Essays about: "risk-adjusted net asset value"

Found 2 essays containing the words risk-adjusted net asset value.

  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

  2. 2. Discounts in closed-end investment trusts, a source of abnormal returns?: A study on the British market 2000-2009

    University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

    Author : Karl Säfvelin; Keiward Pham; [2010]
    Keywords : investment trusts; closed-end funds; premium; discount; abnormal returns;

    Abstract : We investigate if the ratio of net asset value to market value (discount if market value is lower than net asset value, premium if market value is higher than net asset value) is a factor driving abnormal returns in British investment trusts companies (ITC). We control for other factors commonly thought to predict returns above the Capital Asset Pricing Model but still find the size of the contribution from a discount on abnormal returns to be quite substantial. READ MORE