Efficient Portfolios in the Asset Liability Context

Autor:	Alex Keel, Heinz Müller
Rok vydání:	1995
Předmět:	Shift vector Microeconomics Set (abstract data type) Economics and Econometrics Actuarial science Accounting Liability Economics Context (language use) Asset (economics) Finance Modern portfolio theory
Zdroj:	ASTIN Bulletin. 25:33-48
ISSN:	1783-1350 0515-0361
DOI:	10.2143/ast.25.1.563252
Popis:	The set of efficient portfolios in an asset liability model is discussed in detail. The occurence of liabilities leads to a parallel shift of the efficient set. Under an appropriate assumption, the shift vector can be decomposed in different components. For the special case, where the investor is a pension fund, it is shown how shortfall constraints can be reconciled with efficiency. Finally, optimality conditions for the market portfolio are derived.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::08fc244a295638da3710c9a308ae810a https://doi.org/10.2143/ast.25.1.563252 Zobrazit plný text záznamu