Synopsis
Pension funds are amongst the largest institutional investors, owning one third of shares issued in Britain and one fifth of gilt-edged stock. A large proportion of the population have a claim on these assets whether as pensioners or employees. Yet, very little research has been done into the area despite their importance to the financial system. David Blake conducts an in-depth examination into the investment behaviour of pension funds, presenting the first econometric model of the area. By using a well-established framework of modern portfolio theory, he derives a model of optimal portfolio behaviour and explains pension fund asset holding in terms of the most important macroeconomic and cyclical indicators. New extensions to the model draw out important results for pension fund behaviour, allowing for dynamic portfolio adjustment. In his investgation, he shows how factors such as industry profitability, the balance of payments, financial innovation and the monetary and fiscal policies of the government influence pension fund investments. He explores the expertise of pension fund managers and their attitude to risk-taking, finding out how far it is possible to "beat the market". This book should be of interest to postgraduates and academics in finance, economics, econometrics. Investment analysts and pension fund managers.
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Présentation de l'éditeur
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 reissue will be of particular value to students and academics with an interest in econometrics, investment analysis and the pension fund industry.
Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.
