Sjöholm, Hans-Kristian () (Swedish School of Economics and Business Administration)
Abstract
This paper examines the potential impact of new capital requirements on asset allocations of Finnish pension institutions. We describe the new requirements and consider portfolio construction to minimize regulatory capital, given the investor’s preferred level of expected return. Results identify portfolio transactions that enhance expected return without increasing capital needs. Regulation calls for portfolio diversification and prudence in management, but this paper shows that market participants can exploit inconsistencies in regulation. Possible future consequences include capital outflows from the pension system and an unintended decrease in pre-funding of old-age pensions.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Paper provided by Hanken School of Economics in its series Working Papers with number
532.
Length: 15 pages Date of creation: 07 Nov 2007 Date of revision: Handle: RePEc:hhb:hanken:0532
Contact details of provider: Postal: Hanken School of Economics, Arkadiankatu 22, P.O.B. 479; FIN 00101 Helsinki, Finland Phone: +358-9-431 331 Fax: +358-9-431 33 333 Web page: http://www.hanken.fi More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (Marcus Sandberg).
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.: