New perspectives in the modelling of alpha

Master Thesis

2012

Permanent link to this Item
http://hdl.handle.net/11427/12196
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thesis_com_2012_flint_e.pdf (4.55 MB)
Authors
Flint, Emlyn James
Supervisors
Polakow, Daniel
Journal Title
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Volume Title
Publisher
Publisher

University of Cape Town

Department
Division of Actuarial Science
Faculty
Faculty of Commerce
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Abstract
This dissertation presents an eclectic mix around a central theme of alpha, or value-add. It comprises four essays that are concerned with various theoretical and empirical aspects of alpha. The primary objective is to provide new perspectives in the major areas of modelling alpha; namely, performance measurement, opportunity forecasting and tradability.
Description

Includes abstract.


Includes bibliorahical references.

Keywords
Actuarial Science

Reference:

Flint, E. 2012. New perspectives in the modelling of alpha. University of Cape Town.

Collections
Masters