A liability driven approach to asset allocation

Authors
Publication date 2005
Journal Belgian Actuarial Bulletin
Volume | Issue number 5 | 1
Pages (from-to) 52-56
Number of pages 5
Organisations
  • Faculty of Economics and Business (FEB) - Amsterdam School of Economics Research Institute (ASE-RI)
Abstract We investigate a liability driven methodology for determining optimal asset mixes. We study the effect on the optimal investment stategy when changing the duration of the liability cash flow stream, changing the certainty level and changing the correlation matrix. It is shown that the methodology leads to results which are in accordance with intuition.
Keywords: Liability driven investing, strategic asset allocation
Document type Article
Language English
Published at http://www.belgianactuarialbulletin.be/articles/vol05/09-Chen.pdf
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