The Discretionary Wealth Hypothesis in an Arbitrage-Free Term Structure Approach to Asset-Liability Management

Dan diBartolomeo

Chapter 17 in Asset and Liability Management Handbook, 2011, pp 433-442 from Palgrave Macmillan

Abstract: Abstract Traditional approaches to asset-liability management have evolved substantially in recent years. Unfortunately, even the sophisticated, multi-period approaches in common use neglect important features of the underlying economic problem. This chapter describes a new approach to asset-liability management that combines four key elements, one of which is quite new to the finance literature.

Keywords: Interest Rate; Transaction Cost; Cash Flow; Risk Aversion; Trading Cost (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-0-230-30723-0_17

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DOI: 10.1057/9780230307230_17

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