Risk budgeting within an Asset Liability Modelling (ALM) framework, using mean-variance optimisation
Master Thesis
2006
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University of Cape Town
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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.
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Includes bibliographical references.
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Singh, P. 2006. Risk budgeting within an Asset Liability Modelling (ALM) framework, using mean-variance optimisation. University of Cape Town.