LDI is the shortcut which must be more frequently faced in connection with the topic asset management and also in the context of operational pension scheme. It stands for Liability Driven Investments and denotes a portfolio strategy, which is directly derived from the future evolution of liabilities. In contrast to the previous investment approaches, which are only focused on the assets performance, LDI ensures that the portfolio strategy aims directly for the characteristics of the pension liabilities. Since LDI gains more and more awareness, this thesis aims at introducing and comparing different LDI Optimization approaches, which are demonstrated in terms of immunization. The corresponding models are Cash Flow Matching, Traditional Duration Matching, Key Rate Duration Matching and Principal Component Duration Matching. First of all, we introduced the immunization models from the theoretic perspective. In this part, all the inputs are considered as deterministic and static. Then, with help of a case study we implement the models in stochastic and dynamic framework which is more consistent with the realistic market. At last we investigated the mean portfolio of 1000 scenarios to analyze its characteristics.     «

LDI is the shortcut which must be more frequently faced in connection with the topic asset management and also in the context of operational pension scheme. It stands for Liability Driven Investments and denotes a portfolio strategy, which is directly derived from the future evolution of liabilities. In contrast to the previous investment approaches, which are only focused on the assets performance, LDI ensures that the portfolio strategy aims directly for the characteristics of the pension liab...     »