Abstract
In this article, the authors develop an attribution framework for evaluating the investment performance of institutional investors such as insurance companies. The model is useful in identifying the investment skills of insurance companies. This is accomplished by developing a dual benchmark for the investor that is focused toward the two objectives of the investor, namely the maximization of shareholder value and the protection of the value of the policyholders. For each objective, the authors develop a different benchmark portfolio, which are joined together to form the dual benchmark portfolio. As a result, their model achieves a balance between these two objectives and reduces agency costs.
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