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Portfolio selection and matching: a synthesis

Portfolio selection and matching: a synthesis <jats:title>Abstract</jats:title><jats:p>This paper considers a general framework for the selection of assets to meet the liabilities of a life insurance or pension fund. This general framework contains the mean-variance efficient portfolios of modern portfolio theory as a special case. The paper also demonstrates how the portfolio selection and matching approach of Wise (1984a, 1984b, 1987a, 1987b) and Wilkie (1985) fits into this general framework. The matching portfolio is derived as a special case, and is also shown to have implications for determining the central value of the liabilities.</jats:p> http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of the Institute of Actuaries CrossRef

Portfolio selection and matching: a synthesis

Journal of the Institute of Actuaries , Volume 119 (1): 87-105 – Jan 1, 1992

Portfolio selection and matching: a synthesis


Abstract

<jats:title>Abstract</jats:title><jats:p>This paper considers a general framework for the selection of assets to meet the liabilities of a life insurance or pension fund. This general framework contains the mean-variance efficient portfolios of modern portfolio theory as a special case. The paper also demonstrates how the portfolio selection and matching approach of Wise (1984a, 1984b, 1987a, 1987b) and Wilkie (1985) fits into this general framework. The matching portfolio is derived as a special case, and is also shown to have implications for determining the central value of the liabilities.</jats:p>

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Publisher
CrossRef
ISSN
0020-2681
DOI
10.1017/s0020268100019703
Publisher site
See Article on Publisher Site

Abstract

<jats:title>Abstract</jats:title><jats:p>This paper considers a general framework for the selection of assets to meet the liabilities of a life insurance or pension fund. This general framework contains the mean-variance efficient portfolios of modern portfolio theory as a special case. The paper also demonstrates how the portfolio selection and matching approach of Wise (1984a, 1984b, 1987a, 1987b) and Wilkie (1985) fits into this general framework. The matching portfolio is derived as a special case, and is also shown to have implications for determining the central value of the liabilities.</jats:p>

Journal

Journal of the Institute of ActuariesCrossRef

Published: Jan 1, 1992

References