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The Resource Asset allocation considerations for pension insurance funds : theoretical analysis and empirical evidence, Christian Hertrich

Asset allocation considerations for pension insurance funds : theoretical analysis and empirical evidence, Christian Hertrich

Label
Asset allocation considerations for pension insurance funds : theoretical analysis and empirical evidence
Title
Asset allocation considerations for pension insurance funds
Title remainder
theoretical analysis and empirical evidence
Statement of responsibility
Christian Hertrich
Creator
Subject
Language
eng
Summary
"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"--provided by publisher
Cataloging source
YDXCP
http://library.link/vocab/creatorDate
1979-
http://library.link/vocab/creatorName
Hertrich, Christian
Illustrations
illustrations
Index
no index present
Literary form
non fiction
Nature of contents
bibliography
http://library.link/vocab/subjectName
  • Asset allocation
  • Pensions
Label
Asset allocation considerations for pension insurance funds : theoretical analysis and empirical evidence, Christian Hertrich
Instantiates
Publication
Copyright
Note
Dissertation--University of Stuttgart, 2013
Bibliography note
Includes bibliographical references (pages 329-367)
Carrier category
volume
Carrier category code
nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
txt
Content type MARC source
rdacontent.
Control code
FIEb17328664
Dimensions
22 cm.
Extent
xxx, 382 pages
Isbn
9783658021665
Media category
unmediated
Media MARC source
rdamedia.
Media type code
n
Other physical details
illustrations
System control number
(OCoLC)832313932
Label
Asset allocation considerations for pension insurance funds : theoretical analysis and empirical evidence, Christian Hertrich
Publication
Copyright
Note
Dissertation--University of Stuttgart, 2013
Bibliography note
Includes bibliographical references (pages 329-367)
Carrier category
volume
Carrier category code
nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
txt
Content type MARC source
rdacontent.
Control code
FIEb17328664
Dimensions
22 cm.
Extent
xxx, 382 pages
Isbn
9783658021665
Media category
unmediated
Media MARC source
rdamedia.
Media type code
n
Other physical details
illustrations
System control number
(OCoLC)832313932

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