Duration-enhancing overlay strategies for defined benefit pension plans

John M. Mulvey, Woo Chang Kim, Yi Ma

Research output: Chapter in Book/Report/Conference proceedingChapter


Many large corporate and public pension trusts remain underfunded since the 2001-2002 recessionary periods. These plans are challenged by global demographic trends and the recent slowing economic conditions. We show that a special overlay strategy can improve performance and reduce risks by adding duration to the portfolio. The approach combines elements of liability-driven investing and asset liability management. Versions of the strategy are evaluated via historical data. In addition, the strategy is tested with a widely employed, forward-looking economic projection system.

Original languageEnglish (US)
Title of host publicationAsset and Liability Management Handbook
PublisherPalgrave Macmillan
Number of pages28
ISBN (Electronic)9780230307230
ISBN (Print)9780230277793
StatePublished - Mar 29 2011

All Science Journal Classification (ASJC) codes

  • Economics, Econometrics and Finance(all)
  • General Business, Management and Accounting


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