Stochastic Modelling of Financial Markets aiming to develop new concepts for Goal-Based Investment Solutions during Decumulation Phase

Starting date
May 1, 2021
Duration (months)
6
Departments
Computer Science
Managers or local contacts
Di Persio Luca

Allianz Global Investors GmbH funds this research project to derive optimal goal-based investment solutions during accumulation phase, with particular focus on Asset Allocation processes, back-testing and forward-looking simulation techniques, Target-Driven Investment Solutions, Private and Corporate Pension Solutions, and Holistic Portfolio Approaches. Results and applications aim to derive forecast methods for financial time series via both NNs -methods and multivariate time series approaches to optimize investment outcomes, pension funds management as well as the treatment of effective links between insurance strategies related to life frameworks within the new incoming European rules.

Sponsors:

Allianz Global Investors GmbH
Funds: assigned and managed by the department

Project participants

Luca Di Persio
Associate Professor
Alessandro Spazzini
Scholarship holder

Collaboratori esterni

Kai Wallbaum
Allianz Global Investors GmbH
Research areas involved in the project
Sistemi intelligenti
Probability and statistics

Activities

Research facilities