Bertocchi / Schwartz / Ziemba Optimizing the Aging, Retirement, and Pensions Dilemma

1. Auflage 2010
ISBN: 978-0-470-58566-5
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 432 Seiten, E-Book

Reihe: Wiley Finance Editions

A straightforward guide focused on life cycle investing-namelyaging, retirement, and pensions
Life cycle investing and the implications of aging, retirement,and pensions continues to grow in importance. With people livinglonger, the relative and absolute number of retirees is growingwhile the number of workers contributing to pension funds isdeclining.
This reliable resource develops a detailed economic analysis-atthe micro (individual) and macro (economy wide) levels-whichaddresses issues regarding the economics of an aging population.Topics touched upon include retirement and the associated healthcare funding of the aged as well as social security and the assetclasses that are considered asset-liability choices over time.
* The probability of achieving adequate return patterns fromvarious investment strategies and asset classes is reviewed
* Shares rich insights on the aging, retirement, and pensionsdilemma
* An assessment of the resources the real economy will be able tocommit to non-workers is provided
The three pillars of retirement are social security, companypensions, and private savings. Each of these pillars is confrontedwith a variety of asset-liability problems, and this book willaddresses them.

Autoren/Hrsg.

Bertocchi, Marida

Schwartz, Sandra L.

Ziemba, William T.

Inhaltsverzeichnis

Acknowledgements.
Preface.
Part I: The ageing population: Issues for Retirement.
1 Issues in retirement.
2 The various costs of pensions: macro and micro.
3 The various pillars of retirement.
4 Asset classes: historical performance and risk.
5 The current economic crisis and its impact on retirement decisions.
Part II: Special Issues and Models.
6 The impact of population ageing on household portfolios and asset
Returns.
7 A continuous time approach to asset liability surplus management.
8 Should Defined Benefit Pension Schemes be Career Average or Final
Salary?
9 Applying Stochastic Programming to the U.S. Defined Benefit Pension System.
10 Mortality linked securities and derivatives.
11 Asset allocation and governance issues of government owned Pensions.
12 Retirement ALM.
Part III: Modeling the issues.
13 Learning from other models.
14 The Innovest Austrian Pension Fund Financial Planning Model.
15 An Individual ALM Model for Lifetime Asset Liability Management.
16 Implementation and Numerical Results of Individual ALM Model for Lifetime Asset Liability Management.
17 Conclusions.

Über Autor(innen)

Marida Bertocchi is Professor of Portfolio Theory,University of Bergamo. She taught numerous courses at theUniversities of Bergamo, Urbino and Milan, including basic andadvanced calculus, mathematical finance, advanced mathematicalfinance, stochastic optimization, and parallel processing.Bertocchi has been Dean of the Faculty of Economics and BusinessAdministration and is the Director of the Department ofMathematics, Statistics, Computer Science and Applications,University of Bergamo. She is the author of numerous publicationson bond portfolio management, asset allocation, quantitativefinance, and economic and financial applications.
Sandra L. Schwartz received her interdisciplinary PhDfrom the University of British Columbia in commerce, economics, andecology. She has taught business policy, business and society, andtopics in research and development and applied economics atBerkeley, UCLA, Tsukuba, UBC, and Simon Fraser. Schwartz designedprograms and courses for the Open University of BC. She is theauthor of a number of books on energy policy, Japanese managementand economy, and other topics, as well as numerous articles.
William T. Ziemba is the Alumni Professor of FinancialModeling and Stochastic Optimization (Emeritus), University ofBritish Columbia. He is a well-known academic with books, researcharticles, and talks on various investment topics and a columnistfor Wilmott magazine. Ziemba has visited and lectured at MIT,University of Chicago, Berkeley, UCLA, Cambridge, LSE, Oxford, andthe ICMA Centre. He trades through William T. Ziemba InvestmentManagement Inc. He has consulted for various financial institutionsincluding hedge funds, pension, and other investmentinstitutions.