Stratégie d'investissement guidé par les passifs et immunisation de portefeuille : une approche dynamique
In a previous MITACS project in collaboration with Addenda Capital, two basic liability matching strategies have been investigated: cash flow matching and moment matching. These strategies performed well under a wide variety of tests including historical backtesting. A potential shortcoming for both...
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| Language: | English |
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Université de Sherbrooke
2015
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| Online Access: | http://hdl.handle.net/11143/6096 |