Faculty Advisor

Abraham, Jon P.

Faculty Advisor

Posterro, Barry John

Abstract

Economic volatility is unpredictable, but investors try their best to prepare for the worst possibilities. A simulation of this fluctuation may be captured using mathematical models. An Economic Scenario Generator (ESG) uses a mathematical procedure to simulate, not predict, the returns for assets. We built our own ESG, using Excel, that is designed to include unlikely economic catastrophes. Our ESG simulated the returns of 10 exchange traded funds (ETFs) based on the historical returns of these ETFs. The final simulated returns of our ESG provide scenarios that may help investors prepare for various economic conditions.

Publisher

Worcester Polytechnic Institute

Date Accepted

April 2016

Major

Actuarial Mathematics

Project Type

Major Qualifying Project

Accessibility

Unrestricted

Advisor Department

Mathematical Sciences

Share

COinS