Dynamic Asset Allocation with Liabilities

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 and a...

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Veröffentlicht in:	European financial management : the journal of the European Financial Management Association 2017-03, Vol.23 (2), p.254-291
Hauptverfasser:	Giamouridis, Daniel, Sakkas, Athanasios, Tessaromatis, Nikolaos
Format:	Artikel
Sprache:	eng
Schlagworte:	Asset allocation asset‐liability management dynamic asset allocation Investment policy Liabilities myopic investors Pension plan funding return predictability strategic asset allocation
Online-Zugang:	Volltext
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