RT Journal Article
SR Electronic
T1 Practical Applications of Coming Up Short: <em>Managing Underfunded Portfolios in an LDI-ES Framework</em>
JF Practical Applications
FD Institutional Investor Journals
SP 1
OP 4
DO 10.3905/pa.2015.3.1.108
VO 3
IS 1
A1 Sanjiv Das
A1 Seoyoung Kim
A1 Meir Statman
A1 Barbara J. Mack
YR 2015
UL https://pm-research.com/content/3/1/1.4.abstract
AB Coming Up Short: Managing Underfunded Portfolios in an LDI-ES Framework Sanjiv Das Seoyoung Kim Meir Statman Drawing on observations from behavioral portfolio theory, Liability Directed Investing-Expected Shortfall (LDI-ES) focuses on effective use of portfolio rebalancing to maximize value, while minimizing expected shortfall. In this report, Seoyoung Kim describe how he and his co-authors examine four approaches to underfunded portfolio situation.The source article in The Journal of Portfolio Management ’s Fall 2014 issue provides critical commentary on the value of rebalancing, cash infusions and other adjustments to the targets and time lines related to meeting the liabilities of a fund. In addition to the risks of shortfall and underfunding, portfolio managers must also factor interest rate and inflation risk into their projections.