Комп’ютерні прилади та інформаційні технології для прецизійного землеробства

Наукове повідомлення на засіданні Президії НАН України 28 березня 2012 року

Essays on the valuation of discretionary liabilities and pension fund investment policy

The four essays collected in this dissertation serve as a contribution to the broad field of pension finance. They focus on the economic understanding of liability valuation on the one hand and investment policy for pension funds on the other. The first article concerns the impact of the sponsor’s creditworthiness on the valuation of contingent pension liabilities and optimal investment policy. The second article considers the relationship between investment policy, regulatory environment and the valuation of contingent pension liabilities. The third article describes how pension funds adjust their asset allocation in reaction to the performance of the stock market. The final article tests how pension funds account for the age of the participants in choosing their investment strategy

Frontiers in Pension Finance

How to deliver adequate pension benefits at reasonable costs is a huge challenge confronting our ageing societies. This book delivers a comprehensive overview of the latest insights into pension finance, pension system design, pension governance and risk based supervision. It combines state-of-the-art analyses with innovative policy proposals to increase the efficiency and resilience of pension systems and to advance these systems’ contribution to global financial stability. Renowned pension experts offer cutting-edge guidance for future decision making and the development of best practices. This exciting exploration of the frontiers in pension finance highlights key aspects of securing long term retirement provisions. Frontiers in Pension Finance will be of interest to a wide-ranging audience, especially academic researchers, pension practitioners, supervisors and public sector policymakers

Stock Market Performance and Pension Fund Investment Policy: Rebalancing, Free Float, or Market Timing

This paper is the first that examines the impact of stock market performance on the investment policy of pension funds. We find that stock market prices influence the asset allocation of Dutch pension funds in two ways. In the short term, outperformance of equities over bonds and other investment categories automatically results in a higher actual equity allocation (and vice versa), as pension funds do not continuously rebalance their investment portfolios. Each quarter, pension funds rebalance, on average, around 39 percent of excess equity returns, leaving 61 percent for free floating. In the medium term, outperformance of equities induces pension funds to increase their strategic equity allocation (and vice versa). These findings suggest that the investment policies of pension funds are partially driven by the cyclical performance of the stock market. Pension funds respond asymmetrically to stock market shocks: rebalancing is much stronger after negative equity returns. On average, this strategy led to negative excess returns over the period under consideration. Investment policies of large funds deviate from that of small funds: they hold more equity and their equity allocation is much more strongly affected by actual equity returns, reflecting less rebalancing. The largest funds react highly asymmetrically to positive excess equity returns, adjusting their portfolios by significantly more than 100%, reflecting ‘overshooting’ of free floating, or positive feedback trading. Apparently, managers of large funds demonstrate great risk tolerance, particularly in bull markets