Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/45736
DC Field | Value | Language |
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dc.contributor | 風管系 | en_US |
dc.creator | 黃泓智 | zh_TW |
dc.creator | Huang,Hong-Chih | - |
dc.date | 2010-06 | en_US |
dc.date.accessioned | 2010-10-06T02:40:04Z | - |
dc.date.available | 2010-10-06T02:40:04Z | - |
dc.date.issued | 2010-10-06T02:40:04Z | - |
dc.identifier.uri | http://nccur.lib.nccu.edu.tw/handle/140.119/45736 | - |
dc.description.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. | - |
dc.language.iso | en_US | - |
dc.relation | Journal of Risk and Insurance, 77(2), 451-472 | en_US |
dc.title | Optimal MultiPeriod Asset Allocation: Matching Assets to Liabilities in a Discrete Model | en_US |
dc.type | article | en |
dc.identifier.doi | 10.1111/j.1539-6975.2009.01350.x | en_US |
dc.doi.uri | http://dx.doi.org/10.1111/j.1539-6975.2009.01350.x | en_US |
item.languageiso639-1 | en_US | - |
item.openairecristype | http://purl.org/coar/resource_type/c_18cf | - |
item.fulltext | With Fulltext | - |
item.openairetype | article | - |
item.grantfulltext | open | - |
item.cerifentitytype | Publications | - |
Appears in Collections: | 期刊論文 |
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451472.pdf | 399.37 kB | Adobe PDF2 | View/Open |
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