Modelling optimal trading strategy for a 2nd tier pension fund manager under iso-elastic utility function
| dc.contributor.author | Adjei, Eric Oppong | |
| dc.date.accessioned | 2016-10-03T12:11:37Z | |
| dc.date.accessioned | 2023-04-19T23:13:59Z | |
| dc.date.available | 2016-10-03T12:11:37Z | |
| dc.date.available | 2023-04-19T23:13:59Z | |
| dc.date.issued | June, 2016 | |
| dc.description | A thesis submitted to the Department of Mathematics, Kwame Nkrumah University of Science and Technology in partial fulfillment of the requirement for the degree of M.Phil. Actuarial Science | en_US |
| dc.description.abstract | The study sought to address portfolio optimization problem of a 2nd Tier Pension Fund Manager in Ghana who wanted to maximize his expected utility from his terminal wealth over all admissible trading strategies on a finite time interval. The research was done within the framework of Iso- elastic utility functions. The novelty of this study was that the interest rate was time dependent and was modeled within the spectral density domain. The drift process was modeled as a Gaussian process. A Monte Carlo simulation was considered for three stocks with a specified covariance structure under different scenarios; (log-normal, normal and exponential) for generating the stock prices. The main result of the simulation study indicated that, for any portfolio under these three scenarios with a log-normally distributed stock, the fund manager should invest larger proportion of their wealth in that stock irrespective of the level of risk aversion coefficient. Likewise, the market data fitted depicted the same results as shown in the simulation studies, hence, improving 2nd Tier Pension Fund Manager’s wealth to aid the 2nd Tier Pension contributors when they went on retirement. | en_US |
| dc.description.sponsorship | KNUST | en_US |
| dc.identifier.uri | https://ir.knust.edu.gh/handle/123456789/9046 | |
| dc.language.iso | en | en_US |
| dc.title | Modelling optimal trading strategy for a 2nd tier pension fund manager under iso-elastic utility function | en_US |
| dc.type | Thesis | en_US |
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