Implications of Optimal Investment Policies for Hybrid Pension Plans: Sponsor and Member Perspectives

2005 ◽  
Author(s):  
Raimond Maurer ◽  
Peter Albrecht ◽  
Joachim Coche ◽  
Ralph Rogalla
Keyword(s):  
Optimal Investment ◽  
Pension Plans ◽  
Investment Policies

scholarly journals Optimal investment policies for defined benefit pension funds

2007 ◽  
Vol 6 (1) ◽  
pp. 1-20 ◽  
Author(s):  
ARJEN SIEGMANN
Keyword(s):  
Stock Returns ◽  
Reference Point ◽  
Risk Measure ◽  
Decision Rules ◽  
Optimal Investment ◽  
Pension Funds ◽  
Optimal Decision ◽  
Defined Benefit ◽  
Investment Policies ◽  
Increased Risk

This paper analyzes optimal investment policies for pension funds of a defined benefit (DB) type. The nature of a DB fund induces a natural modeling of preferences being of the mean-downside risk type. With compensation for inflation as an explicit goal of a pension fund, a natural reference point for the risk measure is the future (indexed) value of the liabilities. Results are presented for different levels of inflation uncertainty and its correlation with stock returns. The optimal decision rules show increased risk-taking for funding ratios moving away from the discounted value of the reference point. Furthermore, it is shown that the outcomes are comparable with those using a mean-downside deviation criterion. We provide intuition for the results and compare the outcomes with actual investment policies of six large Dutch pension funds.

Transportation Supply and Economic Growth in a Multiregional System

1988 ◽  
Vol 20 (7) ◽  
pp. 925-936 ◽  
Author(s):  
D Campisi ◽  
A La Bella
Keyword(s):  
Economic Growth ◽  
Mathematical Programming ◽  
Transportation Network ◽  
Freight Transportation ◽  
Optimal Investment ◽  
Upper And Lower Bounds ◽  
Input Output ◽  
Investment Policies ◽  
Balanced Growth

This paper is directed to the problem of evaluating the development role of freight transportation in a dynamic multiregional input—output model. Under realistic structures of the technological, trade, and capital matrices, conditions for the existence of a balanced growth solution are given. Optimal investment policies in transportation network are also discussed. The corresponding problem of adding a minimum (weighted) set of transportation links to the graph associated with the model, so as to satisfy feasible connectivity conditions, is then formulated in mathematical programming terms. Upper and lower bounds on the number of links to be added are also set.

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