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  1. SSMSパブリケーション
  2. Vol.05

Optimal Asset Allocations in Both ALM and LDI Approaches of Pension Funds

http://hdl.handle.net/10173/1780
http://hdl.handle.net/10173/1780
2eb85cf4-ba25-41b3-b247-9e8ac1e5cc2e
名前 / ファイル ライセンス アクション
SMS09-138.pdf SMS09-138.pdf (421.0 kB)
Item type 会議発表論文 / Conference Paper(1)
公開日 2018-02-06
タイトル
タイトル Optimal Asset Allocations in Both ALM and LDI Approaches of Pension Funds
言語
言語 eng
キーワード
主題Scheme Other
主題 Pension Fund
キーワード
主題Scheme Other
主題 Surplus Approach
キーワード
主題Scheme Other
主題 ALM
キーワード
主題Scheme Other
主題 LDI
キーワード
主題Scheme Other
主題 Asset Allocation
資源タイプ
資源タイプ識別子 http://purl.org/coar/resource_type/c_5794
資源タイプ conference paper
著者 Watanabe, Yasuaki

× Watanabe, Yasuaki

WEKO 2585

Watanabe, Yasuaki

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抄録
内容記述タイプ Abstract
内容記述 When we consider pension fund management, asset only approach is traditionally used for optimal asset allocation. Recently, optimal asset allocation based on surplus framework is noteworthy. So, we investigate the feature of optimal asset allocation under the consideration of both asset and liability in pension fund. There are two surplus approaches such as ALM and LDI. We use mainly ALM approach which is often called as a balance sheet type ALM. Because, we apply this idea for Japanese government pension fund and the plan yield is given as 3.2 percent by Japanese government. However, the mainstream of pension fund management in U.K., Holland, and Denmark, etc. is LDI. The concept of LDI is also accepted and executed by the U.S.A.. So, we apply LDI’s idea into this analysis. Namely, we execute the simulations by changing the volatility of liability and notice the difference of efficient frontier in both surplus and asset only approaches. Thus, as we increase the surplus return, the asset allocation of higher risk assets will increase and also increase the surplus risk simultaneously.
書誌情報 Society for Social Management Systems Internet Journal

巻 5, 号 1, 発行日 2009-03
ISSN
収録物識別子タイプ ISSN
収録物識別子 2432-552X
著者版フラグ
出版タイプ VoR
出版タイプResource http://purl.org/coar/version/c_970fb48d4fbd8a85
出版者
出版者 Society for Social Management Systems
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