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Author: Dicks, Anelda

  • Author: Du Toit, Cornel
  • Author: Gounder, Nathan David
  • Author: Jankowitz, Maria Dorothea
  • Author: Retief, Jan
  • Author: Theron, Nadia
  • Author: Van Wijck, Tjaart
  • Author: Van der Merwe, Carel Johannes
  • Author: Venter, Edward Stevens
  • Author: Viljoen, Jacobus
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    Value at risk and expected shortfall : traditional measures and extreme value theory enhancements with a South African market application

Author: Du Toit, Carl

  • Author: Du Toit, Cornel
  • Author: Gounder, Nathan David
  • Author: Jankowitz, Maria Dorothea
  • Author: Retief, Jan
  • Author: Theron, Nadia
  • Author: Van Wijck, Tjaart
  • Author: Van der Merwe, Carel Johannes
  • Author: Venter, Edward Stevens
  • Author: Viljoen, Jacobus
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    Modelling market risk with SAS Risk Dimensions : a step by step implementation

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    The portfolio construction implications of using various smart beta fundamentals and the fundamental-classification persistence of stocks
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    Constructing low cost core-satellite portfolios with multiple risk constraints: practical applications to Robo advising in South Africa using active, passive and smart-beta strategies
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    The performance of an optimised blend of quality metrics against the JSE Allshare index
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    Set-based particle swarm optimization for portfolio optimization
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    Portfolio optimisation using alternative risk measures
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    The impact of equity analyst recommendations on market attention, price-consensus and the behaviour of other analysts
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    Testing the Long-Term Profitability of the Short-Term Reversal Strategy
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    Comparative performances of capital protection strategies in the South African market
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    Meta-heuristic solution approaches to the portfolio optimisation problem
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    On estimating the potential impact of meta-labelling
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    Optimising the performance of a style-based investment strategy on the Johannesburg Stock Exchange to protect against a market downturn using dynamic, synthetic option-based portfolio insurance
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    Flexible risk-based portfolio optimisation
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    A portfolio approach to capital project management
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    Examination of the effectiveness of regulation of foreign direct investment in Tanzania
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    Alternative execution strategies to overcoming institutional voids and institutional distance in BoP markets
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    Much ado about dividends
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    Managing portfolio managers : the impacts of market concentration, cross-sectional return dispersion and restrictions on short sales
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    Performance of Islamic stocks versus conventional stocks during crisis and non crisis period: Evidence from MENA region.
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    The application of fundamental indexing to the South African equity market for historical data dating back to 1996
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    Application of the moving block bootstrap method to resampled efficiency : the impact of the choice of block size
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    Value investing versus growth investing in South Africa : valuation disparities and subsequent performance
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    The relationship between strategic management practices (SMPs) and the financial performance of multinational corporations (MNCs) in emerging markets
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    Factor investing for South African pension funds
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    Using Hybrid Machine learning Models for Stock Price Forecasting and Trading.

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    Aspects of model development using regression quantiles and elemental regressions
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    Statistical inference for inequality measures based on semi-parametric estimators
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    A brief introduction to basic multivariate economic statistical process control
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    'n Ondersoek na die eindige steekproefgedrag van inferensiemetodes in ekstreemwaarde-teorie
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    Confidence intervals for estimators of welfare indices under complex sampling
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    Evaluating the properties of sensory tests using computer intensive and biplot methodologies
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    A comparison of support vector machines and traditional techniques for statistical regression and classification
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    Optimal asset allocation for South African pension funds under the revised Regulation 28
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    Aspects of copulas and goodness-of-fit
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    Exploratory and inferential multivariate statistical techniques for multidimensional count and binary data with applications in R
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    Empirical Bayes estimation of the extreme value index in an ANOVA setting
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    Bayesian approaches of Markov models embedded in unbalanced panel data
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    The implementation of noise addition partial least squares
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    A framework for estimating risk
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    Modelling of multi-state panel data : the importance of the model assumptions
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    Estimating the window period and incidence of recently infected HIV patients.
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    Aspects of some exotic options
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    Improved estimation procedures for a positive extreme value index
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    Robust principal component analysis biplots
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    Nearest hypersphere classification : a comparison with other classification techniques
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    Edgeworth-corrected small-sample confidence intervals for ratio parameters in linear regression
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    Calculation aspects of the European Rebalanced Basket Option using Monte Carlo methods
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    Non-parametric regression modelling of in situ fCO2 in the Southern Ocean

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