Publication Date
2024
Document Type
Dissertation/Thesis
First Advisor
Hua, Lei
Degree Name
M.S. (Master of Science)
Legacy Department
Department of Statistics and Actuarial Science
Abstract
The evolution of product development within the variable annuity (VA) business have sparked interest in quantitative investment management, particularly as most VA issuers have integrated volatility-controlled funds into their annuity portfolios. Despite the existence of empirical research on statistical analysis of extreme values in conventional investments, there has been a notable gap in research focus towards risk modeling in volatility-controlled funds.
This study contributes by analyzing and modeling the extreme values of investments in volatility-controlled funds, comparing them to conventional equity funds. The financial returns of S&P Dow Jones Indices (SPDJI) indices - SPXTR, risk control SPXT18UT, and managed risk SPXMR - are analyzed using the block maxima, and peaks over threshold extreme value theory methods.
The findings reveal that the managed risk strategy exhibits superior extreme value characteristics compared to the corresponding risk control strategy. Additionally, volatility-controlled strategies outperform their underlying conventional equity index.
Recommended Citation
Zumanu, George Agbenyega, "Univariate Extreme Value Analysis of Quantitative Investment Management" (2024). Graduate Research Theses & Dissertations. 8001.
https://huskiecommons.lib.niu.edu/allgraduate-thesesdissertations/8001
Extent
90 pages
Language
en
Publisher
Northern Illinois University
Rights Statement
In Copyright
Rights Statement 2
NIU theses are protected by copyright. They may be viewed from Huskie Commons for any purpose, but reproduction or distribution in any format is prohibited without the written permission of the authors.
Media Type
Text
