Hostname: page-component-78c5997874-xbtfd Total loading time: 0 Render date: 2024-11-10T16:29:46.614Z Has data issue: false hasContentIssue false
  • English
  • Français

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.
Rights & Permissions [Opens in a new window]

Abstract

Core share and HTML view are not available for this content. However, as you have access to this content, a full PDF is available via the ‘Save PDF’ action button.

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

References

Adler, M. and Dumas, B. (1983). International Portfolio choice and Corporation Finance: A Synthesis, Journal of Finance, Juni 1983, 925–984.CrossRefGoogle Scholar
Black, F. (1972). Capital market equilibrium with restricted borrowing, Journal of Business, 45, 444–454.CrossRefGoogle Scholar
Elton, E.J. and Gruber, M.J. (1992). Optimal investment strategies with investor liabilities, Journal of Banking and Finance, 16, 869–890.CrossRefGoogle Scholar
Huang, C. and Litzenberger, R.H. (1988). Foundations for Financial Economics. North Holland, New York, Amsterdam, London.Google Scholar
Ingersoll, J.E (1987). Theory of Financial Decision Making. Rowmann & Littlefield, New Jersey.Google Scholar
Jaeger, St. and Zimmermann, H. (1992). On Surplus Shortfall Constraints, mimeo. HSG, St. Gallen.Google Scholar
Jarrow, R. (1988). Finance Theory. Prentice Hall, New Jersey.Google Scholar
Leibowitz, M., Kogelman, St. and Bader, L. (1992). Asset performance and surplus control, Journal of Portfolio Management, Winter 1992, 28–37.CrossRefGoogle Scholar
Lintner, J. (1965). The valuation of risky assets and the selection of risky investments in stock portfolios and capital budgets, Review of Economics and Statistics, February 1965, 13–37.Google Scholar
Markowitz, H. (1952). Portfolio Selection, Journal of Finance, 7, 77–91.Google Scholar
Markowitz, H. (1987). Mean-Variance Analysis in Portfolio Choice and Capital Markets. Basil Blackwell, Oxford.Google Scholar
Mayers, D. (1972). Non-Marketable Assets and Capital Market Equilibrium under Uncertainty, in Jensen, M. C., ed., Studies in the theory of capital markets. Praeger Publishers, New York.Google Scholar
Merton, R.C. (1973). An Intertemporal Capital Asset Pricing Model. Econometrica, September 1973, 867–887.Google Scholar
Merton, R.C. (1992). Continuous-time finance. Blackwell Publishers, Cambridge, Massachusetts.Google Scholar
Sharpe, W.F., (1964). Capital asset prices: a theory of market equilibrium under conditions of risk, Journal of Finance, September 1964, 425–442.Google Scholar
Sharpe, W.F. and Tint, L.G. (1990). Liabilities – A new approach, Journal of Portfolio Management, Winter 1990, 5–10.CrossRefGoogle Scholar
Solnik, B.H. (1978). Inflation and optimal portfolio choices, Journal of Financial and Quantitative Analysis, December 1978, 903–925.CrossRefGoogle Scholar
Svensson, L.E.O. and Werner, I.M (1993). Nontraded assets in incomplete markets: Pricing and portfolio choice. European Economic Review, 37, 1993, 1149–1168.CrossRefGoogle Scholar
Wilkie, A.D. (1985). Portfolio selection in the presence of fixed liabilities: a comment on “The matching of assets to liabilities”, The Journal of the Institute of Actuaries, The Alden Press, Oxford, Vol.112, Part 2, No.451, September 1985, 229–277.Google Scholar
Wise, A.J. (1984a). A theoretical analysis of the matching of assets to liabilities. Journal of the Institute of Actuaries, 111, part II, 375–402.CrossRefGoogle Scholar
Wise, A.J. (1984b). The matching of assets to liabilities. Journal of the Institute of Actuaries, 111, part III, 445–501.CrossRefGoogle Scholar
Wise, A.J. (1987a). Matching and portfolio selection: Part 1. Journal of the Institute of Actuaries, 114, part I, 113–133.CrossRefGoogle Scholar
Wise, A.J. (1987b). Matching and portfolio selection: Part 2. Journal of the Institute of Actuaries, 114, part III, 551–568.CrossRefGoogle Scholar
Wise, A.J. (1989). Matching. Journal of the Institute of Actuaries, 116, part III, 529–535.CrossRefGoogle Scholar