How Derivatives Can Help Solve the Pension Fund Crisis
通过情景模拟的资产负债模型，分析期权策略对固定收益型养老基金风险收益特征的影响，发现合理构建的期权策略能显著提升基金长期健康度，但最优策略需根据基金类型在资产负债框架下确定。
Properly constructed option strategies can add substantial value to pension fund management, according to a scenario-based asset-liability model that analyzes their effects on the risk-return profile of defined-benefit pension funds. The results are robust with respect to variations in horizon, equity risk premium, and volatility assumptions. The optimal strategy should be determined in an asset-liability context and not ad hoc, as the intuitively most appealing strategies are not necessarily the most effective. Different types of funds may require significantly different option strategies. What works well for one fund may be less effective or even counter-productive for another. Overall, incorporating options appears an efficient way to improve long-term pension fund health and thus the sustainability of defined-benefit pension plans.