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Efficient Portfolios in the Asset Liability Context

Published online by Cambridge University Press:  29 August 2014

Alex Keel  and
Heinz H. Müller
Alex Keel*
Affiliation:
University of St. Gallen
Heinz H. Müller*
Affiliation:
University of St. Gallen
*
Fachbereich für Mathematik und Statistik, Universität St.Gallen, Bodanstrasse 4, CH-9000 St.Gallen, Switzerland.
Fachbereich für Mathematik und Statistik, Universität St.Gallen, Bodanstrasse 4, CH-9000 St.Gallen, Switzerland.
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Abstract

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The set of efficient portfolios in an asset liability model is discussed in detail. The occurence of liabilities leads to a parallel shift of the efficient set. Under an appropriate assumption, the shift vector can be decomposed in different components. For the special case, where the investor is a pension fund, it is shown how shortfall constraints can be reconciled with efficiency. Finally, optimality conditions for the market portfolio are derived.

Keywords

Portfolio TheoryAsset Liability ManagementMean Variance AnalysisShortfall Constraint
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 25 , Issue 1 , May 1995 , pp. 33 - 48
Copyright
Copyright © International Actuarial Association 1995

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