Description
Asset Allocation Considerations for Pension Insurance Funds, 2013
Theoretical Analysis and Empirical Evidence
Author: Hertrich Christian
Language: EnglishSubject for Asset Allocation Considerations for Pension Insurance Funds:
Keywords
Altersvorsorge; Geldanlagen; Pensionskasse; Portfolio Management
Approximative price 52.74 €
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Publication date: 04-2013
382 p. · 14.8x21 cm · Paperback
382 p. · 14.8x21 cm · Paperback
Description
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?The central research objective of the dissertation is to assess the suitability of Social Responsible Investments (SRIs) as well as alternative investments for the strategic asset allocation of German Pension Insurance Funds (Pensionskassen). Using a Vector Error Correction model, we estimate the data generating process of the underlying input variables. A bootstrap simulation allows generating future return paths of the underlying portfolios. These return distributions will subsequently be used as input for different asset allocation strategies.The empirical results of our research study offer valuable conclusions: (1) SRI-structured portfolios consistently perform better than conventional portfolios, (2) including alternative investments has a beneficial effect on the risk-return distribution and (3) derivative overlay structures mitigate downside risk exposure without impacting average fund performance. In terms of alternative allocation models, (1) high-equity portfolios lead to an increase in return volatility without sufficiently compensating investors with higher returns, (2) hedging against price increases by engineering a portfolio with inflation-suitable assets yields mixed results, (3) a portfolio composition that combines derivative overlay strategies for both equities and corporate bonds and uses SRI-screened assets as underlying generates the best results.
Insight into the German Pension Insurance Fund.- SRIs and Alternative Investments: Expanding the Efficient Frontier.- Theoretical Foundation.- Empirical Analysis.
Dr. Christian Hertrich obtained his doctorate degree at the Department of Corporate Finance of the University of Stuttgart (Germany).
Publication in the field of economic studies
Includes supplementary material: sn.pub/extras
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