政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/120958

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政大機構典藏 > 商學院 > 風險管理與保險學系 > 期刊論文 > Item 140.119/120958

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题名:	Optimal Multi-Period Asset Allocation: Matching Assets to Liabilities in a Discrete Model/Journal of Risk and Insurance
作者:	黃泓智 Huang, Hong‐Chih
贡献者:	風管系
日期:	2010-06
上传时间:	2018-11-21 12:07:41 (UTC+8)
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.
關聯:	Journal of Risk and Insurance (國科會A級期刊), Vol.77, No.2, pp.451-472
数据类型:	article
DOI 連結:	https://doi.org/10.1111/j.1539-6975.2009.01350.x
DOI:	10.1111/j.1539-6975.2009.01350.x
显示于类别:	[風險管理與保險學系] 期刊論文

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