Portfolio selection and matching: a synthesis-Reference-Cited by-同舟云学术

Portfolio selection and matching: a synthesis

Published:1992 Issue:1 Volume:119 Page:87-105
ISSN:0020-2681
Container-title:Journal of the Institute of Actuaries
language:en
Short-container-title:J. Inst. Actuar.

Author:

Sherris M.

Abstract

AbstractThis 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.

Publisher

Cambridge University Press (CUP)

Reference21 articles.

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2. Risk Aversion in the Small and in the Large

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4. The Measurement of Investment Risk;Clarkson;J.I.A.,1989

5. The Matching of Assets to Liabilities;Wise;J.I.A.,1984

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