Investors face numerous challenges when seeking to estimate the prospective performance
of a longonly investment in commodity futures. For instance, historically, the average …

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 …

The equity risk premium has commanded the attention of professional economists and
investment practitioners for decades. It is critical in financial economics; it determines asset …

There is a crisis in the public pension systems of several states. With trillions of dollars at
stake, practitioners, policymakers, and academics alike are urgently addressing the pension …

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 …