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- W2413309740 abstract "In this paper, we first discuss the background of pension crisis, demographic risk and several market risks of pension funds. We build a liability actuarial model to track the evolution of defined-benefit pension liability and the change of its present value. We construct a dynamic duration-matching strategy with proper futures contracts. We consider both the term structure change of interest rate and the credit spread between Treasury bonds and corporate bonds and find out that the combination of corporate bond and ultra long-term Treasury futures is the best strategy hedging these risks by back-test. Based on futures duration-matching strategy, we back test a different asset allocation, which consists of stock, Treasury bonds and corporate bonds. We also construct statistical indicators to identify the optimal portfolio. The results show that corporate bonds should be assigned a heavier weight within asset portfolio, and more weight should be assigned to stocks in the under-funded scenario." @default.
- W2413309740 created "2016-06-24" @default.
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- W2413309740 date "2015-01-01" @default.
- W2413309740 modified "2023-09-25" @default.
- W2413309740 title "Liability Driven Investment: A Dynamic Hedging Strategy Against Multiple Risk Exposures of Pension Funds" @default.
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