Park, Chunsuk; Kim, Dong-soon; Lee, Kaun Y. - In: Journal of derivatives and quantitative studies 30 (2022) 1, pp. 2-22
This study attempts to conduct a comparative analysis between dynamic and static asset allocation to achieve the long-term target return on asset liability management (ALM). This study conducts asset allocation using the ex ante expected rate of return through the outlook of future economic...