01whole.pdf (2.37 MB)
Download file

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

Download (2.37 MB)
thesis
posted on 29.03.2022, 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.

History

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.

Notes

Empirical thesis. Bibliography: pages 63-66

Awarding Institution

Macquarie University

Degree Type

Thesis MRes

Degree

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

2018

Principal Supervisor

Stefan Trueck

Rights

Copyright Soo Heon Kim 2018. Copyright disclaimer: http://mq.edu.au/library/copyright

Language

English

Jurisdiction

Korea (South)

Extent

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

Former Identifiers

mq:70718 http://hdl.handle.net/1959.14/1267048