Purpose This paper analyses whether the active management and fundamentals of pension fund allow products that beat their peers to be identified in terms risk-adjusted performance. Design/methodology/approach The sample is composed all funds period 2000 2017 investing Eurozone. What this means a greater similarity guaranteed benchmark, assets available for investment currency. All data have bee...

For many years, the equity allocation of Japanese institutional investors has typically been split between domestic and international assets and tended to be concentrated in large and mid cap stocks. Given the constant challenge for investors to optimize the asset allocation mix to produce better risk-adjusted returns, one increasingly popular option has been to venture into small cap stocks. I...

Assefiiability management, optimal fund design and optimal portfolio selection have been key issues of interest to the (re)insurance and investment banking communities, respectively, for some years especially in the design of advanced risk-transfer solutions for clients in the Fortune 500 group of companies. AFIR 1996 publications dealing with these topics were, e.g., Optimal Fund Design for In...

Whether defined-benefit corporate pension plans should invest in risky assets has always been subject to debate, and the risky pension asset allocation frequently causes concerns. In this study, we model corporate pension decisions in a setting where a firm balances its risk management concern with employees’ preference for systematic risk exposure. For a reasonable set of parameter values, the...

There has been considerable public discussion of the investment performance of the University of California Retirement Plan (UCRP). Much of that discussion has been based on simple comparisons of the realized investment returns of UCRP to those of other pension plans, such as CalPERS. Such comparisons provide no economically meaningful or statistically significant information about the quality ...

We analyze the problem of real optimal asset allocation for a pension fund maximising the expected CRRA utility of its real disposable wealth. The financial horizon of the analysis coincides with the random death time of a representative subscriber. We consider a very general setting where there exists a stochastic investment opportunity set together with stochastic contributions and pensions a...

Multistage Stochastic Programming is a popular method to solve financial planning problems such as Asset and Liability Management (ALM). The desirability to have future scenarios match static and dynamic correlations between assets leads to problems of truly enormous sizes (often reaching tens of millions of unknowns or more). Clearly parallel processing becomes mandatory to deal with such prob...