Macquarie University
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Optimal asset allocation for pension funds in the Republic of Korea (ROK ): risk-adjusted analysis

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posted on 2022-03-29, 02:44 authored by Soo Heon Kim
This thesis examines various asset allocation schemes for retirement pension funds in the Republic of Korea (ROK), particularly constrained and risk-adjusted asset allocation schemes and so-called ‘target risk’ and ‘target return’ schemes. This thesis shows that different asset allocation techniques have a significant impact on the optimal weights of different asset classes such as growth and defensive assets for optimal pension portfolios. The thesis also demonstrates that the proposed optimal asset allocation typically deviates significantly from the actual allocation of the ROK’s pension funds. The thesis also examines the performance of different asset allocation schemes in the presence of skewness and excess kurtosis for returns as well as non-linear dependence across different asset classes. Thus, this thesis considers the entire distribution of the returns that enables us to conduct a risk-adjusted performance analysis. Finally, the author relates the results to recent regulatory changes in the ROK with regards to the asset allocation for pension funds.


Table of Contents

Chapter 1. Introduction -- Chapter 2. Motivations -- Chapter 3. Literature review -- Chapter 4. Empirical analysis -- Chapter 5. Ex-post analysis (out-of-sample test) -- Chapter 6. Conclusion -- References -- Appendices.


Empirical thesis. Bibliography: pages 63-66

Awarding Institution

Macquarie University

Degree Type

Thesis MRes


MRes, Macquarie University, Faculty of Business and Economics, Department of Actuarial Studies and Business Analytics

Department, Centre or School

Department of Actuarial Studies and Business Analytics

Year of Award


Principal Supervisor

Stefan Trueck


Copyright Soo Heon Kim 2018. Copyright disclaimer:




Korea (South)


1 online resource (viii, 72 pages) graphs, tables

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