One general approach is to develop long-term forecasts for the asset categories you are interested in,create some sensible allocations, do some simulations of results, and see if you can tolerate the tail losses.A long time ago, there was a study of this sort that attracted some interest in the US by Ibbotson and Sinquefield.I and some co-authors simplied their approach -- the latter paper is available at the Sheen Kassouf publication siteAs to how a small/medium size insurance company actually goes about it, they hire a chief investment officer who thenhires a consultant to do something similar. Or, if they're really small, the CIO gets the firm's money managers to do something similar for free. Then, they have a committee meeting to approve it. Now, the committee's are all meeting daily to discover what step went wrong! regards,
Last edited by Alan
on July 2nd, 2008, 10:00 pm, edited 1 time in total.