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Strategic asset allocation with liabilities: Beyond stocks and bonds

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Author Info
Hoevenaars, Roy P.M.M.
Molenaar, Roderick D.J.
Schotman, Peter C.
Steenkamp, Tom B.M.

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Abstract

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File URL: http://www.sciencedirect.com/science/article/B6V85-4RBYFV1-1/2/14c60ea06870e0b089c9f6132dd91b4e
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Publisher Info
Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 32 (2008)
Issue (Month): 9 (September)
Pages: 2939-2970
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Handle: RePEc:eee:dyncon:v:32:y:2008:i:9:p:2939-2970

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  1. Jules H. van Binsbergen & Michael W. Brandt, 2007. "Optimal Asset Allocation in Asset Liability Management," NBER Working Papers 12970, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  2. Raimond Maurer & Olivia S. Mitchell & Ralph Rogalla, 2008. "Managing Contribution and Capital Market Risk in a Funded Public Defined Benefit Plan: Impact of CVaR Cost Constraints," NBER Working Papers 14332, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  3. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2006. "Investing for the long-run in European real estate," Working Papers 2006-028, Federal Reserve Bank of St. Louis. [Downloadable!]
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This page was last updated on 2009-12-5.


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