کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5076981 1374111 2010 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A benchmarking approach to optimal asset allocation for insurers and pension funds
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
A benchmarking approach to optimal asset allocation for insurers and pension funds
چکیده انگلیسی
We solve the optimal asset allocation problem for an insurer or pension fund by using a benchmarking approach. Under this approach the objective is an increasing function of the relative performance of the asset portfolio compared to a benchmark. The benchmark can be, for example, a function of an insurer's liability payments, or the (either contractual or target) payments of a pension fund. The benchmarking approach tolerates but progressively penalizes shortfalls, while at the same time progressively rewards outperformance. Working in a general, possibly non-Markovian setting, a solution to the optimization problem is presented, providing insights into the impact of benchmarking on the resulting optimal portfolio. We further illustrate the results with a detailed example involving an option based benchmark of particular interest to insurers and pension funds, and present closed form solutions.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 46, Issue 2, April 2010, Pages 317-327
نویسندگان
, ,