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Modelling Pension Fund Investment Behaviour (Routledge Revivals).

Author: David Blake
Publisher: Oxon : Routledge, 2014.
Series: Routledge revivals.
Edition/Format:   eBook : Document : English
Summary:
First published in 1992, this title conducts an in-depth examination of the investment behaviour of pension funds, presenting the first econometric model in this area. Using the well-established framework of modern portfolio theory, David Blake derives a model of optimal portfolio behaviour that explains pension fund asset holdings in terms of the most important macroeconomic and cyclical indicators. He shows how  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: David Blake
ISBN: 9781317695776 1317695771 1322031398 9781322031392
OCLC Number: 886110825
Description: 1 online resource (307 pages).
Contents: Cover; Half Title; Title Page; Copyright Page; Original Title Page; Original Copyright Page; Dedication; Table of Contents; List of figures; List of tables; Preface; 1 UK pension funds and their investments; 2 A theoretical model of portfolio behaviour; 3 The investments and returns of private sector pension funds; 4 Modelling the expected returns and risks of private sector pension funds; 5 Modelling the portfolio behaviour of private sector pension funds; 6 Simulating the portfolio behaviour of private sector pension funds; Postscript; Index.
Series Title: Routledge revivals.

Abstract:

First published in 1992, this title conducts an in-depth examination of the investment behaviour of pension funds, presenting the first econometric model in this area. Using the well-established framework of modern portfolio theory, David Blake derives a model of optimal portfolio behaviour that explains pension fund asset holdings in terms of the most important macroeconomic and cyclical indicators. He shows how factors such as industry profitability, the balance of payments and the monetary and fiscal policies of the government influence pension fund investments. Broad in scope, this reis.

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