Research and publications
Alternative Investments for Institutional Investors: Risk Budgeting Techniques in Asset Management and Asset-Liability Management
This paper presents an empirical analysis of the benefits of alternative forms of investment strategies from an asset-liability management perspective. Using a vector error correction model (VECM) that explicitly distinguishes between short-term and long-term dynamics in the joint distribution of asset returns and inflation, we identify the presence of long-term cointegration relationships between the return on typical pension fund liabilities and the return of various traditional and alternative asset classes. A revisited version of this paper was published in the Summer 2009 issue of The Journal of Portfolio Management.
Author(s):
Noël Amenc, Lionel Martellini, Volker Ziemann
Summary:
This paper presents an empirical analysis of the benefits of alternative forms of investment strategies from an asset-liability management perspective. Using a vector error correction model (VECM) that explicitly distinguishes between short-term and long-term dynamics in the joint distribution of asset returns and inflation, we identify the presence of long-term cointegration relationships between the return on typical pension fund liabilities and the return of various traditional and alternative asset classes. A revisited version of this paper was published in the Summer 2009 issue of The Journal of Portfolio Management.
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Register/Log in| Type : | EDHEC Publication |
|---|---|
| Date : | 21/01/2009 |
| Keywords : |
Alternative Investments |
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