Pension-Plan Real Estate Investment in an Asset-Liability Framework
AbstractThis study explores the role of pension-plan real estate investment in an asset-liability framework. By assuming that the pension-plan manager wishes to have assets of at least equal value to the liabilities at all points in time, an asset selection process is derived which depends on both the asset's covariance with other assets and its covariance with the liability stream. We generally find real estate not to be highly correlated with pension-plan liabilities. This finding is of general interest, since it helps to explain why pension-plan real estate investment is extremely limited and much smaller than one would expect if pension-plan investors cared only about the mean and variance of the real return to their invested wealth. Copyright American Real Estate and Urban Economics Association.
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Bibliographic InfoArticle provided by American Real Estate and Urban Economics Association in its journal Real Estate Economics.
Volume (Year): 28 (2000)
Issue (Month): 3 ()
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- RenÃ© Weber & David S. Gerber, 2007. "Aging, Asset Allocation, and Costs: Evidence for the Pension Fund Industry in Switzerland," IMF Working Papers 07/29, International Monetary Fund.
- Pattaragit Netiniyom, 2013. "Institutional Investor Recognition on Financial Asset Tranches: A Study of The Thai Property Sector," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 5(2), pages 129-144, December.
- Martin Hoesli & Eva Liljeblom & Anders Loflund, 2014. "The Effect of Lock-Ups on Suggested Real Estate Portfolio Weight," International Real Estate Review, Asian Real Estate Society, vol. 17(1), pages 1-22.
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