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Chris van Heerden,Andre Heymans,Yudhvir Seetharam
AbstractCentral banks currently perform inflation expectation surveys in order to better align their inflation expectations with that of the general public. However, surveys are time-consuming, complicated, expensive and not always accurate, thus comprom...
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Anton Styger, Gary van Vuuren, Andre Heymans
Public funding for higher education in South Africa is a significant investment. Large amounts of funds are invested in students and there is a national shortage of high quality students in scarce skills - in particular, students with a postgraduate qual...
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Francois van Dyk, Gary van Vuuren, Andre Heymans
The Sharpe ratio is widely used as a performance measure for traditional (i.e., long only) investment funds, but because it is based on mean-variance theory, it only considers the first two moments of a return distribution. It is, therefore, not suited f...
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Francois van Dyk, Gary van Vuuren, Andre Heymans
The Sharpe ratio is widely used as a performance evaluation measure for traditional (i.e., long only) investment funds as well as less-conventional funds such as hedge funds. Based on mean-variance theory, the Sharpe ratio only considers the first two mo...
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Francois van Dyk, Gary van Vuuren, Andre Heymans
The Sharpe ratio is widely used as a performance evaluation measure for traditional (i.e., long only) investment funds as well as less-conventional funds such as hedge funds. Based on mean-variance theory, the Sharpe ratio only considers the first two mo...
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Chris van Heerden, Andre Heymans, Gary van Vuuren, Wilme Brand
Hedge funds are considered to be market-neutral due to their unrestricted investment flexibility and more efficient market timing abilities (Ennis & Sebastian, 2003). They may also be considered as suitably unconventional assets for improving portfolio d...
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Chris van Heerden,André Heymans
AbstractA significant correlation exists between financial crises and bank liquidity problems, thus exposing the investor to increased risk where the banking industry forms part of their investment portfolios. Also, due to more volatile markets and more ...
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Chris van Heerden,André Heymans
AbstractIt is well known that the forward exchange rate and the realised future spot exchange rate differ. This phenomenon is better known as the exchange rate puzzle. Two approaches were followed to ascertain whether this difference is due to the weak e...
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