This paper analyzes optimal hedging of a tradable risk (e.g. price risk or exchange rate risk) with forward contracts in the presence of untradable inflation risk. Utility is defined over real wealth. Optimal forward positions are derived relative to a given initial exposure in the tradable...

Die Dissertation umfasst drei Artikel aus den Bereichen Asset Liability Management und Asset Management. Im ersten Artikel entwerfen wir einen Liability Benchmark, welcher zur Beurteilung der Anlage von Pensionskassen dient. Die relative Rendite der Strategischen Asset Allokation (SAA) im...

This study investigates the relationship between governance, investment performance and asset allocation of pension funds in Switzerland. Our sample includes survey data from 139 Swiss occupational pension plans for which we develop a governance metric comprising attributes of organisational...