Dynamic Equilibrium
Actuarial Approach
Compensation Mechanisms
Constraints and Statical Determinacy
Second Derivatives and Laplace Operator
Deflection of a Beam
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Sascha Desmettre1, Markus Wahl2, Rudi Zagst2
1Johannes Kepler University Linz, Altenberger Straße 69, 4040 Linz, Austria.
Liability-driven investment strategies face challenges. This study develops a flexible framework for optimizing portfolios with dynamic strategies and stochastic liabilities, finding that linked liabilities increase risky asset allocation while unhedgeable risks decrease it.
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