Portfolio selection in the presence of fixed liabilities: A comment on The matching of assets to liabilities

Document description

This note was inspired by the paper ‘The Matching of Assets to Liabilities’ presented by A J Wise to the Institute in March 1984. In it he presented a method of looking at the problem of matching which I claimed in the discussion was essentially a portfolio selection approach. However, his approach had a number of novel features. I wish to discuss one of these, approaching it from the conventional portfolio selection viewpoint. I am not aware that this problem has been considered elsewhere in the substantial literature that exists on portfolio selection.