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- W3122052014 abstract "We model the asset allocation decision of a stylised corporate defined benefit pension plan in the presence of hedgeable and unhedgeable risks. We assume that plan fiduciaries – who make the asset allocation decision – face non–linear payoffs linked to the plan's funding status because of the presence of pension insurance and a sponsoring employer who may share any shortfall or pension surplus. We find that even simple asymmetries in payoffs have large and highly persistent effects on asset allocation, while unhedgeable risks exert only a small effect. We conclude that institutional details are crucial in understanding DB pension asset allocation." @default.
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- W3122052014 date "2013-06-01" @default.
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- W3122052014 title "Optimal Portfolio Allocation for Corporate Pension Funds" @default.
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- W3122052014 doi "https://doi.org/10.1111/j.1468-036x.2010.00594.x" @default.
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