| dc.contributor | 風管系 | en_US |
| dc.creator (作者) | 黃泓智 | zh_TW |
| dc.creator (作者) | Huang,Hong-Chih | - |
| dc.date (日期) | 2010-06 | en_US |
| dc.date.accessioned | 6-Oct-2010 10:40:04 (UTC+8) | - |
| dc.date.available | 6-Oct-2010 10:40:04 (UTC+8) | - |
| dc.date.issued (上傳時間) | 6-Oct-2010 10:40:04 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/45736 | - |
| 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. | - |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | Journal of Risk and Insurance, 77(2), 451-472 | en_US |
| dc.title (題名) | Optimal MultiPeriod Asset Allocation: Matching Assets to Liabilities in a Discrete Model | en_US |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1111/j.1539-6975.2009.01350.x | en_US |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1111/j.1539-6975.2009.01350.x | en_US |
