Pension‐Plan Real Estate Investment in an Asset–Liability Framework
研究了养老金计划在资产负债框架下投资房地产的角色，发现房地产与养老金负债相关性低，解释了为何养老金计划房地产投资规模远小于预期。
This study explores the role of pension‐plan real estate investment in an asset–liability framework. By assuming that the pension‐plan manager wishes to have assets of at least equal value to the liabilities at all points in time, an asset selection process is derived which depends on both the asset's covariance with other assets and its covariance with the liability stream. We generally find real estate not to be highly correlated with pension‐plan liabilities. This finding is of general interest, since it helps to explain why pension‐plan real estate investment is extremely limited and much smaller than one would expect if pension‐plan investors cared only about the mean and variance of the real return to their invested wealth.