Verbiest, 2021 - Google Patents
Analysis of Bond Portfolios in an ALM ContextVerbiest, 2021
View PDF- Document ID
- 6637836313938746413
- Author
- Verbiest E
- Publication year
- Publication venue
- Available at SSRN 3855346
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Snippet
A system is implemented that simulates a bond portfolio over the long-term of liabilities. It pays all liabilities and extracts continuously a fixed percentage of remaining liabilities to stakeholders while maintaining a strategic asset allocation. This fixed percentage is …
- 238000004458 analytical method 0 title description 17
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