MSc.MF Theses and Dissertations (2017)
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Portfolio optimization in the Kenyan stock market: a comparison between mean-variance optimization and threshold accepting
(Strathmore University, 2017)The Mean-Variance Optimization (MVO) model has been used in asset allocation problems since the inception of Modern Portfolio Theory in 1952. Several improvements and alternatives to MVO have been suggested and used since ... -
Modeling SME credit ratings using non-homogenous backward semi-Markovian approach
(Strathmore University, 2017)Considering the growth in SME lending in Kenya and the obvious risks it posses to the banking sector, we establish a credit risk model that is responsive to the jumps in the economy. This is based on simulation of implied ... -
Calibration of vasicek model in a hidden markov context: the case of Kenya
(Strathmore University, 2017)This dissertation calibrates the Vasicek term-structure model to the evolution of interest rate dynamics in Kenya. This is done for both a single-state and a multi-state model using state estimated under a Hidden Markov ...