QARM_AM
A liability-relative drawdown approach to pension asset liability management
Through their paper released in 2010, the authors Arjan Berkelaar and Roy Kouwenberg, have studied a new portfolio allocation approach for pension funds. Instead of using the traditional asset only mean variance optimization, they try to consider the particular characteristics of the pension funds, which have obligations towards their beneficiaries and whose portfolios are especially exposed to the downside risk. In this article, they propose to incorporate the liability side and to take the maximum drawdown as a measure of risk. As suggested by the title, this methodology is namely known as a liability -relative drawdown approach.