Pension Funds ’ Investment Position in the Second Decade of XXI Century

Optimal Investment Policies for Defined Benefit Pension Funds

This paper analyzes optimal investment policies for pension funds of a defined benefit (DB) type. The nature of a DB fund induces a natural modeling of preferences being of the mean-downside risk type. With compensation for inflation as an explicit goal of a pension fund, a natural reference point for the risk measure is the future (indexed) value of the liabilities. Results are presented for d...

Illiquidity, position limits, and optimal investment for mutual funds

We study the optimal trading strategy of mutual funds that face both position limits and differential illiquidity. We provide explicit characterization of the optimal trading strategy and conduct an extensive analytical and numerical analysis of the optimal trading strategy. We show that the optimal trading boundaries are increasing in both the lower and the upper position limits. We find that ...

Red versus Blue: Do Political Dimensions Influence the Investment Preferences of State Pension Funds?

Studying the equity holdings of 31 U.S. state pension funds, we find evidence that the political leaning of their members and political pressures by state politicians impact funds’ investment decisions. State pension funds from states with Democratic leaning members tend to tilt their portfolios more strongly towards companies that perform well on environmental, social and governance (ESG) issu...

Public Pension Funds: The Need for Federal Regulation of Trustee Investment Decisionst

Portfolio Management for Pension Funds

This paper introduces the use of dynamic stochastic optimisation pension fund management. The design of such products involves econometric modelling, economic scenario generation, generic methods of solving optimization problems and modelling of required risk tolerances. In nearly all the historical backtests using data over roughly the past decade the system described (with transactions costs ...