Individual and institutional asset liability management

by Hainaut, Donatien

Abstract (Summary)
One of the classical problems in finance is that of an economic unit who aims at maximizing his expected life-time utility from consumption and/or terminal wealth by an effective asset-liability management. The purpose of this thesis is to determine the optimal investment strategies , from the point of view of their economic utility, for individual and institutional investors such pension funds.
Bibliographical Information:


School:Université catholique de Louvain

School Location:Belgium

Source Type:Master's Thesis

Keywords:stochastic control pension funds optimization mortality risk longevity asset liability management annuity puzzle


Date of Publication:09/25/2007

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