Essays about: "Asset Allocation Stability"
Showing result 1 - 5 of 9 essays containing the words Asset Allocation Stability.
-
1. Navigating the Volatility Adjustment in Solvency II : Portfolio Optimization for Balance Sheet Stability
University essay from Umeå universitet/Institutionen för matematik och matematisk statistikAbstract : 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. READ MORE
-
2. Hierarchical Clustering in Risk-Based Portfolio Construction
University essay from KTH/Matematisk statistikAbstract : 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. READ MORE
-
3. Comparison of Performance Between Social and Conventional Banks : An Empirical Study of Banks in Europe
University essay from Umeå universitet/FöretagsekonomiAbstract : 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. READ MORE
-
4. Efficient Risk Factor Allocation with Regime Based Models
University essay from Lunds universitet/Matematisk statistikAbstract : 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. READ MORE
-
5. Systemic Risk in the Insurance Sector under Solvency II: An Analysis of the Pro-Cyclicality Channel
University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomiAbstract : 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. READ MORE