Faculty Advisor

Abraham, Jon P

Abstract

Our project tested the accuracy of projected mutual fund returns (via fund mappings) relative to the actual performance of the mutual fund. To achieve this, we performed Monte-Carlo simulations using geometric Brownian motion. Utilizing Excel's VBA, we generated many scenarios to draw conclusions about fund mapping reliability. We modified parameters within the simulation in order to isolate factors that affected the fund mapping's accuracy, and analyzed the specific effects of these variables to provide our sponsor, Towers Perrin, with recommendations.

Publisher

Worcester Polytechnic Institute

Date Accepted

January 2010

Major

Actuarial Mathematics

Project Type

Major Qualifying Project

Accessibility

Unrestricted

Advisor Department

Mathematical Sciences

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