The paper is the first performance evaluation study of the Polish pension funds operating from 1999. The unconditional performance evaluation models are used. It is shown that pension fund managers did produce additional value due to active management. Therefore, unsatisfactory overall results for the public pension system cannot be attributed to the inefficiency of the investment process. The ...

There is a pressing need to re-design the defined contribution pension scheme so that it can become an adequate replacement for the failing defined benefit scheme. This paper focuses on the importance of accounting for systematic longevity risk in light of this assertion. We discuss a proposed, plan member oriented, pension plan design that aims to deliver a desired standard of living in retire...

Using an arbitrage approach, Black (1980) and Tepper (1981) conclude that the optimal corporate pension policy is for companies to fully fund their pension plans, borrowing on corporate account if necessary, and investing the pension fund entirely in taxable bonds. The implications of the Black-Tepper arbitrage results for optimal asset location for individual investors were first discussed in ...

Any views expressed in this paper are those of the authors and the Procyclicality Working Group and do not necessarily represent the views of the Bank of England 2 Foreword 1. In early 2013, the Bank established the Procyclicality Working Group (the membership of which is set out overleaf) to examine the question of whether, and if so why, insurance companies and pension funds invest procyclica...

Personal finance is a challenging topic which can benefit from a scientific approach to individual financial planning. This paper presents an individual asset liability management (iALM) model for life cycle planning which uses the methodology of dynamic stochastic optimisation and incorporates ideas from both classical and behavioural finance. Its implementation is in the form of a decision su...

It is well-known that pension fund participants can benefit from intergenerational risksharing, but that different generations have different incentives. This paper models intergenerational solidarity in closing funded pension plans as a bargaining process between generations. We consider generations which each are represented by members of the pension fund’s board. We model pension funds that ...

This article explores recent trends in the size and performance of the equity investments of state and local pension plans. It also provides a context for the discussion about investing Social Security trust fund reserves in private equities. Equity holdings and returns for five of the largest private pension plans were compared with those of state and local pension plans. Key findings discusse...