Abstract
Executive Summary. The role of real estate in a pension plan is examined using an asset/liability modeling framework. The study developed a representative liability model of a pension fund to find the impact of different liability structures on asset allocation. Efficient real estate allocations in the pension-plan context are found to be very different from those that are efficient in an assetonly framework and the liability structure has a significant impact on the composition of efficient portfolios, including allocations to real estate.
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