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New Frontiers In Benchmarking And Liability-Driven Investing

Meeting the challenges of modern investment practice involves the design of novel forms of investment solutions, as opposed to investment products, customised to meet investors' long-term objective ...

Author(s) :

Noel Amenc, Lionel Martellini, Felix Goltz, Vincent Milhau

Summary :

Meeting the challenges of modern investment practice involves the design of novel forms of investment solutions, as opposed to investment products, customised to meet investors' long-term objectives while respecting the short-term (regulatory or otherwise) constraints they have to face. This paper argues that such new forms of investment solutions should rely on the use of improved performance-seeking and liability-hedging building-block portfolios, as well as on the use of improved dynamic allocation strategies.

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Type : EDHEC Publication
Date : 28/09/2010
Keywords :

Risk Management