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Jason Josephiac - Portable Alpha and Risk Mitigating Strategies (S6E6)
Flirting with Models
What Is Wrong With the Conventional Wisdom of LDI?
Pensioners are often guided toward immunizing the accounting liability with investment grade corporate bonds. This assumes that what you promised in the future will never have to be adjusted for things that may not be probable, but could be possible. But if a pensions absolute liability are the dollars that need to go out the door, then perhaps the investment strategy should focus on raising the probability of those absolute dollars going out the door.
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