Risk budgeting within an Asset Liability Modelling (ALM) framework, using mean-variance optimisation

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dc.contributor.advisorVan Biljon, Andrewen_ZA
dc.contributor.authorSingh, Prasheenen_ZA
dc.date.accessioned2014-07-30T17:43:30Z
dc.date.available2014-07-30T17:43:30Z
dc.date.issued2006en_ZA
dc.descriptionIncludes bibliographical references.
dc.description.abstractA 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.en_ZA
dc.identifier.apacitationSingh, P. (2006). <i>Risk budgeting within an Asset Liability Modelling (ALM) framework, using mean-variance optimisation</i>. (Thesis). University of Cape Town ,Faculty of Science ,Department of Statistical Sciences. Retrieved from http://hdl.handle.net/11427/4360en_ZA
dc.identifier.chicagocitationSingh, Prasheen. <i>"Risk budgeting within an Asset Liability Modelling (ALM) framework, using mean-variance optimisation."</i> Thesis., University of Cape Town ,Faculty of Science ,Department of Statistical Sciences, 2006. http://hdl.handle.net/11427/4360en_ZA
dc.identifier.citationSingh, P. 2006. Risk budgeting within an Asset Liability Modelling (ALM) framework, using mean-variance optimisation. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Singh, Prasheen AB - 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. DA - 2006 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2006 T1 - Risk budgeting within an Asset Liability Modelling (ALM) framework, using mean-variance optimisation TI - Risk budgeting within an Asset Liability Modelling (ALM) framework, using mean-variance optimisation UR - http://hdl.handle.net/11427/4360 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/4360
dc.identifier.vancouvercitationSingh P. Risk budgeting within an Asset Liability Modelling (ALM) framework, using mean-variance optimisation. [Thesis]. University of Cape Town ,Faculty of Science ,Department of Statistical Sciences, 2006 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/4360en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDepartment of Statistical Sciencesen_ZA
dc.publisher.facultyFaculty of Scienceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherStatistical Sciencesen_ZA
dc.titleRisk budgeting within an Asset Liability Modelling (ALM) framework, using mean-variance optimisationen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMScen_ZA
uct.type.filetypeText
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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