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Journal of the Institute of Actuaries, Volume 119 - 1992

Contents

Page 2 of 3

Research Article

  • Portfolio selection and matching: a synthesis

  • M. Sherris
  • Published online by Cambridge University Press:
    20 April 2012, pp. 87-105

  • 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.

Reviews

Other

Research Article

Reviews

Other

Memoirs

  • Sidney Benjamin

  • Colin D. Lever
  • Published online by Cambridge University Press:
    20 April 2012, pp. 383-384
    • Article
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Reviews

Meeting Report

Memoirs

  • John Farrant Bunford

  • G.V.B.
  • Published online by Cambridge University Press:
    20 April 2012, p. 593
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Meeting Report

Memoirs

  • James Basil Holmes Pegler

  • L. G. Hall
  • Published online by Cambridge University Press:
    20 April 2012, pp. 593-594
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Meeting Report

Other

Meeting Report

Page 2 of 3