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Strategic asset allocation in the presence of uncertain liabilities
Howard, Ronald; Lax, Yoel - In: Modern investment management : an equilibrium approach, (pp. 110-135). 2003
Persistent link: https://www.econbiz.de/10002112044
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Strategic asset allocation with liabilities : beyond stocks and bonds
Hoevenaars, Roy P. M. M.; Molenaar, Roderick D. J.; … - In: Journal of economic dynamics & control 32 (2008) 9, pp. 2939-2970
Persistent link: https://www.econbiz.de/10003775155
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Valuing guaranteed minimum death benefit options in variable annuities under a benchmark approach
Marquardt, Tina Marie; Platen, Eckhard; Jaschke, Stefan R. - 2008
Persistent link: https://www.econbiz.de/10003857120
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A two price theory of financial equilibrium with risk management implications
Madan, Dilip B. - In: Annals of finance 8 (2012) 4, pp. 489-505
Persistent link: https://www.econbiz.de/10009670963
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Risk diversification through multiple group membership in microfinance
Lehkar, Ratul; Pingali, Viswanath - In: Applied economics letters 21 (2014) 7/9, pp. 622-625
Persistent link: https://www.econbiz.de/10010414764
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How fiduciary duty law incentivises investors to manage sustainability risks
Strakodonskaya, Liudmila - In: European journal of social security 23 (2021) 3, pp. 264-278
Persistent link: https://www.econbiz.de/10014476971
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Dynamic Asset Allocation with Liabilities
Giamouridis, Daniel - 2020
We develop an analytical solution to the dynamic multi-period portfolio choice problem of an investor with risky liabilities and time varying investment opportunities. We use the model to compare the asset allocation of investors who take liabilities into account, assuming time varying returns...
Persistent link: https://www.econbiz.de/10012857274
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Cross-border Portfolios : Assets, Liabilities, and Non-flow Adjustments
Curcuru, Stephanie E. - 2015
We document patterns of cross-border asset and liability positions, focusing on EME Asia and a five-year period around …
Persistent link: https://www.econbiz.de/10013014436
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Dynamic Liability Driven Investing Using Black-Litterman
Pasquale, Giulia - 2013
In Liability Driven Investing (LDI) the profile of future liabilities is an explicit component of the asset allocation … hoc solutions in order to adjust investment decisions for the complex interactions between asset allocation and liability …
Persistent link: https://www.econbiz.de/10013078678