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Asset Liability Management in Financial Planning

Stephan Höcht, Ng Kah Hwa, Christoph G. Rösch and Rudi Zagst
The Journal of Wealth Management Fall 2008, 11 (2) 29-46; DOI: https://doi.org/10.3905/jwm.11.2.29
Stephan Höcht
A PhD student at the HVB-Institute for Mathematical Finance,Technische Universität München, Germany.
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  • For correspondence: hoecht@ma.tum.de
Ng Kah Hwa
A managing partner at FENRM LLP in Singapore.
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  • For correspondence: khng.kh@gmail.com
Christoph G. Rösch
A master student at Technische Universität München and National University of Singapore.
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  • For correspondence: christoph.roesch@eliteakademie.de
Rudi Zagst
A professor of mathematical finance and head of the HVB-Institute for Mathematical Finance, Technische Universität München,Germany.
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  • For correspondence: zagst@ma.tum.de
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Abstract

The authors study several models that manage, in an integrated fashion, the asset and liability needs of an individual investor. The models are tested using the typical assets of household portfolios, including real estate in the case of both stochastic and deterministic liabilities. The majority of the investment models suggest that one should invest heavily in real estate, which conforms to the empirical research on the composition of household portfolios. The performance results indicate that the models perform better for stochastic liabilities due to the fact that assets and liabilities share common risk factors.

TOPICS: Wealth management, statistical methods, risk management

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Asset Liability Management in Financial Planning
Stephan Höcht, Ng Kah Hwa, Christoph G. Rösch, Rudi Zagst
The Journal of Wealth Management Jul 2008, 11 (2) 29-46; DOI: 10.3905/jwm.11.2.29

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Asset Liability Management in Financial Planning
Stephan Höcht, Ng Kah Hwa, Christoph G. Rösch, Rudi Zagst
The Journal of Wealth Management Jul 2008, 11 (2) 29-46; DOI: 10.3905/jwm.11.2.29
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