Efficient Asset Liability Portfolios Using Mean-erc and Mean-variance Analysis
نویسنده
چکیده
In the context of asset and liability management, we propose a portfolio selection model based on the expected return of the assets and the economic risk capital (ERC) associated to the asset liability portfolio, for short called mean-ERC asset liability portfolio selection. MeanERC efficiency in asset and liability management is closely related and compared to meanvariance efficiency in asset management. Distinguished but similar results are obtained for an economy without and with a riskless asset. An illustration for the important situation of a life insurance business is presented and discussed.
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