Liabilities -- a multi-objective approach

Joseph Simonian and Gabriella Barschdorff

Applied Economics Letters, 2013, vol. 20, issue 8, 763-766

Abstract: The majority of pension plans today are underfunded, uncertain about the market, the economic and regulatory environment and searching for a more stable approach to meeting their pension benefit obligations. For plan sponsors who want to adopt a more structured approach to asset--liability management, adopting a glide path framework that gradually de-risks their investment portfolio as funded status improves has become an attractive way to move towards their funding goal. To that end, this article describes a multi-objective optimization methodology known as the goal attainment method, an approach which can accommodate the simultaneous optimization of distinct objective functions, and shows how it can be used to construct glide path strategies for asset--liability applications.

Date: 2013
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2012.741675 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:20:y:2013:i:8:p:763-766

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504851.2012.741675

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().