Portfolio selection in liability management and asset/liability management.

Summary This thesis consists of a literature review and three articles on liability management and asset-liability management. The first part introduces a generic framework for the analysis of liability management, whose applications concern the management of public and private debt. We use a framework inspired by Markowitz (1952), where we distinguish between "pure" liability management and liability management in the presence of asset constraints. This second situation gives rise on the one hand to an optimization of the debt structure alone, and on the other hand to a joint optimization of the asset and liability structures. In the latter case, we show that the two decisions are closely related, through an infinite series involving asset and liability hedging portfolios. We also present an extension in a dynamic setting, where the debt issuer is assumed to have a CARA utility function. Our study shows that optimal debt management requires the simultaneous issuance of several types of bonds. In the second part, we study the asset management problem for a pension fund in the presence of regulatory constraints. ...