A new approach succeeds at integrating optimal asset allocation with economic pension liabilities. As a practical matter, pension plan sponsors must relate an understanding of their pension liabilities and the prospective risk/return characteristics of capital market instruments to the specific...

As a practical matter, pension plan sponsors must relate an understanding of their pension liabilities and the prospective risk/return characteristics of capital market instruments to the specific problem of determining an optimal asset mix. Although a number of approaches have been proposed to...