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Optimal investment strategies with investor liabilities

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  • Elton, Edwin J.
  • Gruber, Martin J.

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Suggested Citation

  • Elton, Edwin J. & Gruber, Martin J., 1992. "Optimal investment strategies with investor liabilities," Journal of Banking & Finance, Elsevier, vol. 16(5), pages 869-890, September.
    • Handle: RePEc:eee:jbfina:v:16:y:1992:i:5:p:869-890
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    Citations

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    Cited by:

    1. Wolfgang Bessler & Julian Holler & Philipp Kurmann, 2012. "Hedge funds and optimal asset allocation: Bayesian expectations and spanning tests," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(1), pages 109-141, March.
    2. David Chaundy, 1999. "Can Domestic Liabilities Explain the Home Bias in UK Investment Portfolios?," Working Papers wp116, Centre for Business Research, University of Cambridge.
    3. Jeff Huther, 1998. "An Application of Portfolio Theory to New Zealand's Public Sector," Treasury Working Paper Series 98/04, New Zealand Treasury.
    4. Martin Eling & Thomas Parnitzke, 2007. "Dynamic Financial Analysis: Classification, Conception, and Implementation," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 10(1), pages 33-50, March.
    5. Pelizzon, Loriana & Weber, Guglielmo, 2009. "Efficient portfolios when housing needs change over the life cycle," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 2110-2121, November.
    6. Plantinga, Auke, 2007. "Performance Measurement And Evaluation," MPRA Paper 5048, University Library of Munich, Germany.
    7. Keunbae Ahn, 2021. "Predictable Fluctuations in the Cross-Section and Time-Series of Asset Prices," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2021, January-A.
    8. Kees G. Koedijk & Alfred M.H. Slager & Philip A. Stork, 2016. "Investing in Systematic Factor Premiums," European Financial Management, European Financial Management Association, vol. 22(2), pages 193-234, March.
    9. Elton, Edwin J. & Gruber, Martin J., 1997. "Modern portfolio theory, 1950 to date," Journal of Banking & Finance, Elsevier, vol. 21(11-12), pages 1743-1759, December.
    10. Berry-Stölzle, Thomas R., 2008. "The impact of illiquidity on the asset management of insurance companies," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 1-14, August.
    11. Hubert Dichtl & Wolfgang Drobetz & Viktoria‐Sophie Wendt, 2021. "How to build a factor portfolio: Does the allocation strategy matter?," European Financial Management, European Financial Management Association, vol. 27(1), pages 20-58, January.
    12. Cocozza, Rosa & Di Lorenzo, Emilia, 2007. "A Dynamic Solvency Approach for Life Insurance," MPRA Paper 28015, University Library of Munich, Germany.

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