Matches in SemOpenAlex for { <https://semopenalex.org/work/W2025747669> ?p ?o ?g. }
- W2025747669 abstract "We solve the optimal asset allocation problem for an insurer or pension fund by using a benchmarking approach. Under this approach the objective is an increasing function of the relative performance of the asset portfolio compared to a benchmark. The benchmark can be, for example, a function of an insurer's liability payments, or the (either contractual or target) payments of a pension fund. The benchmarking approach tolerates but progressively penalizes shortfalls, while at the same time progressively rewarding out-performance. Working in a general, possibly non-Markovian setting, a solution to the optimization problem is presented, providing insights as to the impact of benchmarking on the resulting optimal portfolio." @default.
- W2025747669 created "2016-06-24" @default.
- W2025747669 creator A5040810296 @default.
- W2025747669 creator A5046950160 @default.
- W2025747669 date "2009-01-01" @default.
- W2025747669 modified "2023-09-25" @default.
- W2025747669 title "A Benchmarking Approach to Optimal Asset Allocation for Insurers and Pension Funds" @default.
- W2025747669 cites W1493238038 @default.
- W2025747669 cites W1514815886 @default.
- W2025747669 cites W1526300239 @default.
- W2025747669 cites W1554596760 @default.
- W2025747669 cites W1580561995 @default.
- W2025747669 cites W1586501328 @default.
- W2025747669 cites W1591710988 @default.
- W2025747669 cites W1602773783 @default.
- W2025747669 cites W1963901383 @default.
- W2025747669 cites W1972115786 @default.
- W2025747669 cites W1974480280 @default.
- W2025747669 cites W1980563255 @default.
- W2025747669 cites W1987097469 @default.
- W2025747669 cites W1988936876 @default.
- W2025747669 cites W1992136278 @default.
- W2025747669 cites W1993881776 @default.
- W2025747669 cites W1995589708 @default.
- W2025747669 cites W2006431489 @default.
- W2025747669 cites W2006776755 @default.
- W2025747669 cites W2011138656 @default.
- W2025747669 cites W2027126460 @default.
- W2025747669 cites W2030718044 @default.
- W2025747669 cites W2042775870 @default.
- W2025747669 cites W2044793768 @default.
- W2025747669 cites W2045501766 @default.
- W2025747669 cites W2048207845 @default.
- W2025747669 cites W2052852643 @default.
- W2025747669 cites W2064978316 @default.
- W2025747669 cites W2071292843 @default.
- W2025747669 cites W2076057077 @default.
- W2025747669 cites W2080032616 @default.
- W2025747669 cites W2087854199 @default.
- W2025747669 cites W2090220594 @default.
- W2025747669 cites W2095997925 @default.
- W2025747669 cites W2100058504 @default.
- W2025747669 cites W2102063802 @default.
- W2025747669 cites W2109486589 @default.
- W2025747669 cites W2113155572 @default.
- W2025747669 cites W2116774149 @default.
- W2025747669 cites W2118573305 @default.
- W2025747669 cites W2120691036 @default.
- W2025747669 cites W2122272911 @default.
- W2025747669 cites W2135200315 @default.
- W2025747669 cites W2141858721 @default.
- W2025747669 cites W2143161592 @default.
- W2025747669 cites W2151832703 @default.
- W2025747669 cites W2152557891 @default.
- W2025747669 cites W2161768172 @default.
- W2025747669 cites W2171169470 @default.
- W2025747669 cites W227271905 @default.
- W2025747669 cites W2327195030 @default.
- W2025747669 cites W2338681524 @default.
- W2025747669 cites W2463205204 @default.
- W2025747669 cites W3021444882 @default.
- W2025747669 cites W3121487372 @default.
- W2025747669 cites W3121862195 @default.
- W2025747669 cites W3122009644 @default.
- W2025747669 cites W3122339453 @default.
- W2025747669 cites W3124522512 @default.
- W2025747669 cites W3125603589 @default.
- W2025747669 cites W568080693 @default.
- W2025747669 cites W613141800 @default.
- W2025747669 cites W69337820 @default.
- W2025747669 doi "https://doi.org/10.2139/ssrn.1448376" @default.
- W2025747669 hasPublicationYear "2009" @default.
- W2025747669 type Work @default.
- W2025747669 sameAs 2025747669 @default.
- W2025747669 citedByCount "2" @default.
- W2025747669 countsByYear W20257476692012 @default.
- W2025747669 countsByYear W20257476692013 @default.
- W2025747669 crossrefType "journal-article" @default.
- W2025747669 hasAuthorship W2025747669A5040810296 @default.
- W2025747669 hasAuthorship W2025747669A5046950160 @default.
- W2025747669 hasConcept C10138342 @default.
- W2025747669 hasConcept C13280743 @default.
- W2025747669 hasConcept C139819358 @default.
- W2025747669 hasConcept C14036430 @default.
- W2025747669 hasConcept C144133560 @default.
- W2025747669 hasConcept C145097563 @default.
- W2025747669 hasConcept C162118730 @default.
- W2025747669 hasConcept C162324750 @default.
- W2025747669 hasConcept C162853370 @default.
- W2025747669 hasConcept C185798385 @default.
- W2025747669 hasConcept C205649164 @default.
- W2025747669 hasConcept C2777834853 @default.
- W2025747669 hasConcept C2780821815 @default.
- W2025747669 hasConcept C2780899237 @default.
- W2025747669 hasConcept C38652104 @default.
- W2025747669 hasConcept C41008148 @default.
- W2025747669 hasConcept C76178495 @default.
- W2025747669 hasConcept C78458016 @default.
- W2025747669 hasConcept C86251818 @default.
- W2025747669 hasConcept C86803240 @default.