Finance and Financial Management Commons^™

Portfolio Insurance Strategies. Parameter Optimization And Comparison Study, Olga Biedova

2020

Portfolio insurance strategies are very popular investment solutions that provide an investor with capital protection as well as allow for an equity market participation.

This dissertation focuses on two portfolio insurance strategies: Constant Proportion Portfolio Insurance (CPPI), one of the most popular strategies, and Volatility Target Portfolio Insurance (VTPI), a modified version of an Option Based Portfolio Insurance (OBPI). This dissertation follows a three-paper model.

In paper one, we propose a two-step approach to the numerical optimization of the CPPI main parameter, multiplier. First, we identify an admissible range of the multiplier values by controlling the shortfall probability (chosen as …

The Influence Of Internal Audit Competency On Financial Reporting Quality And Enterprise Risk Management, Melissa E. Renschler

2020

The internal audit function (IAF) is critically important to financial reporting quality and enterprise risk management (ERM). Following both the Sarbanes-Oxley Act of 2002 and the financial crisis of 2008, there have been improvements to other monitoring functions, such as the audit committee, management, and the external auditor, but regulation over the IAF is nearly absent. Further, our understanding of how IAF competency is developed and how IAF competency impacts both financial reporting quality and ERM outcomes is limited. My dissertation consists of three archival studies that investigate IAF competency using LinkedIn data. Taken together, these three studies contribute to …