Full Text Available
Note: Clicking the button above will open the full text document at the original institutional repository in a new window.
Quantitative topics in portfolio and risk management
Thesis (PhD)--University of Pretoria, 2019
Saved in:
| Other Authors: | |
|---|---|
| Format: | Thesis |
| Language: | English |
| Published: |
University of Pretoria
2019
|
| Subjects: | |
| Tags: |
No Tags, Be the first to tag this record!
|
| _version_ | 1867613582873591808 |
|---|---|
| access_status_str | Open Access |
| author2 | Mare, Eben |
| author_browse | Mare, Eben |
| author_facet | Mare, Eben |
| collection | Thesis |
| dc_rights_str_mv | © 2019 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. |
| description | Thesis (PhD)--University of Pretoria, 2019 |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/71353 |
| institution | University of Pretoria (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:38:26.847Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2019 |
| publishDateRange | 2019 |
| publishDateSort | 2019 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/71353 Quantitative topics in portfolio and risk management Mare, Eben emlyn.flint@gmail.com Flint, Emlyn James Quantitative finance Derivatives Return modelling Systematic trading strategies Portfolio construction Risk management Portfolio management UCTD Natural and agricultural sciences theses SDG-08 Natural and agricultural sciences theses SDG-09 Natural and agricultural sciences theses SDG-12 Thesis (PhD)--University of Pretoria, 2019 The modern quantitative portfolio manager is the quintessential “jack of all trades”. Not only do they need to be an expert in the specific area of portfolio management, they also need to have a thorough understanding of the related areas of valuation, data processing, risk management and performance analysis. What this means practically is that quantitative portfolio managers are regularly faced with problems spanning the entire P − Q spectrum of quantitative finance. Spurred by this reality, the central research question motivating this thesis is exactly the core motivation behind every decision taken by a quantitative portfolio manager: What is the most efficient, practical method for constructing, managing and evaluating optimal multi-asset portfolios in dynamic, non-normal markets? In this thesis, we attempt to provide insight into this broad central research question by offering new perspectives and practical solutions to a selection of sub-problems that a quantitative portfolio manager would have to address in practice. In particular, this thesis is comprised of six essays that each tackle specific problems in the related areas of derivatives, return modelling, systematic trading strategies and portfolio construction. bs2025 Insurance and Actuarial Science PhD Unrestricted SDG-08: Decent work and economic growth SDG-09: Industry, innovation and infrastructure SDG-12: Responsible consumption and production 2019-09-16T08:34:31Z 2019-09-16T08:34:31Z 2019-09-05 2019 Thesis Flint, EJ 2019, Quantitative topics in portfolio and risk management, PhD Thesis, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/71353> S2019 http://hdl.handle.net/2263/71353 en © 2019 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. application/pdf University of Pretoria |
| spellingShingle | Quantitative finance Derivatives Return modelling Systematic trading strategies Portfolio construction Risk management Portfolio management UCTD Natural and agricultural sciences theses SDG-08 Natural and agricultural sciences theses SDG-09 Natural and agricultural sciences theses SDG-12 Quantitative topics in portfolio and risk management |
| title | Quantitative topics in portfolio and risk management |
| title_full | Quantitative topics in portfolio and risk management |
| title_fullStr | Quantitative topics in portfolio and risk management |
| title_full_unstemmed | Quantitative topics in portfolio and risk management |
| title_short | Quantitative topics in portfolio and risk management |
| title_sort | quantitative topics in portfolio and risk management |
| topic | Quantitative finance Derivatives Return modelling Systematic trading strategies Portfolio construction Risk management Portfolio management UCTD Natural and agricultural sciences theses SDG-08 Natural and agricultural sciences theses SDG-09 Natural and agricultural sciences theses SDG-12 |
| url | http://hdl.handle.net/2263/71353 |