IDEAS home Printed from https://ideas.repec.org/a/pal/assmgt/v7y2006i2d10.1057_palgrave.jam.2240206.html
   My bibliography  Save this article

Improving investment performance for pension plans

Author

Listed:
  • John M Mulvey

    (Bendheim Center for Finance, Princeton University)

  • Koray D Simsek

    (Bendheim Center for Finance, Princeton University)

  • Zhuojuan Zhang

    (Bendheim Center for Finance, Princeton University)

Abstract

Over the past half-decade, pension plans in the US have seen their ample surpluses turn into massive deficits. Many pension trusts in early 2006 possess funding ratios below 75 per cent. This paper suggests that multi-period investment models can increase performance for long-term investors including pension plans, family offices and university endowments. The framework improves the investor's understanding of risks and rewards in a temporal setting. Contribution and saving strategies can be integrated with asset allocation decisions to enhance the sponsoring company's shareholder value via the pension trust. Applying an overlay strategy further improves performance. Advantages are illustrated via several examples, including the slow-growing telecommunication sector and the under-funded pension plan of a car company.

Suggested Citation

  • John M Mulvey & Koray D Simsek & Zhuojuan Zhang, 2006. "Improving investment performance for pension plans," Journal of Asset Management, Palgrave Macmillan, vol. 7(2), pages 93-108, July.
    • Handle: RePEc:pal:assmgt:v:7:y:2006:i:2:d:10.1057_palgrave.jam.2240206
    DOI: 10.1057/palgrave.jam.2240206
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1057/palgrave.jam.2240206
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1057/palgrave.jam.2240206?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Woong Bee Choi & Dongyeol Lee & Woo Chang Kim, 2021. "Extending the Scope of ALM to Social Investment: Investing in Population Growth to Enhance Sustainability of the Korean National Pension Service," Sustainability, MDPI, vol. 13(1), pages 1-14, January.
    2. Sebastiano Vitali & Vittorio Moriggia & Miloš Kopa, 2017. "Optimal pension fund composition for an Italian private pension plan sponsor," Computational Management Science, Springer, vol. 14(1), pages 135-160, January.
    3. Sebastiano Vitali & Vittorio Moriggia, 2021. "Pension fund management with investment certificates and stochastic dominance," Annals of Operations Research, Springer, vol. 299(1), pages 273-292, April.
    4. Moriggia, Vittorio & Kopa, Miloš & Vitali, Sebastiano, 2019. "Pension fund management with hedging derivatives, stochastic dominance and nodal contamination," Omega, Elsevier, vol. 87(C), pages 127-141.
    5. John M Mulvey & Woo Chang Kim & Yi Ma, 2010. "Duration-enhancing overlay strategies for defined benefit pension plans," Journal of Asset Management, Palgrave Macmillan, vol. 11(2), pages 136-162, June.
    6. Jem Tugwell, 2011. "Skill or luck? The role of strategies and scenario analysis as a competitive differentiator for fund management firms," Journal of Asset Management, Palgrave Macmillan, vol. 12(4), pages 281-291, September.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pal:assmgt:v:7:y:2006:i:2:d:10.1057_palgrave.jam.2240206. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.palgrave-journals.com/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.