Research and publications
Managing Pension Assets: From Surplus Optimization To Liability-Driven Investment
In this paper, the author considers an intertemporal portfolio problem in the presence of liability constraints. Using the value of the liability portfolio as a natural numeraire, he finds that the ...
Author(s):
Lionel Martellini
Summary:
In this paper, the author considers an intertemporal portfolio problem in the presence of liability constraints. Using the value of the liability portfolio as a natural numeraire, he finds that the solution to this problem involves a three fund separation theorem that provides formal justification to some recent so-called liability-driven investment solutions offered by several investment banks and asset management firms, which are based on investment in two underlying building blocks (in addition to the risk-free asset), the standard optimal growth portfolio and a liability hedging portfolio.
Register to download PDF
Register/Log in| Type : | Working paper |
|---|---|
| Date : | 09/03/2006 |
| Keywords : |
Asset-Liability Management |
About EDHEC
Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the world’s top 15 business schools. Fully international and directly connected to the business world, EDHEC commands a strong reputation for research excellence and the ability to train entrepreneurs and managers capable of breaking new ground. EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching is inspired by its research work and a focus on “learning by doing”, all with the aim of equipping people with the skills to succeed in business.
