Strategic Asset Allocation Considerations for German Pension Insurance Funds - Theoretical Analysis and Empirical Evidence

Christian Hertrich (Autor)

5,99 €

Our research project analyses the suitability of social responsible investments (SRI) and alternative asset classes (in particular commodities, hedge fund in-vestments, high-yield bonds) for the portfolio management of German Pension Insurance Funds (Pensionskassen), the largest external occupational pension scheme in Germany. The research objective is to determine optimal portfolio allocations for varying asset classes and investment strategies. The empirical methodology applied in our analysis will consist of stochastic time series simula-tions in combination with dynamic, multi-period ... weiterlesen »asset allocation strategies. To our knowledge, our research proposal is to date the first of its kind and will pro-vide valuable results to the academic research community as well as represent a useful reference for finance practitioners.

Dateiformat: PDF
Englisch | Altersempfehlung: keine | Erscheinungsdatum: 02.10.2011

Pensionskasse, Pension Insurance Fund, Germany, Social Responsible Investment, SRI, alternative asset class, ocupational pension scheme, stochastic time series, dynamic asset allocation