Strategic asset allocation by mixing shrinkage, vine copula and market equilibrium
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DOI: 10.1002/for.2506
Abstract: We propose a new portfolio optimization method combining the merits of the shrinkage estimation (Jorion, 1985, 1986 and 1991), vine-copula structure (Aas and Berg, 2009), and Black-Litterman model (Black and Litterman, 1991 and 1992). It… read more here.
Keywords: asset allocation; asset; vine copula; shrinkage ... See more keywords
Decentralized strategic asset allocation with global constraints
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DOI: 10.1057/s41260-017-0057-4
Abstract: Decentralized investment management can be defined as the practice of having multiple managers implement investment strategies across different asset categories. It has been common practice due the presence of alternative investments or other asset classes… read more here.
Keywords: asset allocation; asset; investment; optimization ... See more keywords
Life Insurance Policy Loans, Technology Choices, and Strategic Asset-liability Matching Management
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DOI: 10.1080/1540496x.2021.1937117
Abstract: ABSTRACT We develop a two-stage contingent claim model to evaluate a life insurer’s equity. The model sequentially determines the optimal guaranteed rate and the optimal technology choice for strategic asset-liability matching management. We show that… read more here.
Keywords: guaranteed rate; strategic asset; life; policy ... See more keywords