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Portfolio selection in the presence of fixed liabilities: A comment on “The matching of assets to liabilities”

Published online by Cambridge University Press:  20 April 2012

A. D. Wilkie
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Extract

1. This note was inspired by the paper ‘The Matching of Assets to Liabilities’ presented by A. J. Wise to the Institute in March 1984 (Wise. 1984b). In it he presented a method of looking at the problem of matching which I claimed in the discussion was essentially a portfolio selection approach. However, his approach had a number of novel features. I wish to discuss one of these, approaching it from the conventional portfolio selection viewpoint. I am not aware that this problem has been considered elsewhere in the substantial literature that exists on portfolio selection. Full discussion of the mathematics of the conventional portfolio selection problem is contained in Sharpe (1970) and Szegö (1980), and a general explanation is available in many modern financial text books, and in the Institute paper by Moore (1972).

Type
Research Article
Information
Journal of the Institute of Actuaries , Volume 112 , Issue 2 , September 1985 , pp. 229 - 277
Copyright
Copyright © Institute and Faculty of Actuaries 1985

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References

Moore, P. G. (1972) Mathematical models in portfolio selection. J.I.A. 98, 103.Google Scholar
Sharpe, W. F. (1970) Portfolio Theory and Capital Markets. McGraw-Hill, New York.Google Scholar
Szegö, G. P. (1980) Portfolio Theory with Application to Bank Asset Management. Academic Press, New York.Google Scholar
Wise, A. J. (1984a) A Theoretical Analysis of the Matching of Assets to Liabilities. J.I.A. 111, 375.Google Scholar
Wise, A. J. (1984b) The Matching of Assets to Liabilities. J.I.A. 111, 445.Google Scholar