Essays about: "Asset Allocation Stability"

Showing result 6 - 9 of 9 essays containing the words Asset Allocation Stability.

  1. 6. Black-Litterman Portfolio Allocation Stability and Financial Performance with MGARCH-M Derived Views

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Jens Norell; Eric Dove; [2016]
    Keywords : Financial Econometrics; Black-Litterman; Asset Allocation Stability; MGARCH-M; Business and Economics;

    Abstract : 2 Abstract This paper deploys methodology typically utilized in financial econometrics, namely univariate and multivariate GARCH-M forecasting techniques, as inputs into the Black-Litterman asset allocation process. While previous works have examined the usefulness in deploying select GARCH specifications as a source for the required Black-Litterman views vector, to the best of our knowledge, this is the first such work comparing the effects of select GARCH specification on asset allocation volatility. READ MORE

  3. 7. Asset Allocation and a Low Interest Rate Environment

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Filip Holmström; William Lundgren; [2015]
    Keywords : Aggregated mutual fund flows; Risk-shifting; Search for yield; Monetary policy; Risk-taking channel;

    Abstract : This study analyses the effect of an expansionary monetary policy on risk-taking of investors in Sweden. By studying net money flows to mutual funds in Sweden we aim to provide an explanation to what variables affect investors' asset allocation decisions and how asset allocation changes in a low interest rate environment. READ MORE

  4. 8. A quantitative study of optimal asset allocation in a mean-CVaR & mean-variance framework

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Marcus Nilsson; [2014]
    Keywords : ;

    Abstract : Optimal portfolio selection has been an area of great focus ever since the inception of modern portfolio theory as proposed by Harry Markowitz. This project has applied Markowitz modern portfolio theory to an invest- ment universe created from the output of an economic scenario genera- tor. READ MORE

  5. 9. Weary Workers or Poor Pensioners - A Study of the Swedish Pension System

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Elin Carlsson; Josefine Sellman; [2011]
    Keywords : Pension System; Pay-As-You-Go; Balance Ratio; Demographic and Financial Factors;

    Abstract : This paper examines the stability of the Swedish pension system. Specifically, we ask how much demographic and financial factors influence the balance ratio in the Swedish pension system. Using simulations, four demographic scenarios, two policy changes and four aspects of the buffer fund are tested. READ MORE