Risk budgeting within an Asset Liability Modelling (ALM) framework, using mean-variance optimisation
Includes bibliographical references. === A risk budget is the quantification of an acceptable amount of risk that a pension fund is willing to take in its investment decisions, without significantly sacrificing its ability to meet its current and future liabilities.
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| Format: | Dissertation |
| Language: | English |
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University of Cape Town
2014
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| Online Access: | http://hdl.handle.net/11427/4360 |