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Quantitative Finance Volume 7, 2007 - Issue 4: Portfolio Construction and Risk Management
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Original Articles

DC pension fund benchmarking with fixed-mix portfolio optimization

M. A. H. Dempster Centre for Financial Research, Judge Business School, University of Cambridge & Cambridge Systems Associates Ltd, Cambridge, UKCorrespondence[email protected] [email protected]
,
E. A. Germano Pioneer Investment Management Ltd, 1 George's Quay Plaza, George's Quay, Dublin 2, Eire
,
M. Medova Centre for Financial Research, Judge Business School, University of Cambridge & Cambridge Systems Associates Ltd, Cambridge, UK
,
M. I. Rietbergen Securitisation & Asset Monetisation Group, Morgan Stanley, London, UK
,
F. Sandrini Pioneer Investment Management Ltd, 1 George's Quay Plaza, George's Quay, Dublin 2, Eire
,
M. Scrowston Pioneer Investment Management Ltd, 1 George's Quay Plaza, George's Quay, Dublin 2, Eire
&
N. Zhang ABN Amro, London, UK
 show all
Pages 365-370 | Received 27 Apr 2007, Accepted 03 Jul 2007, Published online: 22 Aug 2007
 
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Notes

†DC pension scheme participants typically make a lump sum initial payment and regular contributions to the pension fund which are employer matched.

†In practice 10 and 15 year horizons have also been employed.

‡Assets employed are Eurobonds of 1, 2, 3, 4, 5, 10 and 30 year maturities and equity represented by the Eurostock 50 index.

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