Strategic Asset Allocation Considerations for German Pension Insurance Funds
Theoretical Analysis and Empirical Evidence
Buch in deiner Nähe kaufen
Beschreibung
Strategic asset management considerations for German Pension Insurance Funds
Our research project analyses the suitability of social responsible investments (SRI) and alternative asset classes (in particular commodities, hedge fund in-vestments, high-yield bonds) for the portfolio management of German Pension Insurance Funds (Pensionskassen), the largest external occupational pension scheme in Germany. The research objective is to determine optimal portfolio allocations for varying asset classes and investment strategies. The empirical methodology applied in our analysis will consist of stochastic time series simula-tions in combination with dynamic, multi-period asset allocation strategies. To our knowledge, our research proposal is to date the first of its kind and will pro-vide valuable results to the academic research community as well as represent a useful reference for finance practitioners.
Autor*in
Christian Hertrich
Christian Hertrich has been a doctoral student as well as research assistant at the Department of Corporate Finance of the University of Stuttgart (Germany) since October 2010. In summer of 2010, he obtained a master’s degree in finance from the University of Cambridge (UK) and completed in 2003 his undergraduate studies with a double-degree in international business administration at ESB Business School Reutlingen (Germany) and Comillas Pontifical University Madrid (ICAI-ICADE) (Spain). After his undergraduate education, he spent several years at Goldman Sachs in London working in various areas of the Investment Banking Division. He resigned from his job in summer of 2009 to pursue further academic studies.
Themen in »Strategic Asset Allocation Considerations for German Pension Insurance Funds«
Pensionskasse Pension Insurance Fund Germany Social Responsible Investment SRI alternative asset class ocupational pension scheme stochastic time series dynamic asset allocation