Rozprawy doktorskie: „Asset-based model”

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Pedron, Nieves Hicks. "Model-based asset management : a comparative study". Thesis, University of Cambridge, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.299230.

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Laurinavičius, Algimantas. "The implementation model of the Asset-based policy in Lithuania". Doctoral thesis, Lithuanian Academic Libraries Network (LABT), 2013. http://vddb.library.lt/obj/LT-eLABa-0001:E.02~2013~D_20131028_140957-69469.

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The object of the research is the asset-based policy, as a measure to reduce poverty and inequality, based on saving, investment and asset accumulation. The purpose of the research is to analyse the experience of foreign countries, evaluate the need of asset-based policy in Lithuania and create a hypothetical model for implementation of this policy. In order to meet this purpose theoretical aspects of the asset-based welfare have been reviewed, asset-based policy models implemented in foreign countries have been analyzed, socio-economic, demographic situation of Lithuanian population, as well as the state of the country’s investments and innovations have been assessed, the survey about the attitude of the Lithuanian population towards the asset-based policy has been conducted, the hypothetical model for the implementation of the asset-based policy in Lithuania has been created.
Disertacijos tyrimo objektas yra turtu pagrįsta politika, kaip skurdo ir nelygybės mažinimo priemonė, besiremianti taupymu, investicijomis ir turto kaupimu. Tyrimo tikslas yra išanalizavus užsienio šalių patirtį, įvertinti turtu pagrįstos politikos taikymo poreikį Lietuvoje bei sukurti hipotetinį tokios politikos įgyvendinimo modelį. Siekiant tyrimo tikslo, disertacijoje yra apžvelgti teoriniai turtu pagrįstos gerovės aspektai, išanalizuoti užsienio šalyse įgyvendinti turtu pagrįstos politikos modeliai, įvertintas socialinės politikos temos išnagrinėjimo lygis Lietuvos autorių mokslo darbuose, išanalizuota gyventojų socialinė-ekonominė, demografinė padėtis bei šalies investicijų ir inovacijų būklė, atliktas empirinis tyrimas apie Lietuvos gyventojų požiūrį į turtu pagrįstą politiką bei suformuotas hipotetinis turtu pagrįstos politikos įgyvendinimo modelis, taikytinas Lietuvoje.

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Bjorheim, Jacob. "The epistemological value of the consumption based capital asset pricing model". Thesis, London School of Economics and Political Science (University of London), 2014. http://etheses.lse.ac.uk/939/.

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The thesis is a philosophical analysis of the consumption based capital asset pricing model (CCAPM), investigating in particular its epistemological and methodological foundations. Financial markets are integral parts of advanced and developing economies. They matter because they channel unspent household income into banks’ savings accounts and assets such as bonds and stocks. Financial economists have traditionally taken interest in the pricing mechanism that underlies this capital allocation. The consumption based capital asset pricing model (CCAPM) is a prominent effort to describe, explain and predict such prices. It tells a story of investors’ trade-off between consumption now and later and which portfolio of assets to hold. The CCAPM based narrative intuitively makes sense, and the chosen methodology involving theoretical assumption, mathematical models and empirical tests follows the professions’ standards of good scientific practise. But does CCAPM’s research programme provide knowledge for use? My thesis seeks to answer this question in a novel way. Instead of embarking on yet another asset pricing research project, I let Philosophy of Science inform my analysis. Following a “primer” introducing essential CCAPM topics and notations, I discuss, in turn, its theoretical foundation, mathematical model, and empirical test results from a philosophy of science perspective. I find that a few fundamental principles and several auxiliary assumptions combine to develop a simplified, partial and idealized theory of investors, financial markets and assets. The model reflects and represents this theory but also makes narrow claims that are distances away from the real situations they target. Unsurprisingly, ideal model assertions fail standard statistical tests of significance. I conclude that mathematical deductive modelling rooted in orthodox, a priori based fundamental principles create ideal and fictional settings that limit their scope and portability. The development of even more granular models within this orthodox paradigm that searches for “event regularities” will not render the desired knowledge for use. The real situations are possibly too complex to be captured in simplified assumptions, ideal theories and mathematical structures. Novel methodological and ontological approaches to asset pricing are in demand. Hence, claims about tendencies in the real data might replace the current focus on point-forecasts.

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McEwan, Peter Gareth Fredric. "The GARCH-EVT-Copula model and simulation in scenario-based asset allocation". Thesis, Nelson Mandela Metropolitan University, 2016. http://hdl.handle.net/10948/11732.

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Financial market integration, in particular, portfolio allocations from advanced economies to South African markets, continues to strengthen volatility linkages and quicken volatility transmissions between participating markets. Largely as a result, South African portfolios are net recipients of returns and volatility shocks emanating from major world markets. In light of these, and other, sources of risk, this dissertation proposes a methodology to improve risk management systems in funds by building a contemporary asset allocation framework that offers practitioners an opportunity to explicitly model combinations of hypothesised global risks and the effects on their investments. The framework models portfolio return variables and their key risk driver variables separately and then joins them to model their combined dependence structure. The separate modelling of univariate and multivariate (MV) components admits the benefit of capturing the data generating processes with improved accuracy. Univariate variables were modelled using ARMA-GARCH-family structures paired with a variety of skewed and leptokurtic conditional distributions. Model residuals were fit using the Peaks-over-Threshold method from Extreme Value Theory for the tails and a non-parametric, kernel density for the interior, forming a completed semi-parametric distribution (SPD) for each variable. Asset and risk factor returns were then combined and their dependence structure jointly modelled with a MV Student t copula. Finally, the SPD margins and Student t copula were used to construct a MV meta t distribution. Monte Carlo simulations were generated from the fitted MV meta t distribution on which an out-of-sample test was conducted. The 2014-to-2015 horizon served to proxy as an out-of-sample, forward-looking scenario for a set of key risk factors against which a hypothetical, diversified portfolio was optimised. Traditional mean-variance and contemporary mean-CVaR optimisation techniques were used and their results compared. As an addendum, performance over the in-sample 2008 financial crisis was reported. The final Objective (7) addressed management and conservation strategies for the NMBM. The NMBM wetland database that was produced during this research is currently being used by the Municipality and will be added to the latest National Wetland Map. From the database, and tools developed in this research, approximately 90 wetlands have been identified as being highly vulnerable due to anthropogenic and environmental factors (Chapter 6) and should be earmarked as key conservation priority areas. Based on field experience and data collected, this study has also made conservation and rehabilitation recommendations for eight locations. Recommendations are also provided for six more wetland systems (or regions) that should be prioritised for further research, as these systems lack fundamental information on where the threat of anthropogenic activities affecting them is greatest. This study has made a significant contribution to understanding the underlying geomorphological processes in depressions, seeps and wetland flats. The desktop mapping component of this study illustrated the dominance of wetlands in the wetter parts of the Municipality. Perched wetland systems were identified in the field, on shallow bedrock, calcrete or clay. The prevalence of these perches in depressions, seeps and wetland flats also highlighted the importance of rainfall in driving wetland formation, by allowing water to pool on these perches, in the NMBM. These perches are likely to be a key factor in the high number of small, ephemeral wetlands that were observed in the study area, compared to other semi-arid regions. Therefore, this research highlights the value of multi-faceted and multi-scalar wetland research and how similar approaches should be used in future research methods has been highlighted. The approach used, along with the tools/methods developed in this study have facilitated the establishment of priority areas for conservation and management within the NMBM. Furthermore, the research approach has revealed emergent wetland properties that are only apparent when looking at different spatial scales. This research has highlighted the complex biological and geomorphological interactions between wetlands that operate over various spatial and temporal scales. As such, wetland management should occur across a wetland complex, rather than individual sites, to account for these multi-scalar influences.

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5

Wang, Hui. "An empirical analysis of household asset allocation based on a rational expectations model /". The Ohio State University, 1997. http://rave.ohiolink.edu/etdc/view?acc_num=osu1487948807587516.

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Mathew, Avin D. "Asset management data warehouse data modelling". Thesis, Queensland University of Technology, 2008. https://eprints.qut.edu.au/19310/1/Avin_Mathew_Thesis.pdf.

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Data are the lifeblood of an organisation, being employed by virtually all business functions within a firm. Data management, therefore, is a critical process in prolonging the life of a company and determining the success of each of an organisation’s business functions. The last decade and a half has seen data warehousing rising in priority within corporate data management as it provides an effective supporting platform for decision support tools. A cross-sectional survey conducted by this research showed that data warehousing is starting to be used within organisations for their engineering asset management, however the industry uptake is slow and has much room for development and improvement. This conclusion is also evidenced by the lack of systematic scholarly research within asset management data warehousing as compared to data warehousing for other business areas. This research is motivated by the lack of dedicated research into asset management data warehousing and attempts to provide original contributions to the area, focussing on data modelling. Integration is a fundamental characteristic of a data warehouse and facilitates the analysis of data from multiple sources. While several integration models exist for asset management, these only cover select areas of asset management. This research presents a novel conceptual data warehousing data model that integrates the numerous asset management data areas. The comprehensive ethnographic modelling methodology involved a diverse set of inputs (including data model patterns, standards, information system data models, and business process models) that described asset management data. Used as an integrated data source, the conceptual data model was verified by more than 20 experts in asset management and validated against four case studies. A large section of asset management data are stored in a relational format due to the maturity and pervasiveness of relational database management systems. Data warehousing offers the alternative approach of structuring data in a dimensional format, which suggests increased data retrieval speeds in addition to reducing analysis complexity for end users. To investigate the benefits of moving asset management data from a relational to multidimensional format, this research presents an innovative relational vs. multidimensional model evaluation procedure. To undertake an equitable comparison, the compared multidimensional are derived from an asset management relational model and as such, this research presents an original multidimensional modelling derivation methodology for asset management relational models. Multidimensional models were derived from the relational models in the asset management data exchange standard, MIMOSA OSA-EAI. The multidimensional and relational models were compared through a series of queries. It was discovered that multidimensional schemas reduced the data size and subsequently data insertion time, decreased the complexity of query conceptualisation, and improved the query execution performance across a range of query types. To facilitate the quicker uptake of these data warehouse multidimensional models within organisations, an alternate modelling methodology was investigated. This research presents an innovative approach of using a case-based reasoning methodology for data warehouse schema design. Using unique case representation and indexing techniques, the system also uses a business vocabulary repository to augment case searching and adaptation. The system was validated through a case-study where multidimensional schema design speed and accuracy was measured. It was found that the case-based reasoning system provided a marginal benefit, with a greater benefits gained when confronted with more difficult scenarios.

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7

Mathew, Avin D. "Asset management data warehouse data modelling". Queensland University of Technology, 2008. http://eprints.qut.edu.au/19310/.

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Data are the lifeblood of an organisation, being employed by virtually all business functions within a firm. Data management, therefore, is a critical process in prolonging the life of a company and determining the success of each of an organisation’s business functions. The last decade and a half has seen data warehousing rising in priority within corporate data management as it provides an effective supporting platform for decision support tools. A cross-sectional survey conducted by this research showed that data warehousing is starting to be used within organisations for their engineering asset management, however the industry uptake is slow and has much room for development and improvement. This conclusion is also evidenced by the lack of systematic scholarly research within asset management data warehousing as compared to data warehousing for other business areas. This research is motivated by the lack of dedicated research into asset management data warehousing and attempts to provide original contributions to the area, focussing on data modelling. Integration is a fundamental characteristic of a data warehouse and facilitates the analysis of data from multiple sources. While several integration models exist for asset management, these only cover select areas of asset management. This research presents a novel conceptual data warehousing data model that integrates the numerous asset management data areas. The comprehensive ethnographic modelling methodology involved a diverse set of inputs (including data model patterns, standards, information system data models, and business process models) that described asset management data. Used as an integrated data source, the conceptual data model was verified by more than 20 experts in asset management and validated against four case studies. A large section of asset management data are stored in a relational format due to the maturity and pervasiveness of relational database management systems. Data warehousing offers the alternative approach of structuring data in a dimensional format, which suggests increased data retrieval speeds in addition to reducing analysis complexity for end users. To investigate the benefits of moving asset management data from a relational to multidimensional format, this research presents an innovative relational vs. multidimensional model evaluation procedure. To undertake an equitable comparison, the compared multidimensional are derived from an asset management relational model and as such, this research presents an original multidimensional modelling derivation methodology for asset management relational models. Multidimensional models were derived from the relational models in the asset management data exchange standard, MIMOSA OSA-EAI. The multidimensional and relational models were compared through a series of queries. It was discovered that multidimensional schemas reduced the data size and subsequently data insertion time, decreased the complexity of query conceptualisation, and improved the query execution performance across a range of query types. To facilitate the quicker uptake of these data warehouse multidimensional models within organisations, an alternate modelling methodology was investigated. This research presents an innovative approach of using a case-based reasoning methodology for data warehouse schema design. Using unique case representation and indexing techniques, the system also uses a business vocabulary repository to augment case searching and adaptation. The system was validated through a case-study where multidimensional schema design speed and accuracy was measured. It was found that the case-based reasoning system provided a marginal benefit, with a greater benefits gained when confronted with more difficult scenarios.

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8

Moghaddaszadeh, Kermani Mohammad. "Criticality strategic decision making model for maintenance and asset management". Thesis, University of Manchester, 2016. https://www.research.manchester.ac.uk/portal/en/theses/criticality-based-strategic-decision-making-model-for-maintenance-and-asset-management(913ab341-1c44-480c-875e-77d8e28f037b).html.

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Over the last century, there has been growing interest in changing the approach to maintenance management. The current practice for selecting critical equipment and making a decision on the most appropriate maintenance strategy is perceived to have serious limitations, principally because it lacks decision analysis. Due to the complex nature of decision-making in maintenance management, different models have been developed for selecting critical equipment. However, many of these models considered maintenance management as operational concern and ignored the strategic concerns of maintenance management. This thesis builds upon earlier works on decision-making for selecting critical equipment and maintenance strategy. It sets out to construct three hypotheses by introducing evidence from a comprehensive literature review, case study analysis and in-depth interviews. The thesis focuses on artificial intelligence and multi-criteria decision-making techniques (i.e. Fuzzy Logic and Analytical Hierarchy Process) to bridge this gap. It proposes a strategic decision-making model in maintenance and asset management for selecting critical equipment and deciding on a maintenance strategy. The novelty of model is to propose an approach in which maintenance strategy can be applied based on the equipment criticality while not making a trade-off between safety and cost but rather to combine the concern of safety with financial, operational and technical perspectives. The model provides an opportunity to consider safety as the first priority. The research output suggests that existing criticality assessment methods for optimising maintenance delivery have limited value and are suffering from a lack of strategic decision analysis. Multi-criteria decision-making tools could be used to improve decision-making of criticality assessment methods and hence maintenance strategy implementation. The validity of the proposed strategic decision-making model was tested through case study analysis and in-depth interviews. The results suggest that a strategic decision-making model could have a significant impact on improving safety, reliability and operational availability. The strategic decision-making model would enable asset managers to track the consequences of their decisions whilst dealing with maintenance. It is also an effective tool in the hands of a maintenance department to convince their asset managers to make a maintenance investment.

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9

Venter, Marie. "A teacher’s experience of implementing the asset-based approach to teach Grade 7 learners". Diss., University of Pretoria, 2013. http://hdl.handle.net/2263/40451.

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The purpose of this study was to gain insight into a teacher’s experience in implementing the asset-based approach to teach Life Orientation to a Grade 7 class. More specifically I explored expected and unexpected benefits as well as challenges in relation to the implementation of asset-based teaching. My working assumptions were that both teachers and learners possess assets that may support teaching and learning and that the process of asset-based teaching can support teachers to attend to a variety of needs in one classroom. Nested within the wider positive psychology paradigm I relied on the asset-based approach as theoretical framework. I conducted qualitative research following an instrumental case study research design, applying participatory action research principles. Meta-theoretically I framed the study within Interpretivism in order to obtain an in-depth understanding of the phenomenon under investigation. One Grade 7 teacher was selected as participant through purposeful sampling. A government primary school in Pretoria was selected conveniently. I used semi-structured interviews, analysis of existing documents and artefacts, and observation to collect data, that were documented in the form of verbatim transcripts, photographs, field notes and a research journal. Following thematic data analysis three main themes emerged related to the process of asset-based teaching, positive changes of assetbased teaching, and challenges associated with asset-based teaching. In identifying assets within the classroom (Theme 1), the teacher in this study became aware of both the learners’ and her own assets that could be mobilised to support teaching and learning. Assets identified within the different systems of the bio-ecological model and own action plan were used to support the mobilisation of assets. Ownership and commitment formed an essential part of the phase of managing assets. Positive changes that were identified subsequent to implementing asset-based teaching (Theme 2) relate to increased confidence and self-knowledge of learners and the teacher, identification of assets, enablement in the classroom, recognising the value of reflection in teaching, focusing away from learners’ needs towards their assets and strengths, increased motivation and trust amongst learners, a decrease in behaviour difficulties, and learners working more independently. Challenges that were identified in implementing asset-based teaching (Theme 3) include an increased workload and responsibility in teaching, difficulty to focus away from needs to strengths, lack of sustainability of positive changes, behaviour challenges, limited understanding of asset-based terminology, difficulty to integrate asset-based teaching into the curriculum of various learning areas, high teacher-learner ratios, socio-economic challenges, the needs-based orientation of society, and limited support to learners from home. Based on the findings of the study I conclude that asset-based teaching can be viewed as a suitable alternative way of teaching, following the dynamic process of identifying, mobilising and managing assets. In this manner, the diverse needs of learners may be addressed in one classroom. In addition the study indicates that asset-based teaching may support adolescents in dealing with developmental changes. # Additional information of the Appendices are kept on Level 3 Merensky Library.
Dissertation (MEd)--University of Pretoria, 2013.
gm2014
Educational Psychology
Unrestricted

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Kaminska, Karolina. "Applying the RE-AIM Model to Asset-Based Community Health Interventions: A Multiple Case Study in Tower Hamlets, London, UK". Thesis, Université d'Ottawa / University of Ottawa, 2016. http://hdl.handle.net/10393/35522.

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Public health policy and practice principally acknowledge a needs-based approach when developing, implementing, and evaluating community health programs. This needs-based perspective receives criticism because it focuses too heavily on what is missing or wrong with communities as opposed to building on their strengths. As a result, community members are perceived as passive recipients, which is disempowering, and ultimately risks creating unsustainable and ineffective programs. In recent years, there has been a growing interest in achieving a balance between the needs-based approach and the asset-based approach, which accentuates positive capabilities. While the amount of literature discussing the benefits of this latter perspective has grown substantially, accompanying evaluation required to sustain continued investment has been limited. Compared to needs-based research, there is less literature on asset-based evaluation. Emphasis on such research could contribute to the progression of evaluation methodologies and theories, ultimately encouraging their use. The purpose of this study is to apply an existing public health evaluation framework – the RE-AIM model (Glasgow, Vogt, and Boles, 1999) – to asset-based community health interventions and to examine the utility of such an evaluation structure across a variety of asset-based health projects. A multiple case study design facilitated comparison of the applicability of the RE-AIM model dimensions – Reach, Effectiveness, Adoption, Implementation, and Maintenance across three cases in the East London borough of Tower Hamlets, United Kingdom. These included the Local Links Asset-mapping project, the Healthy Early Years Project, and the Good Moves project. The RE-AIM framework is additionally guided by principles of the Realist Evaluation approach (Pawson and Tilley, 1997). This research study contributes to asset-based research by providing a guideline and conceptual framework to support asset-based intervention evaluation theory and practice.

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Goode, Heather A. "Using the Herrmann whole brain® model for mentoring academic staff". Diss., University of Pretoria, 2014. http://hdl.handle.net/2263/45935.

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My research provides an account of evaluating my mentoring practice using an Action Research design complemented by a mixed methods approach and the Hermann Whole Brain® Model (Herrmann, 1995). I explored how I can transform my mentoring practice using the principles of Whole Brain® thinking and how I can contribute to enriching the professional development of academic staff. My research has proceeded from an innovative idea and existing practice as an asset-based approach (Du Toit, 2009). By utilising an Action Research design my research articulates the construction of my understanding of mentoring of other academic staff in their professional practice. I followed a constructivist approach as used by Piaget (1952, 1970) that is considered an appropriate epistemological underpinning of Action Research. My research design shows thinking style flexibility as an action researcher in that I have drawn on each quadrant of the Whole Brain® Theory as developed by Herrmann (1995). This enabled me to construct meaning with my peer mentees through the assessing of practice-based evidence, engagement and reflection. As my goal in mentoring is to assist in developing independent reflexive practitioners, I have chosen to use the constructs contribute to and catalyse to express my awareness that responsibility for professional development remains with the individual and that a mentor is not the only source of professional development in the context of a Private Higher Education Institution. I have found that my peer mentees have differing thinking style preferences and varying professional experiences that required of me to engage with each in distinct ways to support the development of their professional practices. I position Whole Brain® Mentoring as a practice of mentoring that utilises multiple strategies for professional learning, both formal and non-formal, to engage the thinking preferences and disinclinations of mentees to catalyse the professional development of both the mentor and mentees. Many of my peer mentees perceive themselves as mentors, both of students and, in some cases, of other academic staff (our peers) as well. There is evidence that I utilise multiple strategies to facilitate professional learning and contribute to the professional development of peer mentees and that they have contributed to mine. My research provides evidence that I have become a more reflective practitioner, able to transform my Whole Brain® Mentoring Practice.
Dissertation (MEd)--University of Pretoria, 2014.
tm2015
Humanities Education
MEd
Unrestricted

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Severino, L??lian Santos Marques. "Modelos CAPM e CCAPM aplicados ao mercado imobili??rio de S??o Paulo e Rio de Janeiro". Universidade Cat??lica de Bras??lia, 2016. https://bdtd.ucb.br:8443/jspui/handle/tede/2148.

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This study aims to analyze the behavior of the real estate market in the Brazilian cities of S??o Paulo and Rio de Janeiro from 2008 to 2016 as seen through the analysis of monthly pricing data for both sales and rental markets, apparent consumption, stock of properties, and market return (IBOVESPA). Two models were estimated, the first, the CAPM, aimed at analyzing how return from investment in housing in both cities compared to the market return (IBOVESPA). The second model, the CCAPM was modified to suit the presence of preference for ownership of property. This study concludes that regarding the change-over of the return rates in Rio de Janeiro and S??o Paulo, investment in the housing market in both cities is negatively affected by the change-over of the return in investments on the whole stock market. Moreover, when we include the consumption in the pricing model, there is an intertemporal discount factor for consumption of roughly 0,98 per month for both cities, which confirms that Brazilian real estate buyers are more impatient than their American counterparts, and that the percentage of their income spent on consumption and investment in housing varies from one city to another.
O presente trabalho trata do comportamento do mercado imobili??rio nas cidades de S??o Paulo e Rio de Janeiro no per??odo de 2008 a 2016, analisando dados mensais de pre??os de venda e de aluguel de im??veis, consumo aparente, estoque de im??veis e taxa de retorno de mercado (IBOVESPA). Foram estimados dois modelos, o primeiro, o CAPM, visou analisar o comportamento do retorno do investimento imobili??rio das duas localidades em rela????o ao retorno de mercado e o segundo modelo, o CCAPM modificado para exist??ncia de prefer??ncias pela propriedade de im??veis. O estudo conclui, em rela????o ??s taxas de retorno, que a varia????o do investimento no mercado imobili??rio, tanto no Rio de Janeiro quanto em S??o Paulo, ?? afetada de forma negativa pela varia????o do retorno de mercado. Al??m disso, quando inclui o consumo no modelo de precifica????o, observa-se um fator de desconto intertemporal do consumo em torno de 0,98 ao m??s para as duas cidades, confirmando que o consumidor brasileiro ?? mais impaciente que o americano, e que os percentuais da sua renda destinada ao consumo e ao investimento imobili??rio diferem de uma cidade para a outra.

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Koh, Woo Hwa. "Essays on the Cross-section of Returns". The Ohio State University, 2015. http://rave.ohiolink.edu/etdc/view?acc_num=osu1436980305.

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Stein-Balock, Amanda. "Predicting the quality of center-based early care and education programs for preschool children a cumulative asset model /". [Ames, Iowa : Iowa State University], 2007.

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Falconer, E. "The development of a conceptual model for supporting a case based reasoning selection among decision support systems for strategic asset allocation". Thesis, University of the West of Scotland, 2008. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.556185.

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The research which forms the basis of this thesis introduces a conceptual model for supporting a case-based reasoning (CBR) selection among decision support systems for strategic asset allocation. Strategic asset allocation is part of an investment policy and is used when choosing an investment portfolio. Strategic asset allocation decision support systems commonly follow a rule-based approach to decision making. The purpose of the conceptual model, introduced by this research, is to support the adoption of a CAR approach, as CAR can be used to produce learning abilities and flexibility. The conceptual model is supported by an intelligent agent framework. Experiments are used to demonstrate the operability of the conceptual model using different decision models. The conceptual model uses case-based learning and flexibility to learn the decision-making processes of different organisations. From evaluations of the conceptual model evidence was found that indicated that intelligent agents and CAR could introduce learning and flexibility into decision support systems used for strategic asset allocation. The conceptual model developed and validated by this research constitutes the research contribution to knowledge.

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Aldaarmi, Abdulaziz Adel Abdulaziz. "An electronic financial system adviser for investors : the case of Saudi Arabia". Thesis, Brunel University, 2015. http://bura.brunel.ac.uk/handle/2438/11239.

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Financial markets, particularly capital and stock markets, play an important role in mobilizing and canalising the idle savings of individuals and institutions to the investment options where they are really required for productive purposes. The prediction of stock prices and returns is carried out in order to enhance the quality of investment decisions in stock markets, but it is considered to be tricky and complicates tasks as these prices behave in a random fashion and vary with time. Owing to the potential of returns and inherent risk factors in stock market returns. Various stock market prediction models and decision support systems such as Capital asset pricing model, the arbitrage pricing theory of Ross, the inter-temporal capital asset pricing model of Merton ,Fama and French five-factor model, and zero beta model to provide investors with an optimal forecast of stock prices and returns. In this research thesis, a stock market prediction model consisting of two parts is presented and discussed. The first is the three factors of the Fama and French model (FF) at the micro level to forecast the return of the portfolios on the Saudi Arabian Stock Exchange (SASE) and the second is a Value Based Management (VBM) model of decision-making. The latter is based on the expectations of shareholders and portfolio investors about taking investment decisions, and on the behaviour of stock prices using an accurate modern nonlinear technique in forecasting, known as Artificial Neural Networks (ANN). This study examined monthly data relating to common stocks from the listed companies of the Saudi Arabian Stock Exchange from January 2007 to December 2011. The stock returns were predicted using the linear form of asset pricing models (capital asset pricing model as well as Fama and French three factor model). In addition, non-linear models were also estimated by using various artificial neural network techniques, and adaptive neural fuzzy inference systems. Six portfolios of stock predictors are combined using: average, weighted average, and genetic algorithm optimized weighted average. Moreover, value-based management models were applied to the investment decision-making process in combination with stock prediction model results for both the shareholders’ perspective and the share prices’ perspective. The results from this study indicate that the ANN technique can be used to predict stock portfolio returns; the investment decisions and the behaviour of stock prices, optimized by the genetic algorithm weighted average, provided better results in terms of error and prediction accuracy compared to the simple linear form of stock price prediction models. The Fama and French model of stock prediction is better suited to Saudi Arabian Stock Exchange investment activities in comparison to the conventional capital assets pricing model. Moreover, the multi-stage type1 model, which is a combination of Fama and French predicted stock returns and a value-based management model, gives more accurate results for the stock market decision-making process for investment or divestment decisions, as well as for observing variation in and the behaviour of stock prices on the Saudi stock market. Furthermore, the study also designed a graphic user interface in order to simplify the decision-making process based upon Fama and French and value-based management, which might help Saudi investors to make investment decisions quickly and with greater precision. Finally, the study also gives some practical implications for investors and regulators, along with proposing future research in this area.

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BORELLO, GIULIANA. "EMPIRICAL EVIDENCE ON PREDICTABILITY OF EXCESS RETURNS: CONTRARIAN STRATEGY, DOLLAR COST AVERAGING, TACTICAL ASSET ALLOCATION BASED ON A THICK MODELING STRATEGY". Doctoral thesis, Università Cattolica del Sacro Cuore, 2010. http://hdl.handle.net/10280/694.

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Questa tesi è composta da 3 differenti lavori che ci confermano la prevedibilità degli extra rendimenti rispetto al mercato usando semplici strategie di portafoglio azionario utilizzabili sia dal semplice risparmiatore sia dall'investitore istituzionale. Nel primo capitolo è stata analizzata la profittabilità della contrarian strategy nel mercato azionario Italiano. In letteratura é stato già abbondantemente dimostrato che i rendimenti azionari sono caratterizzati da un’autocorrelazione negativa nel breve periodo e da un effetto di ritorno alla media nel lungo periodo. La contrarian strategy é utilizzata per trarre profitto dalla correlazione seriale negativa dei rendimenti azionari, infatti, vendendo i titoli che si sono rivelati vincenti nel passato (in termini di rendimento) e acquistando quelli "perdenti" si ottengono profitti inaspettati. Nel secondo paper, l'analisi si focalizza sulla strategia di portafoglio definita Dollar Cost Averaging (DCA). La Dollar Cost Averaging si riferisce a una semplice metodologia di portafoglio che prevede di investire una somma fissa di denaro in un'attività rischiosa a uguali intervalli di tempo, per tutto l'orizzonte temporale prefissato. Il lavoro si propone di confrontare i vantaggi, in termini di riduzione sostanziale del rischio, di questa strategia dal punto di vista di un semplice risparmiatore. Nell'ultimo capitolo, ipotizzando di essere un investitore istituzionale che possiede ogni giorno numerose informazioni e previsioni, ho cercato di capire come egli può usare tutte le informazioni in suo possesso per decidere prontamente come allocare al meglio il patrimonio del fondo. L’investitore normalmente cerca di identificare la migliore previsione possibile, ma quasi sempre non riesce ad identificare l’esatto processo dei prezzi sottostanti. Quest’osservazione ha condotto molti ricercatori ad utilizzare numerosi fattori esplicativi per ottenere un buona previsione. Il paper supporta l’esistente letteratura che utilizza un nuovo approccio per trasformare previsioni di rendimenti in scelte di gestione di portafoglio che possano offrire una maggiore performance del portafoglio.Partendo dal modello d’incertezza di Pesaran e Timmerman(1996), considero un cospicuo numero di fattori macroeconomici per identificare un modello predittivo che mi permetta di prevedere i movimenti del mercato tenendo presente i maggiori indicatori economici e finanziari e considerato che il loro rispettivo potere predittivo cambia nel tempo.
This thesis is composed by three different papers that confirm us the predictability of expected returns using different simple portfolio strategy and under different point of view (i.e. a generic saver and institutional investor). In the first chapter, I investigate the profitability of contrarian strategy in the Italian Stock Market. However empirical research has shown that asset returns tend to exhibit some form of negative autocorrelation in the short term and mean-reversion over long horizons. Contrarian strategy is used to take advantage of serial correlation in stock price returns, such that selling winners and buying losers generates abnormal profits. On the second chapter, the analyse is focused in another classic portfolio strategy called Dollar Cost Averaging (DCA). Dollar Cost Averaging refers to an investment methodology in which a set dollar amount is invested in a risky asset at equal intervals over a holding period. The paper compares the advantages and risk of this strategy from the point of view of a saver. Lastly, supposing to be an institutional investor who has a large number of information and forecasts, I tried to understand how using all them he decide with dispatch how to allocate the portfolio fund. When a wide set of forecasts of some future economic events are available, decision makers usually attempt to discover which is the best forecast, but in almost all cases a decision maker cannot identify ex ante the true process. This observation has led researchers to introduce several sources of uncertainty in forecasting exercises. The paper supporting the existent literature employs a novel approaches to transform predicted returns into portfolio asset allocations, and their relative performances. First of all dealing with model uncertainty, as Pesaran and Timmerman (1996), I consider a richer parameterization for the forecasting model to find that the predictive power of various economic and financial factors over excess returns change through time.

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Methi, Lina Mmakgabo. "Exploring how a school community copes with violence". Diss., University of Pretoria, 2010. http://hdl.handle.net/2263/26122.

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My study is informed by a partnership initiated between Gun Free South Africa and the Department of Education (District Tshwane South) with the concern of addressing violence in schools. Schools are often seen as professionalised and distant from their local communities. Learners belong to the very communities that are distanced from the school. They bring to school the unresolved issues from their families and interpersonal relations within the community. The study aimed to explore and describe the experiences of violence by a school community and how they cope with it. The study was informed by a qualitative and instrumental case study design within an interpretivist paradigm. Furthermore, the study was guided by an integrated conceptual framework derived from an asset-based and ecosystemic model, coping theories and the management system adapted from Babbie (2001). To address this I incorporated a variety of strategies such as interviews, collages, timeline and concept mapping through which a crystallisation of data could be obtained. I also used informal observations and visual data as additional data generating methods. Through a thematic analysis approach the study reveal the existence of violence as a challenge to the school community, and impacts directly or indirectly to their well-being. The study has further indicated that the perpetrators are known to the victims. The findings of the study suggest that on the basis of the integrated conceptual framework support structures could be mobilized, building partnerships between local schools and the community to provide a firm foundation for educational renewal and community regeneration and to contribute directly to the strengthening and development of the school community. The information gathered might also assist policy developers in developing support and intervention programmes for the restoration of school safety. Copyright
Dissertation (MEd)--University of Pretoria, 2010.
Educational Psychology
MEd
unrestricted

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Pai, Yu-Jou. "Risks in Financial Markets". University of Cincinnati / OhioLINK, 2020. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1584003500272517.

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Shahwan, Yousef Said. "The Australian market perception of goodwill and identifiable intangibles". Thesis, View thesis, 2002. http://handle.uws.edu.au:8081/1959.7/782.

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Accounting for goodwill and identifiable intangibles is one of the most controversial issues in financial reporting. It has been on the agenda of the Australian Accounting Standards Board, the US, UK, and the International Accounting Standards Boards, and the Full High Court of Australia. The Australian Securities and Investments Commission has also placed accounting for intangibles in its Media Releases directed at specific companies. Evidence suggests that the materiality of goodwill and identifiable intangible assets in corporate statements of financial position for a large number of companies is the reason for the considerable attention given to goodwill and identifiable intangibles. The present study has two objectives. First, it analyses the Australian market perception of goodwill and identifiable intangibles as assets in the determination of the market valuation of companies. Second, it investigates whether the market perceives goodwill and identifiable intangibles as wasting resources when valuing Australian firms. In order to achieve these objectives, the analysis initially develops and estimates a model (the asset-based model) that uses financial position statement items to explain the market value of companies' equity. This model examines the association between reported goodwill and identifiable intangible asset values and companies' market values. Given Ohlson's (1993) argument that companies' market value might be better explained by a model that includes a stock concept of value and a flow concept of earnings, a second model (the asset and income-based model) that incorporates an income variable into the initial model, is then developed and estimated. This model examines the association between the goodwill and identifiable intangible amortisation expense and companies' market values. Evidence suggests that there is a statistically significant negative association between equity market values and write-offs of goodwill, confirming the market perception of write-offs of goodwill as a wasting resource when valuing companies. Evidence also suggests that there is a statistically significant negative association between equity market values and write-offs of identifiable intangibles, at least for the total sample of the present study, providing limited evidence of the market perception of identifiable intangibles as wasting resources when valuing companies. However, the negative and inconsistently significant association between equity market values and write-offs of identifiable intangibles on an annual basis suggests that the relationship may be more complex than traditionally analysed

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Ebersohn, Suzette. "Die benutting van veerkrag deur middel-adolessente in ’n hersaamgestelde gesin". Thesis, University of Pretoria, 2011. http://hdl.handle.net/2263/24197.

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Divorce is a potentially destructive reality in society. According to the bio-ecological model of Bronfenbrenner, the development of the child takes place within two micro family systems when a family is reconstituted following divorce: the primary micro family system, where the child resides permanently with his/her biological parent who has parental rights and responsibilities, as well as the secondary micro family system of the other biological parent who also has parental rights and responsibilities, where the child visits periodically. Challenges that the child faces in the context of the reconstituted family thus include shared membership of the two micro family systems and the complexity of the mesosystem. Resilience can be defined as a process of the inborn ability to achieve positive outcomes and to adjust successfully despite challenges and adverse living conditions. The purpose of the study was twofold: firstly, to achieve understanding of the way in which middle-adolescents of divorced parents, in moving between the two micro family systems of their reconstituted families, utilise their resilience to develop optimally in spite of a probably dysfunctional relationship between their biological parents at the mesosystemic level and secondly, to contribute to the fields of knowledge on resilience and bio-ecological theory in order to enhance educational psychology praxis with regard to the adaptation of adolescents of divorced parents in reconstituted families. The study was qualitative, and conducted in the interpretive paradigm. A multiple case study with a purposeful sampling of four participants was used. Unstructured narrative conversations were conducted, which included a resilience-based therapeutic intervention to facilitate sensitisation regarding personal strengths and assets in accordance with the assetbased approach. The format of the data description and analysis was defined by the narrative way of working. The participants’ utilisation of resilience qualities was evaluated in accordance with a definition of resilience which had been newly constructed by means of a synthesis of the bio-ecological model, positive psychology and the focuses of the first three waves of resilience research. The findings of the study indicated that the way in which middle-adolescents utilise their resilience depends on a therapeutic process (a personal, controlled process) as well as the nature of the mesosystem in their developmental context (a factor that can only be controlled by the divorced biological parents). In respect of a therapeutic process, the utilisation of the middle-adolescents’ resilience depends on their emotional security to make conscious choices to mobilise their resilience and consequently change their behaviour in order to cope effectively with difficult family circumstances in both their micro-family systems. In respect of the nature of the mesosystem, the utilisation of the middle-adolescents’ resilience depends on the effectiveness of the relationship between their divorced biological parents at the mesosystemic level. The utilisation of resilience per se is apparently dependent on some consistent systemic foundation in the developmental context of the child, which is, in the case of divorce, the mesosystem.
Thesis (PhD)--University of Pretoria, 2011.
Educational Psychology
unrestricted

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Caliskan, Nilufer. "Asset Pricing Models: Stochastic Volatility And Information-based Approaches". Master's thesis, METU, 2007. http://etd.lib.metu.edu.tr/upload/12608213/index.pdf.

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We present two option pricing models, both different from the classical Black-Scholes-Merton model. The first model, suggested by Heston, considers the case where the asset price volatility is stochastic. For this model we study the asset price process and give in detail the derivation of the European call option price process. The second model, suggested by Brody-Hughston-Macrina, describes the observation of certain information about the claim perturbed by a noise represented by a Brownian bridge. Here we also study in detail the properties of this noisy information process and give the derivations of both asset price dynamics and the European call option price process.

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Gorjian, Nima. "Asset health prediction using the explicit hazard model". Thesis, Queensland University of Technology, 2012. https://eprints.qut.edu.au/57314/1/Nima_Gorjian_Jolfaei_Thesis.pdf.

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The ability to estimate the asset reliability and the probability of failure is critical to reducing maintenance costs, operation downtime, and safety hazards. Predicting the survival time and the probability of failure in future time is an indispensable requirement in prognostics and asset health management. In traditional reliability models, the lifetime of an asset is estimated using failure event data, alone; however, statistically sufficient failure event data are often difficult to attain in real-life situations due to poor data management, effective preventive maintenance, and the small population of identical assets in use. Condition indicators and operating environment indicators are two types of covariate data that are normally obtained in addition to failure event and suspended data. These data contain significant information about the state and health of an asset. Condition indicators reflect the level of degradation of assets while operating environment indicators accelerate or decelerate the lifetime of assets. When these data are available, an alternative approach to the traditional reliability analysis is the modelling of condition indicators and operating environment indicators and their failure-generating mechanisms using a covariate-based hazard model. The literature review indicates that a number of covariate-based hazard models have been developed. All of these existing covariate-based hazard models were developed based on the principle theory of the Proportional Hazard Model (PHM). However, most of these models have not attracted much attention in the field of machinery prognostics. Moreover, due to the prominence of PHM, attempts at developing alternative models, to some extent, have been stifled, although a number of alternative models to PHM have been suggested. The existing covariate-based hazard models neglect to fully utilise three types of asset health information (including failure event data (i.e. observed and/or suspended), condition data, and operating environment data) into a model to have more effective hazard and reliability predictions. In addition, current research shows that condition indicators and operating environment indicators have different characteristics and they are non-homogeneous covariate data. Condition indicators act as response variables (or dependent variables) whereas operating environment indicators act as explanatory variables (or independent variables). However, these non-homogenous covariate data were modelled in the same way for hazard prediction in the existing covariate-based hazard models. The related and yet more imperative question is how both of these indicators should be effectively modelled and integrated into the covariate-based hazard model. This work presents a new approach for addressing the aforementioned challenges. The new covariate-based hazard model, which termed as Explicit Hazard Model (EHM), explicitly and effectively incorporates all three available asset health information into the modelling of hazard and reliability predictions and also drives the relationship between actual asset health and condition measurements as well as operating environment measurements. The theoretical development of the model and its parameter estimation method are demonstrated in this work. EHM assumes that the baseline hazard is a function of the both time and condition indicators. Condition indicators provide information about the health condition of an asset; therefore they update and reform the baseline hazard of EHM according to the health state of asset at given time t. Some examples of condition indicators are the vibration of rotating machinery, the level of metal particles in engine oil analysis, and wear in a component, to name but a few. Operating environment indicators in this model are failure accelerators and/or decelerators that are included in the covariate function of EHM and may increase or decrease the value of the hazard from the baseline hazard. These indicators caused by the environment in which an asset operates, and that have not been explicitly identified by the condition indicators (e.g. Loads, environmental stresses, and other dynamically changing environment factors). While the effects of operating environment indicators could be nought in EHM; condition indicators could emerge because these indicators are observed and measured as long as an asset is operational and survived. EHM has several advantages over the existing covariate-based hazard models. One is this model utilises three different sources of asset health data (i.e. population characteristics, condition indicators, and operating environment indicators) to effectively predict hazard and reliability. Another is that EHM explicitly investigates the relationship between condition and operating environment indicators associated with the hazard of an asset. Furthermore, the proportionality assumption, which most of the covariate-based hazard models suffer from it, does not exist in EHM. According to the sample size of failure/suspension times, EHM is extended into two forms: semi-parametric and non-parametric. The semi-parametric EHM assumes a specified lifetime distribution (i.e. Weibull distribution) in the form of the baseline hazard. However, for more industry applications, due to sparse failure event data of assets, the analysis of such data often involves complex distributional shapes about which little is known. Therefore, to avoid the restrictive assumption of the semi-parametric EHM about assuming a specified lifetime distribution for failure event histories, the non-parametric EHM, which is a distribution free model, has been developed. The development of EHM into two forms is another merit of the model. A case study was conducted using laboratory experiment data to validate the practicality of the both semi-parametric and non-parametric EHMs. The performance of the newly-developed models is appraised using the comparison amongst the estimated results of these models and the other existing covariate-based hazard models. The comparison results demonstrated that both the semi-parametric and non-parametric EHMs outperform the existing covariate-based hazard models. Future research directions regarding to the new parameter estimation method in the case of time-dependent effects of covariates and missing data, application of EHM in both repairable and non-repairable systems using field data, and a decision support model in which linked to the estimated reliability results, are also identified.

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Watari, Yugo. "Aplicação de alocação de risco em fatores (Risk Factor Budgeting) ao mercado brasileiro de ações". reponame:Repositório Institucional do FGV, 2017. http://hdl.handle.net/10438/18806.

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We approach portfolio construction with risk based allocation, using volatility as the measure of risk, and applying to the stock markets. We start by obtaining generic risk factors based on the approach of Fama&French; and them we decompose the volatility in risk contributions of those generic risk factors. Differing from previous works, instead of allocating in indexes that represent the generic risk factors, we allocate at the asset level, in hopes that this will lead to reproducing the effects of inveting on those indexes, which brings additional complexity to the problem. This was motivated by investors not always having access to invest in theses indexes. Finally, for the purpose of illustration, we apply the metodology to the brazilian stock markets, selecting as risk factors, the five Fama&French risk factors. We obtain portfolios with the desired risk contributions, but as we look in to the weights of each risk factor, there is alocations of weights in the risk factors not related to those of Fama&French, even though the risk contributions are neutralized. We argue that these allocations are preventing from obtaining exposures to the distinct characteristics of each Fama&French risk factor.
A construção de portfólios, ou seja, a definição da composição de uma carteira de ativos, é abordada, nesse trabalho, pela ótica da alocação baseada em contribuições do risco, medida via volatilidade, aplicada a uma carteira de ações. O objetivo é a construção de portfolios, via as contribuições de riscos; para isto construímos fatores de riscos genéricos baseados na abordagem de Fama&French; na sequência aplicamos uma metodologia para distribuir a volatilidade como contribuições de risco destes fatores genéricos. Diferentemente de outros trabalhos, ao invés de alocar em índices que representem estes fatores de riscos genéricos, alocamos diretamente nos ativos na expectativa de conseguirmos reproduzir o efeito de investir nestes índices, o que traz uma complexidade adicional. Esta abordagem foi motivada por nem sempre termos acesso à investir nesses índices. Finalmente, a título de ilustração, a metodologia foi aplicada ao mercado brasileiro de ações, em particular utilizando os fatores do modelo Fama&French de 5 fatores. Obtivemos portfolios com as contribuições de riscos desejadas em relação aos fatores de Fama&French, mas ao se analisar a alocação dos pesos dos fatores de riscos sobre os portfolios obtidos, verificamos que são alocados pesos a fatores que não estão relacionados aos de Fama&French, apesar das contribuições de risco destas estarem neutralizadas. E por fim argumentamos que estas alocações evitam a captura das características distintas de cada fator que gostaríamos de reproduzir.

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Abdel, Moteleb Moustafa. "Risk Based Decision Making Tools for Sewer Infrastructure Management". University of Cincinnati / OhioLINK, 2010. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1282051778.

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Hoagland, Steven. "TRANSIENT-BASED RISK ANALYSIS OF WATER DISTRIBUTION SYSTEMS". UKnowledge, 2016. http://uknowledge.uky.edu/ce_etds/39.

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Water distribution system utilities must be able to maintain a system’s assets (i.e., pumps, tanks, water mains, etc.) in good working condition in order to provide adequate water quantity and quality to its customers. Various asset management approaches are employed by utilities in order to make optimal decisions regarding the renewal of system components. Part of a good asset management approach is performing a comprehensive risk analysis which consists of considering all potential ways in which the system may fail, the likelihood failure of for each scenario, and the consequences of said failure. This study investigates a water distribution system’s risk of failure due to both acute transient events (e.g., pump trip) and standard pressure fluctuations due to daily system operations. Such an analysis may be useful in optimal decision making such as asset monitoring, scheduling of condition assessments or system renewal projects, policy implementation, and investment priorities in order to keep the utility’s total costs at a minimum. It may also be useful as a precautionary measure to help prevent catastrophic failures such as large main blowouts for which the utility would incur substantial costs, both direct and indirect. As part of this thesis, a database of water distribution system models is used to analyze the effects of an acute transient event for different system configurations. The database was created at the University of Kentucky and has been made available to the research community to test newly developed algorithms for various studies including optimal system operations and optimal system design.

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Pickard, Brian D. "Development of A GIS Based Infrastructure Replacement Prioritization System; A Case Study". [Tampa, Fla] : University of South Florida, 2006. http://purl.fcla.edu/usf/dc/et/SFE0001496.

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Reschreiter, Andreas. "Conventional and indexed UK bond returns and the macroeconomy : an empirical analysis based on asset pricing and reduced form VAR models". Thesis, Imperial College London, 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.271099.

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Neto, Aníbal Emiliano da Silva. "Comparação de métodos de estimação de modelos de apreçamento de ativos". Universidade de São Paulo, 2012. http://www.teses.usp.br/teses/disponiveis/45/45133/tde-01032013-224944/.

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O objetivo deste trabalho é comparar diferentes formas de estimação de modelos de apreçamento de ativos. Além dos métodos tradicionais, que utilizam toda a amostra no processo de estimação dos parâmetros do modelo, será utilizado o método rolling, que estima os parâmetros através da utilização de janelas móveis de tamanho fixo. Com isso, utilizando a técnica de backtesting, procura-se averiguar se o método rolling proporciona um ganho na qualidade de ajuste em modelos de apreçamento de ativos.
The aim of this project is to compare methods of estimating asset pricing models. In addition to using traditional methods, which estimate the models parameters by using the entire sample at once, the rolling method will be used. This method estimates the models parameters by using a rolling window of fixed size through the sample. By using backtesting, we seek to investigate whether the rolling approach provides an improvement in the goodness of fit in asset pricing models.

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Adolfsson, Teodor, i Henrik Domellöf. "Factor Investing on the Swedish Stock Market : A Quantitative Study of a Model Based on Quality and Value". Thesis, Umeå universitet, Företagsekonomi, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-149715.

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Investors and fund managers have, since the start of financial markets, always been on the lookout for new ways of beating the market. However, researchers of the Efficient Market Hypothesis have shown that markets are usually highly efficient, implying that there are few possibilities of earning returns that are higher than the market returns, on a risk adjusted basis. Prevailing theories, such as the Capital Asset Pricing Model, has shown that increased return must stem from taking on higher risk. Though, this model’s explanatory power has been challenged by numerous researchers who propose different factors, other than market risk, which could hold explanatory power when it comes to returns in the stock market. This area of research is called factor investing, and has shown that factors such as momentum, size, and value, all can lead to outperforming the market.This study examines how a model based on two common factors, quality and value, would have performed on the Swedish stock market. The study is based on five portfolios chosen by the quality and value factors, each one held for 5 years, examined over a 25-year time span and uses the capital asset pricing model as a tool to measure whether or not the selected factors outperform the market. The study has taken a quantitative approach to examining the research question, using a positivistic and objectivistic view.The results of the study show evidence that the quality and value factors can lead to significant outperformance relative to the market index. Both total returns and risk adjusted returns were higher than the market index for some of the portfolios created using the quality and value factors. Furthermore, statistical evidence was found of that CAPM not fully explains all returns, and thus, that the returns are in part explained by the quality and value factors. The findings led to the conclusion that the quality and value factors does, in fact, hold explanatory power beyond that of CAPM. Purchasing quality companies at a reasonable price is shown to be a sound investment strategy, and that a portfolio created using the quality and value factors has good chances of outperforming the market index.

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Bharadwaj, Ujjwal R. "Risk based life management of offshore structures and equipment". Thesis, Loughborough University, 2010. https://dspace.lboro.ac.uk/2134/8554.

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Risk based approaches are gaining currency as industry looks for rational, efficient and flexible approaches to managing their structures and equipment. When applied to inspection and maintenance of industrial assets, risk based approaches differ from other approaches mainly in their assessment of failure in its wider context and ramifications. These advanced techniques provide more insight into the causes and avoidance of structural failure and competing risks, as well as the resources needed to manage them. Measuring risk is a challenge that is being met with state of the art technology, skills, knowledge and experience. The thesis presents risk based approaches to solving two specific types of problem in the management of offshore structures and equipments. The first type is finding the optimum timing of an asset life management action such that financial benefit is maximised, considering the cost of the action and the risk (quantified in monetary terms) of not undertaking that action. The approach presented here is applied to managing remedial action in offshore wind farms and specifically to corroded wind turbine tower structures. The second type of problem is how to optimise resources using risk based criteria for managing competing demands. The approach presented here is applied to stocking spares in the shipping sector, where the cost of holding spares is balanced against the risk of failing to meet demands for spares. Risk is the leitmotiv running through this thesis. The approaches discussed here will find application in a variety of situations where competing risks are being managed within constraints.

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32

LE, TAI YUAN, i 戴源樂. "Asset Allocation Performance Based on Three Factor Model". Thesis, 2019. http://ndltd.ncl.edu.tw/handle/udzrvv.

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碩士
逢甲大學
財務金融學系
107
This paper investigates the Fama and French Three Factor Model for Taiwan equities and makes asset allocation choices by Three Factor Model. First of all, the size factor in Taiwan has large average returns and explains significant amount of test portfolio returns, with relatively low alphas. This paper also found that the average returns and risk premiums for the value factor is relatively low. The most certain observation in this paper is that the robustness of the size factor which can be easily observed in factors regression and has significantly large average returns and risk premiums. Moreover, we test the performance of our portfolios built by the Three Factor Model, from year 2007 to 2018 as our back-test period. The results show that most of our portfolios have beaten the market and benchmark. Although our portfolios have higher standard deviation (higher risk), but the Sharpe Ratios of the portfolios are higher.

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33

chen, hwang-chun, i 陳歡聰. "The Empirical Analysis of Production-Based Asset-Pricing Model in Taiwan". Thesis, 1997. http://ndltd.ncl.edu.tw/handle/05175412430220703094.

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34

Chen, Kuei-Lun, i 陳奎倫. "Asset Allocation Strategy Model Construction and Analysis by Applying Scenario-Based Approach". Thesis, 2009. http://ndltd.ncl.edu.tw/handle/60284065329997413233.

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碩士
國立高雄應用科技大學
金融資訊研究所
97
This research focuses on the analysis of the mid-term and long-term strategic asset allocation strategy and its model construction. We investigate the defect of the traditional Mean-Variance analysis framework, and then construct a standard procedure for the asset allocation model to meet investors’ need practically. Firstly, this research applies the scenario-based analysis approach and mixes the principle of Markov switching and the concept of Maximum Likelihood method to obtain the best asset allocation portfolio. From the empirical results, we find that, without respect to the set of global stock style or global balance style, the efficient frontier based on scenario-based approach with the target function of the return and variance is better than that on the forecasting foundation of historical-based approach. Instead of forecasting method of Markowtiz’s single scenario in tradition, the method of multiple scenarios analysis covers a variety of possible future economic conditions, which is more close to reality.

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35

Liu, Wei. "A New Asset Pricing Model based on the Zero-Beta CAPM: Theory and Evidence". Thesis, 2013. http://hdl.handle.net/1969.1/149521.

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This work utilizes zero-beta CAPM to derive an alternative form dubbed the ZCAPM. The ZCAPM posits that asset prices are a function of market risk composed of two components: average market returns and cross-sectional market volatility. Market risk associated with average market returns in the CAPM market model is known as beta risk. We refer to market risk related to cross-sectional market volatility as zeta risk. Using U.S. stock returns from January 1965 to December 2010, out-of-sample cross-sectional asset pricing tests show that the ZCAPM better predicts stock returns than popular three- and four-factor models. These and other empirical tests lead us to conclude that the ZCAPM holds promise as a robust asset pricing model.

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36

Chao, Cheng, i 趙崢. "The Application of Capital Asset Pricing Model Based on the Value and Momentum Strategies". Thesis, 2013. http://ndltd.ncl.edu.tw/handle/47822651339755646809.

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碩士
銘傳大學
財務金融學系碩士在職專班
101
The aim of this study is to examine whether investors can obtain securities gains by using the value and momentum strategies in Taiwanese stock market. To investigate whether the value strategy can improve investors'' return; this study uses the selected stocks based on the value strategy to further rebuild investment portfolios by using the momentum strategy. In addition, this study employs Sharp''s capital asset pricing model (CAPM) and three-factor Fama-French model to measure the portfolios'' performance. Results find that the portfolio with lower net value ratio and that with higher negative P/E ratio are more likely to beat the market when using the simple weighted monthly return. Furthermore, comparing the return of portfolio only based on the value strategy to that based on the value and momentum strategies, the result reveals that the difference between two investment portfolios is insignificant. When using capital asset pricing model and three-factor Fama-French model to measure the performance of the investment portfolio, the results find that the market beats the portfolio with losers. Since there are limitations on selling losers, it is difficult for investors to conduct the arbitrage behavior by selling the losing stocks.

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37

Zhang, Jia-Hua, i 張家華. "Dynamic Asset Allocation Strategies Based on DCC Copula-GARCH Model with Non-Gaussian Distributions". Thesis, 2012. http://ndltd.ncl.edu.tw/handle/69815800203821003713.

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碩士
國立高雄第一科技大學
風險管理與保險研究所
100
Due to the recent financial crisis, the dependence structure of different assets, together with the trade-off between risks and returns, has been emphasized in the portfolio management. In this study, we construct a dynamic asset allocation framework which applies Monte Carlo method to generate the dynamic optimal weights from dynamic conditional correlation (DCC) copula structure with non-Gaussian distributions based on minimum conditional-value-risk (CVaR) strategies. In addition, Zakamouline and Koekebakker (2009) propose adjusted for skewness and kurtosis Sharpe ratio (ASKSR) performance measure which take into account higher moments. According to the ASKSR of the dynamic asset allocation, it shows the DCC copula with non-Gaussian distributions is better than that with the static copula method. In addition, our dynamic asset allocation strategy can significantly reduce the impacts of the financial crisis on the portfolio values.

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38

王英雪 i 王英雪. "An Entropic Test of Consumption-based Capital Asset Pricing Model: The Case of Power Utility Function". Thesis, 2003. http://ndltd.ncl.edu.tw/handle/31440398868540197821.

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碩士
銘傳大學
財務金融學系碩士在職專班
91
An Entropic Test of Consumption-based Capital Asset Pricing Model: The Case of Power Utility Function Keywords: entropy, CCAPM, pricing, KLIC, integration, power utility function The purpose of this study is to propose an alternative test of consumption-based capital asset pricing model (CCAPM) under the entropy pricing framework. The advantage of the proposed test is that it provides the preliminary test for the implicit assumption that all the assets used in an econometric analysis should be in a perfectly integrated market. After passing the integration test, we conduct the entropic CCAPM test for the power utility function. The quarterly stock indices and consumption data are employed in this study. There are two measures of the consumption data, i.e., nondurables and nondurables and services. The empirical results show that in the relatively risk loving and risk neutral economy, the CCAPM could not be rejected. Under the relatively risk averse economy, the CCAPM could not be rejected when the degree of relative risk aversion is low. However, the CCAPM would be rejected when the degree of relative risk aversion is high. On the other hand, the CCAPM relatively holds in the economy that includes more risky assets.

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39

Yu-Ren, Hsiao. "The Internal Rating Based Model in New Basel Accord - Focusing on the calibration of Asset Return Correlation". 2004. http://www.cetd.com.tw/ec/thesisdetail.aspx?etdun=U0009-0112200611361859.

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40

Hsiao, Yu-Ren, i 蕭育仁. "The Internal Rating Based Model in New Basel Accord — Focusing on the calibration of Asset Return Correlation". Thesis, 2004. http://ndltd.ncl.edu.tw/handle/56958688436729945848.

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41

Liu, Xiaodong, i 劉曉東. "A Study on Consumption Capital Asset Pricing Model Theory: Based on Mainland-China House and Stock Market". Thesis, 2019. http://ndltd.ncl.edu.tw/handle/v3hv67.

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碩士
國立臺灣大學
國際企業學研究所
107
Compared with the traditional CCAPM model, this study divides consumer''s consumption into non-durable goods consumption and housing consumption in each period, and then derives a new formula of return rate and asset price, building a consumption-ratio-based CAPM. Apart from the traditional intertemporal consumption risk, the marginal substitution between consumption goods in the same period was added as a new risk indicator, thus CCAPM was partially improved. The assets discussed in this study include financial assets such as stocks and real estate assets such as houses. The data used are the annual data from 2002 to 2012 and the quarterly data from 2013 to 2018 of China. Historical data shows that the consumption ratio in mainland has obvious regional characteristics. The higher income rural residents earn, the more they tend to consume housing goods, while the higher income urban residents earn, the more they tend to consume non-durable goods. In addition, the consumption ratio in each quarter has significant relationship with ratios in the four seasons ahead. This study also found that the excess returns of stocks were significantly negatively correlated with the covariance of their rate of return and the growth of consumption ratio at both quarterly and annual levels. From the market as a whole, market excess returns and consumption ratios in stock market did not show significant relationship, but consumption ratio in the past five years showed a significant impact on the market excess returns of housing assets. The study pointed out that the consumption ratio of each period is an important observation indicator, reflecting the society''s expectation of the economy. In particular, the higher the proportion of non-durable goods relative to housing consumption, the higher the expected return on assets. In addition, considering the impact of the consumption ratio, the model can better explain the risk-free rate and excess return rate compared to CCAPM.

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42

Sankaran, Bharathwaj. "An investigation of factors impacting life-cycle application of Civil Integrated Management (CIM)". Thesis, 2014. http://hdl.handle.net/2152/28253.

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Highway projects are delivered in a complex environment that involves participation of diverse stakeholders with different objectives. Technological advancements have provided better tools and techniques that if incorporated can lead to effective project delivery complying with the multitude of objectives. Often the projects are cost-driven, schedule-driven, or both. Presence of ongoing traffic poses an additional challenge for the developers as it impacts the safety and comfort of both the commuters and the construction workers. A wide variety of tools, techniques and work processes are adopted across many projects depending on the project and agency requirements to make the process of project management efficient across its life-cycle. Civil Integrated Management (CIM) is a terminology that encompasses all such tools and technologies that can facilitate the process of digital project delivery and asset management. This study examines the current state of practice for CIM through surveys conducted at agency and project level. The results of these surveys are summarized to provide an understanding of the organizational and contractual issues related to CIM implementation and comprehend the process of technologies implementation and associated performance benefits at the project-level. Significant factors impacting successful life-cycle CIM utilization are elicited through the surveys and follow-up interviews and are investigated further under four main categories – Technology Implementation Planning, Model-based workflow and processes, design for construction automation and Information Management. Specific examples have been provided for each of these factors to demonstrate their utility on projects. The findings of this study will provide practitioners a list of key issues to be considered for profitable and effective implementation of the CIM technologies across a project’s life-cycle.
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43

Damaris, Peter. "Applying the Care Group Model in relief contexts : case studies in South Sudan and Somalia". Diss., 2017. http://hdl.handle.net/10500/23779.

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Text in English
This study analyses the application of a community based intervention, the Care Group (CG) model, in relief work in Somalia and South Sudan. On the basis of expert interviews and a variety of documents it was researched whether the CG model is applicable to the context mentioned or if adaptations would be necessary. An increase in prolonged crises challenges humanitarian action to adapt relief work to longer-term interventions. The concept of combining the strengths of development cooperation and humanitarian action - Linking Relief, Rehabilitation and Development - is looked at in this study. Furthermore, for example, the asset-based community development approach, humanitarian work and characteristics of a protracted crisis were explored as the theoretical back-ground. The findings and the conclusion of this research may provide inputs for other humanitarian NGOs that are working in chronic conflict situations and being confronted with the need to introduce a long-term method for Behaviour Change Communication.
Development Studies
M.A. (Development Studies)

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44

"Essays in Finance and Macroeconomics: Household Financial Obligations and the Equity Premium". Doctoral diss., 2017. http://hdl.handle.net/2286/R.I.43948.

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abstract: This dissertation is a collection of three essays relating household financial obligations to asset prices. Financial obligations include both debt payments and other financial commitments. In the first essay, I investigate how household financial obligations affect the equity premium. I modify the standard Mehra-Prescott (1985) consumption-based asset pricing model to resolve the equity risk premium puzzle. I focus on two channels: the preference channel and the borrowing constraints channel. Under reasonable parameterizations, my model generates equity risk premiums similar in magnitudes to those observed in U.S. data. Furthermore, I show that relaxing the borrowing constraint shrinks the equity risk premium. In the Second essay, I test the predictability of excess market returns using the household financial obligations ratio. I show that deviations in the household financial obligations ratio from its long-run mean is a better forecaster of future market returns than alternative prediction variables. The results remain significant using either quarterly or annual data and are robust to out-of-sample tests. In the third essay, I investigate whether the risk associated with household financial obligations is an economy-wide risk with the potential to explain fluctuations in the cross-section of stock returns. The multifactor model I propose, is a modification of the capital asset pricing model that includes the financial obligations ratio as a ``conditioning down" variable. The key finding is that there is an aggregate hedging demand for securities that pay off in periods characterized by higher levels of financial obligations ratios. The consistent pricing of financial obligations risk with a negative risk premium suggests that the financial obligations ratio acts as a state variable.
Dissertation/Thesis
Doctoral Dissertation Economics 2017

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45

Lin, Wei-hung, i 林煒紘. "Asset Allocation Based on the Black-Litterman and GARCH Models". Thesis, 2015. http://ndltd.ncl.edu.tw/handle/2k89b9.

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碩士
國立中央大學
統計研究所
103
Asset allocation using Markowitz model has many disadvantages, particularly because the optimal weight is sensitive to the estimation error of the model. To overcome the problem of estimation error, we follow Black-Litterman model, where the initial expected returns are linked to market implied return and subjective views of investor for each asset to adjust the expect return. To adjust the heteroscedasticity of the volatility, we further combine the standard Black-Litterman model with several GARCH-typed models to estimate time-varying covariance matrix. Finally, we conduct an empirical analysis using five industry indexes in Taiwan stock market.

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46

Al-Bukhari, Ibraheem. "Multi-Level GIS-Based Data Management Model for Building Maintenance and Repair Data". Thesis, 2008. http://hdl.handle.net/10012/3600.

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With the increasing cost of new construction projects, keeping the built facilities at acceptable levels of functionality has become a vital and challenging task. This is particularly so for non-residential buildings, such as schools, which are important infrastructure assets that require frequent maintenance and repair of their many components and sub-components. Maintenance and repair jobs, however, involve huge sets of data which contain useful interrelated information about costs, resources, conditions, and productivity. To support decision making at different management levels with respect to the utilization of resources requires the managing, analyzing, and visualizing of these huge amount of data. This thesis presents a simple and inexpensive approach to managing, reporting, and facilitating the visualization of maintenance and repair data for school buildings. The proposed model conveniently integrates widely used spreadsheet software – MS Excel – and Geographic Information System (GIS) software – MS MapPoint. The spreadsheet’s simple and powerful capability of managing data is exploited to design a data warehouse that can facilitate reporting and visualization. The Visual Basic for Applications (VBA) programming language was used to facilitate the integration between the two software systems and to automate the generation of a variety of reports and maps that can show analysis trends, reveal hidden relationships, and support decision making for different management levels. A real-life case study involving two years of maintenance data for 93 schools at the Toronto District School Board (TDSB) is used in this thesis to illustrate the development of the model and to demonstrate its simplicity and efficiency. The use of the model as part of an integrated framework for building asset management is also highlighted.

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Alaboodi, Saad Saleh. "Model-based Evaluation: from Dependability Theory to Security". Thesis, 2013. http://hdl.handle.net/10012/7649.

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How to quantify security is a classic question in the security community that until today has had no plausible answer. Unfortunately, current security evaluation models are often either quantitative but too specific (i.e., applicability is limited), or comprehensive (i.e., system-level) but qualitative. The importance of quantifying security cannot be overstated, but doing so is difficult and complex, for many reason: the “physics” of the amount of security is ambiguous; the operational state is defined by two confronting parties; protecting and breaking systems is a cross-disciplinary mechanism; security is achieved by comparable security strength and breakable by the weakest link; and the human factor is unavoidable, among others. Thus, security engineers face great challenges in defending the principles of information security and privacy. This thesis addresses model-based system-level security quantification and argues that properly addressing the quantification problem of security first requires a paradigm shift in security modeling, addressing the problem at the abstraction level of what defines a computing system and failure model, before any system-level analysis can be established. Consequently, we present a candidate computing systems abstraction and failure model, then propose two failure-centric model-based quantification approaches, each including a bounding system model, performance measures, and evaluation techniques. The first approach addresses the problem considering the set of controls. To bound and build the logical network of a security system, we extend our original work on the Information Security Maturity Model (ISMM) with Reliability Block Diagrams (RBDs), state vectors, and structure functions from reliability engineering. We then present two different groups of evaluation methods. The first mainly addresses binary systems, by extending minimal path sets, minimal cut sets, and reliability analysis based on both random events and random variables. The second group addresses multi-state security systems with multiple performance measures, by extending Multi-state Systems (MSSs) representation and the Universal Generating Function (UGF) method. The second approach addresses the quantification problem when the two sets of a computing system, i.e., assets and controls, are considered. We adopt a graph-theoretic approach using Bayesian Networks (BNs) to build an asset-control graph as the candidate bounding system model, then demonstrate its application in a novel risk assessment method with various diagnosis and prediction inferences. This work, however, is multidisciplinary, involving foundations from many fields, including security engineering; maturity models; dependability theory, particularly reliability engineering; graph theory, particularly BNs; and probability and stochastic models.

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48

Hrachovec, Miloš. "Záhada prémie vlastního kapitálu: přehled literatury a česká data". Master's thesis, 2013. http://www.nusl.cz/ntk/nusl-329079.

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This thesis focuses on the equity premium puzzle, risk-free rate puzzle and possible solutions of these two quantitative conundrums. Original formulation of both puzzles is introduced and comprehensive literature survey is presented to show the developments regarding this topic. These include risk-based explanations, non-risk based explanations and behavioral finance perspective. Main contribution of this study dwells in estimation of these two puzzles for the Czech Republic. Using consumption-based asset pricing model with time separable preferences, presence of the two puzzles is estimated employing annual Czech data from 1995 to 2011. The equity premium puzzle is not present in the Czech Republic, as the coefficient of risk aversion 5.57  . On the other hand, the risk-free rate puzzle is as severe as in developed economies. Furthermore, the individual time preference parameter  is estimated to be larger than one - a counterintuitive result suggesting consumers prefer unit of consumption tomorrow to unit of consumption today. Robustness of the results is confirmed when different proxy for a risk-free rate is used. Results do not change significantly and the risk-free rate puzzle persists. Direction for future research of the financial market puzzles in the Czech Republic is suggested.

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