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Matching and portfolio selection: Part 2

Published online by Cambridge University Press:  20 April 2012

A. J. Wise
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Extract

8.1 This paper is concerned with the selection of investment portfolios to meet specified criteria which involve the liabilities of a long term investing institution such as a pension fund or a life office. In Part 1 (5) I showed a certain relationship between, on the one hand, portfolios selected according to a criterion of pure matching to the liabilities and, on the other hand, portfolios selected according to a more general criterion of ‘efficiency’. This connection points to a particular actuarial approach to the selection of portfolios, which is now further examined in Part 2.

8.2 Writing Part 2 separately presents an opportunity to re-state the main ideas. The next few paragraphs recapitulate the basic points with a view to reducing, within the subsequent discussion, the amount of cross-reference to Part 1, and to the three preceding papers on which the study is based.

Type
Research Article
Information
Journal of the Institute of Actuaries , Volume 114 , Issue 3 , December 1987 , pp. 551 - 568
Copyright
Copyright © Institute and Faculty of Actuaries 1987

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References

REFERENCES

(1) Wise, A. J. (1984) The Matching of Assets to Liabilities J.I.A. 111, 445.Google Scholar
(2) Wilkie, A. D. (1985) Portfolio Selection in the Presence of Fixed Liabilities: a Comment on “The Matching of Assets to Liabilities”. J.I.A. 112, 229.Google Scholar
(3) Moore, P. G. (1971) Mathematical Models in Portfolio Selection. J.I.A. 98, 103.Google Scholar
(4) Wise, A. J. (1984) A Theoretical Analysis of the Matching of Assets to Liabilities. J.I.A. 111, 375.Google Scholar
(5) Wise, A. J. (1987) Matching and Portfolio Selection: Part 1. J.I.A. 114, 113.Google Scholar
(6) Sharpe, W. F. (1970) Portfolio Theory and Capital Markets. McGraw-Hill.Google Scholar
(7) Wilkie, A. D. (1986) A Stochastic Investment Model for Actuarial Use. T.F.A. 39, 341.Google Scholar