Pension Policy and Benchmark Optimization

Investment Management Review, 1988

7 Pages Posted: 29 Mar 2014

Multiple version iconThere are 2 versions of this paper

Date Written: 1988

Abstract

A new approach succeeds at integrating optimal asset allocation with economic pension liabilities. As a practical matter, pension plan sponsors must relate an understanding of their pension liabilities and the prospective risk/return characteristics of capital market instruments to the specific problem of determining an optimal asset mix. Although a number of approaches have been proposed to resolve this problem most have fallen short of producing an integrated economic framework.

Suggested Citation

Michaud, Richard O., Pension Policy and Benchmark Optimization (1988). Investment Management Review, 1988, Available at SSRN: https://ssrn.com/abstract=2417335
No contact information is available for Richard O. Michaud

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
24
Abstract Views
349
PlumX Metrics