Browsing Theses and Dissertations (University of Pretoria) by Supervisor "Van Vuuren, Gary"

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An alternative quantitative approach to tactical asset allocation using the Kalman filter

Van Rooyen, Reder Evert (University of Pretoria, 2021)

Tactical asset allocation (TAA) is a dynamic investment strategy which seeks to actively adjust fund allocation to a variety of asset classes by systematically exploiting inefficiencies and temporary imbalances in ...
Central clearing configurations : implications for South African derivative markets

Saayman, Ammi Terence (University of Pretoria, 2021)

After the financial crisis of 2008-2009, central counterparties (CCPs) emerged as an important mechanism to mitigate against counterparty credit risk and stem the spread of contagion in a time of crisis. Trading in derivative ...
Optimal portfolio performance constrained by tracking error

Gunning, Wade Michael (University of Pretoria, 2020-10-20)

Maximising investment returns is the primary goal of asset management but managing and mitigating portfolio risk also plays a significant role. Successful active investing requires outperformance of a benchmark through ...

Now showing items 1-3 of 3

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