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Portfolio selection and matching: a synthesis

Published online by Cambridge University Press:  20 April 2012

M. Sherris
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Abstract

This 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.

Keywords

InvestmentMatchingModern Portfolio TheoryRisk
Type
Research Article
Information
Journal of the Institute of Actuaries , Volume 119 , Issue 1 , 1992 , pp. 87 - 105
Copyright
Copyright © Institute and Faculty of Actuaries 1992

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References

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