RT Journal Article
SR Electronic
T1 Liability-Relative Investing II
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 40
OP 53
DO 10.3905/jpm.2004.443318
VO 31
IS 1
A1 M. Barton Waring
YR 2004
UL https://pm-research.com/content/31/1/40.abstract
AB Here is an update of the technology for calculating surplus efficient frontiers and surplus asset allocation that separately incorporates both systematic and unsystematic (or beta and alpha) characteristics, and yields an economic view of the liability. This measure of the liability is more relevant to the asset allocation problem than the standard approaches, enabling a better risk control system for pension plans by controlled hedging of the assets against the liability. The framework allows the inclusion of alpha and active risk from active management.