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Dissertations / Theses on the topic 'Pension assets'

Author: Grafiati

Published: 28 May 2022

Last updated: 30 July 2025

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1

Rodrigues, Marco Antônio. "Pension funds asset allocation : an international analysis." Master's thesis, Instituto Superior de Economia e Gestão, 2019. http://hdl.handle.net/10400.5/19359.

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Mestrado em Economia Monetária e Financeira<br>Esta dissertação sugere novas ideias na questão essencial sobre alocação de ativos de fundos de pensão e sua consistência com as premissas fundamentais da teoria econômica. A pesquisa consiste em uma confirmação empírica através de cálculos de regressão linear, em que a taxa de retorno do investimento foi estabelecida como variável central e dependente das variáveis indicativas de alocação de ativos em ações e alocação de ativos em títulos, utilizando dados de dez anos, especificamente para o período de 2008 a 2017 e, posteriormente, recalculando

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2

Du, Ruixue. "Intangible Assets Valuation in the Hospitality Industry." Diss., Virginia Tech, 2013. http://hdl.handle.net/10919/50577.

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Market value of firms and book value of firms are rarely the same. The difference, which is attributed to unrecorded or unrecognized intangible assets, has increased significantly since the 1970s. The issue of appropriately valuing these intangible assets, however, still remains unresolved. The purpose of this study is to address this lack of understanding of valuing intangible assets in the hospitality industry. Five intangible asset investments: Research and Development, Training, Advertising, Labor, Pension, and one business model, Franchising, are chosen as the valuation constructs in this

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3

Dias, Lucas Nunes de Senna. "Brazilian pension funds indexed to inflation : a VAR analysis." Master's thesis, Instituto Superior de Economia e Gestão, 2017. http://hdl.handle.net/10400.5/14472.

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Mestrado em Actuarial Science<br>Durante a década de 90 as companhias de seguro no Brasil promoveram ativamente a venda do plano de Benefício Definido, oferecendo aos participantes uma anuidade vitalícia, com rentabilidade mínima de 6% ao ano, adicionada da variação da inflação, medida pelo índice IGP-M (Índice Geral de Preço de Mercado). Após controlar a grave crise econômica que o Brasil vivia, tornou-se um desafio para as seguradoras obter retornos maiores que os passivos assumidos com a garantia mínima de 6% ao ano acima da inflação medida pelo índice IGP-M. O investimento dos ativos no

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4

SILVA, RAPHAEL BRAGA DA. "EFFECT ON THE BRAZILIAN PENSION FUNDS PERFORMANCE FOR INVESTING IN INTERNATIONAL ASSETS AND LONG-SHORT FUNDS." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2008. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=12229@1.

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PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO<br>O presente trabalho realizou uma análise dos efeitos provocados pela inclusão da classe de ativos denominada multimercado, na carteira dos Fundos de Pensão no Brasil. Esta denominação, multimercado, é fornecida pela Resolução CMN 3.456 de 1º de junho de 2007 que permitiu um limite de aplicação de até 3% nestes ativos. Face ao grande leque de possibilidades disponíveis com a permissão para aplicação nesta categoria de multimercados, optou-se neste trabalho por avaliar especificamente o impacto da aplicação em ativos no exterior e em fundos l

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5

Новікова, І. В. "Механізм управління ефективністю корпоративних пенсійних програм". Thesis, Науково-дослідний фінансовий ін-т при Міністерстві фінансів України, 2007. http://essuir.sumdu.edu.ua/handle/123456789/51565.

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Дисертація присвячена розвитку теоретичних і методологічних положень щодо засад функціонування корпоративної пенсійної програми та механізму управління її ефективністю. У роботі досліджено впровадження та функціонування корпоративних пенсійних програми; зосереджено увагу на аналізі механізму управління ефективністю корпоративних пенсійних програм, економіко-організаційних умовах їхнього формування, інфраструктурному та законодавчому забезпеченні управління корпоративними пенсійними програмами. Вперше розроблено та апробовано модель створення та функціонування компанії з адміністрування недерж

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6

Serlenga, Lorenzo. "Effects of transfers on liabilities of pension schemes." Master's thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/20994.

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Mestrado em Actuarial Science<br>Nos últimos anos, as regras de adesão aos planos de pensões no Reino Unido tornaram-se mais flexíveis e a maioria dos membros passou a ter a possibilidade de mudar de um plano para outro, de acordo com as suas necessidades pessoais e financeiras. Isto significa que um dado membro, se assim o desejar, pode transferir o valor acumulado das contribuições feitas em seu favor para um outro fundo. A opção de transferir é justificada sobretudo pelo facto de os planos CD serem mais flexíveis na forma como os benefícios são recebidos e, às vezes, permitirem um maior co

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Sharma, Rajiv. "The role of private institutional investors for the development of urban infrastructure assets." Thesis, University of Oxford, 2012. http://ora.ox.ac.uk/objects/uuid:44544f07-6bc1-4ab9-ad52-6a02b540ec81.

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The topic of infrastructure investment has emerged as a critical public policy issue over the last thirty years as governments grapple with an infrastructure deficit that has become one of the great global challenges of our time. Through the simultaneous processes of neo-liberalisation and globalisation, the urban infrastructure landscape has emerged as an attractive investment area for large financial institutions. With the recent Global Financial Crisis further exacerbating both the funding and growth lifting needs of nations, the urgency of linking institutional investors with urban infrast

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8

Baghdassarian, William. "Strategic assets and liabilities allocations : optimal allocations for sovereign debts and closed defined-benefits pension funds in the presence of longevity risk." Thesis, University of Reading, 2011. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.553004.

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In many ways, public debt and pension fund managers share the same allocation problem: How to allocate optimally their assets and liabilities, assuming long-term uncertainties, complex business rules, and risk aversion. In that context, this thesis presents four studies, three from the point of view of public debt managers, and one from the point of view of closed defined benefits (DB) pension fund sponsors. We test the sensitivity of the optimal allocation to unexpected changes in life expectancy, to alternative macroeconomic environments, and to different aspects of pension funds regulation.

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Fragoso, Bruno Monteiro. "O Investimento Imobiliário nas Carteiras de Activos dos Fundos de Pensões e das Seguradoras em Portugal." Master's thesis, Instituto Superior de Economia e Gestão, 2011. http://hdl.handle.net/10400.5/3164.

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Mestrado em Gestão e Avaliação Imobiliária<br>Este trabalho surgiu no sentido de tentar procurar uma resposta para a seguinte dúvida: se o imobiliário apresenta rentabilidades mais atractivas para horizontes de investimento de longo prazo, porque apresenta percentagens reduzidas no total das carteiras de activos dos investidores institucionais? Neste sentido, este trabalho terá como finalidade a caraterização do investimento imobiliário nas carteiras de activos dos fundos de pensões e das empresas seguradoras, em Portugal. As principais fontes de informação utilizadas, neste trabalho, foram os

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Kotěšovcová, Jana. "Analýza výkonnosti a kredibility tuzemských penzijních fondů." Doctoral thesis, Vysoká škola ekonomická v Praze, 2008. http://www.nusl.cz/ntk/nusl-163016.

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This dissertation work focuses on evaluation of the performance and credibility of domestic pension funds. It includes information about pension systems in six selected countries in the world, specifically Chile, Hungary, Switzerland, Poland, Sweden and Slovakia, and culminates with a proposal for pension reform in the Czech Republic. The evaluation of the performance of pension funds is based on experience with measuring performance in twenty-three countries of the world processed for the OECD and cites original basis materials for proposals for the regulation of pension funds in the Czech Re

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Ярошенко, Олена Василівна, Елена Васильевна Ярошенко та Olena Vasylivna Yaroshenko. "Механізм залучення і використання фінансових ресурсів недержавних пенсійних фондів". Thesis, Українська академія банківської справи Національного банку України, 2011. http://essuir.sumdu.edu.ua/handle/123456789/51419.

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Дисертаційна робота присвячена розвитку теоретичної бази та методоло-гічних положень функціонування недержавних пенсійних фондів та механізму залучення і використання їх фінансових ресурсів. У роботі узагальнено теоре-тико-методологічні основи управління процесом формування і використання фінансових ресурсів недержавних пенсійних фондів, визначено концептуальні основи їх залучення та формалізовано теоретичні засади структурно-логічної побудови комплексної системи управління активами і пасивами НПФ. Автором вперше було розподілено приріст активів НПФ на кількісний

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12

Oluyeju, Sarah Oreoluwa. "Putting the accrued pension fund assets under management to work in Nigeria : the need for the review of regulatory-induced investment limits to promote equity market growth and development." Diss., University of Pretoria, 2017. http://hdl.handle.net/2263/64633.

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The Nigerian stock market has been underperforming in recent years partly due to the bias of the investors towards the issuance of bonds and other debt instruments by governments and corporate organisations. And over the years, Nigeria’s pension funds’ assets under management has grown massively into a potential investment capital capable of closing investment gap in the Nigerian stock market to deepen the market in terms of the depth and liquidity and promote the economic development of the nation. However, this is being curtailed by the extremely low investment limit of pension fund assets i

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Menezes, Bryan. "Servitized industrial machinery as a new real asset for institutional investors." Thesis, KTH, Skolan för industriell teknik och management (ITM), 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-300401.

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The increased penetration of servitization is an ongoing trend within the industrial machinery space. This typically means that industrial machinery manufactures themselves retain ownership of the machinery they manufacture whilst also taking over maintenance operations. Essentially, offering customers a netresult. Servitization has several documented benefits for both customers and manufactures. Forcustomers it offers certainty in terms of operationality and costs. Whilst for manufacturers it generates stability in revenue generation and increasingly ties customers closer to their orbit. On a

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Gabriel, Liane Costa. "Pension funds : asset liability management." Master's thesis, Instituto Superior de Economia e Gestão, 2018. http://hdl.handle.net/10400.5/16385.

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Mestrado em Finanças<br>O nível de financiamento e o risco de insolvência dos fundos de pensão são temas cada vez mais relevantes devido às dificuldades sentidas nos últimos anos resultantes das mudanças demográficas, como o envelhecimento da população e o aumento da longevidade, e da crise financeira de 2008, a Grande Recessão. Uma forma de otimizar os ativos e os passivos e ao mesmo tempo gerir os riscos de um fundo é usando modelos de gestão de ativos-passivos. A escolha do modelo de otimização deve ter em conta as características específicas e o objetivo risco-retorno do fundo. Esta tese é

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Kurtbegu, Enareta. "Asset-Liability Management in Pension Financing." Thesis, Université Paris-Saclay (ComUE), 2015. http://www.theses.fr/2015SACLE005.

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Malgré les évolutions significatives des systèmes de retraite, notamment le passage de systèmes par répartition à des systèmes par capitalisation, plusieurs problèmes subsistent. La structure démographique est un des principaux facteurs de risque systémique, menaçant l’équilibre des caisses de retraite et favorisant l’instabilité et les moindres performances économiques. Dans cette thèse, nous mobilisons l’analyse empirique et théorique afin d’apporter une réponse en termes de stratégie d’investissement à ce problème. Nous synthétisons tout d’abord les éléments de littérature existants et mett

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Carvalho, Tiago Lima de. "Asset-liability management in pension funds." Master's thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/21054.

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Mestrado em Mathematical Finance<br>Os fundos de pensão têm uma participação representativa nos mercados financeiros, seja considerando o capital investido ou o perfil de escolha de ativos. Nos planos de pensão de benefício definido, o foco é assegurar cobrir os passivos com os ativos existentes. A gestão de ativos e passivos (em inglês ALM) é o conjunto de métodos e ferramentas projetadas com a finalidade de orientar como os fundos devem investir seus ativos a fim de que, em determinada data, seja possível pagar seus passivos. Este conceito é amplamente utilizado em empresas seguradoras e fu

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Shetty, Shekar T. "The Information Content of Pension Fund Asset Reversion." Thesis, University of North Texas, 1992. https://digital.library.unt.edu/ark:/67531/metadc279197/.

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Prior studies on the impact of the termination of overfunded defined benefit pension plans on shareholders' wealth have produced conflicting findings. The first study on the stock market reaction to pension plan termination was conducted by Alderson and Chen (1986); this study claimed that shareholders realize significant positive abnormal returns around the termination announcement date. A more recent study, by Moore and Pruitt (1990), disclaimed the findings of Alderson and Chen. Reexamination of these two studies with additional evidence and the use of the appropriate announcement date sugg

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Mwakisisile, Andongwisye John. "Asset Liability Management for Tanzania Pension Funds." Licentiate thesis, Linköpings universitet, Optimeringslära, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-147853.

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This thesis presents a long-term asset liability management for Tanzania pension funds. As an application, the largest pension fund in Tanzania is considered. This is a pay-as-you-go pension fund where the contributions are used to pay current beneﬁts. The Pension plan analyzed is a final salary deﬁned beneﬁt. Two kinds of pension beneﬁt are considered, a commuted (at retirement) and a monthly (old age) pension. A decision factor in the analysis is the increased life expectancy of the members of the pension fund. The presentation is divided into two parts. First is a long-term projection of th

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Kubů, Filip. "Analýza výnosností dlouhodobých investic (analýza výnosnosti aktiv pro penzijní fondy)." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-17079.

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The aim of this thesis is to compare long term investments, in particular, shares, bonds and bills. Based on the analysis of historical returns in 16 countries in the 20th century. The assets are compared and considered viable for long term investment based on few criteria. The saved amount is calculated by saving one third of current Social Security for 40 years for each asset class based on historical returns. The pension is calculated in two ways. Pension, especially the lowest ones, for each country is compared with the current pension in the Czech Republic.

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Rosa, Maria Dora de Jesus Duarte da. "A avaliação actuarial na óptica das comissões de acompanhamento dos planos de pensões." Master's thesis, Instituto Superior de Economia e Gestão, 2011. http://hdl.handle.net/10400.5/3777.

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Mestrado em Ciências Actuariais<br>This report describes the six-month internship conducted at the Sociedade Gestora de Fundos de Pensões under the guidance of Fatima Pires de Lima, MD and is divided into three parts: the selection of concepts and other theoretical tools; The evaluation of an actuarially defined benefit pension plan managed by the company where the internship took place, that also allows the validation of programs and assumptions used by the responsible actuary; The creation of a support manual, which will be useful not only to the company where the internship took place, but

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Turner, Elizabeth H. "The Market Value Implications of Pension Asset Allocation." FIU Digital Commons, 2013. http://digitalcommons.fiu.edu/etd/944.

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Pension funds have been part of the private sector since the 1850’s. Defined Benefit pension plans [DB], where a company promises to make regular contributions to investment accounts held for participating employees in order to pay a promised lifelong annuity, are significant capital markets participants, amounting to 2.3 trillion dollars in 2010 (Federal Reserve Board, 2013). In 2006, Statement of Financial Accounting Standards No.158 (SFAS 158), Employers’ Accounting for Defined Benefit Pension and Other Postemployment Plans, shifted information concerning funding status and pension asset/li

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Vu, Tuan Hung. "Essays on the economic consequences of international pension accounting standard IAS19." Thesis, University of Exeter, 2017. http://hdl.handle.net/10871/30568.

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This thesis examines the economic consequences of the adoption of international pension accounting standard IAS19 Revised (IAS19R) on pension asset allocation decisions by applying a difference-in-differences with propensity score matching method. The publication of IAS19R in 2011 marked a fundamental change to pension reporting in financial statements. In particular, it had a significant impact on (1) how sponsor firms recognise net pension assets/liabilities on the balance sheet, (2) the calculation and recognition of pension expenses, (3) the presentation of re-measurement (actuarial gains

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Brandt, Lily. "The macroeconomic impact of asset restrictions on pension funds." Thesis, Stellenbosch : Stellenbosch University, 2012. http://hdl.handle.net/10019.1/21381.

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Thesis (MBA)--Stellenbosch University, 2012.<br>Asset restrictions are prudential regulations applied by regulators around the globe. In essence, they prescribe asset restrictions as a risk-control measure to establish appropriate capital requirements for regulated institutions. The aim of prudential regulations and standards is to protect consumers who acquire the products and services offered by these institutions. Pension funds in Namibia must comply with Regulation 28 of the Pension Funds Act, 1956. Regulation 28 is the prudential regulation that governs investment limits for pension

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Mashruwala, Shamin D. "The impact of accounting smoothing on asset allocation in corporate pension plans : evidence from the U.K. /." Thesis, Connect to this title online; UW restricted, 2007. http://hdl.handle.net/1773/8835.

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Wright, Ian Douglas. "A stochastic approach to pension scheme funding and asset allocation." Thesis, Heriot-Watt University, 1997. http://hdl.handle.net/10399/1282.

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Gavranovic, Nedim. "Optimal asset allocation and annuitisation in a defined contribution pension scheme." Thesis, City University London, 2011. http://openaccess.city.ac.uk/1076/.

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In this thesis, we investigate a pensioner’s gains from access to annuities. We observe a pensioner aged 65, having constant income from social security, having certain amount of pension wealth at age 65. The pensioner optimally decides each year how much of his available assets to consume, to invest into tradable assets, and how much to convert to annuities. Annuities are irreversible investments, once bought they provide income in the later years, but it is not possible to trade annuities any more. The pensioner makes optimal decisions such that the expected discounted utility from future co

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Sibanda, Welcome. "Modelling pension fund asset allocation in the UK : an empirical analysis." Thesis, City University London, 2004. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.407538.

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Lemoine, Killian. "Essays on strategic asset allocation and risk management of pension funds." Thesis, Paris 9, 2013. http://www.theses.fr/2013PA090063.

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Depuis une dizaine d'années, une part croissante de fonds de pension rencontrent des difficultés financières. Cette détérioration a soulevé des questions sur la gestion de ces institutions et sur l'efficacité du cadre réglementaires. Cette thèse a pour objet d'analyser les comportements financiers et la gestion des risques opérés par les fonds de pension à prestation définies et les institutions assimilées. En premier lieu, nous relions les choix d'investissement à la question du contrôle managériale. Notre analyse suggère que la bonne gestion des fonds de pension nécessite un partage optimal

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Myers, David Hobson. "Persistence in pension account returns : the impact of survivorship and reaction of asset flows /." Thesis, Connect to this title online; UW restricted, 2001. http://hdl.handle.net/1773/8783.

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DUARTE, THIAGO BARATA. "TACTICAL ASSET ALLOCATION FOR OPEN PENSION FUNDS USING MULTI-STAGE STOCHASTIC PROGRAMMING." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2015. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=26820@1.

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PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO<br>COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR<br>PROGRAMA DE EXCELENCIA ACADEMICA<br>Uma importante questão que se coloca para entidades abertas de previdência complementar e sociedades seguradoras que operam previdência complementar é a definição de uma gestão dos ativos e passivos (do inglês ALM – Asset and Liability Management). Tal questão se torna mais relevante em um cenário de alta competitividade, margens operacionais decrescentes, garantias mínimas de rentabilidade para um passivo estocástico de longo prazo e um perí

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RAPOSO, GUSTAVO SANTOS. "RISK ANALYSIS AND ASSET ALLOCATION FOR PENSION FUNDS CONSIDERING FIXED INCOME INVESTMENTS." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2001. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=1744@1.

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COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR<br>O presente trabalho mostra a utilização da metodologia value at risk para a mensuração do risco de mercado, quando dos investimentos em renda fixa (aplicação em cotas de fundos de investimentos), por parte dos Fundos de Pensão, bem como a aplicação de métodos de otimização para a alocação de ativos. Na primeira parte, são apresentadas as diversas metodologias de mensuração de risco de mercado (VaR), dentre as quais destacam-se a modelagem paramétrica, a simulação de Monte Carlo e a simulação histórica, esta última adotada

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Wang, Ke. "Long-term investment and asset allocation strategies in defined contribution pension plans." Thesis, University of Exeter, 2012. http://hdl.handle.net/10871/10504.

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As the most influential factor driving investment performance, asset allocation has received a considerable amount of attention from researchers since the introduction of the mean variance framework by Markowitz; however, as far as is known, there has been little agreement on asset allocation for multi-period long-term investors. Therefore, this doctoral research investigates the performance of long-term investment over major asset classes and explores some issues in terms of asset allocation for individual retirement plan participants from an international prospective. The first essay investi

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HOSSEINZADEH, Mohammad Mehdi. "Optimal Asset-Liability Management for Defned Beneft Pension Fund Under Stochastic Correlation." Doctoral thesis, Università degli studi di Bergamo, 2017. http://hdl.handle.net/10446/89513.

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We consider a second pillar pension fund problem relying on a multi-stage stochastic asset-liability management (ALM) model which is specified with an asset universe including money-market, fixed-income, inflation-linked bond as well as equity and commodity. The current value of liability is determined under the assumptions of constant pension fund future pension payments and their current market value (current fund obligation) under assumption of constant pension fund population by discounting all future pension payments. Pension payments are random and determined by the evolution of the popu

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CANNAS, GIUSEPPINA. "A quantitative model for the asset liability management of a Pension Fund." Doctoral thesis, Università degli Studi di Cagliari, 2011. http://hdl.handle.net/11584/265933.

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The key objective of pension plans is the delivery of retirement benefits, typically payable for life or a set period of time, to the specified group of recipients. The management of such funds entails therefore a constant monitoring of the risks exposure and a regular rebalancing of assets. This thesis is directly related to these topics and proposes a quantitative method (mainly based on stochastic optimal control theory) to determine the optimal investment policy of a pension fund’s wealth, under financial and actuarial risks. The thesis unfolds as follows: Chapter 1 includes a basic intr

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Dondi, Gabriel Arnon. "Models and dynamic optimisation for the asset and liability management of pension funds." Zürich : Measurement and Control Laboratory, ETH Zentrum ML, 2005. http://e-collection.ethbib.ethz.ch/show?type=diss&nr=16257&part=abstracts.

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Franzen, Dorothee. "The impact of regulation on the asset investment of defined benefit pension funds." Thesis, University of Oxford, 2013. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.605159.

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Pension funds are important institutions providing retirement income in our ageing societies and influential investors on international capital markets. Investment is a core function at pension funds; the investment return is an important tool in providing adequate pension benefits at sustainable costs. Risk taking is a necessary ingredient in pension provision, which is shaped through the intersecting forces of theory, market and regulation. This century's financial crises deeply unsettled the pension fund universe. When the benign environment of the 19905 ended, DB pension funds found themse

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Koegelenberg, Frederik Johannes. "Optimal asset allocation for South African pension funds under the revised Regulation 28." Thesis, Stellenbosch : Stellenbosch University, 2012. http://hdl.handle.net/10019.1/20232.

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Thesis (MComm)--Stellenbosch University, 2012.<br>ENGLISH ABSTRACT: On 1 July 2011 the revised version of Regulation 28, which governs the South African pension fund industry with regard to investments, took effect. The new version allows for pension funds to invest up to 25 percent compared to 20 percent, in the previous version, of its total investment in foreign assets. The aim of this study is to determine whether it would be optimal for a South African pension fund to invest the full 25 percent of its portfolio in foreign assets. Seven different optimization models are evaluated in

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Nitti, Alessandro. "The Italian Asset Management market from an Asset Servicer’s perspective." Thesis, KTH, Fastigheter och byggande, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-195837.

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The asset management industry constitutes a vital part of the economy thanks to its financing role. The sector has profoundly changed since its establishment and, nowadays, changes in organization, investors’ behaviour and regulatory framework are deeply reshaping the industry. In this context, also the Italian market, which has traditionally been characterised by some distinguishing features, is being influenced by a series of modifications at both European and national level. The purpose of this paper is to analyse the Italian Asset Management industry’s structure and organisation, understan

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Roncha, Ana Teresa Gouveia. "Asset allocation in occupational defined contribution and defined benefit pension plans : an empirical analysis." Master's thesis, Instituto Superior de Economia e Gestão, 2018. http://hdl.handle.net/10400.5/16461.

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Mestrado em Finanças<br>Existem vários estudos relacionados com a carteira de investimento dos fundos de pensões, definidos como os patrimónios constituídos com as contribuições para os planos com o objetivo de financiar os benefícios de pensões, e quais as suas implicações no retorno futuro. A alocação de ativos é contingente às características dos fundos e também ao ambiente económico de cada país onde os planos se estabelecem, tal como as regulamentações, as políticas de impostos, legislação e também características demográficas, como por exemplo a esperança média de vida. Os estudos empí

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Soares, Mariana Flor Eiras. "UK pension funds : fund portfolio performance analysis." Master's thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/20707.

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Mestrado em Mathematical Finance<br>No UK, indivíduos recebem uma pensão após a reforma, ou se falecer sua/seu esposa/o. Esta pode ser oferecida pelo estado, mas um dos casos mais comuns é; as pessoas recebem-na do seu fundo de pensão ocupacional (derivado do seu caminho de trabalho). Este tipo de pensão é fornecido pelo empregador e acumula benefícios que irão gerar o salário do empregado após a reforma. Para financiar as pensões, os empregadores devem criar um portfólio de investimento, que inclui diversos fundos e classes de ativos (alguns que pretendem gerar maiores retornos, assumindo mai

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Bocchialini, Elisa <1980&gt. "Le scelte di investimento dei fondi pensioni italiani: un’analisi degli asset immobiliari." Doctoral thesis, Alma Mater Studiorum - Università di Bologna, 2008. http://amsdottorato.unibo.it/974/1/Tesi_Bocchialini_Elisa.pdf.

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Il lavoro persegue l’obiettivo generale di indagare sulle scelte di investimento dei fondi pensione italiani. Per giungere al suddetto obiettivo il lavoro si articola in quattro capitoli principali corredati da premessa e conclusioni. Il primo capitolo si preoccupa di analizzare in quale modo le scelte operate dal legislatore italiano abbiano influenzato e influenzino le politiche di investimento dei fondi pensione. E’ indubbio, infatti, che l’intervento del legislatore abbia un forte ascendente sull’operatività dei fondi e possa limitarne o, viceversa, agevolarne l’attività. Alla luce

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Bocchialini, Elisa <1980&gt. "Le scelte di investimento dei fondi pensioni italiani: un’analisi degli asset immobiliari." Doctoral thesis, Alma Mater Studiorum - Università di Bologna, 2008. http://amsdottorato.unibo.it/974/.

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Il lavoro persegue l’obiettivo generale di indagare sulle scelte di investimento dei fondi pensione italiani. Per giungere al suddetto obiettivo il lavoro si articola in quattro capitoli principali corredati da premessa e conclusioni. Il primo capitolo si preoccupa di analizzare in quale modo le scelte operate dal legislatore italiano abbiano influenzato e influenzino le politiche di investimento dei fondi pensione. E’ indubbio, infatti, che l’intervento del legislatore abbia un forte ascendente sull’operatività dei fondi e possa limitarne o, viceversa, agevolarne l’attività. Alla luce

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Schmidt, Lubomir. "Optimal life-cycle consumption and asset allocation with applications to pension finance and public economics." Thesis, Imperial College London, 2006. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.436135.

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Figueiredo, Danilo Zucolli. "Tomada de decisão de investimento em um fundo de pensão com plano de benefícios do tipo benefício definido: uma abordagem via programação estocástica multiestágio linear." Universidade de São Paulo, 2011. http://www.teses.usp.br/teses/disponiveis/3/3139/tde-09122011-103516/.

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Este trabalho apresenta uma abordagem via programação estocástica linear para a tomada de decisão de investimento em um fundo de pensão com plano de benefícios do tipo benefício definido. Propõe-se uma nova metodologia para a definição da alocação da carteira do fundo no instante inicial baseada na média de vários cenários econômicos gerados aleatoriamente. Como exemplo de aplicação, essa metodologia é utilizada para resolver o problema da alocação inicial da carteira de um grande fundo de pensão brasileiro e a alocação inicial obtida é avaliada em termos da probabilidade de insolvência e VaR

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Pereira, Maria Leonor Vidal de Beça. "Gestão de carteira de activos de fundos de pensões." Master's thesis, Instituto Superior de Economia e Gestão, 2012. http://hdl.handle.net/10400.5/10474.

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Mestrado em Finanças<br>O sistema de pensões português passa por algumas dificuldades relativamente à sua sustentabilidade. Este facto levou a que em 2007 fossem levadas a cabo uma série de alterações na legislação, com a aprovação do Decreto-Lei n.º 187/2007 de 10 de Maio. Uma das principais alterações é a que introduz um factor de sustentabilidade no cálculo das pensões, de forma a garantir que os pagamentos das pensões não sejam afectados. É neste contexto, de alguma incerteza, que o recurso a Fundos de Pensões (FP) privados surge. O presente relatório diz respeito a um estágio realizado n

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Corrêa, Raphael Baseggio. "Modelo de simulação de governança de passivo atuarial de um fundo de pensão brasileiro." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2018. http://hdl.handle.net/10183/180828.

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Este trabalho propõe um modelo para a simulação do passivo atuarial de um fundo de pensão brasileiro. As principais fontes de incertezas que influenciam a avaliação do passivo atuarial foram especificadas como variáveis aleatórias e parâmetros do modelo. Diversos cenários são gerados utilizando a técnica de simulação de Monte Carlo e a microssimulação no intuito de determinar o status de cada participante do fundo de pensão modelo para períodos futuros em diferentes nós de uma árvore de cenários. A situação de vida de cada participante, simulada individualmente a cada nó, está condicionada ao

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Ivanovski, Marjan. "Asset bubbles in underdeveloped financial markets with influential DC pension funds : evidence from the Croatian financial market." Thesis, Staffordshire University, 2015. http://eprints.staffs.ac.uk/2385/.

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In the mid-1990s, the World Bank promoted a major reform of the pension systems in developing and transition economies; namely, the introduction of mandatory defined contribution pension schemes. Yet this was not accompanied by thorough analysis of the potentially speculative valuation side effects of influential institutional investors being introduced into underdeveloped financial markets. In this Dissertation we developed a theoretical Overlapping Generations Model (OLG) with rational asset bubbles and influential institutional Defined Contribution (DC) pension funds. We report empirical ev

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Kayal, Jean-Pierre, and Martin Norberg. "ASSET-LIABILITY MANAGEMENT FROM THE PERSPECTIVE OF A PENSION FOUNDATION : SIMULATION AND EVALUATION OF INVESTMENT- AND PORTFOLIO SELECTION STRATEGIES." Thesis, Umeå universitet, Institutionen för matematik och matematisk statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-171982.

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Asset Liability Management is a current topic where accountability of asset management is of high importance. This is a result of continuously increasing investments in the stock market globally. The globalisation exposes a big part of the different markets to the same types of risk. This makes it harder to secure capital and assets through diversified investments. Further it has led to a more complex and resource demanding investment basis. The uncertainty of the future brings the focus of fund management to optimising and minimising risks, rather than trying to predict individual movements o

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Castilho, Édner Bitencourt. "Aspectos a serem considerados na alocação de ativos para investidores de longo prazo." reponame:Repositório Institucional do FGV, 2006. http://hdl.handle.net/10438/2076.

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Made available in DSpace on 2010-04-20T21:00:31Z (GMT). No. of bitstreams: 3 ednercastilhoturma2003.pdf.jpg: 18000 bytes, checksum: 08e4d39e1d7f9af8a11215ebdbc5ada1 (MD5) ednercastilhoturma2003.pdf.txt: 218811 bytes, checksum: 458287d8a06993bb0d26d35765903dfd (MD5) ednercastilhoturma2003.pdf: 1132119 bytes, checksum: 43912b9f9211698f436925d54ab0f498 (MD5) Previous issue date: 2006-01-11T00:00:00Z<br>One searches in this work to discuss some important aspects of the portfolio choice of longterm investors. Those important aspects, chosen on the basis of theoretical instruments, are illustr

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Neves, Neto Pedro da Costa. "Demanda por proteção intertemporal e alocação estratégica de ativos no Brasil e EUA." reponame:Repositório Institucional do FGV, 2012. http://hdl.handle.net/10438/9981.

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Submitted by Pedro da Costa Neves Neto (pedrocnn@gmail.com) on 2012-09-04T03:40:26Z No. of bitstreams: 1 Dissertacao_PCNN_final.pdf: 2144117 bytes, checksum: 6985af49978cc36281a6038742aa9c6f (MD5)<br>Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2012-09-04T12:47:22Z (GMT) No. of bitstreams: 1 Dissertacao_PCNN_final.pdf: 2144117 bytes, checksum: 6985af49978cc36281a6038742aa9c6f (MD5)<br>Made available in DSpace on 2012-09-04T12:49:51Z (GMT). No. of bitstreams: 1 Dissertacao_PCNN_final.pdf: 2144117 bytes, checksum: 6985af49978cc36281a6038742aa9c6f

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