LIABILITY RETURNS - A NEW LOOK AT ASSET ALLOCATION

被引：2
|
作者：
LEIBOWITZ, ML
机构：
来源：
JOURNAL OF PORTFOLIO MANAGEMENT | 1987年 / 13卷 / 02期
关键词：
D O I：
10.3905/jpm.1987.409091
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
引用
收藏
页码：11 / 18
页数：8
相关论文
共 50 条
  • [1] The impact of fat tailed returns on asset allocation
    Yesim Tokat
    Eduardo S. Schwartz
    [J]. Mathematical Methods of Operations Research, 2002, 55 : 165 - 185
  • [2] Asset allocation strategies in the presence of liability constraints
    Cousin, Areski
    Jiao, Ying
    Robert, Christian Y.
    Zerbib, Olivier David
    [J]. INSURANCE MATHEMATICS & ECONOMICS, 2016, 70 : 327 - 338
  • [3] ASSET MANAGEMENT, ALLOCATION OF TIME, AND RETURNS TO SAVING
    EHRLICH, I
    BENZION, U
    [J]. ECONOMIC INQUIRY, 1976, 14 (04) : 558 - 586
  • [4] On asset allocation for a threshold model with dependent returns
    Ebrahim Amini-Seresht
    Yiying Zhang
    Xiaohu Li
    [J]. European Actuarial Journal, 2019, 9 : 559 - 574
  • [5] On asset allocation for a threshold model with dependent returns
    Amini-Seresht, Ebrahim
    Zhang, Yiying
    Li, Xiaohu
    [J]. EUROPEAN ACTUARIAL JOURNAL, 2019, 9 (02) : 559 - 574
  • [6] The impact of fat tailed returns on asset allocation
    Tokat, Y
    Schwartz, ES
    [J]. MATHEMATICAL METHODS OF OPERATIONS RESEARCH, 2002, 55 (02) : 165 - 185
  • [7] Asset allocation with time variation in expected returns
    Boyle, PP
    Yang, HL
    [J]. INSURANCE MATHEMATICS & ECONOMICS, 1997, 21 (03): : 201 - 218
  • [8] Pension Fund Asset Allocation and Liability Discount Rates
    Andonov, Aleksandar
    Bauer, Rob M. M. J.
    Cremers, K. J. Martijn
    [J]. REVIEW OF FINANCIAL STUDIES, 2017, 30 (08): : 2555 - 2595
  • [9] Optimal Asset Allocation with Extreme Returns and a VaR Constraint
    Yen, Simon H.
    Lee, Mei-Hsing
    [J]. NTU MANAGEMENT REVIEW, 2007, 17 (02): : 41 - 68
  • [10] Modeling asset allocation and liability composition for Indian banks
    Viswanathan, P.
    Ranganatham, M.
    Balasubramanian, G.
    [J]. MANAGERIAL FINANCE, 2014, 40 (07) : 700 - 723
12345