Risk budgeting within an Asset Liability Modelling (ALM) framework, using mean-variance optimisation

 

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dc.contributor.advisor Van Biljon, Andrew en_ZA
dc.contributor.author Singh, Prasheen en_ZA
dc.date.accessioned 2014-07-30T17:43:30Z
dc.date.available 2014-07-30T17:43:30Z
dc.date.issued 2006 en_ZA
dc.identifier.citation Singh, P. 2006. Risk budgeting within an Asset Liability Modelling (ALM) framework, using mean-variance optimisation. University of Cape Town. en_ZA
dc.identifier.uri http://hdl.handle.net/11427/4360
dc.description Includes bibliographical references.
dc.description.abstract A risk budget is the quantification of an acceptable amount of risk that a pension fund is willing to take in its investment decisions, without significantly sacrificing its ability to meet its current and future liabilities. en_ZA
dc.language.iso eng en_ZA
dc.subject.other Statistical Sciences en_ZA
dc.title Risk budgeting within an Asset Liability Modelling (ALM) framework, using mean-variance optimisation en_ZA
dc.type Thesis / Dissertation en_ZA
uct.type.publication Research en_ZA
uct.type.resource Thesis en_ZA
dc.publisher.institution University of Cape Town
dc.publisher.faculty Faculty of Science en_ZA
dc.publisher.department Department of Statistical Sciences en_ZA
dc.type.qualificationlevel Masters en_ZA
dc.type.qualificationname MSc en_ZA
uct.type.filetype Text


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