Asset allocation considerations for pension insurance funds theoretical analysis and empirical evidence
Pension Insurance Funds are the largest external occupational pension plan in Germany. Occupational pension schemes are expected to play a more relevant role in the future as a substitute for the statutory pension system. Christian Hertrich analyses in this context the suitability of Social Responsi...
| Autor principal: | |
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| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Hoboken, N.J. :
Springer
2013.
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| Edición: | 1st ed. 2013. |
| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009469418306719 |
Tabla de Contenidos:
- Foreword; Preface; Table of Content; List of Figures; List of Tables; Glossary Translated Terms; Glossary Abbreviations; Abstract; Zusammenfassung; 1. Introduction; 1.1 Research Framework1; 1.1.1 Relevance of Pension Insurance Funds; 1.1.2 Future Challenges; 1.1.3 Investment Allocation Aspects; 1.1.4 SRIs and Alternative Investments in the Pension Fund Sector; 1.2 Problem Definition; 1.3 Research Objectives and Contributions; 1.3.1 Research Objectives; 1.3.2 Research Contributions; 1.4 Methodology; 1.5 Existing Research Studies and Delimitation; 1.5.1 Existing Research Studies
- 1.5.2 Delimitations1.6 Thesis Outline; 2. Insight into the German Pension Insurance Fund; 2.1 Objectives; 2.2 Overview of the German Pension System; 2.2.1 Historical Context; 2.2.2 Institutional Structure; 2.2.3 Major Challenges and Outlook; 2.2.4 Conclusions; 2.3 Pension Insurance Funds as Integral Part of the Occupational Pension Scheme; 2.3.1 Definition Occupational Pension Scheme; 2.3.2 Types of Occupational Pension Plans; 2.3.3 Rationale for the Sponsoring Company; 2.3.4 Conclusions; 2.4 Principal Elements of the Pension Insurance Fund; 2.4.1 Economic Relevance; 2.4.2 Definition
- 2.4.3 Insured Risk Categories2.4.4 Pension Benefits and Contribution Alternatives; 2.4.5 Regulatory Supervision; 2.4.6 Conclusions; 2.5 Investment Management Considerations; 2.5.1 Regulatory Investment Framework; 2.5.2 Asset Allocation in Practise; 2.5.3 Considerations on Solvency II; 2.5.4 Conclusions; 2.6 Summary; 3. SRIs and Alternative Investments: Expanding the Efficient Frontier?; 3.1 Objectives; 3.2 Social Responsible Investments (SRI); 3.2.1 Definition; 3.2.2 SRI Investors Types and Investment Motivations; 3.2.3 Investment Strategies; 3.2.4 Asset Class Considerations
- 3.2.5 Performance vs. Conventional Asset Classes3.2.6 SRI Market Size; 3.2.7 Relevance of SRIs for European Capital-Funded Pension Schemes; 3.2.8 Motivation for German Pension Insurance Funds; 3.2.9 Conclusions; 3.3 Alternative Investments; 3.3.1 Definition; 3.3.2 Strategic Asset Allocation Considerations; 3.3.3 Pension Funds in the Alternative Investment Sector; 3.3.4 Performance, Portfolio Diversification and Inflation Hedging; 3.3.5 SRI Considerations in the Alternative Investment Space; 3.3.6 Conclusions; 3.4 Summary; 4. Theoretical Foundation; 4.1 Objectives
- 4.2 Vector Error Correction Modelling Technique4.2.1 Stochastic Time-Series Model Selection; 4.2.2 Rationale for VEC Models; 4.2.3 Identification; 4.2.4 Estimation; 4.2.5 Diagnostic Checking; 4.2.6 Conclusions; 4.3 Bootstrap Simulation; 4.3.1 Definition; 4.3.2 Rationale; 4.3.3 Implementation; 4.3.4 Conclusions; 4.4 Strategic Asset Allocation Strategies; 4.4.1 Overview; 4.4.2 Main Assumptions; 4.4.3 Outright Strategies; 4.4.4 Derivative Overlays; 4.4.5 Conclusions; 4.5 Performance Measurement; 4.5.1 Asymmetric Risk-Return Measures; 4.5.2 Downside Risk Performance Indicators; 4.5.3 Conclusions
- 4.6 Summary
