Portfolio with liabilities (LDI)

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Portfolio with liabilities (LDI)

Márcio Rodrigues Bernardo
Dear all,

I’m working on a paper that analyze the performance of alternatives investment in a liability driven framework (LDI). Basically adding alternatives investimentos to a pension fund portfolio.

My portfolio return is the return on assets minus liabilities.

My question is: Does any know if there is an package that would allow me to add liabilities to a portfolio? Or do I need to restric the weight balance to the asset and ass in the liabilities with a negative sign?
I’m not sure how to include liabilites in the optmization.

Any help will be much appreciated,

Márcio R. Bernardo

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