| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8198 |
| DP8198 Optimal portfolio allocation for corporate pension funds | |
| David Miles; David McCarthy | |
| 发表日期 | 2011-01-17 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | We model the asset allocation decision of a stylized corporate defined benefit pension plan in the presence of hedgeable and unhedgeable risks. We assume that plan fiduciaries--who make the asset allocation decision--face non-linear payoffs linked to the plan?s funding status because of the presence of pension insurance and a sponsoring employer who may share any shortfall or pension surplus. We find that even simple asymmetries in payoffs have large and highly persistent effects on asset allocation, while unhedgeable risks exert only a small effect. We conclude that institutional details are crucial in understanding DB pension asset allocation. |
| 主题 | Financial Economics |
| 关键词 | Pension funds Portfolio allocation Corporate balance sheets |
| URL | https://cepr.org/publications/dp8198 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537035 |
| 推荐引用方式 GB/T 7714 | David Miles,David McCarthy. DP8198 Optimal portfolio allocation for corporate pension funds. 2011. |
| 条目包含的文件 | 条目无相关文件。 | |||||
| 个性服务 |
| 推荐该条目 |
| 保存到收藏夹 |
| 导出为Endnote文件 |
| 谷歌学术 |
| 谷歌学术中相似的文章 |
| [David Miles]的文章 |
| [David McCarthy]的文章 |
| 百度学术 |
| 百度学术中相似的文章 |
| [David Miles]的文章 |
| [David McCarthy]的文章 |
| 必应学术 |
| 必应学术中相似的文章 |
| [David Miles]的文章 |
| [David McCarthy]的文章 |
| 相关权益政策 |
| 暂无数据 |
| 收藏/分享 |
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
