Portfolio selection and matching: a synthesis
- 1 January 1992
- journal article
- research article
- Published by Cambridge University Press (CUP) in Journal of the Institute of Actuaries
- Vol. 119 (1), 87-105
- https://doi.org/10.1017/s0020268100019703
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
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