Dual-Duration Matching
in VBA Journaal door Barton WaringLiability-relative investment approaches are described in two major strands of the literature. The more general strand concerns surplus asset allocation, which adapts the mean-variance return-risk balancing notions of Markowitz efficient frontiers to include liabilities as an asset held short. And there is the cash-flow matching and duration-matching strand, exemplified by the many articles on this topic by Leibowitz (1992).