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Why Glide Paths Should Evolve
Calculations References Bellman, R.E. (1957), Dynamic Programming, Dover. Ibbotson, R., Milevsky, M. ... Samuelson, P., (1969). Lifetime portfolio selection by dynamic stochastic programming, The Review of Economics ...- Authors: Dimitry D Mindlin
- Date: Jun 2022
- Competency: Professional Values; Results-Oriented Solutions; Strategic Insight and Integration; Technical Skills & Analytical Problem Solving
- Publication Name: Risks & Rewards
- Topics: Finance & Investments>Asset allocation; Finance & Investments>Investment policy; Finance & Investments>Investment strategy - Finance & Investments; Finance & Investments>Portfolio management - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments; Pensions & Retirement; Pensions & Retirement>Pension finance; Pensions & Retirement>Pension investments & asset liability management
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Deep Learning for Liability-Driven Investment
optimization of a dynamic asset allocation strategy is difficult to achieve with dynamic programming, whose ... construct a framework for learning the optimal dynamic strategic asset allocation plan for LDI, one can ...
- Authors: Kailan Shang
- Date: Feb 2022
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Risks & Rewards
- Topics: Finance & Investments; Predictive Analytics
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Hedging variable annuities: portfolio rebalancing frequency
the last decade, many insurers have implemented dynamic hedging pro-grams to defend against market risks ... the last decade, many insurers have implemented dynamic hedging programs to defend against market risks ...- Authors: Maciej Augustyniak, Mathieu Boudreault
- Date: Feb 2018
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Risks & Rewards
- Topics: Annuities
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Quarterly Focus - Customizing LDI
(% ) AUGUST 2008 RISK AND REWARDS | 15 Dynamic risk budgeting: As a sponsor’s funding ratio, ... funding ratio targets reap the most reward from a dynamic approach to managing the overall risk budget.- Authors: Aaron Meder
- Date: Aug 2008
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Publication Name: Risks & Rewards
- Topics: Finance & Investments; Pensions & Retirement>Funding
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Managing Funding Ratio Risk and Return
Managing Funding Ratio Risk and Return This article provides key insights and data samples ... return opportunities and expected returns from dynamic management of market, currency and security selection ...- Authors: Aaron Meder
- Date: Aug 2006
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Risks & Rewards
- Topics: Pensions & Retirement>Pension finance; Pensions & Retirement>Risk management
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2003 Stochastic Modeling Symposium
2003 Stochastic Modeling Symposium Announcement of an upcoming 2003 Stochastic Modeling Symposium. ... only ones having to deal with uncertainties and dynamic models. Friday’s luncheon speaker will be Phelim ...- Authors: Martin Roy
- Date: Jul 2003
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods
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Economic Capital—Recent Market Developments and Trends
Adequacy Ratio. Standard & Poor’s has created a dynamic model called “Financial Product Capital (FPC)” ... to measure the required economic capital. This dynamic model has been applied to non-insurance “books” ...- Authors: Hubert B Mueller
- Date: Jul 2003
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Publication Name: Risks & Rewards
- Topics: Finance & Investments>Economic capital
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Simulation Technology for Managing Risk
Simulation Technology for Managing Risk The second of three articles exploring the new technology ... reliable versatile risk modeling. Data mining;Dynamic simulation models;Enterprise risk management=ERM;Risk ...- Authors: Lilli Segre Tossani
- Date: Feb 2003
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Publication Name: Risks & Rewards
- Topics: Technology & Applications>Software
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When Is It Right To Use Arbitrage-FreeScenarios?
When Is It Right To Use Arbitrage-FreeScenarios? When Is It Right To Use Arbitrage-Free Scenarios? ... will usually vary over time. That is, there is a dynamic hedging strategy that, given the usual assumptions ...- Authors: Stephen Britt
- Date: Sep 2000
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods>Scenario generation