Handbook of Asset and Liability Management, Vol. 2, No. suppl (C) • 2007

ISSN: 1872-0978

doi: 10.1016/S1872-0978(06)02020-5

Chapter 20 Dynamic Asset and Liability Management for Swiss Pension Funds

Gabriel Dondi*Florian Herzog*

ETH Zurich, Measurement and Control Laboratory, 8092 Zurich, Switzerland

swissQuant Group AG, Zurich, Switzerland

E-mail address:gdondi@alumni.ethz.ch,

E-mail address:florian.herzog@alumni.ethz.ch,

Lorenz M. Schumann,

Schumann Investment Management, Zurich, Switzerland

Hans P. Geering,

ETH Zurich, Measurement and Control Laboratory, 8092 Zurich, Switzerland

Abstract

We present an asset and liability model for Swiss pension funds. This includes an asset dynamics model and an optimisation technique to solve the ...

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