We calculate the present value of state employee pension liabilities using discount rates that
reflect the risk of the payments from a taxpayer perspective. If benefits have the same default …

This book provides a summary of research on life annuities, longevity insurance, and their
role in the “optimal” retirement portfolio. It starts with an overview of institutional aspects …

Historically, commodity futures have had excess returns similar to those of equities. But what
should we expect in the future? The usual risk factors are unable to explain the time-series …

Asset-Liability Management: An Overview Page 1 Discussion Paper/Document d’analyse
2010-10 Asset-Liability Management: An Overview by Yuliya Romanyuk Page 2 2 Bank of …

In the wake of the financial crisis and Great Recession, the health of state and local pension
plans has emerged as a front burner policy issue. Elected officials, academic experts, and …

In this paper, we investigate a multi-period portfolio optimization problem for asset–liability
management of an investor who intends to control the probability of bankruptcy before …

Despite the simplicity of its strategic asset allocation policy prescription, the original Two-
Fund Theorem has never been used by practitioners. The authors present a new capital …

In politically competitive jurisdictions, there can be strong electoral incentives to increase the
generosity of public pensions and simultaneously, to not fund them fully, in order to keep …

By defining “duration” as the sensitivity of an asset's price to changes in some other variable,
one may characterize any asset as having an inflation duration, D i, and a real-interest-rate …

The value of pension promises already made by US state governments will grow to
approximately $7.9 trillion in 15 years. We study investment strategies of state pension plans …