| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w12970 |
| 来源ID | Working Paper 12970 |
| Optimal Asset Allocation in Asset Liability Management | |
| Jules H. van Binsbergen; Michael W. Brandt | |
| 发表日期 | 2007-03-14 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | We study the impact of regulations on the investment decisions of a defined benefits pension plan. We assess the influence of ex ante (preventive) and ex post (punitive) risk constraints on the gains to dynamic, as opposed to myopic, decision making. We find that preventive measures, such as Value-at-Risk constraints, tend to decrease the gains to dynamic investment. In contrast, punitive constraints, such as mandatory additional contributions from the sponsor when the plan becomes underfunded, lead to very large utility gains from solving the dynamic program. We also show that financial reporting rules have real effects on investment behavior. For example, the current requirement to discount liabilities at a rolling average of yields, as opposed to at current yields, induces grossly suboptimal investment decisions. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Institutions |
| URL | https://www.nber.org/papers/w12970 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/570636 |
| 推荐引用方式 GB/T 7714 | Jules H. van Binsbergen,Michael W. Brandt. Optimal Asset Allocation in Asset Liability Management. 2007. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w12970.pdf（269KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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