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https://ah.lib.nccu.edu.tw/handle/140.119/45736
題名: | Optimal MultiPeriod Asset Allocation: Matching Assets to Liabilities in a Discrete Model | 作者: | 黃泓智 Huang,Hong-Chih |
貢獻者: | 風管系 | 日期: | 六月-2010 | 上傳時間: | 6-十月-2010 | 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, 77(2), 451-472 | 資料類型: | article | DOI: | http://dx.doi.org/10.1111/j.1539-6975.2009.01350.x |
Appears in Collections: | 期刊論文 |
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