Efficient Portfolios in the Asset Liability Context

Alex Keel and Heinz H. Müller

ASTIN Bulletin, 1995, vol. 25, issue 1, 33-48

Abstract: The set of efficient portfolios in an asset liability model is discussed in detail. The occurence of liabilities leads to a parallel shift of the efficient set. Under an appropriate assumption, the shift vector can be decomposed in different components. For the special case, where the investor is a pension fund, it is shown how shortfall constraints can be reconciled with efficiency. Finally, optimality conditions for the market portfolio are derived.

Date: 1995
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