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" A benchmarking approach to optimal asset allocation for insurers and pension funds "
/گلستانی ، محبوبه
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565034
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| Personal Name - Primary Intelectual Responsibility
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Golestani, Mahbobeh
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| Title and statement of responsibility
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A benchmarking approach to optimal asset allocation for insurers and pension funds [Thesis]/گلستانی ، محبوبه;supervisor: A.T.Payandeh;advisor: Gh. Mahdavi
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| Publication, Distribution,Etc.
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, 2012
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| Language of Text,Soundtrack etc.
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eng
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bibliography
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| Dissertation of thesis details and type of degree
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MASTER OF SCIENCE
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| Discipline of degree
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, ACTUARIAL SCIENCE
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| Body granting the degree
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, Allameh Tabatabai University, E.C.O. College of Insurance
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| Summary or Abstract
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: هدف تحقیق
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Uncertainty in the financial market will be driven by underlying Brownian motions, while the assets are assumed to be general stochastic processes adapted to the filtration of the Brownian motions.Our approach tolerates but progressively penalizes underperformance, and progressively rewards outperformance. A general solution under general market models, benchmarks, and concave benchmarking functions is presented, and insights to the impact of benchmarking to the optimal portfolio are obtained. ..
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| Uncontrolled Subject Terms
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asset liability managment
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portfolio optimization
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تخصیص دارایی ژ
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بهینه سازی سبد دارایی
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محک لیم وانگ
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| Information of biblio record
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TL
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| Material Type
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Latin Dissertation
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