We consider an asset-liability management (ALM) problem for a defined benefit pension fund (PF). The PF manager is assumed to follow a maximal fund valuation problem facing an extended set of risk factors:  due to the longevity of the    PF members, the inflation affecting salaries in real terms and future incomes, interest rates and market factors affecting jointly the PF liability and asset p...

This paper describes a decision making support system developed for asset liability management of a Paraguayan pension fund company. The model combines a parallel Multi-objective Evolutionary Algorithm and stochastic scenario generators to find good asset allocations that optimize several conflicting criteria. The simple but powerful model has shown to be useful to aid decision maker in practic...

This paper empirically examines the strategic asset allocation and the asset/liability issues in the Finnish defined benefit pension funds. The results indicate that there is a relationship between the liability structure and the asset allocation. While pension funds with younger participants have more equity exposure, more mature pension funds have more fixed income investments. Wide dispersio...

In this paper the issues of Ukrainian new three-level pension system are discussed. First, the paper presents the mathematical model that allows calculating the optimal size of contributions to the non-state pension fund. Next, the non-state pension fund chooses an Asset Management Company. To do so it is proposed to use an approach based on Kohonen networks to classify asset management compani...

Financial institutions require sophisticated tools for risk management. For company-wide risk management both sides of the balance sheet should be considered, resulting in an integrated asset liability management approach. Stochastic programming models suit these needs well and have already been applied in the eld of asset liability management to improve nancial operations and risk management. ...

The objective of most US institutions with assets to invest is to fund some sort of liability, as is the case with banks, insurance companies, pension funds, and so forth. As a result, asset/liability management (ALM) should be the investment focus and the basis for selecting the core portfolio. Insurance companies may be the birthplace of ALM and certainly have been the model of ALM discipline...

Decentralized Investment Management: Evidence from the Pension Fund Industry The past few decades have seen a major shift from centralized to decentralized investment management by pension fund sponsors, despite the increased coordination problems that this brings. Using a unique, proprietary dataset of pension sponsors and managers, we identify two secular decentralization trends: sponsors swi...

This paper shows how a mean variance criterion can be applied to a multi period setting in order to obtain efficient portfolios in an asset and liability context. The optimization model allows for rebalancing activities, transaction costs, stochastic volatilities for both assets and liabilities. Furthermore, a general framework for the projection of pension fund liabilities as well as for the g...