Duration-enhancing overlay strategies for defined benefit pension plans

John M. Mulvey; Woo Chang Kim; Yi Ma

doi:10.1057/9780230307230

Duration-enhancing overlay strategies for defined benefit pension plans

John M. Mulvey, Woo Chang Kim, Yi Ma

Research output: Chapter in Book/Report/Conference proceeding › Chapter

Abstract

Many large corporate and public pension trusts remain underfunded since the 2001-2002 recessionary periods. These plans are challenged by global demographic trends and the recent slowing economic conditions. We show that a special overlay strategy can improve performance and reduce risks by adding duration to the portfolio. The approach combines elements of liability-driven investing and asset liability management. Versions of the strategy are evaluated via historical data. In addition, the strategy is tested with a widely employed, forward-looking economic projection system.

Original language	English (US)
Title of host publication	Asset and Liability Management Handbook
Publisher	Palgrave Macmillan
Pages	280-307
Number of pages	28
ISBN (Electronic)	9780230307230
ISBN (Print)	9780230277793
DOIs	https://doi.org/10.1057/9780230307230
State	Published - Mar 29 2011

All Science Journal Classification (ASJC) codes

General Economics, Econometrics and Finance
General Business, Management and Accounting

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10.1057/9780230307230

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Duration-enhancing overlay strategies for defined benefit pension plans

Abstract

All Science Journal Classification (ASJC) codes

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