| Title: | Optimal MultiPeriod Asset Allocation: Matching Assets to Liabilities in a Discrete Model |
| Authors: | 黃泓智
Huang,Hong-Chih |
| Contributors: | 風管系 |
| Date: | 2010-06 |
| Issue Date: | 2010-10-06 10:40:04 (UTC+8) |
| Abstract: | 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. |
| Relation: | Journal of Risk and Insurance, 77(2), 451-472 |
| Data Type: | article |
| DOI link: | http://dx.doi.org/10.1111/j.1539-6975.2009.01350.x |
| Appears in Collections: | [Department of Risk Management and Insurance] Periodical Articles
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