scholarly journals Pension fund asset allocation and performance

2014 ◽  
Author(s):  
A. Andonov
Keyword(s):  
Asset Allocation ◽  
Pension Fund ◽  
And Performance

A Global Perspective on Pension Fund Asset Allocation

CFA Digest ◽  
1998 ◽  
Vol 28 (4) ◽  
pp. 45-46
Author(s):  
Charles F. Peake
Keyword(s):  
Asset Allocation ◽  
Pension Fund ◽  
Global Perspective

A Stochastic Approach to Risk Management and Decision Making in Defined Benefit Pension Schemes

2003 ◽  
Vol 9 (3) ◽  
pp. 493-586 ◽  
Author(s):  
S. Haberman ◽  
C. Day ◽  
D. Fogarty ◽  
M. Z. Khorasanee ◽  
M. McWhirter ◽  
...  
Keyword(s):  
Decision Making ◽  
Performance Measures ◽  
Asset Allocation ◽  
Stochastic Approach ◽  
Free Variable ◽  
Defined Benefit ◽  
Contribution Rate ◽  
And Performance ◽  
Allocation Decisions ◽  
Made In

ABSTRACTThe trustees and sponsors of defined benefit schemes rely on the advice of the Scheme Actuary to make important decisions concerning the funding of the scheme, the investment of its assets, and the use of surplus assets to improve benefits. These decisions have to be made in the face of considerable uncertainty about financial and demographic factors that will affect the future experience of the scheme and its success in meeting various objectives.The traditional actuarial valuation combined with actuarial judgement has played an important role in guiding decision making; but we argue that stochastic methods can add value in certain crucial areas, in particular the financial risk management of defined benefit schemes. Rather than dealing with risk by incorporating margins in the valuation basis, a stochastic approach allows the actuary to evaluate specific and quantifiable risk and performance measures for alternative funding and investment strategies.This paper recommends a framework that, when combined with a suitable stochastic model, measures the risks inherent in contribution rate and asset allocation decisions, allowing better decisions to be made. In doing this, we suggest and apply various risk and performance measures that may be thought appropriate, although our intention is to illustrate their use rather than prescribe them as objective standards. The framework provides the means to explore the trade-offs involved in possible contribution and asset allocation decisions, and points to decision strategies expected to give improved outcomes for the same level of risk. A feature of the approach that marks it out from current asset/liability techniques is that it examines the funding and investment decisions together. It does not derive a contribution rate in the traditional way, but leaves this as free variable, in the same way that the investment decision is taken to be a free variable. Another distinctive feature of our framework is that it is based on projection rather than on valuation, involving stochastic simulation of the experience of the scheme over a time horizon reflecting the concerns of the trustees and the sponsoring employer.The paper provides a case study (based on a model final salary pension scheme) showing the advantages of the framework, and goes on to explain how the results may practically be communicated to trustees and scheme sponsors.

Research on Asset Allocation Model of Pension Fund in China

2011 ◽  
Vol 422 ◽  
pp. 448-451
Author(s):  
Mei Wang ◽  
Li Yan Han ◽  
Yan Sui Yang
Keyword(s):  
Financial Market ◽  
Asset Allocation ◽  
Price Index ◽  
Pension Fund ◽  
Pension System ◽  
Consumer Price Index ◽  
Minimum Variance ◽  
Allocation Model ◽  
Investment Policies ◽  
The Core

The preservation and appreciation of pension fund is the core of the whole pension system. As the cash for daily life of the retiree, the investment rate of return of pension fund has to be higher than Consumer Price Index (CPI) in order to maintain the purchase power of pension and play a security role. On the basis of Markowitz theory, the constraint of CPI was added in this paper. The weight of all assets in optimum portfolio and the minimum variance of the portfolio under current financial market were calculated by Matlab software in China. Finally, suggestions on reforming investment policies of pension fund in China were given.

scholarly journals On the Asset Allocation of a Default Pension Fund

2016 ◽  
Author(s):  
Magnus Dahlquist ◽  
Ofer Setty ◽  
Roine Vestman
Keyword(s):  
Asset Allocation ◽  
Pension Fund

Taxes and Pension Fund Asset Allocation

1992 ◽  
Vol 18 (4) ◽  
pp. 24-27 ◽  
Author(s):  
Andrew H. Chen ◽  
William R Reichenstein
Keyword(s):  
Asset Allocation ◽  
Pension Fund
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