Essays about: "portföljoptimering"

Showing result 31 - 35 of 35 essays containing the word portföljoptimering.

  1. 31. Asset allocation under Solvency II : Adjusting investments for capital efficiency

    University essay from KTH/Entreprenörskap och Innovation

    Author : ERIK HELLGREN; FREDRIK UGGLA; [2015]
    Keywords : Solvency II; capital requirements; life insurance; market risk; portfolio; Solvens II; kapitalkrav; livförsäkring; marknadsrisk; portföljoptimering;

    Abstract : Solvens II är ett nytt regelverk för försäkringsbolag inom EU som ska träda i kraft 2016. Tidigare forskning har diskuterat effekterna av det nya regelverket och förutspår att det kommer att påverka försäkringsbolagens tillgångsallokering. READ MORE

  3. 32. Analysis and Optimization of aPortfolio of Catastrophe Bonds

    University essay from KTH/Matematisk statistik

    Author : Fredrik Giertz Jonsson; [2014]
    Keywords : ;

    Abstract : This Master's Thesis in mathematical statistics has the two major purposes; (i) to model and measure the risk associated with a special type of reinsurance contract, the catastrophe bond, and (ii) to analyze and develop methods of portfolio optimization suitable for a portfolio of catastrophe bonds. Two pathways of modeling potential catastrophe bond losses are analyzed; one method directly modeling potential contract losses and one method modeling the underlying contract loss governing variables. READ MORE

  4. 33. Including ESG concerns in the portfolio selection process : An MCDM approach

    University essay from KTH/Optimeringslära och systemteori

    Author : Edvin Lundström; Carl Svensson; [2014]
    Keywords : ;

    Abstract : In recent years investors in the financial markets around the globe have begun to focus on non-financial factors in their portfolio selection processes. Three main areas of concerns are: Environmental, Social and corporate Governance (ESG). Previous research has mainly focused on implementing these concerns using qualitative methods, e.g. READ MORE

  5. 34. High Yield Corporate Bond Portfolio Optimization

    University essay from KTH/Optimeringslära och systemteori

    Author : Zakaria Marakbi; CARLOS JUNIOR LOPEZ VYDRIN; [2014]
    Keywords : high-yield corporate bonds; optimization; dominant design;

    Abstract : The fixed maturity, cash flow and risk characteristics of high-yield corporate bonds distinguish them from equities and complicate a direct application of well established optimization techniques such as Markowitz's mean-variance model and Sharpe ratio maximization. This can partly explain why qualitative methods constitute the dominant design in the portfolio selection process of high-yield corporate bonds. READ MORE

  6. 35. Allocation of Risk Capital to Contracts in Catastrophe Reinsurance

    University essay from KTH/Matematisk statistik

    Author : Rasmus Hansén; [2013]
    Keywords : Reinsurance; Allocation of risk capital; RORAC; Euler allocation; Capital layer allocation;

    Abstract : This thesis is theresult of a project aimed at developing a tool for allocation of risk capitalin catastrophe excess-of-loss reinsurance. Allocation of risk capital is animportant tool for measuring portfolio performance and optimizing the capitalrequirement. READ MORE