TY - JOUR T1 - Asset-Liability Management in Private Wealth Management JF - The Journal of Portfolio Management SP - 100 LP - 120 DO - 10.3905/JPM.2009.36.1.100 VL - 36 IS - 1 AU - Noël Amenc AU - Lionel Martellini AU - Vincent Milhau AU - Volker Ziemann Y1 - 2009/10/31 UR - https://pm-research.com/content/36/1/100.abstract N2 - 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 ER -