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Implications of Modern Portfolio Theory for Life Assurance Companies

In: Modern Portfolio Theory and Financial Institutions

Author

Listed:
  • A. J. Frost
  • I. J. S. Henderson

Abstract

The prime purpose of this paper is to assess the relevance of Modern Portfolio Theory (MPT) to life assurance companies. The literature on the topic is now quite copious. Actuarial literature on the topic in the UK is confined to a small number of important papers. Moore’s (1972) paper laid the ground work for discussion of the principle by the actuarial profession. Holbrook’s (1977) paper discussed the relevance of risk and return to Pension Fund performance by summarising the work of Treynor, Sharpe and Fama. The paper by Pountain and Fitzgerald (1980) earlier this year would appear to be the most recent actuarial contribution to the debate.

Suggested Citation

  • A. J. Frost & I. J. S. Henderson, 1983. "Implications of Modern Portfolio Theory for Life Assurance Companies," Palgrave Macmillan Books, in: Desmond Corner & David G. Mayes (ed.), Modern Portfolio Theory and Financial Institutions, chapter 8, pages 163-180, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-1-349-05843-3_8
    DOI: 10.1007/978-1-349-05843-3_8
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    Cited by:

    1. David Chaundy, 1999. "Can Domestic Liabilities Explain the Home Bias in UK Investment Portfolios?," Working Papers wp116, Centre for Business Research, University of Cambridge.

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