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Asset Allocation Considerations for Pension Insurance Funds

Theoretical Analysis and Empirical Evidence

Authors: Hertrich, Christian

  • ​Publication in the field of economic studies

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eBook $84.99
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  • ISBN 978-3-658-02167-2
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Softcover $109.00
price for USA
  • ISBN 978-3-658-02166-5
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About this book

​The central research objective of the dissertation is to assess the suitability of Social Responsible Investments (SRIs) as well as alternative investments for the strategic asset allocation of German Pension Insurance Funds (Pensionskassen). Using a Vector Error Correction model, we estimate the data generating process of the underlying input variables. A bootstrap simulation allows generating future return paths of the underlying portfolios. These return distributions will subsequently be used as input for different asset allocation strategies.The empirical results of our research study offer valuable conclusions: (1) SRI-structured portfolios consistently perform better than conventional portfolios, (2) including alternative investments has a beneficial effect on the risk-return distribution and (3) derivative overlay structures mitigate downside risk exposure without impacting average fund performance. In terms of alternative allocation models, (1) high-equity portfolios lead to an increase in return volatility without sufficiently compensating investors with higher returns, (2) hedging against price increases by engineering a portfolio with inflation-suitable assets yields mixed results, (3) a portfolio composition that combines derivative overlay strategies for both equities and corporate bonds and uses SRI-screened assets as underlying generates the best results.

About the authors

Dr. Christian Hertrich obtained his doctorate degree at the Department of Corporate Finance of the University of Stuttgart (Germany).

Table of contents (6 chapters)

  • Introduction

    Hertrich, Christian

    Pages 1-18

  • Insight into the German Pension Insurance Fund

    Hertrich, Christian

    Pages 19-77

  • SRIs and Alternative Investments: Expanding the Efficient Frontier?

    Hertrich, Christian

    Pages 78-158

  • Theoretical Foundation

    Hertrich, Christian

    Pages 159-211

  • Empirical Analysis

    Hertrich, Christian

    Pages 212-307

Buy this book

eBook $84.99
price for USA (gross)
  • ISBN 978-3-658-02167-2
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $109.00
price for USA
  • ISBN 978-3-658-02166-5
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Asset Allocation Considerations for Pension Insurance Funds
Book Subtitle
Theoretical Analysis and Empirical Evidence
Authors
Copyright
2013
Publisher
Gabler Verlag
Copyright Holder
Springer Fachmedien Wiesbaden
eBook ISBN
978-3-658-02167-2
DOI
10.1007/978-3-658-02167-2
Softcover ISBN
978-3-658-02166-5
Edition Number
1
Number of Pages
XXX, 382
Number of Illustrations and Tables
72 b/w illustrations
Topics