TY - JOUR T1 - Liability-Relative Investing II JF - The Journal of Portfolio Management SP - 40 LP - 53 DO - 10.3905/jpm.2004.443318 VL - 31 IS - 1 AU - M. Barton Waring Y1 - 2004/10/31 UR - https://pm-research.com/content/31/1/40.abstract N2 - 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. ER -