Pension Policy and Benchmark Optimization
Investment Management Review, 1988
7 Pages Posted: 29 Mar 2014
There are 2 versions of this paper
Pension Policy and Benchmark Optimization
1989 Investment Management Review 3(8): 25-30
Number of pages: 7
Posted: 09 Feb 2014
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42
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: Suggested Citation
Michaud, Richard O., Pension Policy and Benchmark Optimization (1988). Investment Management Review, 1988, Available at SSRN: https://ssrn.com/abstract=2417335
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