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European Actuarial Journal
Published in: European Actuarial Journal 2/2011

01-07-2011 | Original Research Paper

Optimal construction of a fund of funds

Authors: Petri Hilli, Matti Koivu, Teemu Pennanen

Published in: European Actuarial Journal | Special Issue 2/2011

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Abstract

We study the problem of diversifying a given initial capital over a finite number of investment funds that follow different trading strategies. The investment funds operate in a market where a finite number of underlying assets may be traded over finite discrete time. We present a numerical procedure for finding a diversification that is optimal in the sense of a given convex risk measure. The procedure is illustrated on an asset-liability management problem where the liabilities correspond to a pension insurance portfolio.
previous article Cash-flow based valuation of pension liabilities
next article Asset allocation for a DC pension fund under regime switching environment

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Appendix
Available only for authorised users
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Metadata
Title
Optimal construction of a fund of funds
Authors
Petri Hilli
Matti Koivu
Teemu Pennanen
Publication date
01-07-2011
Publisher
Springer-Verlag
Published in
European Actuarial Journal / Issue Special Issue 2/2011
Print ISSN: 2190-9733
Electronic ISSN: 2190-9741
DOI
https://doi.org/10.1007/s13385-011-0029-x

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