Decision Based Risk Attribution
(2017) EXTM10 20161Department of Economics
- Abstract
- In this thesis we present a model for ex-ante risk attribution in a decision based investment process. We first define the Investment Decision Process Model and apply it on a real industry case. Furthermore, we present a flexible approach to attribute the active risk associated with multiple active investment decisions in an investment process. In addition, we formulate a decision based risk attribution model by extending the existing X-Sigma-Rho framework. Finally, we apply the formulated model on the investment process of the First Swedish National Pension Fund to perform an ex-ante risk attribution analysis based on historical rolling sample estimation.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/8903304
- author
- Nylund, Fredrik LU
- supervisor
-
- Dag Rydorff LU
- organization
- course
- EXTM10 20161
- year
- 2017
- type
- H2 - Master's Degree (Two Years)
- subject
- keywords
- Risk Attribution, Investment Decision Process Model, X-Sigma-Rho Framework, The Brinson Model
- language
- English
- id
- 8903304
- date added to LUP
- 2017-02-16 13:48:18
- date last changed
- 2017-02-16 13:48:18
@misc{8903304, abstract = {{In this thesis we present a model for ex-ante risk attribution in a decision based investment process. We first define the Investment Decision Process Model and apply it on a real industry case. Furthermore, we present a flexible approach to attribute the active risk associated with multiple active investment decisions in an investment process. In addition, we formulate a decision based risk attribution model by extending the existing X-Sigma-Rho framework. Finally, we apply the formulated model on the investment process of the First Swedish National Pension Fund to perform an ex-ante risk attribution analysis based on historical rolling sample estimation.}}, author = {{Nylund, Fredrik}}, language = {{eng}}, note = {{Student Paper}}, title = {{Decision Based Risk Attribution}}, year = {{2017}}, }