Essays on pension fund management and real estate investment:
Gespeichert in:
| Beteilige Person: | |
|---|---|
| Format: | Hochschulschrift/Dissertation Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
2008
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| Schlagwörter: | |
| Links: | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016753031&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Beschreibung: | Enth. u.a.: Return and risk of German open-end real estate funds. - Funding the German civil servant pension plan. |
| Umfang: | XVII, 149 S. graph. Darst. |
Internformat
MARC
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| 500 | |a Enth. u.a.: Return and risk of German open-end real estate funds. - Funding the German civil servant pension plan. | ||
| 502 | |a Frankfurt am Main, Univ., Diss., 2008 | ||
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| 650 | 7 | |a Immobilienfonds |2 stw | |
| 650 | 7 | |a Pensionsfonds |2 stw | |
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Datensatz im Suchindex
| _version_ | 1819361963958861824 |
|---|---|
| adam_text | Contents
Table of Contents III
List of Original Papers VII
List of Figures VII
List of Tables X
List of Symbols XIII
List of Abbreviations XVI
1 Introduction 1
1.1 Challenges in the Pension Arena..................... 1
1.2 Real Estate Investments in Pension Plans................ 3
1.3 Research Question and Organization.................. 4
1.4 Executive Summary............................ 5
1.4.1 Chapter 2: Return and Risk of German Open-End Real Es-
tate Funds ............................ 5
1.4.2 Chapter 3: Funding the German Civil Servant Pension Plan:
Optimal Asset Allocation and Cost Implications ....... 7
1.4.3 Chapter 4: Managing Contribution Risk in Public Denned
Benefit Plans under Conditional Value at Risk Constraints . 9
1.4.4 Chapter 5: Understanding and Allocating Investment Risks
in a Hybrid Pension Plan .................... 11
2 Return and Risk of German Open-End Real Estate Funds 15
2.1 Introduction................................15
III
IV Pension Fund Management Real Estate Investment
2.2 Open-End Real Estate Funds in Germany ............... 17
2.2.1 Size and Role in the Mutual Fund Market........... 17
2.2.2 Legal Environment and Regulations............... 18
2.2.3 Problems Resulting from the Open-End Architecture of Real
Estate Funds........................... 20
2.3 Statistical Properties of Real Estate Funds Returns.......... 23
2.3.1 Data Collection and Description................. 23
2.3.2 Univariate Analysis........................ 24
2.3.3 Serial Correlation of Real Estate Fund Returns ........ 26
2.3.4 Correlation Analysis....................... 28
2.4 Risk and Return Profiles of Investments in Real Estate Funds .... 30
2.4.1 Research Design and Methodology ............... 30
2.4.2 Single Investment Considerations................ 33
2.4.3 Replicability of the Real Estate Fund Performance....... 36
2.4.4 Real Estate Funds within a Mixed-Asset Portfolio....... 39
2.4.4.1 Methodology...................... 39
2.4.4.2 Results ......................... 41
2.5 Conclusions and Avenues of Further Research ............. 44
3 Funding the German Civil Servant Pension Plan: Optimal Asset
Allocation and Cost Implications 47
3.1 Introduction................................ 47
3.2 Civil Servant Pensions in Germany................... 49
3.2.1 Pension Plan Design....................... 49
3.2.2 Dataset Description........................ 51
3.3 Deterministic Actuarial Valuation of Public Pensions......... 53
3.3.1 Objectives and Economic Assumptions............. 53
3.3.2 Population Dynamics....................... 54
3.3.3 Implied Pension Debt for Current Civil Servants........ 55
3.3.4 Funding Future Civil Servants Pensions............ 57
3.4 Pension Plan Management in a Stochastic Environment........ 59
3.4.1 Plan Design, Pension Manager s Objectives, and Asset/Liability
Modeling ............................. 59
Table of Contents V
3.4.2 Stochastic Asset Model...................... 62
3.4.3 Optimal Asset Allocation under Stochastic Investment Returns 66
3.4.4 Further Results.......................... 70
3.5 Conclusions................................ 74
Appendix.................................... 75
4 Managing Contribution Risk in Public Defined Benefit Plans under
Conditional Value at Risk Constraints 77
4.1 Introduction................................ 77
4.2 Civil Servants and their Pensions in Germany.............80
4.2.1 Public Sector Pension Parameters................80
4.2.2 Dataset on Hesse s Civil Servants................81
4.3 Valuing the Public Pension in a Non-Stochastic Framework......82
4.3.1 Population Dynamics and Economic Assumptions.......82
4.3.2 Funding Future Civil Servants Pension Benefits........85
4.4 Stochastic Investment Returns and Pension Plan Funding.......87
4.4.1 The Pension Manager s Objectives and Asset/Liability Man-
agement ..............................87
4.4.2 Stochastic Asset Model......................91
4.5 Public Pension Plan Control in a Stochastic Framework........93
4.5.1 Worst-Case Pension Costs and Contribution Rate Risk .... 93
4.5.2 Deriving the Optimal Contribution Rate and Asset Allocation 98
4.5.3 Development of Contribution Rates over Time.........102
4.5.4 Further Results..........................104
4.6 Conclusions................................106
Appendix....................................108
5 Understanding and Allocating Investment Risks in a Hybrid Pen-
sion Plan 109
5.1 Introduction................................109
5.2 Designing a Hybrid Pension Plan....................Ill
5.2.1 General Plan Parameters.....................Ill
5.2.2 Benefit Structure.........................112
VI Pension Fund Management Real Estate Investment
5.2.3 Asset Liability Modeling and the Pension Decision-Making
Process ..............................114
5.3 The Plan Sponsor s Investment Decision................118
5.3.1 Asset Allocation and Cost Implications.............118
5.3.2 Implications for Plan Beneficiaries................123
5.4 Beneficiaries Investment Decisions ...................125
5.5 Conclusions................................129
Bibliography 132
Curriculum Vitae 145
EhrenwSrtliche Erklarung 149
|
| any_adam_object | 1 |
| author | Rogalla, Ralph 1976- |
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| dewey-full | 332.6 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.6 |
| dewey-search | 332.6 |
| dewey-sort | 3332.6 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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| indexdate | 2024-12-20T13:19:47Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016753031 |
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| physical | XVII, 149 S. graph. Darst. |
| publishDate | 2008 |
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| spellingShingle | Rogalla, Ralph 1976- Essays on pension fund management and real estate investment Deutschland stw Immobilienfonds stw Pensionsfonds stw Portfolio-Management stw Risikomanagement stw Theorie stw Vermögensverwaltung stw Unbewegliche Sache (DE-588)4186834-1 gnd Pensionskasse (DE-588)4045107-0 gnd |
| subject_GND | (DE-588)4186834-1 (DE-588)4045107-0 (DE-588)4143413-4 (DE-588)4113937-9 |
| title | Essays on pension fund management and real estate investment |
| title_auth | Essays on pension fund management and real estate investment |
| title_exact_search | Essays on pension fund management and real estate investment |
| title_full | Essays on pension fund management and real estate investment von Ralph Rogalla |
| title_fullStr | Essays on pension fund management and real estate investment von Ralph Rogalla |
| title_full_unstemmed | Essays on pension fund management and real estate investment von Ralph Rogalla |
| title_short | Essays on pension fund management and real estate investment |
| title_sort | essays on pension fund management and real estate investment |
| topic | Deutschland stw Immobilienfonds stw Pensionsfonds stw Portfolio-Management stw Risikomanagement stw Theorie stw Vermögensverwaltung stw Unbewegliche Sache (DE-588)4186834-1 gnd Pensionskasse (DE-588)4045107-0 gnd |
| topic_facet | Deutschland Immobilienfonds Pensionsfonds Portfolio-Management Risikomanagement Theorie Vermögensverwaltung Unbewegliche Sache Pensionskasse Aufsatzsammlung Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016753031&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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