Optimal investment strategies with investor liabilities

Optimal investment strategies with investor liabilities

This paper examines the portfolio problem from the viewpoint of an investor who faces a set of liabilities. We show that optimum choices can be made from a set of spanning portfolios which include cash flow matching portfolios, index funds and actively managed portfolios. The optimal composition of...

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Veröffentlicht in:Journal of banking & finance 1992-09, Vol.16 (5), p.869-890
Hauptverfasser: Elton, Edwin J., Gruber, Martin J.
Format: Artikel
Sprache:eng
Schlagworte:
Asset liability management
Cash flow
Investment policy
Investment strategies
Investors
Mathematical models
Portfolio management
Short sales
Theory
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Zusammenfassung:This paper examines the portfolio problem from the viewpoint of an investor who faces a set of liabilities. We show that optimum choices can be made from a set of spanning portfolios which include cash flow matching portfolios, index funds and actively managed portfolios. The optimal composition of each and the optimum mix among the portfolios are presented in terms of criteria which are computationally simple and have an appealing economic interpretation.
ISSN:0378-4266
1872-6372
DOI:10.1016/0378-4266(92)90030-4