Asset Allocation Considerations for Pension Insurance Funds - Theoretical Analysis and Empirical Evidence (Paperback, 2013 ed.)

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.

General

Imprint:	Springer Gabler
Country of origin:	Germany
Release date:	April 2013
First published:	2013
Authors:	Christian Hertrich
Dimensions:	210 x 148 x 27mm (L x W x T)
Format:	Paperback
Pages:	382
Edition:	2013 ed.
ISBN-13:	978-3-658-02166-5
Categories:	Books > Business & Economics > Finance & accounting > Finance > Pensions Books > Business & Economics > Finance & accounting > Finance > Investment & securities > General Books > Money & Finance > Investment & securities > General Books > Money & Finance > Pensions Promotions
LSN:	3-658-02166-7
Barcode:	9783658021665

Is the information for this product incomplete, wrong or inappropriate? Let us know about it.

Does this product have an incorrect or missing image? Send us a new image.

Is this product missing categories? Add more categories.

Review This Product

No reviews yet - be the first to create one!