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  • 标题:Optimal Investment Policies for Defined Benefit Pension Funds
  • 本地全文:下载
  • 作者:A.H. Siegmann
  • 期刊名称:DNB Research Reports
  • 出版年度:2003
  • 卷号:1
  • 出版社:De Nederlandsche Bank
  • 摘要:This paper analyzes optimal investment policies for pension funds of a defined benefit (DB) type. The nature of a DB fund induces a natural modeling of preferences being of the mean-downside risk type. With compensation for inflation as an explicit goal of a pension fund, a natural reference point for the risk measure is the real or indexed value of the liabilities. Results are presented for a mean-shortfall model and different assumptions for inflation uncertainty, correlation between inflation and stock returns, and the level of the risk-free rate. Comparative statics show increased risk-taking for funding ratios moving away from the reference point. We provide intuition for the results and compare the outcomes with actual investment policies of six large Dutch pension funds.
  • 关键词:pension funds, optimal investment, defined benefit
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