Hostname: page-component-cd9895bd7-hc48f Total loading time: 0 Render date: 2024-12-23T11:10:59.161Z Has data issue: false hasContentIssue false
  • English
  • Français

The Selection and Maintenance of a Gilt-Edged Portfolio

Published online by Cambridge University Press:  18 August 2016

G. T. Pepper
Get access Rights & Permissions [Opens in a new window]

Extract

This paper is primarily concerned with investment by life offices and pension funds in British Government stocks with lives of more than 5 years, although there are important implications for all classes of investors. Investing in British Government stocks over the post-war period has become a highly technical process. The advent of the electronic computer has opened up an entirely new field of statistical data thus making some of the old methods obsolete. The paper illustrates some of the new techniques developed by the author and his colleagues. Other actuaries have also been developing new approaches and it is hoped that they will contribute to a lively and constructive discussion.

Type
Research Article
Information
Journal of the Institute of Actuaries , Volume 90 , Issue 1 , June 1964 , pp. 63 - 103
Copyright
Copyright © Institute and Faculty of Actuaries 1960

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

(1) Marshall, J. B. (1953) British Government Securities. T.F.A. 22, 19.Google Scholar
(2) Rose, H. B. (1960) The Economic Background to Investment. Cambridge University Press.Google Scholar
(3) Wickert, J. (1961) Gilt-edged Switching. Pension Fund Conference, Industrial Welfare Society.Google Scholar
(4) Grant, A. T. (1962) Switching of British Government Securities. The Investment Analyst, Vol. 3.Google Scholar
(5) Jamieson, F. S. (1961) The Effect of Taxation on Comparative Yields on Life Office Investments. T.F.A. 27, 93.Google Scholar
(6) Redington, F. M. (1952) A Review of the Principles of Life Office Valuations. J.I.A. 78, 286.Google Scholar
(7) Haynes, A. T. and Kirton, R. J. (1952) The Financial Structure of a Life Office. T.F.A. 21, 141.Google Scholar
(8) Robertson, D. J. and Sturrock, I. L. B. (1953) Active Investment Policy related to the holding of Matched Assets. T.F.A. 22, 36.Google Scholar