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Department of Statistical Sciences
Risk budgeting within an Asset Liability Modelling (ALM) framework, using mean-variance optimisation
Abstract
dc:description.abstractA 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.
Degree
thesis:*- Grantor dc:publisher.institution
- Department of Statistical Sciences
- Year dc:date.issued
- 2006
Author and committee
dc:creator, dc:contributor.*- Author dc:creator
-
- Singh, Prasheen
- Advisor dc:contributor.advisor
-
- Van Biljon, Andrew
Rights
- Language dc:language.iso
- eng
Identifiers
dc:identifier.*- Handle dc:identifier.uri
- http://hdl.handle.net/11427/4360
- OAI identifier oai:identifier
- oai:open.uct.ac.za:11427/4360