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Asset liability management for pension funds
4 references·1 citing·17 second hop
Asset liability management for pension funds (1997)Asset liability management for pension fu…Efficient Portfolios in the Asset Liability Context (1995)Efficient Portfolios in the A…Liabilities— A New Approach (1990)Liabilities— A New ApproachCapital Market Equilibrium with Restricted Borrowing (1972)Capital Market Equilibrium wi…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Rethinking Pension Reform (2004)Rethinking Pension ReformPORTFOLIO SELECTION* (1952)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities (2001)Roy’s Safety‐First Portfolio Principle in Financial Risk Management of Disastrous Events (2012)Asset Liability Modelling and Pension Schemes: The Application of Robust Optimization to USS (2014)Liquidity Preference as Behavior Towards Risk (1958)World Population Prospects The 2006 Revision (2007)The Most Basic Missing Instrument in Financial Markets: The Case for Forward Starting Bonds (2015)Strategic asset allocation with liabilities: Beyond stocks and bonds (2008)Insurance: Mathematics and Economics (2013)Gender differences in financial risk tolerance (2017)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Common risk factors in the returns on stocks and bonds (1993)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)The Cross-Section of Expected Stock Returns (1992)
this work references cited by second hop

References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1972Capital Market Equilibrium with Restricted Borrowing3,097 cited
  • 1990Liabilities— A New Approach340 cited
  • 1995Efficient Portfolios in the Asset Liability Context72 cited

Cited by

  • 2004Rethinking Pension Reform17 cited

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