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Can Asset Allocation Limits Determine Portfolio Risk-Return Profiles in DC Pension Schemes?
Gutierrez, Tomás - 2018
maximum limits by asset class) in order to create funds with different risk-return profiles. In this article we challenge this … approach and show that such funds exhibit erratic risk-return profiles that deviate significantly from the intended design. We … propose to replace all minimum and maximum asset allocation constraints by a single risk metric (or measure) that controls …
Persistent link: https://www.econbiz.de/10012913303
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Swiss pension funds : funding ratio, discount rate, and asset allocation
Schäublin, Jorma J. - In: Swiss journal of economics and statistics 158 (2022) 1, pp. 1-23
The funding ratio is a financial indicator to measure the viability of pension funds. The paper analyzes how Swiss occupational pension funds' technical discount rate and asset allocation are related to the funding ratio. The paper shows that funds with weaker funding ratios apply higher rates...
Persistent link: https://www.econbiz.de/10013269807
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Risk, return and portfolio allocation under alternative pension arrangements with imperfect financial markets
Miles, David; Černý, Aleš - 2001
between funded and unfunded systems when there are sources of uninsurable risk that are allocated in different ways by …
Persistent link: https://www.econbiz.de/10011398101
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Funded and unfunded pension schemes : risk, return and welfare
Miles, David - 2000
funded and unfunded systems when there are sources of uninsurable risk that are allocated in different ways by different …
Persistent link: https://www.econbiz.de/10009781509
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Optimal long-term allocation with pension fund liabilities
Jondeau, Eric; Rockinger, Michael - 2014
We build a macroeconomic model for Switzerland, the Euro Area, and the USA that drives the dynamics of several asset classes and the liabilities of a representative Swiss (defined-contribution) pension fund. This encompassing approach allows us to generate correlations between returns on assets...
Persistent link: https://www.econbiz.de/10010442892
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Stable value funds : performance to date
Babbel, David F.; Herce, Miguel A. - 2011
range of risk aversion levels. We discuss the factors that contributed to stable value's remarkable performance and whether …
Persistent link: https://www.econbiz.de/10011893025
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2016 Endowment vs Public Pension Returns
Karris, Michael - 2017
nature of the Endowment Model, a well-designed, index fund based strategy could possibly also earn superior, long-term risk …
Persistent link: https://www.econbiz.de/10012946345
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Is Governance Related to Investment Performance and Asset Allocation? Empirical Evidence from Swiss Pension Funds
Ammann, Manuel - 2017
, investment processes, risk management, monitoring, and transparency. We find empirical evidence that pension fund governance is …
Persistent link: https://www.econbiz.de/10012962604
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Portfolio Choice, Minimum Return Guarantees, and Competition in DC Pension Systems
Castaneda, Pablo - 2009
includes minimum return guarantees (MRG) provisions to limit the risk of financial downturns. This paper studies the …
Persistent link: https://www.econbiz.de/10013159766
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Asset allocation efficiency from dynamic and static strategies in underfunded pension funds
Park, Chunsuk; Kim, Dong-soon; Lee, Kaun Y. - In: Journal of derivatives and quantitative studies 30 (2022) 1, pp. 2-22
been mirroring economic changes actively has a higher annual yield and risk-adjusted return than static asset allocation. …
Persistent link: https://www.econbiz.de/10012887251