Liability driven investment with alternative assets: Evidence from Brazil

被引：4

作者：

Bernardo, Marcio R. ^{[1
]}

Campani, Carlos Heitor ^{[1
]}

机构：

[1] COPPEAD Grad Business Sch, Rua Pascoal Lemme 355, BR-21941918 Rio De Janeiro, RJ, Brazil

来源：

EMERGING MARKETS REVIEW | 2019年 / 41卷

关键词：

Liability driven allocation; Alternatives assets; Emerging markets; Risk management; Portfolio choice; ALLOCATION;

D O I：

10.1016/j.ememar.2019.100653

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We study the portfolio choice problem for an asset-liability investor who invests in stocks, equity mutual funds, government bonds, short term interest, hedge funds, listed real estate, and commodities futures available in Brazil. Inflation and real interest play as important risk sources. We estimate the asset classes and liabilities time-varying conditional covariance structure using an asymmetric multivariate dynamic conditional correlation GARCH model and compare the assetliability portfolio's global minimum variance allocation with Brazilian pension funds' market portfolio. The conditional covariance structure provides insights about the complex dynamic relationships between the asset classes and liabilities. We find that some (though not all) Brazilian alternative assets render strong diversification and liabilities hedging benefits for assetliability investors. There are significant strategic asset allocation differences between the market portfolio and the liability driven portfolio as given by our model. We, therefore, question the Brazilian pension funds' allocation.

引用

页数：15

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