Duration-Enhancing Overlay Strategies for Defined Benefit Pension Plans

John M. Mulvey, Woo Chang Kim and Yi Ma

Chapter 11 in Asset and Liability Management Handbook, 2011, pp 280-307 from Palgrave Macmillan

Abstract: Abstract In many countries, there is a concern about demographic trends associated with providing adequate pensions to retired work-ers. For example, the workforce in Japan is expected to shrink from 84 million to 74 million, while the number of retirees will increase from 26 million to 36 million by 2030. In Europe, the population aged 65 years and older, as a ratio of the working-age population, will increase from 25 per cent in 2008 to 53 per cent in 2060. Given these headwinds, companies who sponsor pension trusts will benefit from improving their investment performance.

Keywords: Hedge Fund; Efficient Frontier; Pension Plan; Sharpe Ratio; Asset Allocation (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-0-230-30723-0_11

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DOI: 10.1057/9780230307230_11

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