RT Journal Article
SR Electronic
T1 Asset Liability Management in Financial Planning
JF The Journal of Wealth Management
FD Institutional Investor Journals
SP 29
OP 46
DO 10.3905/jwm.11.2.29
VO 11
IS 2
A1 Stephan Höcht
A1 Ng Kah Hwa
A1 Christoph G. Rösch
A1 Rudi Zagst
YR 2008
UL https://pm-research.com/content/11/2/29.abstract
AB The authors study several models that manage, in an integrated fashion, the asset and liability needs of an individual investor. The models are tested using the typical assets of household portfolios, including real estate in the case of both stochastic and deterministic liabilities. The majority of the investment models suggest that one should invest heavily in real estate, which conforms to the empirical research on the composition of household portfolios. The performance results indicate that the models perform better for stochastic liabilities due to the fact that assets and liabilities share common risk factors.TOPICS: Wealth management, statistical methods, risk management