BRADFORD SCHOLARS

    • Sign in
    View Item 
    •   Bradford Scholars
    • Management and Law
    • Management and Law Publications
    • View Item
    •   Bradford Scholars
    • Management and Law
    • Management and Law Publications
    • View Item
    JavaScript is disabled for your browser. Some features of this site may not work without it.

    Browse

    All of Bradford ScholarsCommunitiesAuthorsTitlesSubjectsPublication DateThis CollectionAuthorsTitlesSubjectsPublication Date

    My Account

    Sign in

    HELP

    Bradford Scholars FAQsCopyright Fact SheetPolicies Fact SheetDeposit Terms and ConditionsDigital Preservation Policy

    Statistics

    Most Popular ItemsStatistics by CountryMost Popular Authors

    Asset-liability modelling and pension schemes: the application of robust optimization to USS

    • CSV
    • RefMan
    • EndNote
    • BibTex
    • RefWorks
    Thumbnail
    View/Open
    European_Journal_of_Finance.pdf (1.144Mb)
    Download
    Publication date
    2017
    Author
    Platanakis, Emmanouil
    Sutcliffe, C.
    Keyword
    Robust Optimization; Pension Scheme; Asset-Liability Model; Sharpe Ratio; Sharpe-Tint; Bayes-Stein; Black-Litterman; Asset–Liability Management
    Rights
    © 2015 Taylor & Francis. This is an Author's Original Manuscript of an article published by Taylor & Francis in European Journal of Finance, 2015 available online at http://dx.doi.org/10.1080/1351847X.2015.1071714
    Peer-Reviewed
    Yes
    
    Metadata
    Show full item record
    Abstract
    This paper uses a novel numerical optimization technique – robust optimization – that is well suited to solving the asset–liability management (ALM) problem for pension schemes. It requires the estimation of fewer stochastic parameters, reduces estimation risk and adopts a prudent approach to asset allocation. This study is the first to apply it to a real-world pension scheme, and the first ALM model of a pension scheme to maximize the Sharpe ratio. We disaggregate pension liabilities into three components – active members, deferred members and pensioners, and transform the optimal asset allocation into the scheme’s projected contribution rate. The robust optimization model is extended to include liabilities and used to derive optimal investment policies for the Universities Superannuation Scheme (USS), benchmarked against the Sharpe and Tint, Bayes–Stein and Black–Litterman models as well as the actual USS investment decisions. Over a 144-month out-of-sample period, robust optimization is superior to the four benchmarks across 20 performance criteria and has a remarkably stable asset allocation – essentially fix-mix. These conclusions are supported by six robustness checks.
    URI
    http://hdl.handle.net/10454/8146
    Version
    Author's final draft
    Citation
    Platanakis E and Sutcliffe C (2017) Asset–liability modelling and pension schemes: the application of robust optimization to USS. The European Journal of Finance. 23(4): 324-352.
    Link to publisher’s version
    http://dx.doi.org/10.1080/1351847X.2015.1071714
    Type
    Article
    Collections
    Management and Law Publications

    entitlement

     
    DSpace software (copyright © 2002 - 2023)  DuraSpace
    Quick Guide | Contact Us
    Open Repository is a service operated by 
    Atmire NV
     

    Export search results

    The export option will allow you to export the current search results of the entered query to a file. Different formats are available for download. To export the items, click on the button corresponding with the preferred download format.

    By default, clicking on the export buttons will result in a download of the allowed maximum amount of items.

    To select a subset of the search results, click "Selective Export" button and make a selection of the items you want to export. The amount of items that can be exported at once is similarly restricted as the full export.

    After making a selection, click one of the export format buttons. The amount of items that will be exported is indicated in the bubble next to export format.