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dc.contributor.authorLahusen, Reinharden
dc.date.accessioned2010-07-27-
dc.date.accessioned2010-09-24T14:30:09Z-
dc.date.available2010-09-24T14:30:09Z-
dc.date.issued2002-
dc.identifier.urihttp://hdl.handle.net/10419/40290-
dc.description.abstractFinancial provision for old age is a serious issue. This paper therefore begins by outlining the pension situation in Germany, arriving at the conclusion that, as matters stand at present, none of the three "pillars" of pension provision - state and occupational pensions and private pension schemes - can sufficiently guarantee adequate retirement income in the future. Given increasing population ageing in Germany for one, provision must focus particularly on fully funded private provisioning and also partly on occupational pension plans. Because of the need for fully-funded systems, asset allocation for pension provision taking account of the key characteristic of retirement saving - the long investment horizon - is particularly important. Thus it is being analysed what effect a varying horizon has on the riskreturn properties of the asset class stocks. The analysis leads to the conclusion that the risk entailed in stock investment is reduced relative to the yield as the investment horizon lengthens. This horizon effect can be put to use for asset allocation, as illustrated with reference to a model based on the shortfall probability (zeroth order lower partial moment, LMP0). A look is also taken at alternative horizon-dependent asset allocation models. The paper concludes with an examination of the practical applicability of the LPM0 for pension provision.en
dc.language.isoengen
dc.publisher|aDeutsche Bank Research |cFrankfurt a. M.en
dc.relation.ispartofseries|aResearch Notes |x1en
dc.subject.jelG11en
dc.subject.ddc330en
dc.subject.stwAlterssicherungen
dc.subject.stwVermögensverwaltungen
dc.subject.stwPrivate Rentenversicherungen
dc.subject.stwPortfolio-Managementen
dc.subject.stwZeitökonomiken
dc.subject.stwRenditeen
dc.subject.stwRisikoen
dc.subject.stwTheorieen
dc.titleAsset allocation for pension provision-
dc.typeWorking Paperen
dc.identifier.ppn821773313en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:dbrrns:1en

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