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Modern Pension Fund Diversification
SSRN Electronic Journal, 2014The risk and return characteristics of a highly diversified investment portfolio are examined in an effort to best assess its potential by means that incorporate both conventional risk estimation and performance evaluation. Estimation of performance variability and downside risk often assumes a constant, stable, average covariance matrix of asset ...
Martin Anderson +8 more
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Fiscal Studies, 2005
We develop a model of the Pension Protection Fund (PPF), a defined benefit pension guarantee system for the UK, based on an analogy between pension liabilities and corporate debt obligations. We show that the PPF is likely to face many years of low claims interspersed irregularly with periods of very large claims.
Anthony Neuberger, David McCarthy
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We develop a model of the Pension Protection Fund (PPF), a defined benefit pension guarantee system for the UK, based on an analogy between pension liabilities and corporate debt obligations. We show that the PPF is likely to face many years of low claims interspersed irregularly with periods of very large claims.
Anthony Neuberger, David McCarthy
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2021
This chapter is the core of this work. By using all the tools that have been developed in the previous chapters, here we show how to compute the dynamic optimal asset allocation of a pension fund that can invest its wealth in four asset classes: (1) a risk-less asset, (2) a stock index, (3) a rolling zero coupon bond, which is a kind of derivative on ...
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This chapter is the core of this work. By using all the tools that have been developed in the previous chapters, here we show how to compute the dynamic optimal asset allocation of a pension fund that can invest its wealth in four asset classes: (1) a risk-less asset, (2) a stock index, (3) a rolling zero coupon bond, which is a kind of derivative on ...
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Annals of the Association of American Geographers, 2003
Gordon Clark. New York: Oxford University Press, 2000. xvii and 342 pp., diags., notes, and index. $65.00 cloth (ISBN 0-19-924047-7); $29.95 paper (ISBN 0-19-924048-5).
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Gordon Clark. New York: Oxford University Press, 2000. xvii and 342 pp., diags., notes, and index. $65.00 cloth (ISBN 0-19-924047-7); $29.95 paper (ISBN 0-19-924048-5).
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Transactions of the Faculty of Actuaries, 1956
SynopsisPart I of the paper considers in relation to Pension Funds the financial problems so much discussed in recent years in a Life Office context, viz:(a) asset distribution by date and by class,(b) financial options against the Fund,and states the author's conclusions.In Part II are presented investment statistics and other information relating to ...
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SynopsisPart I of the paper considers in relation to Pension Funds the financial problems so much discussed in recent years in a Life Office context, viz:(a) asset distribution by date and by class,(b) financial options against the Fund,and states the author's conclusions.In Part II are presented investment statistics and other information relating to ...
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Do Investors Value Sustainability? A Natural Experiment Examining Ranking and Fund Flows
Journal of Finance, 2019Samuel M Hartzmark, Abigail B Sussman
exaly