Doctoral Degrees (Business Management)

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Browsing Doctoral Degrees (Business Management) by Advisor "Van Zyl, Helena"

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    Mean variance optimisation, stochastic simulation modelling and passive formula strategies for equity investments
    (University of the Free State, 04-Nov) Pawley, Mark Gary; Van Zyl, Helena; Greeff, Petri
    The research is a quantitative study that formulates an approach to future portfolio asset allocations within the South African domestic equity market, and the diversification of assets across global markets, specifically the U.S.A. The research takes the view that investors are rational, have a long term investment horizon and seek investment wealth maximisation by applying a sustainable investment strategy towards the ongoing management of the portfolio. Investors experience a significant negative divergence in investment outcomes relative to the potentially achievable result. This negative divergence is a result of the lack of a strategic approach to, and an understanding of asset allocations, and the lack of a sustainable approach to the management of a portfolio. Repetitive sub-optimal investment performance, below the levels of inflation, is an investment disincentive with negative micro and macro implications. The purpose of the study is therefore to address the issue sub-optimal investment performance through the effective application of a strategy that includes the integration of the mean-variance model through the use of a mean-variance optimiser, using resampled data inputs, the mean reversion of markets, passive investment management, appropriate asset class selection and the ongoing management of a portfolio, using both calendar and contingent rebalancing techniques, and passive formula strategies. The challenge is accordingly to develop a reliable asset allocation model that accommodates past performance, and which is stable enough to produce optimised forward-looking investment portfolios, which are able to address the issue of optimal asset allocation and selection, within a global context, and which produce optimised investment outcomes, taking cognisance of the fact that the future is unknowable and dynamic. The research methodology makes a positivist assumption that something exists and can be numerically tested. In this regard various portfolios are constructed, using passive investment instruments, in accordance with mean-variance model principles, using resampled data inputs to minimise the instability of the mean-variance optimiser. This resampling process is fundamental to the research, and incorporates the use of a stochastic simulator. A unique aspect of the research was solving the issue of multiple market integration particularly when the domestic markets are comprised of multiple asset classes. Finally, the resultant resampled efficient portfolios are compared to control portfolios in order to ascertain whether the resampling process indeed offers a return premium. Due to the dynamic nature of equity markets contingent and calendar rebalancing strategies are applied to the asset allocation in order to maintain an optimal portfolio. This dynamism may necessitate the adjustment of asset allocations. The test for asset allocation optimality takes the form of measuring portfolio outcome correlations to the actual market outcome. Where the portfolio is sub-optimal the asset allocations are redetermined, otherwise the portfolio is merely rebalanced to the original asset allocations. Regarding the management of the portfolio a value averaged passive formula strategy is applied. This process acknowledges that markets may behave stochastically over the short term, therefore a predetermined value line is derived that the portfolio is to achieve. This value line is based on a long term equity premium plus inflation. Should the portfolio breach the value line on the upside a portion of the investment is liquidated, conversely when the portfolio fails to reach the value line the portfolio is elevated to the value line by means of increasing the investment. The results of the research manifest unambiguous results in favour of resampled portfolios. In this regard, therefore, data resampling does seem to produce stable portfolio results that are effective at capturing a higher proportion of future returns than a simple market portfolio. Furthermore, the rebalancing process, although not absolutely perfect, does provide a level of adjustment to the asset allocation to ensure optimality. Finally, management of the portfolio through value averaging unambiguously provides an internal rate of return in excess of a portfolio that is allowed to stochastically rise and fall. In summary, the integration of the identified processes clearly provides a performance premium in excess of alternative approaches, and within a framework that is sustainable from period to period.
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    ItemOpen Access
    A portfolio approach to improving market and credit risk management
    (University of the Free State, 2011/12/15) Botha, Marius; Van Vuuren, Gary; Van Zyl, Helena
    Afrikaans: Die kredietkrisis wat besig is om te ontvou (in 2008 ‘n aanvang geneem), het omtrent elke segment van die internasionale finansiële stelsel beïnvloed. Krediet is ernstig ingekort soos wat banke worstel om verdere verliese, veroorsaak deur roekelose uitleenpraktyke wat die afgelope 20 jaar gekenmerk het, in toom te hou. Batepryse het getuimel soos wat angstige beleggers na veiliger toevlugsoorde vlug, en tradisionele beleggings en verskansingsfondse laat vaar. Regerings, in ’n poging om stagflasie te voorkom en suk- kelende ekonomieë aan die gang te kry, het rentekoerse tot historiese laagtepunte verminder, aanspo- ringspakkette geïnisieer en reddingspogings vir banke aangevoor, maar die pogings het (tot op hede) ’n minimale tot geen effek op markte gehad. Die knellende ekonomiese omgewing, gekenmerk deur laer bedryfsproduksie, huis- (en ander bate-) pryse wat daal en stygende werkloosheid, het besteding en investering ontmoedig en kapitaalopgaring bevorder. In die daaropvolgende krisis, is die regule- rende ekonomiese omgewing (gedomineer deur die Basel II Akkoord van die Basel Komitee vir Bank Toesighouding (BKBT)) as ontoereikend bewys. Moontlike oplossings het hulle nog nie voorgedoen nie en dit lyk waarskynlik dat die krisis vir die afsienbare toekoms sal voortduur In die lig van hierdie gebeure en die hedendaagse tekortkominge van die finansiële omgewing oor die algemeen is die behoefte om voortdurend bestaande tegnieke om finansiële risiko te meet en te bes- tuur, uit te brei, asook om nuwe tegnieke te vind. Hierdie proefskrif verken vier belangrike probleme wat deur moderne risikobestuur in portefeulje verband in die gesig gestaar word. Die eerste probleem ondersoek die aanname van ’n normaalverspreide portefeulje-opbrengs. Onomstootlike bewys vir die deurlopende mislukking van hierdie aanname word gelewer. ’n Maatstaf wat portefeulje-prestasie in rangorde plaas, word bespreek en verduidelik met verwysing na verskeie Suid-Afrikaanse verskansingsfondsportefeuljes. Die tweede van hierdie probleme verken die aanname van onbeperkte likwiditeit in markrisiko metingsmodelle. Hierdie aanname word as misleidend bewys en daar word inderdaad geglo dat dit die hoofkomponent van die kredietkrisis is. ’n Nuwe portefeulje markrisiko model, wat die effek van we- senlik verminderde likwiditeit inkorporeer, word bekendgestel en op verskeie Suid-Afrikaanse porte- feuljes toegepas. Die resultate dui op ’n substansieel verbeterde model van markrisiko. Die derde probleem peil die effek van skuldenaar wanbetalingskwaliteit diskriminasie om ’n subtiele teenstrydigheid in die BKBT se formulering van kredietportefeulje kapitaalkostes aan te spreek. Die oorsaak van hierdie teenstrydigheid is vasgestel en die effekte daarvan bespreek met verreikende gevolge vir alle kleinhandel leningsportefeuljes. Ten slotte is die gebrek aan ’n robuuste tegniek om kleinhandel batekorrelasies uit empiriese lenings- verlies data te ekstraheer, ondersoek. ’n Metodologie wat die onderliggende BKBT formulering vir kredietrisiko gebruik, is bepaal en die resultate verkry word vergelyk met kleinhandel batekorrelasies soos gestipuleer deur die BKBT. Die empiriese korrelasies (en geassosieerde kapitaalkostes is as aan- sienlik laer as die BKBT korrelasies (en kostes) bevind, selfs tydens die verhoogde verliese wat tans (2009) ondervind word. Die akkuraatheid van hierdie belemmerende beperkings in portefeulje ver band is geassesseer en voorstelle vir verdere empiriese studie word aan die hand gedoen.