Asset-liability management for pension funds in a time-varying volatility environment

Spyridon D Vrontos (), Ioannis D Vrontos and Loukia Meligkotsidou
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Spyridon D Vrontos: Finance and Governance, Westminster Business School, University of Westminster

Journal of Asset Management, 2013, vol. 14, issue 5, No 4, 306-333

Abstract: Abstract In this article, we develop a framework for asset-liability management for pension funds in a time-varying volatility environment. We use sophisticated dynamic econometric models for the variances–covariances of the asset classes in which the pension fund is investing, while for the liability structure we employ two standard approaches that have been used in the relevant actuarial literature. The models implemented are used in the asset allocation process of the pension fund, as well as for risk management purposes. The constructed portfolios have significant economic value according to well-known performance measures.

Keywords: asset-liability management; latent factor models; multivariate GARCH models; portfolio optimization (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:pal:assmgt:v:14:y:2013:i:5:d:10.1057_jam.2013.24

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DOI: 10.1057/jam.2013.24

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