Optimal Portfolio In Corporate Pension Plans
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Optimal Portfolio In Corporate Pension Plans
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Author : Katarzyna Romaniuk
language : en
Publisher:
Release Date : 2018
Optimal Portfolio In Corporate Pension Plans written by Katarzyna Romaniuk and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
We derive the optimal corporate pension portfolio policy in a consolidated setting in the presence of PBGC insurance. The paper's result formalizes the forces of risk shifting and risk management that shape the form of the corporate pension portfolio. As in Rauh (2009), the risk-shifting and risk-management incentives increase when a sponsoring company runs into financial trouble. Unlike Rauh (2009), we show that risk management must not constitute a force countering risk shifting. On the contrary, for a company registering serious financial problems, the strategies driven by risk-shifting and risk-management motives are both extreme.
Optimal Portfolio Allocation For Corporate Pension Funds
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Author : David McCarthy
language : en
Publisher:
Release Date : 2011
Optimal Portfolio Allocation For Corporate Pension Funds written by David McCarthy and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
We model the asset allocation decision of a stylized corporate defined benefit pension plan in the presence of hedgeable and unhedgeable risks. We assume that plan fiduciaries--who make the asset allocation decision--face non-linear payoffs linked to the plan's funding status because of the presence of pension insurance and a sponsoring employer who may share any shortfall or pension surplus. We find that even simple asymmetries in payoffs have large and highly persistent effects on asset allocation, while unhedgeable risks exert only a small effect. We conclude that institutional details are crucial in understanding DB pension asset allocation.
Optimal Portfolio Allocation For Corporate Pension Funds
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Author : David McCarthy
language : en
Publisher:
Release Date : 2011
Optimal Portfolio Allocation For Corporate Pension Funds written by David McCarthy and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Pension trusts categories.
The Pension Strategy For Canadians
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Author : Andrew Springett
language : en
Publisher: Insomniac Press
Release Date : 2007
The Pension Strategy For Canadians written by Andrew Springett and has been published by Insomniac Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Business & Economics categories.
Over the past 20 years we have witnessed both the greatest bull market of all time and one of the most devastating crashes in history. During this period, pension funds posted returns of more than double those realized by individual investors, while being exposed to less than half of the risk and volatility individual investors were forced to endure.
Evaluating The Financial Performance Of Pension Funds
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Author : Richard Hinz
language : en
Publisher: World Bank Publications
Release Date : 2010-01-14
Evaluating The Financial Performance Of Pension Funds written by Richard Hinz and has been published by World Bank Publications this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-01-14 with Business & Economics categories.
Countries around the world are increasingly relying on individual pension savings accounts to provide income in old age for their citizens. Although these funds have now been in place for several decades, their performance is usually measured using methods that are not meaningful in relation to this long-term objective. The recent global financial crisis has highlighted the need to develop better performance evaluation methods that are consistent with the retirement income objective of pension funds. Compiling research derived from a partnership among the World Bank, the Organisation for Economic Co-operation and Development (OECD), and three private partners, 'Evaluating the Financial Performance of Pension Funds' discusses the theoretical basis and key implementation issues related to the design of performance benchmarks based on life-cycle savings and investment principles. The book begins with an evaluation of the financial performance of funded pension systems using the standard mean variance framework. It then provides a discussion of the limitations inherent to applying these methods to pension funds and outlines the many other issues that should be addressed in developing more useful and meaningful performance measures through the formulation of pension-specific benchmark portfolios. Practical implementation issues are addressed through empirical examples of how such benchmarks could be developed. The book concludes with commentary and observations from several noted pension experts about the need for a new approach to performance measurement and the impact of the recent global financial crisis on pension funds.
Optimal Portfolio Management For Individual Pension Plans
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Author :
language : en
Publisher:
Release Date : 2005
Optimal Portfolio Management For Individual Pension Plans written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.
Optimal Portfolio Strategies For Defined Contribution Pension Plans
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Author : Paolo Battocchio
language : en
Publisher:
Release Date : 2003
Optimal Portfolio Strategies For Defined Contribution Pension Plans written by Paolo Battocchio and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.
Optimal Funding And Asset Allocation Rules For Defined Benefit Pension Plans
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Author : J. Michael Harrison
language : en
Publisher:
Release Date : 1982
Optimal Funding And Asset Allocation Rules For Defined Benefit Pension Plans written by J. Michael Harrison and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1982 with Pension trusts categories.
This paper considers a world in which pension funds may default, the cost of the associated risk of default is not borne fully by the sponsoring corporation, and there are differential tax effects. The focus is on ways in which the wealth of the shareholders of a corporation sponsoring a pension plan might be increased if the Internal Revenue Service (IRS) and the Pension Benefit Guaranty Corporation (PBGC) follow simple and naive policies. Under the conditions examined, the optimal policy for pension plan funding and asset allocation is shown to be extremal in a certain sense. This suggests that the IRS and the PBGC may wish to use more complex regulatory procedures than those considered in the paper.
Modelling Pension Fund Investment Behaviour Routledge Revivals
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Author : David Blake
language : en
Publisher: Routledge
Release Date : 2014-08-01
Modelling Pension Fund Investment Behaviour Routledge Revivals written by David Blake and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-08-01 with Business & Economics categories.
First published in 1992, this title conducts an in-depth examination of the investment behaviour of pension funds, presenting the first econometric model in this area. Using the well-established framework of modern portfolio theory, David Blake derives a model of optimal portfolio behaviour that explains pension fund asset holdings in terms of the most important macroeconomic and cyclical indicators. He shows how factors such as industry profitability, the balance of payments and the monetary and fiscal policies of the government influence pension fund investments. Broad in scope, this reissue will be of particular value to students and academics with an interest in econometrics, investment analysis and the pension fund industry.
Optimal Investment Strategies For Defined Contribution Pension Funds With Multiple Contributors
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Author : Dawei Gu
language : en
Publisher:
Release Date : 2014
Optimal Investment Strategies For Defined Contribution Pension Funds With Multiple Contributors written by Dawei Gu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
In this note, we focus on the portfolio optimization problem for a DC pension fund. We extended the work in [Gao, J., 2009. Optimal portfolios for DC pension plans under a CEV model. Insurance: Mathematics & Economics 44, 479-490] by considering pension funds with multiple contributors. Benefit payments are made for those after their retirement. The benefit payment is a Brownian motion with drift, while the price process of the risky asset is described by the constant elasticity of variance (CEV) model. We thus complement one result.