PT - JOURNAL ARTICLE AU - Noël Amenc AU - Lionel Martellini AU - Vincent Milhau AU - Volker Ziemann TI - Asset-Liability Management in Private Wealth Management AID - 10.3905/JPM.2009.36.1.100 DP - 2009 Oct 31 TA - The Journal of Portfolio Management PG - 100--120 VI - 36 IP - 1 4099 - https://pm-research.com/content/36/1/100.short 4100 - https://pm-research.com/content/36/1/100.full AB - The objective of this article is to shed light on the potential benefits of asset-liability management techniques, originally developed for institutional money management, in a private wealth management context. The authors show that much of the complexity of optimal asset allocation decisions for private investors can be captured through the addition of a single state variable—liability value—which accounts in a parsimonious way for investors' specific constraints and objectives. An asset-liability management approach to private wealth management has a direct impact on the selection of asset classes because it requires a consideration of the liability-hedging properties of various asset classes, that would, by definition, be absent from an asset-only perspective. An asset-liability perspective also leads to the use of the liability portfolio as a benchmark, or numeraire, acknowledging that, for private investors, terminal wealth per se is not as important as the investor's ability to achieve goals, such as preparing for retirement or buying property.TOPICS: Wealth management, VAR and use of alternative risk measures of trading risk, portfolio management/multi-asset allocation