Lucas, Andre; Berkelaar, Berkelaar, A.B.; Hoek, Hoek, H. - Faculteit der Economische Wetenschappen, Erasmus … - 1999
Asset liability management (ALM) is an important and challenging problem for institutional investors and financial intermediaries. The requirement to fulfill its liablilities constrains the institutional investor in its asset allocation possiblilites. We formulate an ALM model for pension funds...