|
This new publication, “Asset-Liability Management Decisions for Sovereign Wealth Funds,” contains the results of the first-year research work conducted at EDHEC-Risk Institute within the Deutsche Bank research chair on asset-liability management (ALM) techniques for sovereign wealth fund management. Under the responsibility of Professor Lionel Martellini, the scientific director of EDHEC-Risk Institute, this chair examines optimal allocation policies for sovereign wealth funds. The publication proposes a formal analysis of the optimal investment policy and risk management practices of sovereign wealth funds, which can be regarded as the extension to sovereign wealth funds of the liability-driven investing paradigm recently developed in the pension fund industry. The optimal asset...
|