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has been cited by the following article:

• TITLE: A Liability Tracking Approach to Long Term Management of Pension Funds

  AUTHORS: Masashi Ieda, Takashi Yamashita, Yumiharu Nakano

  KEYWORDS: Pension Fund Management; Long Term Portfolio Optimization; Quadratic Hedging; Stochastic Optimal Control; Hamilton-Jacobi-Bellman Equations; LQG Control

  JOURNAL NAME: Journal of Mathematical Finance, Vol.3 No.3, August 22, 2013

  ABSTRACT: We propose a long term portfolio management method which takes into account a liability. Our approach is based on the LQG (Linear, Quadratic cost, Gaussian) control problem framework and then the optimal portfolio strategy hedges the liability by directly tracking a benchmark process which represents the liability. Two numerical results using empirical data published by Japanese organizations are served: simulations tracking an artificial liability and an estimated liability of Japanese organization. The latter one demonstrates that our optimal portfolio strategy can hedge his or her liability.