NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Optimal Asset Allocation in Asset Liability Management

Jules H. van Binsbergen, Michael W. Brandt

NBER Working Paper No. 12970
Issued in March 2007

---- Acknowledgements -----

We thank Tim Bollerslev, Frank de Jong, Joachim Inkmann, Ralph Koijen, Vinay Nair, Theo Nijman, Anamaria Pieschacon, George Tauchen, Bas Werker, and seminar participants at the 2005 SAMSI conference on Financial Mathematics, Statistics and Econometrics, Duke University, Tilburg University and ABP Investments for helpful discussions and comments. Jules van Binsbergen thanks the Prins Bernhard Cultuurfonds for generous financial support. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.

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