Asset Allocation Considerations for Pension Insurance Funds [electronic resource] : Theoretical Analysis and Empirical Evidence /
Hertrich, Christian.author.
Pension Insurance Funds are the largest external occupational pension plan in Germany. Occupational pension schemes are expected to play a more relevant role in the future as a substitute for the statutory pension system. Christian Hertrich analyses in this context the suitability of Social Responsible Investments (SRI) as well as Alternative Investments for the strategic asset allocation of Pension Insurance Funds within the prevailing regulation as well as supervisory framework in Germany. The author completes his empirical analysis by simulating alternative investment models that do not adhere to existing regulation. Using advanced econometric models and simulation techniques, the author is able to replicate different asset allocation strategies that in combination with the calculation of adequate risk-return parameters offer valuable conclusions for researchers and practitioners.   Contents ·         Pension Insurance Funds ·         SRI ·         Alternative Investments ·         Econometrics ·         Asset Allocation Models   Target Groups ·         Researchers and students in the field of Portfolio Management, Financial Econometrics, SRI, Alternative Investments, Occupational Pension Systems ·         Practitioners involved in the asset allocation of pension funds   About the Author Dr. Christian Hertrich obtained his doctorate degree at the Department of Corporate Finance of the University of Stuttgart (Germany).  .
Description based upon print version of record.
Foreword; Preface; Table of Content; List of Figures; List of Tables; Glossary Translated Terms; Glossary Abbreviations; Abstract; Zusammenfassung; 1. Introduction; 1.1 Research Framework1; 1.1.1 Relevance of Pension Insurance Funds; 1.1.2 Future Challenges; 1.1.3 Investment Allocation Aspects; 1.1.4 SRIs and Alternative Investments in the Pension Fund Sector; 1.2 Problem Definition; 1.3 Research Objectives and Contributions; 1.3.1 Research Objectives; 1.3.2 Research Contributions; 1.4 Methodology; 1.5 Existing Research Studies and Delimitation; 1.5.1 Existing Research Studies
1.5.2 Delimitations1.6 Thesis Outline; 2. Insight into the German Pension Insurance Fund; 2.1 Objectives; 2.2 Overview of the German Pension System; 2.2.1 Historical Context; 2.2.2 Institutional Structure; 2.2.3 Major Challenges and Outlook; 2.2.4 Conclusions; 2.3 Pension Insurance Funds as Integral Part of the Occupational Pension Scheme; 2.3.1 Definition Occupational Pension Scheme; 2.3.2 Types of Occupational Pension Plans; 2.3.3 Rationale for the Sponsoring Company; 2.3.4 Conclusions; 2.4 Principal Elements of the Pension Insurance Fund; 2.4.1 Economic Relevance; 2.4.2 Definition
2.4.3 Insured Risk Categories2.4.4 Pension Benefits and Contribution Alternatives; 2.4.5 Regulatory Supervision; 2.4.6 Conclusions; 2.5 Investment Management Considerations; 2.5.1 Regulatory Investment Framework; 2.5.2 Asset Allocation in Practise; 2.5.3 Considerations on Solvency II; 2.5.4 Conclusions; 2.6 Summary; 3. SRIs and Alternative Investments: Expanding the Efficient Frontier?; 3.1 Objectives; 3.2 Social Responsible Investments (SRI); 3.2.1 Definition; 3.2.2 SRI Investors Types and Investment Motivations; 3.2.3 Investment Strategies; 3.2.4 Asset Class Considerations
3.2.5 Performance vs. Conventional Asset Classes3.2.6 SRI Market Size; 3.2.7 Relevance of SRIs for European Capital-Funded Pension Schemes; 3.2.8 Motivation for German Pension Insurance Funds; 3.2.9 Conclusions; 3.3 Alternative Investments; 3.3.1 Definition; 3.3.2 Strategic Asset Allocation Considerations; 3.3.3 Pension Funds in the Alternative Investment Sector; 3.3.4 Performance, Portfolio Diversification and Inflation Hedging; 3.3.5 SRI Considerations in the Alternative Investment Space; 3.3.6 Conclusions; 3.4 Summary; 4. Theoretical Foundation; 4.1 Objectives
4.2 Vector Error Correction Modelling Technique4.2.1 Stochastic Time-Series Model Selection; 4.2.2 Rationale for VEC Models; 4.2.3 Identification; 4.2.4 Estimation; 4.2.5 Diagnostic Checking; 4.2.6 Conclusions; 4.3 Bootstrap Simulation; 4.3.1 Definition; 4.3.2 Rationale; 4.3.3 Implementation; 4.3.4 Conclusions; 4.4 Strategic Asset Allocation Strategies; 4.4.1 Overview; 4.4.2 Main Assumptions; 4.4.3 Outright Strategies; 4.4.4 Derivative Overlays; 4.4.5 Conclusions; 4.5 Performance Measurement; 4.5.1 Asymmetric Risk-Return Measures; 4.5.2 Downside Risk Performance Indicators; 4.5.3 Conclusions
4.6 Summary
Includes bibliographical references and index.
Pension Insurance Funds are the largest external occupational pension plan in Germany. Occupational pension schemes are expected to play a more relevant role in the future as a substitute for the statutory pension system. Christian Hertrich analyses in this context the suitability of Social Responsible Investments (SRI) as well as Alternative Investments for the strategic asset allocation of Pension Insurance Funds within the prevailing regulation as well as supervisory framework in Germany. The author completes his empirical analysis by simulating alternative investment models that do not adhere to existing regulation. Using advanced econometric models and simulation techniques, the author is able to replicate different asset allocation strategies that in combination with the calculation of adequate risk-return parameters offer valuable conclusions for researchers and practitioners.   Contents ·         Pension Insurance Funds ·         SRI ·         Alternative Investments ·         Econometrics ·         Asset Allocation Models   Target Groups ·         Researchers and students in the field of Portfolio Management, Financial Econometrics, SRI, Alternative Investments, Occupational Pension Systems ·         Practitioners involved in the asset allocation of pension funds   About the Author Dr. Christian Hertrich obtained his doctorate degree at the Department of Corporate Finance of the University of Stuttgart (Germany).  .
Finance.
Finance, general.