Important research has already been made on the potentially destabilizing fiscal impact of contingent liabilities. Additional insights can be gained by working within a broader conceptual framework based on the government’s balance sheet. This approach would place contingent liabilities alongside other sovereign exposures arising from both assets and liabilities. A number of sovereigns using as...

Motivated by the asset-liability management of a nuclear power plant operator, we consider the problem of finding the least expensive portfolio which outperforms a given set of stochastic benchmarks at a sequence of future dates. For a specified loss function, the shortfall with respect to each of the benchmarks weighted by this loss function must remain bounded in expectation by a given thresh...

We propose a robust-optimization based model for pension fund management. This model is able to incorporate correlation between the equity and fixed income markets, a more realistic term structure, and also some aspects of the corporate structure of the sponsoring firm such as the cost of capital. Moreover, the model is computationally tractable unlike the sampling-based stochastic programming ...

SEPTEMBER 2002 THE JOURNAL OF FIXED INCOME 1 H edge fund strategies came under intense scrutiny with the stressful market events surrounding the near collapse of Long-Term Capital Management (LTCM). Several studies were sponsored by regulatory agencies in the financial markets, including the President’s Working Group on Financial Markets [1999], and the Bank for International Settlements [1999a...

Protecting against unexpected yield curve, inflation, and longevity shifts are some of the most critical issues institutional private investors must solve when managing post-retirement income benefits. This paper empirically investigates performance alternative immunization strategies for funding targeted multiple liabilities that fixed in timing but random size (inflation-linked), i.e., change...

Chile was one of the first countries to implement pension reform by transiting from a pay-as-you-go system to a fully funded individual accounts system in 1980. When designing the pension system, the Chilean government sought to restrict the downside market risk of pension investment by regulating the investment activities of pension fund management companies, called AFPs. In particular, the AF...

<p style='text-indent:20px;'>In this paper, we study the robust optimal asset- problems for an ambiguity-averse investor, who does not have perfect information in drift terms of risky asset and liability processes. Two different kinds objectives are considered: <inline-formula><tex-math id="M1">\begin{document}$ (i) $\end{document}</tex-math></inline-formula> Maxim...