Implications of Modern Portfolio Theory for Life Assurance Companies

A. J. Frost and I. J. S. Henderson

Chapter 8 in Modern Portfolio Theory and Financial Institutions, 1983, pp 163-180 from Palgrave Macmillan

Abstract: Abstract The prime purpose of this paper is to assess the relevance of Modern Portfolio Theory (MPT) to life assurance companies. The literature on the topic is now quite copious. Actuarial literature on the topic in the UK is confined to a small number of important papers. Moore’s (1972) paper laid the ground work for discussion of the principle by the actuarial profession. Holbrook’s (1977) paper discussed the relevance of risk and return to Pension Fund performance by summarising the work of Treynor, Sharpe and Fama. The paper by Pountain and Fitzgerald (1980) earlier this year would appear to be the most recent actuarial contribution to the debate.

Keywords: Financial Institution; Pension Fund; Fund Manager; Total Return; Investment Management (search for similar items in EconPapers)
Date: 1983
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-349-05843-3_8

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DOI: 10.1007/978-1-349-05843-3_8

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