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The Matching of Assets and Liabilities
constraints S(iL) _> 0, in < i0 (downside risk) , (17) S(iv) >_ 0, i~: > i0 (upside risk) be used ... ASSETS AND LIABILITIES 283 satisfying constraints (17). If not, iL will have to be increased and/or iv ...- Authors: James A Tilley
- Date: Jan 1980
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Asset liability management; Finance & Investments>Investment strategy - Finance & Investments; Modeling & Statistical Methods