ERM-330-17: Barton Waring Liability–Relative Investing I


Reading Source: ERM-330-17 Study Note

Topics Covered in this Reading:

  • Introduction
  • Managing Assets to Pay the Liability
  • Duration in Terms of Inflation Risk and Real Interest Rate Risk
    • Equities
    • Liabilities
  • Implementation: The Role of TIPS
  • Matching Dual Dollar Durations
    • Solving the Dollar Duration-Matching Puzzle
    • Summary of the Duration-Matching Solution
  • Generalization to Surplus Measures
  • Dual Duration-Matched Family of Solutions
  • The Best of Both: Combining Surplus Optimization and Duration-Matching
  • Conclusion
  • Appendix: Calculating the Dual Durations of the Liability