TY - JOUR T1 - Integrating Asset-Liability Risk Management with Portfolio Optimization for Individual Investors JF - The Journal of Wealth Management SP - 51 LP - 60 DO - 10.3905/jwm.2009.12.3.051 VL - 12 IS - 3 AU - Travis L Jones AU - Jack Brown Y1 - 2009/10/31 UR - https://pm-research.com/content/12/3/51.abstract N2 - A majority of private client practitioners rely on mean-variance optimization (MVO), rules of thumb, or model portfolios for making asset allocation recommendations. Considerations for income levels and other constraints figure into the typical approach. However, not enough attention is given to the nature of an investor’s multiple time horizons and implications for cash flows. These are the future demands placed upon the portfolio. The risks that these demands will not be met need to be clearly understood in order to validate any asset allocation decision. This article presents an approach incorporating MVO within a multi-horizon asset-liability management risk model. This approach allows for cash-flow matching of a portion of an investor’s portfolio within the optimization framework. This combined approach allows an individual’s portfolio to provide short-term cash flow, as needed, while also considering the longer-term demands on the portfolio.TOPICS: Wealth management, portfolio construction, risk management ER -