One of the most common issues studied in finance is that of an economic unit who aims at maximizing his expected lifetime utility from consumption and/or terminal wealth, by an effective asset-liability management. In this book, we revisit this theme and focuses on two categories of economic agents: the individual and institutional investors. The first part of this manuscript addresses the individual asset allocation decision at retirement. One establishes the utility of life annuities to build investment strategies able to guarantee future consumption and an eventual bequest. The second part is devoted to the management of defined benefits and defined contributions pension funds, exposed to the mortality risk. In particular, we discuss the market incompleteness generated by the mortality risk and propose partial hedging strategies of pension funds commitments. Finally, the last part studies two particular asset allocation problems in complete markets: the wealth maximization under a value at risk constraint and the valuation of a fair profit sharing rate.
發表於2024-11-14
Asset Liability Management -Individual and institutional approaches 2024 pdf epub mobi 電子書 下載
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Asset Liability Management -Individual and institutional approaches 2024 pdf epub mobi 電子書 下載