Dynamic Asset Allocation with Liabilities
给出了投资者在有风险负债和时变投资机会下的动态多期组合选择问题的解析解，并比较了考虑负债的动态配置与短视ALM投资者的配置差异。
Abstract We develop an analytical solution to the dynamic multi‐period portfolio choice problem of an investor with risky liabilities and time varying investment opportunities. We use the model to compare the asset allocation of investors who take liabilities into account, assuming time varying returns and a multi‐period setting with the asset allocation of myopic ALM investors. In the absence of regulatory constraints on asset allocation weights, there are significant gains to investors who have access to a dynamic asset allocation model with liabilities. The gains are smaller under the typical funding ratio constraints faced by pension funds.