Essays about: "Asset allocation"

Showing result 41 - 45 of 132 essays containing the words Asset allocation.

1. 41. Break Point Detection for Strategic Asset Allocation

   University essay from KTH/Matematisk statistik

   Author : Erika Madebrink; [2019]
   Keywords : Strategic asset allocation; Bayesian; reversible jump; Markov chain Monte Carlo; regime switching;

   Abstract : This paper focuses on how to improve strategic asset allocation in practice. Strategic asset allocation is perhaps the most fundamental issue in portfolio management and it has been thoroughly discussed in previous research. We take our starting point in the traditional work of Markowitz within portfolio optimization. READ MORE

3. 42. Alternative Methods of Estimating Investor´s Risk Appetite

   University essay from KTH/Matematisk statistik

   Author : Felix Kuritzén; [2019]
   Keywords : Risk appetite; Riskaptit;

   Abstract : In this thesis three risk appetite indexes are derived and measured from the beginning of 2006 to the end of the first quarter in 2019. One of the risk appetite indexes relies on annualized returns and volatilities from risky and safe assets while the others relies on subjective and risk neutral probability distributions. READ MORE

4. 43. Asset and Liability Management: Optimization using Least-Squares Monte Carlo

   University essay from Lunds universitet/Matematisk statistik

   Author : Sanna Brandel; [2018]
   Keywords : Asset and liability management; Solvency capital requirement; least-squares Monte Carlo; nested Monte Carlo simulation; risk-adjusted net asset value; mean-variance optimization; Mathematics and Statistics;

   Abstract : This thesis aims to examine an efficient asset and liability management method under Solvency II regulations, and to find an optimization framework that takes complex interactions between assets and liabilities into account. The investigated approach consists of a least-squares Monte Carlo method, where least-squares regression is used to obtain a proxy function for future net asset values. READ MORE

5. 44. Cross-Firm Variations in Portfolio Recommendations for Robo-Advisors

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Jonas Skilje; Joel Mankowitz; [2018]
   Keywords : robo-advisors; asset allocation; financial advisory; portfolio management; financial literacy;

   Abstract : We show that there are significant differences in the consistency of advice across robo-advisors to different investors seeking advice. By comparing the recommended portfolios for three generic investors across a large share of actors on the U.S., U. READ MORE

6. 45. The Value of Financial Advisory Services

   University essay from KTH/Industriell Management

   Author : VIKTOR CARLSON; [2018]
   Keywords : Financial Advisory Service; Utility Theory; Asset Allocation; Asset Location; Risk Aversion.; Finansiell rådgivning; nyttofunktion; tillgångsallokering; skattemiljö; riskaversion;

   Abstract : Financial advisory services currently face many challenges such as adapting to regulations, competing against robot advisors and offering qualitative advice. We use a utility function based on the clients' risk preferences and investigated the value added by advisory services. READ MORE