Research and publications

Asset-Liability Management In Private Wealth Management

While the private banking industry is in general relatively well equipped on the tax planning side, with tools that can allow private bankers to analyse the situation of high net worth individuals ...

Author(s) :

Noel Amenc, Lionel Martellini, Vincent Milhau, Volker Ziemann

Summary :

While the private banking industry is in general relatively well equipped on the tax planning side, with tools that can allow private bankers to analyse the situation of high net worth individuals operating offshore or in multiple tax jurisdictions, the software packages used on the financial simulation side often suffer from significant limitations and cannot satisfy the needs of a sophisticated clientele. In fact, most financial software packages used by private bankers to generate asset allocation recommendations rely on single-period mean-variance asset portfolio optimisation, a tactic that, for at least two reasons, cannot lead to proper strategic allocation. This study provides a formal framework suggesting that asset-liability management can ensure that private wealth managers are able to offer their clients investment programmes and asset allocation advice that truly meet their needs. A revisited version of this paper was published in the Fall 2009 issue of the Journal of Portfolio Management.

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Type : EDHEC Publication
Date : 17/09/2009
Keywords :

Private Wealth Management