PT  - JOURNAL ARTICLE
AU  - Stephan Höcht
AU  - Ng Kah Hwa
AU  - Christoph G. Rösch
AU  - Rudi Zagst
TI  - Asset Liability Management in Financial Planning
AID  - 10.3905/jwm.11.2.29
DP  - 2008 Jul 31
TA  - The Journal of Wealth Management
PG  - 29--46
VI  - 11
IP  - 2
4099  - https://pm-research.com/content/11/2/29.short
4100  - https://pm-research.com/content/11/2/29.full
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