese.
Abstract --- p.i
Acknowledgement --- p.iii
Chapter 1 --- Introduction and Literature Review --- p.1
Chapter 2 --- Data and Methodology --- p.5
Chapter 2.1 --- Portfolio Formation --- p.8
Chapter 2.2 --- Delisting --- p.11
Chapter 2.3 --- Rebalancing --- p.11
Chapter 2.4 --- Performance Measurement --- p.12
Chapter 3 --- Results --- p.16
Chapter 3.1 --- Daily Portfolio Returns --- p.16
Chapter 3.2 --- CAPM and Fama French Model --- p.18
Chapter 3.3 --- Cumulative Returns --- p.22
Chapter 3.4 --- Over Different Time Periods --- p.22
Chapter 3.5 --- Analysis on Capital Market Theory --- p.24
Chapter 3.6 --- Explanations --- p.27
Chapter 3.6.1 --- Overconfidence --- p.27
Chapter 3.6.2 --- Anchoring --- p.28
Chapter 3.6.3 --- A Simple Model and Smoothing Effect --- p.29
Chapter 3.6.4 --- Securities Selection --- p.32
Chapter 3.6.5 --- Transaction Costs --- p.32
Chapter 4 --- Conclusions --- p.33
Chapter A --- Proof --- p.36
Chapter B --- Tables and Figures --- p.40
Bibliography --- p.59
Huang, Pao-Hsuan, and 黃寶萱. "Stability analysis of regional trials with risk-adjusted concept." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/54419985390443890718.
Full text國立中興大學
農藝學系所
101
The last process of plant breeding for a new cultivar usually goes through regional experiments. The stability analysis of yield is one of the important issues for selecting an optimum cultivar. A number of statistics have been proposed to measure the stability. But several frequently used statistics, like coefficient of variation, selecting stable cultivars but simultaneously with low yield. Stability analysis has not being developed a new concept to select a cultivar with high profit. To solve this problem, this thesis develops a new statistics with risk-adjusting concept, considering stability and high-yielding performance of cultivar simultaneously.
Nguyen, Quang Dung. "Modeling Liquidity Adjusted Value at Risk Using Quantile Regression Analysis." Master's thesis, 2015. http://www.nusl.cz/ntk/nusl-339114.
Full textAkbar, Rizky Aulya, and 歐力旗. "Cluster Analysis of Jakarta Islamic Index Stocks Based on Risk Adjusted Return." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/w4w9p3.
Full text國立虎尾科技大學
工業管理系工業工程與管理碩士班
105
The purpose of this study is to examine the clusters of Jakarta Islamic Index stocks based on the stock’s performance which is measured using risk-adjusted return for twenty-one semi-annual periods from 2006 to 2016. Indonesia as the most populous Muslim-majority country in the world holds an enormous market for the development of the sharia finance industry. The inherent philosophy of Islamic finance that promotes risk-sharing instrument and prohibits interest bearing business has its benefits in the modern capital market. The results show that the number of optimal clusters is 3 clusters. Moreover, this study also shows an alternative grouping of Jakarta Islamic Index stocks based on its risk-adjusted return that investors can benefit from it, supporting their decision to invest in the Indonesia sharia finance industry
Lin, Yi-Ju, and 林怡如. "The Study of Data Envelopment Analysis to Measure the Risk-adjusted Input of Bank Performance." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/91090875570826277086.
Full text東吳大學
財務工程與精算數學系
100
Currency derivative securities interlocking, although the risk can be spread, but also to goods and commodities between the risk-linked nature more obvious, complicated financial instruments and asset prices, resulting in bank losses accumulated by, and even endanger bank capital soundness. Banking liquidity crisis spread into the soundness of the crisis, not but make the financial institutions pressure doubled, and therefore sub-Financial Crisis impact on the scale are significant and influence during the long-term, from 2007 to 2010 between the global financial crisis, which evolved into a global economic crisis, prompting market participants and the Commissioner of Banking institutions need to explore the prudential liquidity management issues. So while in business expansion, capital provision against risks has become a measure of bank performance need to focus on future issues. Data envelopment analysis estimated that the mother does not need any parameters, do not assume that a function of input and output relationship between the parameters of law and does not produce in the use of the bias will produce, in assessing the efficiency and effectiveness and reliability can be said on the use of very convenient. In this study, the risk of performance factors as whether to join the empirical object. Source data for the period 2009 and 2010 seasons the past two years more, want to provide for the future owners of the competent authorities and the assessment of future performance and risk comparison of reference. It is found that Bank of Taiwan, Hua Nan Commercial Bank joined with the performance after significant changes in risk to South Bank and First Bank, for example, does not consider the risk when the first bank operating expenses 61% higher, performance worse than the South Bank 13.29%; but After consideration of the actual risk, market risk, the first bank in the South Bank's commitment to higher than 276.03%, representing a silver future market movements influenced by, and therefore the value of risk-adjusted performance than the South Bank of the performance difference -73.78%, the gap more significant, so this does add more to distinguish the risks banks take risks and bring the performance capabilities. In addition, the Bank of Taiwan, the state agency due to the policy with the relevant factors into account, so efficiency is usually poor, before adding risk rankings are about 4 to 5. However, after consideration of risk, ranking jumped in between 3 to 4, are front-end banking. How to reduce risk and risk profile will be the reference for all banks to improve performance; and can provide risk-adjusted performance is indeed a more accurate measure of bank performance basis.
Brevis, Tersia 1967. "Tydsberekening binne 'n APT-raamwerk." Thesis, 1998. http://hdl.handle.net/10500/15902.
Full textThe study compares the performance of a buy-and-hold strategy with that of a markettiming strategy in the framework of the arbitrage pricing theory (APT) applied to the industrial index of the Johannesburg Stock Exchange (JSE). The study period is divided into two parts, namely January 1970 to September 1987 and January 1989 to June 1997. The long-term trend of the industrial index and every APT factor is determined by finding the best nonlinear model for each time series. Linear multiple stepwise regression analysis, with the lagged time series of the long-term trend error terms of the APT factors, is used to forecast the movement of the industrial index around its long-term trend. Decision lines were developed to implement a market-timing strategy. The results of the study are as follows: • Where the lagged time series of the long-term trend error terms of the APT factors were used as possible predictors, the risk-adjusted return of a markettiming strategy was 6, 41 percent and 0, 71 percent higher than that of a buyand- hold strategy for periods one and two respectively. • Where the lagged time series of the first-order difference of the long-term trend error term of the APT factors were used as possible predictors, the riskadjusted return of the market-timing strategy was 10,40 percent and 1,04 percent higher than that of a buy-and-hold strategy for periods one and two respectively. The main conclusion of the study is that the APT and a market-timing strategy are theoretically and practically reconcilable on the JSE. The main recommendations of the study are the following: (1) systematic risk factors, other than macroeconomic factors, should be identified in order to increase the forecasting value of these factors in the second period of the study; (2) each step of the model developed in this study should be repeated on every index of the JSE; and (3) the influence of transaction costs and dividends on the potential benefits of a market-timing strategy should be determined.
Business Management
DCom (Sakebestuur)