We consider a stochastic model for a defined-contribution pension fund in continuous time. In particular, we focus on the portfolio problem of a fund manager who wants to maximize the expected utility of his terminal wealth in a complete financial market. The fund manager must cope with a set of stochastic investment opportunities and with the uncertainty involved by the labor market. After int...

The paper deals with modeling of mutual dependencies among financial assets. Its aim is to investigate the impact of different copula assumptions on optimal portfolios, when CVaR optimization is used. Strategic asset allocation perspective is supposed. It is demonstrated that copula functions enable us to separate the modeling of dependency features of financial assets from the modeling of marg...

From a simple idea to unite pension funds in their quest for responsible investment at its launch in April 2006, the United Nations supported Principles for Responsible Investment (PRI) have grown in just one decade into an initiative with more than 1,500 fee paying signatories. These signatories consist of asset owners (e.g. pension funds, charities), the asset managers that serve them and ser...

T his study is the second in a two-part analysis of the mutual fund industry. The first part (Fortune 1997, referred to here as " Part I ") examined the basic structure of the industry and discussed the historical relationship between mutual fund flows and returns on both short-term and long-term financial instruments. That study ended with a discussion of the role that momentum investing by mu...

The article presents an analysis of welfare effects in Slovenia, an analysis of supplementary pension insurance in Slovenia and an analysis of the effects of the pension fund deficit on the sustainability of Slovenian public finances. Stress was placed upon varying the parameters of the current Slovenian pension system and introducing mandatory supplementary pension insurance in Slovenia. It ha...

Pension funds are remarkable institutions. Charged with the welfare of plan beneficiaries and retirees, they carry a heavy burden of responsibility. And yet, unlike many government institutions, they have considerable discretion in fulfilling their goals and objectives. Even if their independence is circumscribed by statutory requirements, their autonomy is a distinctive aspect of Anglo-America...

In this paper, we identify the economic system in which occupational pension schemes operate. This system includes all parties to the pension arrangement, particularly the members of the scheme and the shareholders of the sponsoring company. This requires us to model the pension scheme not as a self-contained fund, but simultaneously alongside the company, and to recognise its interaction with ...