Rebalancing Strategies for Long-Term Investors

  • John M. Mulvey
  • Koray D. Simsek
Part of the Applied Optimization book series (APOP, volume 74)


Leading pension plans employ asset and liability management systems for optimizing their strategic decisions. The multi-stage models link asset allocation decisions with payments to beneficiaries, changes to plan policies and related issues, in order to maximize the plan’s surplus within a given risk tolerance. Temporal aspects complicate the problem but give rise to special opportunities for dynamic investment strategies. Within these models, the portfolio must be re-revised in the face of transaction and market impact costs. The re-balancing problem is posed as a generalized network with side conditions. We develop a specialized algorithm for solving the resulting problem. A real-world pension example illustrates the concepts.


Asset and liability management financial optimization multi-stage investment models 


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Copyright information

© Springer Science+Business Media Dordrecht 2002

Authors and Affiliations

  • John M. Mulvey
    • 1
  • Koray D. Simsek
    • 2
  1. 1.Department of Operations Research and Financial Engineering Bendheim Center for FinancePrinceton UniversityPrincetonUSA
  2. 2.Department of Operations Research and Financial EngineeringPrinceton UniversityPrincetonUSA

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