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.

Bibliographic Details
Main Author:	Singh, Prasheen
Other Authors:	Van Biljon, Andrew
Format:	Dissertation
Language:	English
Published:	University of Cape Town 2014
Subjects:	Statistical Sciences
Online Access:	http://hdl.handle.net/11427/4360

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spelling	ndltd-netd.ac.za-oai-union.ndltd.org-uct-oai-localhost-11427-43602020-10-06T05:11:32Z Risk budgeting within an Asset Liability Modelling (ALM) framework, using mean-variance optimisation Singh, Prasheen Van Biljon, Andrew Statistical Sciences 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. 2014-07-30T17:43:30Z 2014-07-30T17:43:30Z 2006 Master Thesis Masters MSc http://hdl.handle.net/11427/4360 eng application/pdf University of Cape Town Faculty of Science Department of Statistical Sciences
collection	NDLTD
language	English
format	Dissertation
sources	NDLTD
topic	Statistical Sciences
spellingShingle	Statistical Sciences Singh, Prasheen Risk budgeting within an Asset Liability Modelling (ALM) framework, using mean-variance optimisation
description	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.
author2	Van Biljon, Andrew
author_facet	Van Biljon, Andrew Singh, Prasheen
author	Singh, Prasheen
author_sort	Singh, Prasheen
title	Risk budgeting within an Asset Liability Modelling (ALM) framework, using mean-variance optimisation
title_short	Risk budgeting within an Asset Liability Modelling (ALM) framework, using mean-variance optimisation
title_full	Risk budgeting within an Asset Liability Modelling (ALM) framework, using mean-variance optimisation
title_fullStr	Risk budgeting within an Asset Liability Modelling (ALM) framework, using mean-variance optimisation
title_full_unstemmed	Risk budgeting within an Asset Liability Modelling (ALM) framework, using mean-variance optimisation
title_sort	risk budgeting within an asset liability modelling (alm) framework, using mean-variance optimisation
publisher	University of Cape Town
publishDate	2014
url	http://hdl.handle.net/11427/4360
work_keys_str_mv	AT singhprasheen riskbudgetingwithinanassetliabilitymodellingalmframeworkusingmeanvarianceoptimisation
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Risk budgeting within an Asset Liability Modelling (ALM) framework, using mean-variance optimisation

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