replicating portfolios

replicating portfolios: A portfolio of instruments with known rates and maturities that tends to closely duplicate the changes in a portfolio of instruments with administered rates and/or indeterminate maturities. Sometimes referred to as the "Rod Jacobs" method for the probable developer of this approach. American Banker Glossary

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Replicating portfolio — In the valuation of a life insurance company, the actuary considers a series of future uncertain cashflows (including incoming premiums and outgoing claims, for example) and attempts to put a value on these cashflows. There are many ways of… … Wikipedia
Monte Carlo methods in finance — Monte Carlo methods are used in finance and mathematical finance to value and analyze (complex) instruments, portfolios and investments by simulating the various sources of uncertainty affecting their value, and then determining their average… … Wikipedia
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