 Dynamic Asset Allocation Techniques. Discussion held at the Institute of ActuariesAnonymous British Actuarial Journal, 2009, vol. 15, issue 3, 656-677 Abstract: The President (Mr N. B. Masters, F.I.A.): The subject of this evening is a paper by Adrian Lawrence, Stuart Jarvis and Sheng Miao on Dynamic Asset Allocation Techniques, very much a flavour of the day at the moment as we struggle with the gyrations of both the stock market and interest rates. If I may, I will ask Dr Jarvis to introduce the paper.Dr S. J. Jarvis, F.I.A.: We are acutely aware that the paper has not been finalised yet and so thank you in advance for any help you can give us this evening in improving our paper.In the absence of the final paper, we are going to spend a bit longer than is normal at these meetings to describe what our paper consists of and why we have written what we have written.I am going to start off by talking about some of our motivations. The paper is a fairly technical paper. It focuses on investment, but our motivation comes from applications so we will spend a bit of time talking about those first. We will then talk about the formulation of problems, and some of the techniques that we apply to look at them. That is the focus of the paper—the methods that we found useful. Finally we will talk through some of our results. Date: 2009 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:cup:bracjl:v:15:y:2009:i:3:p:656-677_5 Access Statistics for this article More articles in British Actuarial Journal from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK. |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.