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Realized Return Optimization. A New Approach to Liability Funding
optimal return on bonds and presents the advantages of liability driven investing. From the Actuarial ... Research Clearing House ARCH 1990 Vol. 1. Investment risk;Liability driven investments=LDI; 346 1/1/1990 ...- Authors: Prakash A Shimpi
- Date: Jan 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods>Asset modeling
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Multivariate Duration Analysis
depend on a mathematical formulation of the way in which a yield curve moves. A discussion of the paper ... paper follows. From Transactions of Society of Actuaries 1991, Vol. 43. Analytics and informatics;Asset ...- Authors: Robert Reitano, Elias Shiu, Anthony J Zeppetella
- Date: Oct 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods>Asset modeling
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Multivariate Immunization Theory
Immunization Theory This paper discusses extending the general nonparallel shift approach to duration analysis ... and explores the immunization model within the multivariate context. A discussion of the paper follows ...- Authors: Robert Reitano, Elias Shiu
- Date: Oct 1991
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods>Asset modeling