@inproceedings{oai:kutarr.kochi-tech.ac.jp:00000966,
 author = {Watanabe, Yasuaki},
 book = {Society for Social Management Systems Internet Journal},
 issue = {1},
 month = {Mar},
 note = {When we consider pension fund management, asset only approach is traditionally used for optimal asset allocation. Recently, optimal asset allocation based on surplus framework is noteworthy. So, we investigate the feature of optimal asset allocation under the consideration of both asset and liability in pension fund. There are two surplus approaches such as ALM and LDI. We use mainly ALM approach which is often called as a balance sheet type ALM. Because, we apply this idea for Japanese government pension fund and the plan yield is given as 3.2 percent by Japanese government. However, the mainstream of pension fund management in U.K., Holland, and Denmark, etc. is LDI. The concept of LDI is also accepted and executed by the U.S.A.. So, we apply LDI’s idea into this analysis. Namely, we execute the simulations by changing the volatility of liability and notice the difference of efficient frontier in both surplus and asset only approaches. Thus, as we increase the surplus return, the asset allocation of higher risk assets will increase and also increase the surplus risk simultaneously.},
 publisher = {Society for Social Management Systems},
 title = {Optimal Asset Allocations in Both ALM and LDI Approaches of Pension Funds},
 volume = {5},
 year = {2009}
}