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Verbiest, 2021 - Google Patents

Analysis of Bond Portfolios in an ALM Context

Verbiest, 2021

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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 …
Continue reading at papers.ssrn.com (PDF) (other versions)

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