This paper presents an application of a new Asset/Liability Management model in a Brazilian Defined Benefit pension fund. The proposed model is a portfolio management tool that adopts a static approach. The uncertainty of assets is included in the model as a penalty thai depends on a risk aversion parameter and on the volatility of risk factors. The application of the model to a real asset allocation problem shows that the tool represents a simple and accurate approach to pension fund management.
Asset/Liability Management; Portfolio; Finance
