Abstract
Mean/variance methodology has been commonly used as a basis for making asset allocation decisions. Sherris (1992) demonstrated how this approach was really a special case of a more general utility maximization problem. This paper intends to carry this idea further by applying numerical techniques to obtain the optimal asset allocation strategy, as well as incorporating explicit constraints into the selection problem.
Year
1994
Categories
Actuarial Applications and Methodologies
Dynamic Risk Modeling
Asset Liability Management (ALM);
Financial and Statistical Methods
Asset and Econometric Modeling
Publications
AFIR Colloquium
