The added value of hedge funds in an asset-liability framework

Susanne Otruba, Carmen Quesada () and Stefan Scholz
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Carmen Quesada: RMF Investment Management

Journal of Asset Management, 2006, vol. 6, issue 6, No 5, 433-444

Abstract: Abstract Institutional investors currently face the challenge of being able to meet their future financial obligations. A particular problem for pension plans is the task of finding asset classes which allow them to achieve the necessary returns to pay out agreed benefits and avoid the risk of defaulting on the plan's liabilities. This paper applies quantitative methods for analysing the attractiveness of hedge funds in an asset and liability framework and their impact on the funding status of pension funds. The research suggests that hedge funds add value by improving the risk-return profile of the portfolio and help to lower the probability of underfunding.

Keywords: hedge funds; asset liability management; funding ratio (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:pal:assmgt:v:6:y:2006:i:6:d:10.1057_palgrave.jam.2240193

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DOI: 10.1057/palgrave.jam.2240193

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