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Liability-driven Performance Attribution

Author

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  • Auke Plantinga

    (N. V. Auke Plantinga is assistant professor of finance and investments at the University of Groningen)

  • Robert van der Meer

    (Robert A. H. van der Meer is a part-time professor of Investments at the University of Groningen and is a member of the Executive Board of Aegon)

Abstract

The subject of this paper is the performance measurement of the investment process of liability-driven investors, e.g. insurance companies and pension funds. It starts with a historical overview of the development of performance measurement in an “asset only” approach. However, when an investor introduces Asset-Liability Management, performance measurement based on an “asset only” approach can be misleading. Necessary conditions and solutions for a performance measurement system in a liability context will be discussed.

Suggested Citation

  • Auke Plantinga & Robert van der Meer, 1995. "Liability-driven Performance Attribution," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 20(1), pages 16-29, January.
  • Handle: RePEc:pal:gpprii:v:20:y:1995:i:1:p:16-29
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    Cited by:

    1. Plantinga, Auke, 2007. "Performance Measurement And Evaluation," MPRA Paper 5048, University Library of Munich, Germany.

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