Browsing MSc.MF Theses and Dissertations (2021) by Title
Now showing items 1-9 of 9
-
Analysis of risk measures in portfolio optimization for the Uganda Securities Exchange
(Strathmore University, 2021)For the most recent years, risk has become one of the essential parameters in portfolio optimization problems. Today most practitioners and researchers in portfolio optimization have used variance as a standard risk measure. ... -
A Comparative modelling of price dynamics of Certified Emission Reductions using diffusion processes: a case study of the European Energy Exchange
(Strathmore University, 2021)In this study, the price dynamics of Certified Emission Reductions were forecasted by comparing and acquiring the most consistent and accurate forecast model using the diffusion processes: Geometric Brownian Motion, Vasicek ... -
Day of the week effect on stock returns and volatility in emerging and frontier markets in Africa
(Strathmore University, 2021)The study examines the day of the week effect on average stock returns and compares the daily price volatilities in emerging and frontier markets in Africa. The study focuses on eight key stock markets in Africa’s emerging ... -
Dynamic portfolio optimization using reinforcement learning
(Strathmore University, 2021)This study uses machine learning in the development of a dynamic investment strategy for portfolio optimization. We aim to explore the efficiency of this approach over a passively managed portfolio and assess the whether ... -
An Empirical evaluation of alternative asset allocation policies for emerging and frontier market investors in Africa
(Strathmore University, 2021)Despite forming an integral part of literature and practitioner knowledge, Markowitz based optimization has been shown to suffer severe drawback of estimation errors and sensitivity to input parameters when implemented in ... -
Modelling stochastic volatility using hidden Markov models: a case study of the Kenyan securities Market
(Strathmore University, 2021)The biased parameter estimates generated by the Black-Scholes model have been attributed to the failure of the normality and constant volatility assumption to hold. Results of the improvement of the Black-Scholes-Merton ... -
Predictability of stock returns at Nairobi Securities Exchange
(Strathmore University, 2021)Stock market is regarded as a leading indicator of all possible changes in the economy as it reflects investors' expectations of future economic conditions. In this regard, stock investors are always concerned about the ... -
Stochastic modeling of electricity prices and option pricing
(Strathmore University, 2021)Volatility and abrupt price changes is a problem that has marred the electricity market for decades. This problem is especially observed in deregulated markets whose prices are influenced by supply and demand factors. ... -
Swaption pricing under Libor market model using Monte-Carlo method with simulated annealing optimization
(Strathmore University, 2021)The thesis seeks to use simulated annealing optimization to minimize the difference between the value of the libor model volatility and the ones quoted in the market for a congruent pricing of a Swaption contract. The ...