Sökning: "risk-based asset allocation"

Visar resultat 1 - 5 av 6 uppsatser innehållade orden risk-based asset allocation.

1. 1. A Multi-Level Extension of the Hierarchical PCA Framework with Applications to Portfolio Construction with Futures Contracts

   Master-uppsats, KTH/Matematisk statistik

   Författare :Kajsa Bjelle; [2023]
   Nyckelord :Portfolio construction; asset allocation; principal component analysis; hierarchical principal component analysis; hierarchical shrinkage; eigenportfolio risk; Portföljkonstruktion; tillgångsallokering; principalkomponentanalys; hierarkisk principalkomponentanalys; hierarkisk krympning; egenportföljrisk;

   Sammanfattning : With an increasingly globalised market and growing asset universe, estimating the market covariance matrix becomes even more challenging. In recent years, there has been an extensive development of methods aimed at mitigating these issues. 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. 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

5. 4. Changes in External Accounting Framework and its impact on Asset & Liability Management

   Kandidat-uppsats, Högskolan i Gävle/Avdelningen för ekonomi

   Författare :Theis Jörgensen; [2016]
   Nyckelord :changes in the external accounting framework; asset and liability management; asset allocation; credit risk;

   Sammanfattning : Purpose: The purpose of this investigation is to contribute to the understanding of how changes in the external accounting framework impacts an insurance company’s asset and liability management focusing on the asset side and credit risks. Method: This study has an actor’s approach. LÄS MER

7. 5. Solvens II– Effekter på de svenska livbolagen och derasfastighetsexponeringar.

   Kandidat-uppsats, KTH/Fastigheter och byggande

   Författare :Alexander Dratos; Joakim Suvilehto; [2013]
   Nyckelord :Solvency II; risk-based; property exposures; SCR; MCR; Solvens II; riskbaserat; fastighetsexponeringar; SCR; MCR;

   Sammanfattning : Svenska livbolag har varit en av de större kapitalplacerarna på den svenska fastighetsmarknaden under de senaste fem åren. Livbolagen förvaltar kapital åt sina försäkringstagare som förväntar sig få utbetalningar antingen genom en traditionell försäkring, där livbolagen utlovar en bestämd avkastning per år eller genom att erbjuda fondförsäkringar. LÄS MER