Question: A pension plan has liabilities that are due at various periods, for example, every month for the next 10 years. In order to model an
A pension plan has liabilities that are due at various periods, for example, every month for the next 10 years. In order to model an asset allocation problem for this fund, a consultant most likely would:
| Maximize its returns. | ||
| Use mean-variance analysis. | ||
| Maximize its management fee. | ||
| Minimize downside risk from each of the amounts the fund is liable for from now until the end of the simulated period. |
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