Asset Allocation: Investment Strategies for Financial and Insurance Portfolio

K. C. Cheung and H. Yang
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K. C. Cheung: University of Hong Kong, Pokfulam Road, Hong Kong
H. Yang: Department of Statistics and Actuarial Science, University of Hong Kong, Pokfulam Road, Hong Kong

Chapter 17 in Intelligent and Other Computational Techniques in Insurance:Theory and Applications, 2003, pp 587-623 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionSingle-Period Markowitz ModelMulti-Period Mean-Variance ModelModel and Problem FormulationModel AssumptionA Useful Auxiliary ProblemA Brief Review of Merton's ModelContinuous-Time VaR Optimal PortfolioValue-at-RiskModel and Problem FormulationSolution ApproachContinuous-Time CaR FormulationModel and CaRProblem FormulationOptimal Investment Strategy for Insurance PortfolioConclusionsAcknowledgmentsAppendix 1Appendix 2Appendix 3References

Keywords: Insurance; Actuarial Science; Neural Networks; Fuzzy Systems; Computational Intelligence; Computational Techniques; Life and Health Insurance; Property and Casualty Insurance (search for similar items in EconPapers)
Date: 2003
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