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Optimal Asset Allocation for Insurers by Idd Mic-dady is a document available to read on EtoBox.

What is Optimal Asset Allocation for Insurers about?

The document discusses using a benchmarking approach to solve the optimal asset allocation problem for insurers and pension funds. It considers maximizing a concave function of the relative performance between portfolio assets and a stochastic benchmark related to liabilities. A general solution is presented and an example given involving an option-based benchmark of interest to insurers.

Author

Idd Mic-dady

Language

EN