Sökning: "Asset Allocation Stability"

Visar resultat 1 - 5 av 9 uppsatser innehållade orden Asset Allocation Stability.

  1. 1. Navigating the Volatility Adjustment in Solvency II : Portfolio Optimization for Balance Sheet Stability

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistik

    Författare :Max Thorendal; [2023]
    Nyckelord :;

    Sammanfattning : This thesis investigates volatility adjustment from the Solvency II regulation and portfolio allocation methods for pension- and life insurance companies aiming to maintain a stable balance sheet. The volatility adjustment is a component added to the risk-free rate for discounting the present value of future liabilities, and it is calculated monthly based on the spread levels in the fixed-income market. LÄS MER

  3. 2. Hierarchical Clustering in Risk-Based Portfolio Construction

    Master-uppsats, KTH/Matematisk statistik

    Författare :Natasha Nanakorn; Elin Palmgren; [2021]
    Nyckelord :Portfolio construction; asset allocation; risk-based asset allocation; hierarchical clustering; agglomerative clustering; hierarchical risk parity; risk; volatility; Portföljallokering; portföljhantering; portföljmetoder; riskbaserad portföljallokering; hierarkisk klustring; agglomerativ klustring; risk; volatilitet;

    Sammanfattning : Following the global financial crisis, both risk-based and heuristic portfolio construction methods have received much attention from both academics and practitioners since these methods do not rely on the estimation of expected returns and as such are assumed to be more stable than Markowitz's traditional mean-variance portfolio. In 2016, Lopéz de Prado presented the Hierarchical Risk Parity (HRP), a new approach to portfolio construction which combines hierarchical clustering of assets with a heuristic risk-based allocation strategy in order to increase stability and improve out-of-sample performance. LÄS MER

  4. 3. Comparison of Performance Between Social and Conventional Banks : An Empirical Study of Banks in Europe

    Master-uppsats, Umeå universitet/Företagsekonomi

    Författare :Anna Koivusalo; Mouaz Mansour; [2018]
    Nyckelord :social banks; bank performance; financial crisis;

    Sammanfattning : Banks as financial institutions play an important role in the lives of people by facilitating the flow of funds and ensuring the stability of the global economy. Recently, the world economy witnessed various financial shocks that escalated into a financial crisis between 2007 and 2009. LÄS MER

  5. 4. Efficient Risk Factor Allocation with Regime Based Models

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Oscar Axelsson; [2017]
    Nyckelord :Risk Factors; Hidden Markov Models; Regime Models; Asset Allocation; Ecient Frontier; Shrinkage Factor; Baum-Welch Algorithm; EM algorithm.; Mathematics and Statistics;

    Sammanfattning : It is widely accepted that nancial mark behaviour is characterized by periodicity. However, in academia and practice financial markets are often modeled as time consistent, resulting in static investment strategies that are assumed to be ecient. LÄS MER

  7. 5. Systemic Risk in the Insurance Sector under Solvency II: An Analysis of the Pro-Cyclicality Channel

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Författare :Anne Beck; [2017]
    Nyckelord :Cyclicality; Investment Behavior; Financial Stability; Insurance regulation;

    Sammanfattning : This thesis studies the effect of a change in the regulatory environment on the cyclicality of insurers' investment behavior. Given their large amount of asset holdings, insurers have the potential to reinforce or dampen market and asset price movements. LÄS MER