Faculty Advisor

Abraham, Jon P.

Abstract

Our project analyzed the standard deviation of projected mutual fund returns relative to the actual performance of the mutual fund. We performed Monte-Carlo simulations using geometric Brownian motion to obtain the projected mutual funds. Our project tested the effects of a regime-switching model and distribution of manager's alpha by generating many scenarios to draw conclusions about fund mapping accuracy. Using our results, we analyzed the specific effects of these variables to provide conclusions to our sponsor, Towers Watson.

Publisher

Worcester Polytechnic Institute

Date Accepted

January 2011

Major

Actuarial Mathematics

Project Type

Major Qualifying Project

Accessibility

Unrestricted

Advisor Department

Mathematical Sciences

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