Research and publications

Alternative Investments for Institutional Investors: Risk Budgeting Techniques in Asset Management and Asset-Liability Management

This paper presents an empirical analysis of the benefits of alternative forms of investment strategies from an asset-liability management perspective. Using a vector error correction model (VECM) that explicitly distinguishes between short-term and long-term dynamics in the joint distribution of asset returns and inflation, we identify the presence of long-term cointegration relationships between the return on typical pension fund liabilities and the return of various traditional and alternative asset classes. A revisited version of this paper was published in the Summer 2009 issue of The Journal of Portfolio Management.

Author(s) :

Noël Amenc, Lionel Martellini, Volker Ziemann

Summary :

This paper presents an empirical analysis of the benefits of alternative forms of investment strategies from an asset-liability management perspective. Using a vector error correction model (VECM) that explicitly distinguishes between short-term and long-term dynamics in the joint distribution of asset returns and inflation, we identify the presence of long-term cointegration relationships between the return on typical pension fund liabilities and the return of various traditional and alternative asset classes. A revisited version of this paper was published in the Summer 2009 issue of The Journal of Portfolio Management.

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Type : EDHEC Publication
Date : 21/01/2009
Keywords :

Alternative Investments