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Liability‐Based Benchmarks

Published • Jan 2, 2012
NobleIDNI6P23W43R21S54
Authors:
Lev Dynkin
,
Jay Hyman
,
Bruce D. Phelps

Abstract

Plan sponsors and investment managers are well acquainted with market based, fixed income indices. These indices are defined as a set of well-publicized rules that govern which bonds are added and deleted. When a market-based index reflects the risk preferences of the plan sponsor and the investment...

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