A liability driven approach to asset allocation
| Authors |
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|---|---|
| Publication date | 2005 |
| Journal | Belgian Actuarial Bulletin |
| Volume | Issue number | 5 | 1 |
| Pages (from-to) | 52-56 |
| Number of pages | 5 |
| Organisations |
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| 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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