| dc.contributor | 風管系 | |
| dc.creator (作者) | 黃泓智 | |
| dc.creator (作者) | Huang, Hong‐Chih | |
| dc.date (日期) | 2010-06 | |
| dc.date.accessioned | 21-十一月-2018 12:07:41 (UTC+8) | - |
| dc.date.available | 21-十一月-2018 12:07:41 (UTC+8) | - |
| dc.date.issued (上傳時間) | 21-十一月-2018 12:07:41 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/120958 | - |
| dc.description.abstract (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. | en_US |
| dc.format.extent | 408952 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | Journal of Risk and Insurance (國科會A級期刊), Vol.77, No.2, pp.451-472 | |
| dc.title (題名) | Optimal Multi-Period Asset Allocation: Matching Assets to Liabilities in a Discrete Model/Journal of Risk and Insurance | en_US |
| dc.type (資料類型) | article | |
| dc.identifier.doi (DOI) | 10.1111/j.1539-6975.2009.01350.x | |
| dc.doi.uri (DOI) | https://doi.org/10.1111/j.1539-6975.2009.01350.x | |
