Duration-enhancing overlay strategies for defined benefit pension plans

John M. Mulvey; Woo Chang Kim; Yi Ma

doi:10.1057/jam.2010.10

Duration-enhancing overlay strategies for defined benefit pension plans

John M. Mulvey, Woo Chang Kim, Yi Ma

Research output: Contribution to journal › Article › peer-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 language	English (US)
Pages (from-to)	136-162
Number of pages	27
Journal	Journal of Asset Management
Volume	11
Issue number	2-3
DOIs	https://doi.org/10.1057/jam.2010.10
State	Published - Jun 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

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10.1057/jam.2010.10

Cite this

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AB - 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.

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Duration-enhancing overlay strategies for defined benefit pension plans

Abstract

All Science Journal Classification (ASJC) codes

Keywords

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