This paper presents an optimization approach to analyze the problems of portfolio selection for longterm investments, taking into consideration the specific target replacement ratio for defined-contribution (DC) pension scheme; the purpose is to generate an effective multi-period asset allocation that reaches an amount matching the target liability at retirement date and reduce the downside ris...

In order to apply asset-liabilitymanagement techniques to property-liability insurers, the sensitivity of liabilities to interest rate changes, or duration, must be calculated. The current approach is to use the Macaulay or modified duration calculations, both of which presume that the cash flows are invariant with respect to interest rate changes. Based on the structure of liabilities for prop...

This paper applies dynamic programming principle and Legendre transform to study a dynamic asset allocation problem with liability process and stochastic interest rate model, where interest rate is assumed to be driven by the Ho-Lee model or the Vasicek model. By using variable change technique, we obtain the closed-form solutions to the optimal investment strategies in the quadratic utility fr...

Institute of Statistics and Mathematical Economics, School of Economics, University of Karlsruhe, Kollegium am Schloss, Bau II, 20.12, R210, Postfach 6980, D-76128, Karlsruhe, Germany. E-mail: [email protected] Abstract Asset and liability management is the simultaneous consideration of assets and liabilities in strategic investment planning. The asset and liability management models...

Executive Summary. This article examines the portfolio allocation decision within an asset/liability framework. Here portfolio weights are chosen not just by an asset’s return and variance but also by its correlation with pension liabilities. This results in assets that are highly correlated with pension liabilities being weighted higher in the portfolio. Typical mean-variance models estimate a...

Research and Teaching in Higher Education: Complements or Substitutes? In this note we use unique data from Bar-Ilan University, over a period of four years (20052008), to estimate simultaneous equations with regard to the relationship between publications and teaching loads. The study shows that students studying for a bachelor’s degree are a liability while PhD students are an asset in terms ...