Download or read book Optimal Investment Policies for Defined Benefit Pension Funds written by Arjen Siegmann and published by . This book was released on 2004 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Optimal Investments Policies for Defined Benefit Pension Funds written by Arjen Siegmann and published by . This book was released on 2004 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Optimal Funding and Asset Allocation Rules for Defined benefit Pension Plans written by J. Michael Harrison and published by . This book was released on 1982 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Optimal Investment Strategies for Defined Contribution Pension Funds with Multiple Contributors written by Dawei Gu and published by . This book was released on 2014 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Governance and Investment of Public Pension Assets written by Sudhir Rajkumar and published by World Bank Publications. This book was released on 2011 with total page 364 pages. Available in PDF, EPUB and Kindle. Book excerpt: And key messages -- Key principles of governance and investment management -- Governance of public pension assets -- Governance structures and accountabilities -- Qualification, selection, and operation of governing bodies -- Operational policies and procedures -- Managing fiscal pressures in defined-benefit schemes -- Policy responses to turbulent financial markets -- Investment of public pension assets -- Defining the investment policy framework for public pension funds -- Managing risk for different cohorts in defined-contribution schemes -- An asset-liability approach to strategic asset allocation for pension funds -- In-house investment versus outsourcing to external investment managers -- International investments and managing the resulting currency risk -- Alternative asset classes and new investment themes.
Download or read book Optimal Investment Strategies for Defined Contribution Pension Plans with Intergenerational Risk Transfer written by Fabio Resegatti and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: A simulation approach is used to analyse optimal portfolio strategies for defined-contribution pension plans under a stochastic overlapping generation model. Under individual pension saving, where the financial risk is fully born by the employees, the Merton solution applies. Introducing intergenerational risk transfer between employees may be suitable to increase the ex ante expected utility of the pension savers. However, the results depend on which phases of the pension plan are considered. To provide a pareto improvement including the employees of all phases of the pension plan's life cycle, further mechansims of solidarity are needed. Finally, two types of dynamic strategies have been examined: for funding ratio dependent and net contribution dependent investment policies, solutions that outperform the static weight strategy were found only when confine the analysis to the accumulation and perennial phase.
Download or read book Valuation Optimal Asset Allocation and Retirement Incentives of Pension Plans written by Suresh M. Sundaresan and published by . This book was released on 1996 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Optimal Funding and Investment Policy for Defined Benefit Pension Plans written by Terence C. Langetieg and published by . This book was released on 1984 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Defined Benefit Pension Schemes in the UK written by Philippe-N. Marcaillou and published by Oxford University Press. This book was released on 2016-03-24 with total page 416 pages. Available in PDF, EPUB and Kindle. Book excerpt: The goal of Asset-Liability Management (ALM) of a Defined Benefit Pension Scheme (DB) is to properly manage the risks related to variation in its building blocks on both sides of the balance sheet whilst maintaining the same expected return. This book provides a step-by-step methodology to maximize the complete restructuring and monitoring of the ALM of DB schemes. It is a product of the author's 25 years of experience and technical knowledge in ALM of Pension Funds, portfolio management, investment banking and, specifically, more than 700 meetings with investment experts in the Pension Industry. It includes 400 figures and tables to help the reader make appropriate decisions and identify hidden tricks. It provides an in-depth understanding of how an Asset-Liability structure works, how to assess the efficiency of an investment strategy, and how to maximize the management of cash. Liabilities and Liability Driven Investment techniques (LDI) are explained through numerous examples. The book shows the reader how to select the right LDI manager, and how to define a liability hedging strategy and monitor its efficiency. It demonstrates how to build efficient investment portfolios and select the appropriate asset classes, as well as how to build and monitor an efficient risks and performances report. In addition, it shows how the most common financial instruments work, their roles, the basics of statistics, and the principles of portfolio construction. Finally, it provides introduction to Buy-in, Buyout, and Longevity risk management.
Download or read book Pension Fund Risk Management written by Marco Micocci and published by CRC Press. This book was released on 2010-01-25 with total page 766 pages. Available in PDF, EPUB and Kindle. Book excerpt: As pension fund systems decrease and dependency ratios increase, risk management is becoming more complex in public and private pension plans. Pension Fund Risk Management: Financial and Actuarial Modeling sheds new light on the current state of pension fund risk management and provides new technical tools for addressing pension risk from an integr
Download or read book New Policies for Mandatory Defined Contribution Pensions written by Gregorio Impavido and published by World Bank Publications. This book was released on 2010-06-04 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mandatory defined contribution pension markets are present in a growing number of countries around the world. But despite their popularity, policymakers continue to struggle with two key policy concerns. On the one hand, a number of design shortcomings encourages pension firms to charge high administrative fees. On the other hand, the global crisis that started in 2007 has reignited the debate on whether pension participants bear excessive investment risk. Both are valid policy concerns as their incidence can imply higher than expected levels of poverty among old age individuals. Both concerns have the same root problem---the limited capacity of individuals to choose what is best for them. This, in turn, stems from a combination of inadequate financial education, bounded rationality and the use of simplistic 'rules of thumb' that produce systematic biases in the decision making process of individuals. While improving financial education is an obvious avenue to pursue, this book is more concerned with design features that can exploit these systematic biases to protect consumers from themselves. 'New Policies for Mandatory Defined Contribution Pensions: Industrial Organization Models and Investment Products' (i) discusses the main implications for the functioning of mandatory defined contribution pensions of consumers inability to make rational choices; (ii) describes how jurisdictions have tried to address these problems through ad hoc policy interventions; and (iii) proposes new policy directions in the areas of industrial organization models and investment products to address these concerns more effectively. Written for practitioners and researchers around the world, this book provides access to new thinking on mandatory defined contribution pension systems and it makes an important contribution to the on-going policy debate on how to best structure mandatory defined contribution pillars.
Download or read book Age Dependent Investing written by David P. Blake and published by . This book was released on 2016 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: A defined contribution pension plan allows consumption to be redistributed from the plan member's working life to retirement in a manner that is consistent with the member's personal preferences. The plan's optimal funding and investment strategies therefore depend on the desired profile of consumption over the lifetime of the member. We investigate these strategies under the assumption that the member is a rational life cycle financial planner and has an Epstein-Zin utility function, which allows a separation between risk aversion and the elasticity of intertemporal substitution. We also take into account the member's human capital during the accumulation phase of the plan and we allow the annuitisation decision to be endogenously determined during the decumulation phase.We show that the optimal funding strategy involves a contribution rate that is not constant over the life of the plan but is age-dependent and reflects the trade-off between the desire for current versus future consumption, the desire for stable consumption over time, the member's attitude to risk, and changes in the level of human capital over the life cycle. We also show that the optimal investment strategy during the accumulation phase of the plan is 'stochastic lifestyling', with an initial high weight in equity-type investments and a gradual switch into bond-type investments as the retirement date approaches in a way that depends on the realised outcomes for the stochastic processes driving the state variables. The optimal investment strategy during the decumulation phase of the plan is to exchange the bonds held at retirement for life annuities and then to gradually sell the remaining equities and buy more annuities, i.e., a strategy known as 'phased annuitisation'
Download or read book Defined Benefit Pension Schemes in the United Kingdom written by Philippe-N. Marcaillou and published by Oxford University Press. This book was released on 2016 with total page 383 pages. Available in PDF, EPUB and Kindle. Book excerpt: The goal of Asset-Liability Management (ALM) of a Defined Benefit Pension Scheme (DB) is to properly manage the risks related to variation in its building blocks on both sides of the balance sheet whilst maintaining the same expected return. This book provides a step-by-step methodology to maximize the complete restructuring and monitoring of the ALM of DB schemes. It is a product of the author's 25 years of experience and technical knowledge in ALM of Pension Funds, portfolio management, investment banking and, specifically, more than 700 meetings with investment experts in the Pension Industry. It includes 400 figures and tables to help the reader make appropriate decisions and identify hidden tricks. It provides an in-depth understanding of how an Asset-Liability structure works, how to assess the efficiency of an investment strategy, and how to maximize the management of cash. Liabilities and Liability Driven Investment technics (LDI) are explained through numerous examples. The book shows the reader how to select the right LDI manager, and how to define a liability hedging strategy and monitor its efficiency. It demonstrates how to build efficient investment portfolios and select the appropriate asset classes, as well as how to build and monitor an efficient risks and performances report. In addition, it shows how the most common financial instruments work, their roles, the basics of statistics, and the principles of portfolio construction. Finally, it provides introduction to Buy-in, Buyout, and Longevity risk management.
Download or read book Optimal Asset Allocation and Funding Strategy for a Defined Benefit Pension Fund written by Pierre-Luc Vachon and published by . This book was released on 2014 with total page 160 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Optimal Investment Strategies and Risk Measures in Defined Contribution Pension Schemes written by Enrico Diecidue and published by . This book was released on 2002 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Pension Strategy written by Andrew Springett and published by Insomniac Press. This book was released on 2005 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt: Studies show that 90% of institutional investors, such as pension funds, reach their investment goals. However, only 11% of individual investors achieve their goals. Over the past twenty 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. At the same time, the institutional pensions were exposed to less than half of the risk and volatility that individual investors were forced to endure.
Download or read book Pension Fund Excellence written by Keith P. Ambachtsheer and published by John Wiley & Sons. This book was released on 1998-04-23 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: Neue Ideen für mehr Erfolg! Alles, was ein Manager über Rentenfonds wissen muß - die Zusammenstellung effektiver Fonds, ihr Management, die optimale Wertsteigerung - wird hier anhand in- und ausländischer Fallbeispiele eingängig erklärt. Nutzerfreundlich werden die wichtigsten Schritte in Übersichten zusammengestellt. Verschiedene moderne Ansätze zum Rentenfondsmanagement werden kritisch bewertet.
