Strategic asset allocation with liabilities: beyond stocks and bonds

DOI10.1016/J.JEDC.2007.11.003zbMath1181.91097OpenAlexW3121831272MaRDI QIDQ844772

Tom B. M. Steenkamp, Peter C. Schotman, Roderick D. J. Molenaar, Roy P. M. M. Hoevenaars

Publication date: 19 January 2010

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://cris.maastrichtuniversity.nl/en/publications/5b697aa0-725d-455e-9332-2af9ac83b3a5

zbMATH Keywords

asset-liability managementportfolio choicepension fundsstrategic asset allocation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Corporate finance (dividends, real options, etc.) (91G50) Portfolio theory (91G10)

Related Items (8)

Dynamic asset–liability management in a Markov market with stochastic cash flows ⋮ Optimal dynamic asset-liability management with stochastic interest rates and inflation risks ⋮ Optimal investment strategy for asset-liability management under the Heston model ⋮ Managing contribution and capital market risk in a funded public defined benefit plan: impact of CVaR cost constraints ⋮ Optimal asset-liability management with liquidity constraints and stochastic interest rates in the expected utility framework ⋮ Spectral decomposition of optimal asset-liability management ⋮ Valuation of intergenerational transfers in funded collective pension schemes ⋮ Continuous-time mean-variance asset-liability management with stochastic interest rates and inflation risks

Cites Work

• Predictable returns and asset allocation: should a skeptical investor time the market?
• Strategic asset allocation in a continuous-time VAR model
• Strategic asset allocation
• Predicting the Equity Premium with Dividend Ratios
• On optimal portfolio choice under stochastic interest rates

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