Optimal Multiperiod Asset Allocation: Matching Assets to Liabilities in a Discrete Model
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. Copyright (c) The Journal of Risk and Insurance, 2010.
Year of publication: |
2010
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Authors: | Huang, Hong-Chih |
Published in: |
Journal of Risk & Insurance. - American Risk and Insurance Association - ARIA, ISSN 0022-4367. - Vol. 77.2010, 2, p. 451-472
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Publisher: |
American Risk and Insurance Association - ARIA |
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