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Document Details : Title: Efficient Portfolios in the Asset Liability Context Author(s): KEEL, A. , MULLER, H.H. Journal: ASTIN Bulletin Volume: 25 Issue: 1 Date: May 1995 Pages: 33-48 DOI: 10.2143/AST.25.1.563252 Abstract : The set of efficient portfolios in an asset liability model is discussed in detail. The occurrence 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. |
