Sökning: "Scenario-based Portfolio Management"

Visar resultat 1 - 5 av 8 uppsatser innehållade orden Scenario-based Portfolio Management.

  1. 1. Optimizing the Cash Reserve in a Portfolio of US Life Insurance Policies

    Master-uppsats, Linköpings universitet/Produktionsekonomi

    Författare :Alva Happe; Wassim Seifeddine; [2022]
    Nyckelord :portfolio optimization; risk management; monte carlo; value at risk; life settlements; longevity risk; cash reserve; closed-end fund;

    Sammanfattning : Hoarding a too large cash reserve is often unfavourable due to lost investment opportunities. Similarly, an insufficient cash reserve can be detrimental, as one might fail to meet payment obligations. Finding the optimal balance is nothing that is done in the blink of an eye, particularly when the underlying variable is stochastic, e.g. LÄS MER

  3. 2. Enabling Portfolio-driven Idea Generation for Radical Innovation : A Case Study of an Innovation Hub in the Construction Industry

    Master-uppsats, KTH/Maskinkonstruktion (Inst.)

    Författare :Helena Habberstad; Klara Lövgren; [2022]
    Nyckelord :Idea generation; Radical Innovation; Portfolio Management; Scenario-based Portfolio Management; Construction industry; Open Innovation; Innovation Partnerships; Crowdsourcing; Innovation networks; Innovation hub; Idégenerering; Radikal Innovation; Portföljhantering; Scenariobaserad Portföljhantering; Byggindustri; Öppen Innovation; Innovationspartnerskap; Crowdsourcing; Innovationsnätverk; Innovationshubb;

    Sammanfattning : Innovation has proven to be an important way for companies to be competitive and relevant in a dynamic market. The construction industry has tended to focus on incremental innovations and is not as familiar with methods for developing radical innovations. LÄS MER

  4. 3. Considering Tail Events in Hedge Fund Portfolio Optimization

    Master-uppsats, Linköpings universitet/Produktionsekonomi

    Författare :Josefin Bladh; Holm Greta; [2021]
    Nyckelord :Portfolio Optimization; Hedge Funds; Tail Events; Mean-CVaR;

    Sammanfattning : The Fourth Swedish National Pension Fund (AP4), as well as many other large investors, has noted deficiencies the Mean-Variance framework for portfolio management of asset with non-normal characteristics. The main problem apparent in the Mean-Variance framework, when investing in alternative assets such as hedge funds, is the lacking systematic control of the balance between the measurements of risk due normal variation and tail-risk. LÄS MER

  5. 4. Optimisation of the Distribution of COVID-19 Vaccines

    Kandidat-uppsats, KTH/Matematisk statistik

    Författare :Paula Isacson; Daniel Maslov; [2021]
    Nyckelord :Mixed-integer program; stochastic program; supply chain management; reliability; Blandad heltalsprogrammering; stokastisk programmering; logistik av försörjningskedja; tillförlitlighet;

    Sammanfattning : This paper explores how to optimally distribute vaccines by deciding what middle warehouses to use for storage. For this purpose, a network has been designed with a central warehouse, a set of middle warehouses and a set of local hospitals. LÄS MER

  7. 5. Discounting Transition Risk : The Development of a Climate Risk Model for Equity Portfolios

    Master-uppsats, Uppsala universitet/Institutionen för geovetenskaper

    Författare :Anne Kristin Kästner; [2020]
    Nyckelord :Climate risk; scenario analysis; transition; portfolio analysis; sustainable development; investment management;

    Sammanfattning : To mitigate climate change, the transition to a low-carbon economy is imperative. Even though this transition poses unprecedented economic and social risks, academic research regarding the impacts of such risks on the financial sector is limited. LÄS MER