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In this case it is important to differentiate between a liability-driven investment strategy (LDI) and a (the classical) benchmark-driven investment strategy. The first one is what you need in this case. LDI was first established by Martin Leibowitz in 1986 ("Liability returns: A new perspective on asset allocation"). So googling that might help you ...


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I don't know if there is a standard way of solving the problem, but I solve it thus: Strategy A bought for $C_a$ dollars and sold for $S_a$ dollars for a result of $R_a = S_a - C_a$ over $T_a$ days. Strategy B bought for $C_b$ dollars and sold for $S_b$ dollars for a result of $R_b = S_b - C_b$ over $T_b$ days. Where $C_a$ and $C_b$ is the total sum of ...



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