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Asset Liability Management Test Topic Interpretation

oceor

oceor

Joined
1/1/15
Messages
2
Points
11
I will write a test based on Excel and one of the topics is "The Asset Liability related analysis: including the input assumptions generation, constraints, portfolio optimization analysis and results interpretation".

I am a little confused by this description. My guess is they will provide some historical returns of a few asset classes and ask me to construct the minimum variance portfolio. But this is only the portfolio optimization part. I am not sure how they can test "input assumptions generation, constraints, and results interpretation".

Could someone share how they would interpret this topic?

Thanks a lot.
 
Do not want to mislead with wrong info, but what kind of institution is this (commercial/corporate bank, IB, HF)? Is the position in ALM department?
 
Thanks for the reply. It's a pension fund. the team is more about the asset side. (ie. asset mix research)
 
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