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Optimal Funding and Asset Allocation Rules for Defined-Benefit Pension Plans

Harrison, J. Michael - 1982

This paper considers a world in which pension funds may default, the cost of the associated risk of default is not …

Persistent link: https://www.econbiz.de/10012478172

Policy Options for State Pension Systems and Their Impact on Plan Liabilities

Rauh, Joshua - 2010

We calculate the present value of state pension liabilities under existing policies, and separately under policy changes that would affect pension payouts including cost of living adjustments (COLAs), retirement ages, and buyout schedules for early retirement. Liabilities if plans were frozen as...

Persistent link: https://www.econbiz.de/10012462204

Private Equity for Pension Plans? Evaluating Private Equity Performance from an Investor's Perspective

Korteweg, Arthur; Panageas, Stauros; Systla, Anand - National Bureau of Economic Research - 2024

investors could benefit from changing their allocation to PE. Plans invest in PE funds with higher average risk …-adjusted performance. This is mainly due to access to successful PE managers, not superior selection skill. Decomposing returns into risk …-compensation and "alpha", we find that some plans obtain higher PE returns by taking more risk without earning higher, and in some …

Persistent link: https://www.econbiz.de/10015145145

Liability Investment with Downside Risk

Ang, Andrew - 2013

"Liability-Driven Investment with Downside Risk" in the Journal of Portfolio Management Fall 2013, Vol. 40, No. 1: pp. 71-87 …

Persistent link: https://www.econbiz.de/10012459632

Target-Date Funds in 401(k) Retirement Plans

Mitchell, Olivia S. - 2012

Individual responsibility for portfolio construction is a central theme for defined contribution pensions, yet the rise of target-date funds is shifting investment decisions from workers back to employers. A complex choice architecture including automatic enrollment, reenrollment, and fund...

Persistent link: https://www.econbiz.de/10012460747

Local Overweighting and Underperformance : Evidence from Limited Partner Private Equity Investments

Hochberg, Yael V. - 2011

Institutional investors of all types exhibit substantial home-state bias when investing in private equity (PE) funds. This effect is particularly pronounced for public pension funds, where the local overweighting amounts to 9.7% of the private equity portfolio on average, based on 5-year rolling...

Persistent link: https://www.econbiz.de/10012461536

Portfolio Allocation for Public Pension Funds

Pennacchi, George - 2010

This paper presents a dynamic model of a public pension fund's choice of portfolio risk. Optimal portfolio allocations … public pension fund management, we find evidence that funds chose greater overall asset - liability portfolio risk following …, pension plans take more risk when they have greater representation by plan participants on their Boards of Trustees …

Persistent link: https://www.econbiz.de/10012462201

Life-cycle Investing and Leverage : Buying Stock on Margin Can Reduce Retirement Risk

Ayres, Ian - 2008

This paper is no longer available on-line from the NBER. A revised version of the paper has been published as "Diversification Across Time" in the Journal of Portfolio Management 39 (Winter 2013), pp.73-86

Persistent link: https://www.econbiz.de/10012464551

Optimal Asset Allocation in Asset Liability Management

van Binsbergen, Jules H. - 2007

influence of ex ante (preventive) and ex post (punitive) risk constraints on the gains to dynamic, as opposed to myopic …, decision making. We find that preventive measures, such as Value-at-Risk constraints, tend to decrease the gains to dynamic …

Persistent link: https://www.econbiz.de/10012465686

Understanding Mutual Fund and Hedge Fund Styles Using Return Based Style Analysis

Dor, Arik Ben - 2002

We provide an introduction to the use of return based style analysis of Sharpe (1992) in practice. We demonstrate the importance of selecting the right style benchmarks and how the use of inappropriate style benchmarks may lead to wrong conclusions. When style analysis is applied to sector...

Persistent link: https://www.econbiz.de/10012469600