The objectives of this research are to assess the returns, risks and correlation ofa mixed-asset portfolio, establish the role of real estate in a mixed-assetportfolio and suggest an appropriate real estate allocation in the South Africanpension fund industry. The issue of low real estate...

In order to achieve commercial banks liquidity, safety and profitability objective requirements, loan portfolio risk analysis based optimization decisions are rational allocation of assets. Â The risk analysis and asset allocation are the key technology of banking and risk management. Â The...

This thesis explores the role of emerging markets in investment portfolios. Could an investment portfolio consisting of emerging market securities have outperformed similar portfolios that did not contain emerging markets over recent years? Gathering data from January 1, 2009 to December 31,...

Transcribing medical documents accurately into pre-defined formats and within certain time frames is vital for administrative and medical purposes in any hospital. This paper describes quantitative models incorporating available data to represent transcription activities of a medical records...

In this thesis, several stochastic optimization models are presented to determine the number of airport arrival slots that should be made available for distribution via a market mechanism. Considerable attention is paid to the structure and mathematical properties of each of these models, with...

CMPL (Coliop Mathematical Programming Language) is a mathematical programming language for modelling linear programming (LP) problems or mixed integer programming (MIP) problems. The CMPL syntax is similar in formulation to the the original mathematical model but also includes syntactic elements...

Struggling retail chains often try to recover profitability by closing some of their stores. The challenge in this strategy lies in determining how many stores to close, as store exit has implications for both the customers and the supply chain. After a store closes, its customers are lost...

Drei große Reformenpakete und eine Reihe kleinerer Begleitmaßnahmen prägen das renten¬politische Erbe der rot-grünen Bundesregierung. Einerseits greifen sie Trends in der Reformpolitik seit Beginn der 90er Jahre auf. So verstärkt die Rentenstrukturreform 2001 beispielsweise die...

The research presented in this thesis addresses different aspects of dynamic portfolio construction and portfolio risk measurement. It brings the research on dynamic portfolio optimization, replicating portfolio construction, dynamic portfolio risk measurement and volatility forecast together....

Since the mid-nineties, agricultural economists discuss the suitability of “weather derivatives” as hedging instruments for volumetric risks in agriculture. Contrary to traditional insurance contracts, the payoffs of such derivatives are linked to weather indices (e.g. accumulated rainfall...