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- W2973149190 abstract "With the growing importance of defined contribution (DC) pension funds around the world, concernshave arisen over their ability to provide adequate income replacement for members and the liquidityof their invesments. The first part of this thesis focuses on the illiquidity associated with real estateinvestments. The first chapter provides a discussion of liquidity within the context of DC pensionfunds. The second empirical chapter employs the tracking error optimisation procedure in theconstruction of portfolios that include direct real estate and selected liquid, publicly traded assets. Wefind that this helps to improve the performance of these blended portfolios. In the second part of thisthesis, we look at various ways in which the real value of DC pension contributions can be preserved.The third empirical uses contemporary econometric approaches in the analysis of the dynamicrelationship between asset returns and inflation/interest rate changes. Real estate and bonds werefound to be a hedge against all the inflation/interest rates measures analysed. Some non-UK assetswere also found to be a good hedge against selected benchmarks. The fourth empirical chapter of thisPhD thesis examines the optimal allocation within portfolios designed to hedge against the variousinflation and interest rate benchmarks. When the investment objective is to strictly track thesebenchmarks, bonds and real estate dominate the portfolios. Real estate, stocks and alternative assetsreceive significant allocations within the portfolios constructed to provide maximum risk adjustedreturns relative to the minimum return benchmarks. We observe that the allocation to real estatereduced significantly following the global financial crisis period with bonds appearing to take its place.On the whole, this thesis contributes to the discussion on how best DC pension portfolios could bedesigned to comply with current investment regulations regarding liquidity and minimum returnsrequirements." @default.
- W2973149190 created "2019-09-19" @default.
- W2973149190 creator A5025106644 @default.
- W2973149190 date "2018-09-28" @default.
- W2973149190 modified "2023-09-27" @default.
- W2973149190 title "Portfolio structure, real estate investment and the performance of defined contribution pensionfunds" @default.
- W2973149190 hasPublicationYear "2018" @default.
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