Download or read book Essays on strategic asset allocation and risk management of pension funds written by Killian Lemoine and published by . This book was released on 2013 with total page 221 pages. Available in PDF, EPUB and Kindle. Book excerpt: Depuis une dizaine d'années, une part croissante de fonds de pension rencontrent des difficultés financières. Cette détérioration a soulevé des questions sur la gestion de ces institutions et sur l'efficacité du cadre réglementaires. Cette thèse a pour objet d'analyser les comportements financiers et la gestion des risques opérés par les fonds de pension à prestation définies et les institutions assimilées. En premier lieu, nous relions les choix d'investissement à la question du contrôle managériale. Notre analyse suggère que la bonne gestion des fonds de pension nécessite un partage optimal des droits de contrôle entre les participants du plan et l'entreprise sponsor. Nous montrons alors comment cette répartition affecte les décisions d'investissement. Notre seconde analyse étudie l'impact des fluctuations financières sur la gestion des fonds de pension. Nos résultats suggèrent que le cadre réglementaire actuel conduit à de larges effets pro-cycliques, en particulier sur les exigences de capital et les décisions d'investissement. Finalement, nous analysons comment les changement structurels de la mortalité affectent le risque et les politiques de risque des fonds de pension.

Download or read book Three Essays on Dynamic Asset Allocation Implications for Risk Based Pension Plan Design written by Colm Doyle and published by . This book was released on 2014 with total page 290 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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 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 Risk Based Supervision of Pension Funds written by Greg Brunner and published by World Bank Publications. This book was released on 2008-04-01 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: 'Risk-Based Supervision of Pension Funds' provides a review of the design and experience of risk-based pension fund supervision in countries that have been leaders in the development of these methods. The utilization of risk-based methods originates primarily in the supervision of banks. In recent years it has increasingly been extended to other types of financial intermediaries, including pension funds and insurers. The trend toward risk-based supervision of pensions reflects an increasing focus on risk management in both banking and insurance based on three key elements: capital requirements, supervisory review, and market discipline. Although similar in concept to the techniques developed in banking, its application to pension funds has required modifications, particularly for defined contribution funds that transfer investment risk to fund members. The countries examined–Australia, Denmark, Mexico, and the Netherlands–provide a range of experience that illustrates both the diversity of pension systems and the approaches to risk-based supervision, and also presents a commonality of focus on sound risk management and effective supervisory outcomes.

Download or read book Pension Fund Economics and Finance written by Jacob Bikker and published by Routledge. This book was released on 2017-11-22 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt: Pension fund benefits are crucial for pensioners’ welfare and pension fund savings have accumulated to huge amounts, covering a major part of world-wide institutional investments. However, the literature on pension fund economics and finance is rather limited, caused, in part, to limited data availability. This book contributes to this literature and focuses on three important areas. The first is pension fund (in)efficiency, which has a huge impact on final benefits, particularly when annual spoilage accumulates over a lifetime. Scale economies, pension plans complexity and alternative pension saving plans are important issues. The second area is investment behavior and risk-taking. A key question refers to the allocation of investments over high risk/high return and relatively safe assets. Bikker investigates whether pension funds follow the life-cycle hypothesis: more risk and return for pension funds with young participants. Many pension funds are rather limited in size, which may raise the question how financially sophisticated the pension fund decision makers are: rather professionals or closer to unskilled private persons? The third field concerns two regulation issues. How do pension fund respond to shocks such as unexpected investment returns or changes in life expectancy? What are the welfare implications to the beneficiary for different methods of securing pension funding: solvency requirements, a pension guarantee fund, or sponsor support? This groundbreaking book will challenge the way pension fund economics is thought about and practiced.

Download or read book Essays on Risk Assessment and Risk Management written by Thomas Rolf Althaus and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of three singled-authored essays which examine topics in risk assessment and risk management in three distinct fields. The first essay, presented in chapter 1, analyzes the risk dynamics of hedge funds by introducing new risk factors which are used to assess the risk of hedge funds. The second essay, presented in chapter 2, investigates the performance of a set of modern risk models at predicting different risk measures across static as well as dynamic indices. The third essay, presented in chapter 3, examines if common portfolio insurance strategies are beneficial in the context of managing the investment risk in a pension fund setting.

Download or read book Strategic Asset Allocation written by John Y. Campbell and published by OUP Oxford. This book was released on 2002-01-03 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: Academic finance has had a remarkable impact on many financial services. Yet long-term investors have received curiously little guidance from academic financial economists. Mean-variance analysis, developed almost fifty years ago, has provided a basic paradigm for portfolio choice. This approach usefully emphasizes the ability of diversification to reduce risk, but it ignores several critically important factors. Most notably, the analysis is static; it assumes that investors care only about risks to wealth one period ahead. However, many investors—-both individuals and institutions such as charitable foundations or universities—-seek to finance a stream of consumption over a long lifetime. In addition, mean-variance analysis treats financial wealth in isolation from income. Long-term investors typically receive a stream of income and use it, along with financial wealth, to support their consumption. At the theoretical level, it is well understood that the solution to a long-term portfolio choice problem can be very different from the solution to a short-term problem. Long-term investors care about intertemporal shocks to investment opportunities and labor income as well as shocks to wealth itself, and they may use financial assets to hedge their intertemporal risks. This should be important in practice because there is a great deal of empirical evidence that investment opportunities—-both interest rates and risk premia on bonds and stocks—-vary through time. Yet this insight has had little influence on investment practice because it is hard to solve for optimal portfolios in intertemporal models. This book seeks to develop the intertemporal approach into an empirical paradigm that can compete with the standard mean-variance analysis. The book shows that long-term inflation-indexed bonds are the riskless asset for long-term investors, it explains the conditions under which stocks are safer assets for long-term than for short-term investors, and it shows how labor income influences portfolio choice. These results shed new light on the rules of thumb used by financial planners. The book explains recent advances in both analytical and numerical methods, and shows how they can be used to understand the portfolio choice problems of long-term investors.

Download or read book Invest Like an Institution written by Michael C. Schlachter and published by Apress. This book was released on 2013-08-20 with total page 217 pages. Available in PDF, EPUB and Kindle. Book excerpt: "In Invest Like an Institution, Michael C. Schlachter reveals that investors looking to boost the returns on their retirement funds without taking on added portfolio risk can do so if they adapt the strategies of one of the few categories of players in the investment arena that consistently outperforms the market: large institutional investors."--Publisher's website.

Download or read book Achieving Investment Excellence written by Kees Koedijk and published by John Wiley & Sons. This book was released on 2019-01-31 with total page 330 pages. Available in PDF, EPUB and Kindle. Book excerpt: Crucial methods, tactics and tools for successful pension fund management Achieving Investment Excellence offers trustees and asset managers a comprehensive handbook for improving the quality of their investments. With a stated goal of substantially and sustainably improving annual returns, this book clarifies and demystifies important concepts surrounding trustee duties and responsibilities, investment strategies, analysis, evaluation and much more. Low interest rates are making the high cost of future pension payouts fraught with tension, even as the time and knowledge required to manage these funds appropriately increases — it is no wonder that pensions are increasingly seen as a financial liability. Now more than ever, it is critical that trustees understand exactly what contributes to investment success — and what detracts from it. This book details the roles, the tools and the strategies that make pension funds pay off. Understand the role of pension funds and the fiduciary duty of trustees Learn the tools and kills you need to build profound and lasting investment excellence Analyse, diagnose and improve investment quality of funds using concrete tools and instruments Study illustrative examples that demonstrate critical implementation and execution advice Packed with expert insight, crucial tools and real-life examples, this book is an important resource for those tasked with governing these. Achieving Investment Excellence provides the expert insight, clear guidance and key wisdom you need to manage these funds successfully.

Download or read book Upgrading the Investment Policy Framework of Public Pension Funds written by Dimitri Vittas and published by World Bank Publications. This book was released on 2008 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: Public pension funds have the potential to benefit from low operating costs because they enjoy economies of scale and avoid large marketing costs. But this important advantage has in most countries been dissipated by poor investment performance. The latter has been attributed to a weak governance structure, lack of independence from government interference, and a low level of transparency and public accountability. Recent years have witnessed the creation of new public pension funds in several countries, and the modernization of existing ones in others, with special emphasis placed on upgrading their investment policy framework and strengthening their governance structure. This paper focuses on the experience of four new public pension funds that have been created in Norway, Canada, Ireland and New Zealand. The paper discusses the safeguards that have been introduced to ensure their independence and their insulation from political pressures. It also reviews their performance and their evolving investment strategies. All four funds started with the romantic idea of operating as 'managers of managers' and focusing on external passive management but their strategies have progressively evolved to embrace internal active management and significant investments in alternative asset classes. The paper draws lessons for other countries that wish to modernize their public pension funds.

Download or read book Asset Allocation Considerations for Pension Insurance Funds written by Christian Hertrich and published by Springer Science & Business Media. This book was released on 2013-04-16 with total page 405 pages. Available in PDF, EPUB and Kindle. Book excerpt: ​The central research objective of the dissertation is to assess the suitability of Social Responsible Investments (SRIs) as well as alternative investments for the strategic asset allocation of German Pension Insurance Funds (Pensionskassen). Using a Vector Error Correction model, we estimate the data generating process of the underlying input variables. A bootstrap simulation allows generating future return paths of the underlying portfolios. These return distributions will subsequently be used as input for different asset allocation strategies.The empirical results of our research study offer valuable conclusions: (1) SRI-structured portfolios consistently perform better than conventional portfolios, (2) including alternative investments has a beneficial effect on the risk-return distribution and (3) derivative overlay structures mitigate downside risk exposure without impacting average fund performance. In terms of alternative allocation models, (1) high-equity portfolios lead to an increase in return volatility without sufficiently compensating investors with higher returns, (2) hedging against price increases by engineering a portfolio with inflation-suitable assets yields mixed results, (3) a portfolio composition that combines derivative overlay strategies for both equities and corporate bonds and uses SRI-screened assets as underlying generates the best results.

Download or read book The New Science of Asset Allocation written by Thomas Schneeweis and published by Wiley. This book was released on 2010-02-12 with total page 368 pages. Available in PDF, EPUB and Kindle. Book excerpt: A feasible asset allocation framework for the post 2008 financial world Asset allocation has long been a cornerstone of prudent investment management; however, traditional allocation plans failed investors miserably in 2008. Asset allocation still remains an essential part of the investment arena, and through a new approach, you'll discover how to make it work. In The New Science of Asset Allocation, authors Thomas Schneeweis, Garry Crowder, and Hossein Kazemi first explore the myths that plague this field then quickly move on to examine how the practice of asset allocation has failed in recent years. They then propose new allocation models that employ liquidity, transparency, and real risk controls across multiple asset classes. Outlines a new approach to asset allocation in a post-2008 world, where risk seems hidden The "great manager" problem is examined with solutions on how to capture manager alpha while limiting downside risk A complete case study is presented that allocates for beta and alpha Written by an experienced team of industry leaders and academic experts, The New Science of Asset Allocation explains how you can effectively apply this approach to a financial world that continues to change.

Download or read book The Oxford Handbook of Pensions and Retirement Income written by Gordon L. Clark and published by Oxford University Press, USA. This book was released on 2006-07-20 with total page 954 pages. Available in PDF, EPUB and Kindle. Book excerpt: This handbook draws on research from a range of academic disciplines to reflect on the implications for provisions of pension and retirement income of demographic ageing. it reviews the latest research, policy related tools, analytical methods and techniques and major theoretical frameworks.

Download or read book Essays on Optimal Portfolio Decisions for Long term Investors written by Hui-Ju Tsai and published by . This book was released on 2010 with total page 116 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation contains two essays on the optimal portfolio decision for long-term investors. The first essay studies the optimal asset allocation for long-horizon investors with non-tradable labor income when multiple risky asset returns are predictable. It finds that more risk-averse investors hold a higher bond/stock ratio in their risky portfolios when labor income is positively correlated with stock return or independent of risky asset returns, but the reverse is true when labor income is positively correlated with bond return. The allocation to stock inherits the inverted U-shaped pattern of labor income growth with respect to expected time until retirement. These results suggest that popular recommendations of investment advisors that more conservative investors should hold a higher bond/stock ratio and that the portfolio allocation to stock should equal 100 minus age may both lack theoretical justification. In the out-of-sample performance test, the dynamic portfolio shows the highest mean returns and Sharpe ratio than two benchmark portfolios, justifying the economic significance of incorporating the time-variation of investment opportunities and nontradable labor income into investors' portfolio choice. The second essay studies employees' optimal portfolio in their defined contribution pension plans. Assuming a discrete time model with predictable risky asset returns, the essay finds that the employees' optimal portfolio decision can be greatly affected by the employees' time to retirement, risk preference, contribution rate as well as the correlation between labor income and asset returns. Performance test shows that the gains from adopting the dynamic portfolio strategy relative to several benchmark strategies, including the 1/n rule, the optimal static strategy with and without the consideration of asset return predictability, all stock strategy, and all company stock strategy, are economically significant and the economic gain increases with employees' risk aversion. The empirical evidence that employees invest significantly in their company stock in pension plans is difficult to be justified, even after the consideration of short-sale constraints, higher expected company stock return, employees' familiarity with their company, and employers' exclusive match policy. Over allocation to company stock can be very costly, especially to conservative employees.

Download or read book Investing in Pension Funds and Endowments written by Russell L. Olson and published by McGraw Hill Professional. This book was released on 2003-02-22 with total page 431 pages. Available in PDF, EPUB and Kindle. Book excerpt: On the heels of Enron and other high-profile debacles, the performance of pension fund managers is one of today's hot-button topics. Investing in Pension Funds and Endowments provides tools and guidance for managers to operate prudently while achieving the high rates of return required for successful longterm asset growth. This accessible how-to reference covers all aspects of tax-free investing for pension funds, endowments, trusts, and foundations.

Download or read book The Pension Challenge written by Olivia S. Mitchell and published by Oxford University Press. This book was released on 2003-11-13 with total page 361 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book, the first in a new series produced by the Pension Research Council of the Wharton School in collaboration with Oxford University Press, explores ways to enhance retirement security in a volatile financial environment.Mitchell and Smetters begin by assessing the myriad retirement risks confronting employees, retirees, employers, and governments, and it shows how stakeholders can work to reinvent pensions that perform well in a competitive global setting. Contributors then indicate how pension systems can be better designed to help protect against these risks.Of special interest is a discussion of new financial products and structures to meet and manage challenges to old-age security. Examples considered include pension investment guarantees and hedges, adapting catastrophe bonds to the pension context, and key regulatory structures and portfolio requirements designed to protect unwary or unwitting pension participants. The contributors draw important lessons for a wide range of countries, drawing from both developed and developing marketexperiences.Contributors include world-famous finance experts and risk management faculty, development economists, pension regulators, and pension consultants.