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Multiple-Manager Optimization

categories: Asset Allocation and Asset Liability Management, RMA, Multi-Asset Class, Research Paper, NEWHOUSE Beth, general

It is common practice these days for large pension funds to allocate assets among multiple investment managers who specialize in investment areas. It is the sponsor's job to combine these specialized managers into an aggregate pool that is consistent with the plan's overall objectives, both for the entire fund and for each asset class. Plan objectives are often stated in terms of a target portfolio. Even when assets are allocated among multiple investment managers, matching the target is not an easy task. We will examine the problems of matching the target and present potential ways of addressing these problems in this asset reallocation case study for the fund sponsor.