Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/120958
題名: | Optimal Multi-Period Asset Allocation: Matching Assets to Liabilities in a Discrete Model/Journal of Risk and Insurance | 作者: | 黃泓智 Huang, Hong‐Chih |
貢獻者: | 風管系 | 日期: | Jun-2010 | 上傳時間: | 21-Nov-2018 | 摘要: | Investment and risk control are becoming increasingly important for financial institutions. Asset allocation provides a fundamental investing principle to manage the risk and return trade‐off in financial markets. This article proposes a general formulation of a first approximation of multiperiod asset allocation modeling for institutions that invest to meet the target payment structures of a long‐term liability. By addressing the shortcomings of both single‐period models and the single‐point forecast of the mean variance approach, this article derives explicit formulae for optimal asset allocations, taking into account possible future realizations in a multiperiod discrete time model. | 關聯: | Journal of Risk and Insurance (國科會A級期刊), Vol.77, No.2, pp.451-472 | 資料類型: | article | DOI: | https://doi.org/10.1111/j.1539-6975.2009.01350.x |
Appears in Collections: | 期刊論文 |
Show full item record
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.