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Query: faculty: "FEB" and publication year: "2005"

AuthorsX. Chen, J.L.M. Dhaene, M.J. Goovaerts, S. Vanduffel
TitleA liability driven approach to asset allocation
JournalBelgian Actuarial Bulletin
FacultyFaculty of Economics and Business
Institute/dept.FEB: Amsterdam School of Economics Research Institute (ASE-RI)
AbstractWe 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 typeArticle
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