Optimal Portfolio Allocation for Corporate Pension Funds
研究了企业固定收益型养老金计划在可对冲和不可对冲风险下的资产配置决策，发现非对称收益对配置有巨大且持久的影响，而不可对冲风险影响较小。
Abstract We model the asset allocation decision of a stylised corporate defined benefit pension plan in the presence of hedgeable and unhedgeable risks. We assume that plan fiduciaries – who make the asset allocation decision – face non–linear payoffs linked to the plan's funding status because of the presence of pension insurance and a sponsoring employer who may share any shortfall or pension surplus. We find that even simple asymmetries in payoffs have large and highly persistent effects on asset allocation, while unhedgeable risks exert only a small effect. We conclude that institutional details are crucial in understanding DB pension asset allocation .