Essays about: "risk-based asset allocation"
Found 5 essays containing the words risk-based asset allocation.
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1. A Multi-Level Extension of the Hierarchical PCA Framework with Applications to Portfolio Construction with Futures Contracts
University essay from KTH/Matematisk statistikAbstract : With an increasingly globalised market and growing asset universe, estimating the market covariance matrix becomes even more challenging. In recent years, there has been an extensive development of methods aimed at mitigating these issues. READ MORE
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2. Hierarchical Clustering in Risk-Based Portfolio Construction
University essay from KTH/Matematisk statistikAbstract : Following the global financial crisis, both risk-based and heuristic portfolio construction methods have received much attention from both academics and practitioners since these methods do not rely on the estimation of expected returns and as such are assumed to be more stable than Markowitz's traditional mean-variance portfolio. In 2016, Lopéz de Prado presented the Hierarchical Risk Parity (HRP), a new approach to portfolio construction which combines hierarchical clustering of assets with a heuristic risk-based allocation strategy in order to increase stability and improve out-of-sample performance. READ MORE
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3. Systemic Risk in the Insurance Sector under Solvency II: An Analysis of the Pro-Cyclicality Channel
University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomiAbstract : This thesis studies the effect of a change in the regulatory environment on the cyclicality of insurers' investment behavior. Given their large amount of asset holdings, insurers have the potential to reinforce or dampen market and asset price movements. READ MORE
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4. Changes in External Accounting Framework and its impact on Asset & Liability Management
University essay from Högskolan i Gävle/Avdelningen för ekonomiAbstract : Purpose: The purpose of this investigation is to contribute to the understanding of how changes in the external accounting framework impacts an insurance company’s asset and liability management focusing on the asset side and credit risks. Method: This study has an actor’s approach. READ MORE
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5. Solvency II: New risk-based capital standards altering the capital requirements for the insurance industry within the EU - Potential effects on asset allocation within Swedish life insurance companies
University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansieringAbstract : The objective of this thesis is to analyse the perceptions of how the incoming regulation, Solvency II, will affect Swedish life insurance companies regarding changes in asset allocation. The main hypothesis, divided into 4 sub-hypotheses, focuses on evaluation of the asset classes known as fixed income, public equity, other equities/alternative investments and real estate. READ MORE
