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The added value of hedge funds in an asset-liability framework

Author

Listed:
  • Susanne Otruba
  • Carmen Quesada

    (RMF Investment Management)

  • Stefan Scholz

Abstract

Institutional investors currently face the challenge of being able to meet their future financial obligations. A particular problem for pension plans is the task of finding asset classes which allow them to achieve the necessary returns to pay out agreed benefits and avoid the risk of defaulting on the plan's liabilities. This paper applies quantitative methods for analysing the attractiveness of hedge funds in an asset and liability framework and their impact on the funding status of pension funds. The research suggests that hedge funds add value by improving the risk-return profile of the portfolio and help to lower the probability of underfunding.

Suggested Citation

  • Susanne Otruba & Carmen Quesada & Stefan Scholz, 2006. "The added value of hedge funds in an asset-liability framework," Journal of Asset Management, Palgrave Macmillan, vol. 6(6), pages 433-444, March.
    • Handle: RePEc:pal:assmgt:v:6:y:2006:i:6:d:10.1057_palgrave.jam.2240193
    DOI: 10.1057/palgrave.jam.2240193
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    Cited by:

    1. Mihovil Anðelinoviæ & Filip Škunca, 2023. "Optimizing insurers investment portfolios: incorporating alternative investments," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 41(2), pages 361-389.

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