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Pension schemes as options on pension fund assets: implications for pension fund management

  • Blake, David

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File URL: http://www.sciencedirect.com/science/article/pii/S0167-6687(98)00048-1
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Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

Volume (Year): 23 (1998)
Issue (Month): 3 (December)
Pages: 263-286

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Handle: RePEc:eee:insuma:v:23:y:1998:i:3:p:263-286
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505554

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  1. Hayne E. Leland., 1979. "Who Should Buy Portfolio Insurance?," Research Program in Finance Working Papers 95, University of California at Berkeley.
  2. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
  3. Boquist, John A & Racette, George A & Schlarbaum, Gary G, 1975. "Duration and Risk Assessment for Bonds and Common Stocks," Journal of Finance, American Finance Association, vol. 30(5), pages 1360-65, December.
  4. Black, Fischer & Perold, AndreF., 1992. "Theory of constant proportion portfolio insurance," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 403-426.
  5. Irwin Tepper, 1981. "Taxation and Corporate Pension Policy," NBER Working Papers 0661, National Bureau of Economic Research, Inc.
  6. Sharpe, William F., 1976. "Corporate pension funding policy," Journal of Financial Economics, Elsevier, vol. 3(3), pages 183-193, June.
  7. Brennan, M J, 1979. "The Pricing of Contingent Claims in Discrete Time Models," Journal of Finance, American Finance Association, vol. 34(1), pages 53-68, March.
  8. Merton, Robert C. & Samuelson, Paul A., 1974. "Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods," Journal of Financial Economics, Elsevier, vol. 1(1), pages 67-94, May.
  9. Gatto, Mary Ann & Geske, Robert & Litzenberger, Robert & Sosin, Howard, 1980. "Mutual fund insurance," Journal of Financial Economics, Elsevier, vol. 8(3), pages 283-317, September.
  10. Haberman, Steven & Sung, Joo-Ho, 1994. "Dynamic approaches to pension funding," Insurance: Mathematics and Economics, Elsevier, vol. 15(2-3), pages 151-162, December.
  11. Tepper, Irwin, 1981. "Taxation and Corporate Pension Policy," Journal of Finance, American Finance Association, vol. 36(1), pages 1-13, March.
  12. Robert van der Meer & Meye Smink, 1993. "Strategies and Techniques for Asset-Liability Management: an Overview," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 18(2), pages 144-157, April.
  13. Brennan, M.J. & Solanki, R., 1981. "Optimal Portfolio Insurance," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 16(03), pages 279-300, September.
  14. Fischer, Stanley, 1978. "Call Option Pricing when the Exercise Price Is Uncertain, and the Valuation of Index Bonds," Journal of Finance, American Finance Association, vol. 33(1), pages 169-76, March.
  15. Blake, David, 1996. "Efficiency, Risk Aversion and Portfolio Insurance: An Analysis of Financial Asset Portfolios Held by Investors in the United Kingdom," Economic Journal, Royal Economic Society, vol. 106(438), pages 1175-92, September.
  16. O'Brien, Thomas, 1986. "A stochastic-dynamic approach to pension funding," Insurance: Mathematics and Economics, Elsevier, vol. 5(2), pages 141-146, April.
  17. Breeden, Douglas T & Litzenberger, Robert H, 1978. "Prices of State-contingent Claims Implicit in Option Prices," The Journal of Business, University of Chicago Press, vol. 51(4), pages 621-51, October.
  18. Merton, Robert C, 1969. "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 247-57, August.
  19. Disney, Richard & Whitehouse, Edward, 1996. "What Are Occupational Pension Plan Entitlements Worth in Britain?," Economica, London School of Economics and Political Science, vol. 63(250), pages 213-38, May.
  20. Margrabe, William, 1978. "The Value of an Option to Exchange One Asset for Another," Journal of Finance, American Finance Association, vol. 33(1), pages 177-86, March.
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