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- W636706861 abstract "We introduce a liability driven investment framework where the manager has disappointment aversion preferences. We show that disappointment aversion can be interpreted as penalty in the manager's objective based on the expected payoff of a put option on the funding ratio return. The optimal strategy of the manager is to allocate the assets of the fund to two portfolios, the standard mean-variance efficient portfolio, and a liability-hedge portfolio that is connected to the covariance between assets and liabilities. We analyze how the weights attached to these two risky portfolios depend on the risk aversion, disappointment aversion, and disappointment threshold of the manager." @default.
- W636706861 created "2016-06-24" @default.
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- W636706861 date "2014-01-01" @default.
- W636706861 modified "2023-10-18" @default.
- W636706861 title "Liability Driven Investment by Disappointment-Averse Managers" @default.
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- W636706861 hasPublicationYear "2014" @default.
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