Abstract
The performance of portfolio managers is usually assessed by comparing their allocation strategies to a benchmark portfolio. A major issue for portfolio managers of liability driven institutions is that no benchmark is given to them, although they face mid-term objectives with short term constraints. No performance attribution methodology may then be used to serve as a reference. Assessing the performance of the asset manager as an agent, represents a major stake for the institution as a principal delegating a mandate of asset management. We propose an optimal asset allocation approach taking into account liability constraints to build a benchmark. This benchmark will be used to compare the ex-post effective performance of the asset manager to the effective performance of the ex-ante optimal dynamic asset allocation.
Original language | English |
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Pages (from-to) | 327-338 |
Journal | Insurance Mathematics & Economics |
Volume | 70 |
DOIs | |
Publication status | Published - Sept 2016 |
Externally published | Yes |
Keywords
- optimal allocation
- asset-liability management
- benchmarking
- performance analysis
- credit risk