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.
List of figures; List of tables; Preface; 1. UK pension funds and their investments 2. A theoretical model portfolio behaviour 3. The investments and returns of private sector pension funds 4. Modelling the expected returns and risks of private sector pension funds 5. Modelling the portfolio behaviour of private sector pension funds 6. Simulating the portfolio behaviour of private sector pension funds; Postscript; Index
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