Student Work

 

Analysis of Fund Mapping Techniques for Variable Annuities Public

Downloadable Content

open in viewer

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.

  • This report represents the work of one or more WPI undergraduate students submitted to the faculty as evidence of completion of a degree requirement. WPI routinely publishes these reports on its website without editorial or peer review.
Last modified
  • 01/26/2021
Creator
Publisher
Identifier
  • E-project-011310-141059
Advisor
Year
  • 2010
Sponsor
Date created
  • 2010-01-13
Resource type
Major
Rights statement
License

Relationships

In Collection:

Items

Permanent link to this page: https://digital.wpi.edu/show/1r66j2625