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Optimal Asset Allocations in Both ALM and LDI Approaches of Pension Funds
http://hdl.handle.net/10173/1780
http://hdl.handle.net/10173/17802eb85cf4-ba25-41b3-b247-9e8ac1e5cc2e
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
SMS09-138.pdf (421.0 kB)
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| 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 |
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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 |
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| 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 | |||||
