A robust optimization approach to pension fund management

2010 ◽  
Vol 11 (2-3) ◽  
pp. 163-177 ◽  
Author(s):  
Garud Iyengar ◽  
Alfred Ka Chun Ma
Keyword(s):  
Robust Optimization ◽  
Pension Fund ◽  
Optimization Approach ◽  
Fund Management ◽  
Pension Fund Management

Optimal Multistage Defined-Benefit Pension Fund Management

2017 ◽  
pp. 267-296 ◽  
Author(s):  
Giorgio Consigli ◽  
Vittorio Moriggia ◽  
Elena Benincasa ◽  
Giacomo Landoni ◽  
Filomena Petronio ◽  
...  
Keyword(s):  
Pension Fund ◽  
Defined Benefit ◽  
Fund Management ◽  
Pension Fund Management

Optimal pension fund management under multi-period risk minimization

2008 ◽  
Vol 166 (1) ◽  
pp. 261-270 ◽  
Author(s):  
Soňa Kilianová ◽  
Georg Ch. Pflug
Keyword(s):  
Pension Fund ◽  
Risk Minimization ◽  
Fund Management ◽  
Pension Fund Management

Pension fund management with hedging derivatives, stochastic dominance and nodal contamination

Omega ◽  
2019 ◽  
Vol 87 ◽  
pp. 127-141 ◽  
Author(s):  
Vittorio Moriggia ◽  
Miloš Kopa ◽  
Sebastiano Vitali
Keyword(s):  
Stochastic Dominance ◽  
Pension Fund ◽  
Fund Management ◽  
Pension Fund Management

Portfolio allocation for public pension funds

2011 ◽  
Vol 10 (2) ◽  
pp. 221-245 ◽  
Author(s):  
GEORGE PENNACCHI ◽  
MAHDI RASTAD
Keyword(s):  
Pension Fund ◽  
Pension Funds ◽  
Pension Plans ◽  
Public Pension ◽  
Annual Data ◽  
Portfolio Risk ◽  
Fund Management ◽  
Pension Fund Management ◽  
Portfolio Allocations ◽  
State Pension

AbstractThis paper presents a model of a public pension fund's choice of portfolio risk. Optimal portfolio allocations are derived when pension fund management maximize the utility of wealth of a representative taxpayer or when pension fund management maximize their own utility of compensation. The model's implications are examined using annual data on the portfolio allocations and plan characteristics of 125 state pension funds over the 2000–2009 period. Consistent with agency behavior by public pension fund management, we find evidence that funds chose greater overall asset – liability portfolio risk following periods of relatively poor investment performance. In addition, pension plans that select a relatively high rate with which to discount their liabilities tend to choose riskier portfolios. Moreover, consistent with a desire to gamble for higher benefits, pension plans take more risk when they have greater representation by plan participants on their Boards of Trustees.

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