Description: This article provides key insights and data samples about various approaches to pension investing. Article from Risk and Rewards, August 2006, Issue No. 48.

Description: This article examines how the choice of the rebalancing frequency in a variable annuity hedging program impacts hedging.

Description: The article introduces a cashflow matching strategic asset allocation (SAA) framework for life insurers. Given the recent shift to higher interest rates after two decades of persistent low interest rates, insurers have an opportunity to enhance their asset liability management by rebalancing asset portfolios to narrow duration gaps and attain higher risk-adjusted yields. The framework aims to align investment objectives with economic, regulatory, and rating agency requirements. It prioritizes cashflow matching as the primary optimization goal and incorporates security-level asset information to assist portfolio managers in executing SAA seamlessly. The article highlights the benefits of the cashflow matching SAA framework, including greater attention to cashflow matching, unbiased results, readily executable strategies, and stable economic reserves. A case study is included to demonstrate the effectiveness of the framework in improving risk-adjusted return and cashflow matching for a representative liability block.

Description: This article is part of a 2 part series on real options analysis (ROA). Before you can understand the limitations of ROA, you must first understand the difference between risk and uncertainty. This article goes into detail explaining the vast differences between the two phenomena.

Description: This article discusses equity risk premium, what it is, how it should be measured, if a constant risk premium provides the best model and what are reasonable expectations for the future.

Description: This article aimed to make Liability Driven Investing LDI more accessible by providing a simple definition and by showing how plans of different sizes and circumstances may adopt an appropriate LDI approach.

Description: The investment risk taken by a pension fund comprises strategic risk and active risk. This paper discusses the relative merits of these two types of risk to the pension fund, possible rationales for the levels of strategic and active risk typically adopted mechanisms for capturing manager skill without taking on equity risk, and issues in setting liability-based benchmarks for investment managers

Description: The paper demonstrates that the most popular rationalization for evolving glide paths is flawed and should be discarded. The paper also demonstrates that glide paths should generally evolve for investors that endeavor to optimize outcomes and reevaluate their portfolios regularly.

Description: This articles offers an approach for accounting for executive stock options.

Description: Measuring Fair Value for Participation Units of Stable Value Pooled Funds