This paper provides a joint quantitative analysis of capital structure decisions (debt versus
equity) and debt structure decisions (fixed-rate debt versus floating-rate debt or inflation-linked …

The objective of this article is to shed light on the potential benefits of asset-liability
management techniques, originally developed for institutional money management, in a private …

This paper introduces a continuous-time allocation model for an investor facing stochastic
liability commitments indexed with respect to inflation. In the presence of funding ratio …

The effectiveness of duration and convexity hedging strategies deteriorates in the presence
of non-parallel shifts of the yield curve. In the absence of appropriate constraints, the …

Individuals preparing for retirement are currently left with an unsatisfactory choice between
security with no flexibility with annuity products and flexibility without security with investment …

This paper analyses the question of the feasibility and desirability for a liability-driven investor
to hold an equity portfolio engineered to exhibit enhanced liability-hedging properties …

Risk parity portfolios are traditionally constructed by choosing historical volatility as the risk
measure. In an asset allocation context, this results in a substantial overweighting of bonds …

We compare twelve estimators of the covariance matrix: the sample covariance matrix, the
identity matrix, the constant-correlation estimator, three estimators derived from an explicit …

Multi-asset investment solutions have become increasingly popular among sophisticated
institutional investors focusing on efficient harvesting of risk premia across and within asset …

In the absence of inflation-linked bonds or inflation swaps, no perfect hedging strategy
exists for inflation-linked liabilities, so nominal bonds are often used as substitute hedging …