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Asset Allocation Considerations for Pension Insurance Funds: Theoretical Analysis and Empirical Evidence

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Feldname	Details
Vorliegende Sprache	eng
Hinweise auf parallele Ausgaben	382112598 Druckausg.: ‡Hertrich, Christian, 1979 - : Asset allocation considerations for pension insurance funds
ISBN	978-3-658-02166-5
Name	Hertrich, Christian
T I T E L	Asset Allocation Considerations for Pension Insurance Funds
Zusatz zum Titel	Theoretical Analysis and Empirical Evidence
Verlagsort	Wiesbaden
Verlag	Springer Gabler
Erscheinungsjahr	2013
Erscheinungsjahr	2013
Umfang	Online-Ressource (XXX, 382 p. 72 illus, digital)
Reihe	SpringerLink. Bücher
Notiz / Fußnoten	Includes bibliographical references and index
Weiterer Inhalt	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
Titelhinweis	Druckausg.: ‡Hertrich, Christian, 1979 - : Asset allocation considerations for pension insurance funds
ISBN	ISBN 978-3-658-02167-2
Klassifikation	KFFK
	BUS004000
	KFF
	BUS027000
	657.8333
	658.152
	332
	616.8530757
	HG1-9999
	HG4501-6051
	HG1501-HG3550
Kurzbeschreibung	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 Responsible Investments (SRI) as well as Alternative Investments for the strategic asset allocation of Pension Insurance Funds within the prevailing regulation as well as supervisory framework in Germany. The author completes his empirical analysis by simulating alternative investment models that do not adhere to existing regulation. Using advanced econometric models and simulation techniques, the author is able to replicate different asset allocation strategies that in combination with the calculation of adequate risk-return parameters offer valuable conclusions for researchers and practitioners. Contents · Pension Insurance Funds · SRI · Alternative Investments · Econometrics · Asset Allocation Models Target Groups · Researchers and students in the field of Portfolio Management, Financial Econometrics, SRI, Alternative Investments, Occupational Pension Systems · Practitioners involved in the asset allocation of pension funds About the Author Dr. Christian Hertrich obtained his doctorate degree at the Department of Corporate Finance of the University of Stuttgart (Germany).
1. Schlagwortkette	Deutschland
	Pensionskasse
	Anlagepolitik
	Portfoliomanagement
SWB-Titel-Idn	381840077
Signatur	Springer E-Book
Bemerkungen	Elektronischer Volltext - Campuslizenz
Elektronische Adresse	$uhttp://dx.doi.org/10.1007/978-3-658-02167-2
Internetseite / Link	Volltext
Siehe auch	Inhaltstext
Siehe auch	Volltext
Siehe auch	Cover

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