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

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 114501/145531 (79%)
Visitors : 53368835 Online Users : 1208

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大典藏 > College of Commerce > Department of Risk Management and Insurance > Periodical Articles > Item 140.119/120958

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/120958

Title:	Optimal Multi-Period Asset Allocation: Matching Assets to Liabilities in a Discrete Model/Journal of Risk and Insurance
Authors:	黃泓智 Huang, Hong‐Chih
Contributors:	風管系
Date:	2010-06
Issue Date:	2018-11-21 12:07:41 (UTC+8)
Abstract:	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.
Relation:	Journal of Risk and Insurance (國科會A級期刊), Vol.77, No.2, pp.451-472
Data Type:	article
DOI link:	https://doi.org/10.1111/j.1539-6975.2009.01350.x
DOI:	10.1111/j.1539-6975.2009.01350.x
Appears in Collections:	[Department of Risk Management and Insurance] Periodical Articles

Files in This Item:

File	Description	Size	Format
472.pdf		399Kb	Adobe PDF2	338	View/Open

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

Loading...