1,721,062 research outputs found
Indexation as Primary Target for Pension Funds: implication for portfolio management
No full textThe current financial crisis has strongly affected the finan- cial status (expressed by the funding ratio) of most pension funds and their ability to grant full indexation of liabilities to the inflation rate. The indexation benefits represent a prior- ity for a participant of a pension fund bearing purchasing power risk. Differently from return-oriented optimization, we define an objective function based on the indexation decision, which is conditional on the financial status of the fund. This paper focuses on the definition of an ALM mod- el aimed to maximize the indexation granted by a defined benefit pension fund to its participants by introducing real
assets in the portfolio, but also imposing risk-based regula- tion. The model is applied to the portfolio of the ABN AMRO pension fund, which aims to fully index its liabilities with re- spect to the Dutch inflation. The results suggest the initial funding ratio strongly affects the ability of the fund to set a fully-indexed investment strategy over longer time horizons, while changes in the risk aversion parameter have a limited influence. A crucial role is played by property, which is pre- ferred to equity, while commodities have risk diversification properties exploitable only in the long run for higher funding ratio, otherwise the regulatory framework takes the form of a barrier to invest in commodities
The generalization of Sokhotski formulas on two complex variables
No full textSokhotski formulas generalization for the integral Cauchy type at the contour is obtained in the case of two complex variables for the Cartesian product of the two finite curves with a function satisfying the Lipschitz condition on the contour of integratio
Indexation Targeting for Pension Funds
No full textResearch project Vrije Universiteit of Amsterdam and ABN AMRO Pension Fund
About some new generalizations Bellman-Bihari results for integro-functional inequalities with discontinuous functions and applications
No full textSome new nonlinear Bellman-Bihari type integral inequalities with delay for discontinuous functions (integro-sum inequalities, impulse integral inequalities) are presented. Applications of the results are included: conditions of boundedness (uniformly), stability by Lyapunov (uniformly), practical stability by Chetaev (uniformly) for the solutions of impulsive differential and integro-differential systems of ordinary differential equations
A Cauchy problem for one class of nonlinear second order evolution equations
No full textExistence,uniqueness and regularity of the solution of the Cauchy problem for a class of nonlinear secnd order evolution equations are studied.The physical meaning for this problem isillustred by showing some examples involving the spaces and the operators considered
A Cauchy problem related to a second order nonlinear evolutive system
No full textThe existence and the uniqueness of solution of a Cauchy problem related to a second order nonlinear evolutive system are analyse
Strong boards, ownership concentration and EU banks' systemic risk-taking: Evidence from the financial crisis
No full textWe examine the effects of board composition and ownership on traditional measures of bank risk and proxies of bank tail and systemic risk. Both banks' corporate governance shortcomings and systemic risk-taking have been recognized among the potential causes of the 2007 financial crisis. Yet, their interaction has received less attention so far. Based on a sample of 40 European banks over the period 2006-2010, we find that the boards 'characteristics affect banks' systemic risk, except for board independence and that this relation depends on capital regulations, banking systems' ownership structures and bank activity restrictions
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