- A liability driven approach to asset allocation
- Belgian Actuarial Bulletin
- Volume | Issue number
- 5 | 1
- Pages (from-to)
- Number of pages
- Document type
- Faculty of Economics and Business (FEB)
- Amsterdam School of Economics Research Institute (ASE-RI)
- 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
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