Hostname: page-component-586b7cd67f-2plfb Total loading time: 0 Render date: 2024-11-26T17:46:21.982Z Has data issue: false hasContentIssue false
  • English
  • Français

Dynamic Asset Allocation Techniques. Discussion held at the Institute of Actuaries

Published online by Cambridge University Press:  12 March 2012

Get access Rights & Permissions [Opens in a new window]

Extract

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.

Type
Sessional meetings: papers and abstracts of discussions
Information
British Actuarial Journal , Volume 15 , Issue 3 , September 2009 , pp. 656 - 677
Copyright
Copyright © Institute and Faculty of Actuaries 2009

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

Dempster, M.A.H., Germano, M., Medova, E.A. & Villaverde, M. (2003). Global asset liability management. British Actuarial Journal, 9, 137–216 (with discussion).CrossRefGoogle Scholar
Dempster, M.A.H., Germano, M., Medova, E.A., Rietbergen, M.I., Sandrini, F. & Scrowston, M. (2006). Managing guarantees. Journal of Portfolio Management, 32(2), 51–61.CrossRefGoogle Scholar
Dempster, M.A.H., Germano, M., Medova, E.A., Murphy, J.K., Ryan, D. & Sandrini, F. (2009). Risk profiling defined benefit pension schemes. Journal of Portfolio Management, 35(4), 76–93.CrossRefGoogle Scholar
Dempster, M.A.H., Mitra, G. & Pflug, G., eds. (2009). Quantitative Fund Management. Financial Mathematics Series, Chapman & Hall CRC, Boca Raton, FL.Google Scholar
Davidson, C. (2009). Variable annuities: Time to play it safe. Life and Pensions, April 2009, 20–27.Google Scholar
Ziemba, W.T. & Mulvey, J.M., eds. (1998). Worldwide Asset Liability Management. Newton Institute Proceedings Series, Cambridge University Press.Google Scholar