Duration-enhancing overlay strategies for defined benefit pension plans

John Michael Mulvey, Woo Chang Kim, Yi Ma

Research output: Contribution to journalArticlepeer-review

2 Scopus citations

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 languageEnglish (US)
Pages (from-to)136-162
Number of pages27
JournalJournal of Asset Management
Volume11
Issue number2-3
DOIs
StatePublished - Jun 1 2010

All Science Journal Classification (ASJC) codes

  • Business and International Management
  • Strategy and Management
  • Information Systems and Management

Keywords

  • asset liability management
  • financial optimization
  • pension plan investments

Fingerprint Dive into the research topics of 'Duration-enhancing overlay strategies for defined benefit pension plans'. Together they form a unique fingerprint.

Cite this