A liability tracking approach to long term management of pension funds
Portfolio Management
2013-03-19 v1
Abstract
We propose a long term portfolio management method which takes into account a liability. Our approach is based on the LQG (Linear, Quadratic cost, Gaussian) control problem framework and then the optimal portfolio strategy hedges the liability by directly tracking a benchmark process which represents the liability. Two numerical results using empirical data published by Japanese organizations are served: simulations tracking an artificial liability and an estimated liability of Japanese organization. The latter one demonstrates that our optimal portfolio strategy can hedge his or her liability.
Keywords
Cite
@article{arxiv.1303.3956,
title = {A liability tracking approach to long term management of pension funds},
author = {Masashi Ieda and Takashi Yamashita and Yumiharu Nakano},
journal= {arXiv preprint arXiv:1303.3956},
year = {2013}
}