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Found 2 essays matching the above criteria.

1. 1. 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

3. 2. Markov Regime Switching Model Implementation to the Stockholm Stock Market & Comparison with Equal Weight Portfolio

   University essay from Lunds universitet/Matematisk statistik

   Author : Sanna Brandel; [2017]
   Keywords : Mathematics and Statistics;

   Abstract : The unpredictable behaviour of financial time series has long been a concern for econometricians, making it difficult to find appropriate models with a satisfactory fit. The Markov regime switching model is a popular approach, much in behalf of the way it takes the shifts in the time series behaviour into account. READ MORE