scholarly journals Optimal Asset Allocation for Pension Funds Under Mortality Risk During the Accumulation and Decumulation Phases

2003 ◽  
Author(s):  
Paolo Battocchio ◽  
Francesco Menoncin ◽  
O. Scaillet
Keyword(s):  
Mortality Risk ◽  
Asset Allocation ◽  
Pension Funds

scholarly journals Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases

2006 ◽  
Vol 152 (1) ◽  
pp. 141-165 ◽  
Author(s):  
Paolo Battocchio ◽  
Francesco Menoncin ◽  
Olivier Scaillet
Keyword(s):  
Mortality Risk ◽  
Asset Allocation ◽  
Pension Funds

scholarly journals A comparison of retirement saving using discretionary investment and Regulation 28

2018 ◽  
Vol 21 (1) ◽  
Author(s):  
Gizelle D. Willows ◽  
Thomas Burgers ◽  
Darron West
Keyword(s):  
South Africa ◽  
South African ◽  
Asset Allocation ◽  
Pension Funds ◽  
Investment Risk ◽  
Retirement Savings ◽  
Primary Reason ◽  
Risk And Return ◽  
Retirement Saving ◽  
Retirement Fund

Background: There is growing uncertainty in global society with regard to how retirement savings should be approached. The primary reason for this is that most societies do not save enough and their citizens run out of money during retirement. Aim: This study investigates whether the limitations imposed by Regulation 28 of the Pension Funds Act of South Africa encourage optimal asset allocation and reduce investment risk for retirement savings when contrasted with discretionary investment. Setting: The study looks at hypothetical individuals who are subject to tax and retirement consequences as administered by South African legislation. Methods: A quantitative risk and return analysis was performed while considering two hypothetical investors who are identical in all aspects other than their choice of investments. Results: The findings indicate that Regulation 28 is effective in reducing the investment risk of retirement savings; however, it may also force the investor to sacrifice wealth. Conclusion: Depending on the tax bracket in which the investor sits, discretionary investment may be preferential to investing in a retirement fund under the mandate of Regulation 28.

scholarly journals Pension Scheme Asset Allocation with Taxation Arbitrage, Risk Sharing and Default Insurance

2004 ◽  
Vol 10 (5) ◽  
pp. 1111-1131 ◽  
Author(s):  
C. M. S. Sutcliffe
Keyword(s):  
Private Sector ◽  
Asset Allocation ◽  
Risk Sharing ◽  
Pension Funds ◽  
The Other ◽  
Pension Scheme ◽  
Economic Factors ◽  
Risk Return ◽  
Pension Schemes ◽  
Arbitrage Risk

ABSTRACTThe asset allocation is a crucial decision for pension funds, and this paper analyses the economic factors which determine this choice. The analysis proceeds on the basis that, in the absence of taxation, risk sharing and default insurance, the asset allocation between equities and bonds is indeterminate and governed by the risk/return preferences of the trustees and the employer. If the employing company and its shareholders are subject to taxation, there is a tax advantage in a largely bond allocation. Risk sharing between the employer and the employees often means that one group favours a high equity allocation, while the other favours a low equity allocation. Underpriced default insurance creates an incentive for a high equity allocation. When taxation, risk sharing and underpriced default insurance are all present, it is concluded that the appropriate asset allocation varies with the circumstances of the scheme; but that a high equity allocation is probably inappropriate for many private sector pension schemes.

Institutional disparities and asset allocation homologation in Italian defined contribution pension funds. How do they affect the guarantee commitment?

2016 ◽  
Vol 16 (2) ◽  
pp. 205-232
Author(s):  
PAOLA DE VINCENTIIS ◽  
ELEONORA ISAIA ◽  
PAOLA ZOCCHI
Keyword(s):  
Asset Allocation ◽  
Pension Funds ◽  
Panel Analysis ◽  
Defined Contribution ◽  
Factors Affecting ◽  
Main Research ◽  
The Third ◽  
Research Questions ◽  
Actual Return

AbstractThis paper analyzes the performance of the Italian defined contribution guaranteed pension funds during the period 2008–2012 through a panel analysis. This paper is organized around three main research questions. The first one is focused on the probability of a guarantee payment in a given year. The second one deals with the determinants of the gap between actual return and minimum guaranteed yield on a yearly basis. The third one focuses on the factors affecting the weight of administrative and management costs and their relationship with the fund dimension.

How do institutional pension managers consider real estate

2017 ◽  
Vol 35 (1) ◽  
pp. 26-43 ◽  
Author(s):  
Jon R.G.M. Lekander
Keyword(s):  
Real Estate ◽  
Asset Allocation ◽  
Pension Funds ◽  
Real Estate Market ◽  
Organizational Capabilities ◽  
Future Research ◽  
Allocation Decision ◽  
Content Type ◽  
The Real Estate ◽  
Allocation Process

Purpose The asset allocation decision for a pension portfolio needs to consider several, sometimes conflicting, aspects. Most pension managers use models and processes that are developed for the traditional asset classes for analyzing this problem. The purpose of this paper is to investigate how real estate is included in this process, for what purpose and how the real estate portfolio is constructed. Design/methodology/approach Seven individuals responsible for the asset allocation process were interviewed, and their responses were analyzed with regards to organizational options and their real estate strategy. Findings It was found that real estate is held for three different purposes, risk diversification, inflation hedging/liability matching and return enhancement and that the allocation has increased over time. The allocation strategy has evolved at least in part in conjuncture with the organizational structure set in place to overcome real estate market frictions. Research limitations/implications The interviews were geographically limited to pension funds domiciled in Sweden and Finland. Practical implications It is concluded that the organizational capabilities of the pension fund of handling real estate is an important consideration for the ensuing real estate portfolio. Originality/value The originality of this paper lies in that it is based on interviews with individuals who are responsible for the asset allocation decision at large pension funds. The findings of the paper identify areas of interest for future research.

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