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Risk budgeting within an Asset Liability Modelling (ALM) framework, using mean-variance optimisation
Includes bibliographical references.
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Department of Statistical Sciences
2014
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| _version_ | 1867613329850105856 |
|---|---|
| access_status_str | Open Access |
| author | Singh, Prasheen |
| author2 | Van Biljon, Andrew |
| author_browse | Singh, Prasheen Van Biljon, Andrew |
| author_facet | Van Biljon, Andrew Singh, Prasheen |
| author_sort | Singh, Prasheen |
| collection | Thesis |
| description | Includes bibliographical references. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/4360 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:34:25.395Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | Department of Statistical Sciences |
| publisherStr | Department of Statistical Sciences |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/4360 Risk budgeting within an Asset Liability Modelling (ALM) framework, using mean-variance optimisation Singh, Prasheen Van Biljon, Andrew Statistical Sciences Includes bibliographical references. A risk budget is the quantification of an acceptable amount of risk that a pension fund is willing to take in its investment decisions, without significantly sacrificing its ability to meet its current and future liabilities. 2014-07-30T17:43:30Z 2014-07-30T17:43:30Z 2006 Master Thesis Masters MSc http://hdl.handle.net/11427/4360 eng application/pdf Department of Statistical Sciences Faculty of Science University of Cape Town |
| spellingShingle | Statistical Sciences Singh, Prasheen Risk budgeting within an Asset Liability Modelling (ALM) framework, using mean-variance optimisation |
| thesis_degree_str | Master's |
| title | Risk budgeting within an Asset Liability Modelling (ALM) framework, using mean-variance optimisation |
| title_full | Risk budgeting within an Asset Liability Modelling (ALM) framework, using mean-variance optimisation |
| title_fullStr | Risk budgeting within an Asset Liability Modelling (ALM) framework, using mean-variance optimisation |
| title_full_unstemmed | Risk budgeting within an Asset Liability Modelling (ALM) framework, using mean-variance optimisation |
| title_short | Risk budgeting within an Asset Liability Modelling (ALM) framework, using mean-variance optimisation |
| title_sort | risk budgeting within an asset liability modelling alm framework using mean variance optimisation |
| topic | Statistical Sciences |
| url | http://hdl.handle.net/11427/4360 |
| work_keys_str_mv | AT singhprasheen riskbudgetingwithinanassetliabilitymodellingalmframeworkusingmeanvarianceoptimisation |