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Martin L. Leibowitz - A New Perspective on Asset Allocation
Posted on 2010-07-07
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More The allocation of portfolio assets has seldom seemed so critical to the growth of the pension fund, so fraught with economic peril, or so lacking in standard conceptual guideposts against which the investment manager can check his bearings. Investors shaken by the terrifying spectacle of the equity markets in October 1987 must now confront a world in which the familiar relations between risk and expected return may no longer be taken for granted. Yet even before the October debacle, pension fund managers had begun to realize that many comfortable assumptions about those relations would have to be reviewed. When the future liabilities of a fund are taken into account, a dimension of risk quite different from the risk of fluctuation in the market value of assets becomes prominent. That risk is the fluctuation of interest rates and its impact on the fund's liabilities. In the study that follows, we examine the effect of historical interest-rate movements on the present value of the liabilities of a typical pension fund. We then compare the performance of these liability values with the performance of several different mixtures of asset classes. In this way, we can trace the variations in what we call the surplus function-the excess of the market value of the fund's assets over the present value of its liabilities. Please appreciate my work to rock these links: No another mirrors, please! >>> Read RULES >>> Download many interesting free eBooks HERE <<< Note 1: If you can not open the downloaded file, and your Adobe Reader reports on the damaged file, then your Adobe Reader. Lastest version of Adobe Reader opens this book perfectly. Note 2: Links not work? Send me PM and I'll try to help you.
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