Asset allocation

The objective of this thesis is to develop an appropriately fitted asset pricing model that explicitly captures this salient feature of equity market returns, and that exploits the potential diversification benefits of emerging markets. we use a state-dependent Markov model, which distinguishes between high and low volatility states, to capture time-varying returns in emerging market equity indices. The model is then extended into global asset allocation.

221p runthenight04 02-02-2023 13 2   Download

The focus of this research is to identify the important steps and considerations that influence Australian fund manager’s property allocation decisions, and to suggest ways to improve institutional allocation decisions towards property investments, which traditionally offers stable, income focused returns. This is important for funding the retirement of Australia’s growing and aging population, and to combat the continued effects of the recent Global Financial Crisis on the equities and bond markets.

376p runthenight04 02-02-2023 16 3   Download