Imperial College London
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ProfessorDavidMiles

Business School

Professor of Financial Economics
 
 
 
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Contact

 

+44 (0)20 7594 1292d.miles Website CV

 
 
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Assistant

 

Mrs Humayra Jones +44 (0)20 7594 1863

 
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Location

 

4.04a53 Prince's GateSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@article{McCarthy:2013:10.1111/j.1468-036x.2010.00594.x,
author = {McCarthy, D and Miles, D},
doi = {10.1111/j.1468-036x.2010.00594.x},
journal = {European Financial Management},
pages = {599--629},
title = {Optimal Portfolio Allocation for Corporate Pension Funds},
url = {http://dx.doi.org/10.1111/j.1468-036x.2010.00594.x},
volume = {19},
year = {2013}
}
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RIS format (EndNote, RefMan)

TY  - JOUR
AB  - <jats:title>Abstract</jats:title><jats:sec><jats:label /><jats:p><jats:italic>We model the asset allocation decision of a stylised corporate defined benefit pension plan in the presence of hedgeable and unhedgeable risks. We assume that plan fiduciaries – who make the asset allocation decision – face non–linear payoffs linked to the plan's funding status because of the presence of pension insurance and a sponsoring employer who may share any shortfall or pension surplus. We find that even simple asymmetries in payoffs have large and highly persistent effects on asset allocation, while unhedgeable risks exert only a small effect. We conclude that institutional details are crucial in understanding DB pension asset allocation</jats:italic>.</jats:p></jats:sec>
AU  - McCarthy,D
AU  - Miles,D
DO  - 10.1111/j.1468-036x.2010.00594.x
EP  - 629
PY  - 2013///
SN  - 1354-7798
SP  - 599
TI  - Optimal Portfolio Allocation for Corporate Pension Funds
T2  - European Financial Management
UR  - http://dx.doi.org/10.1111/j.1468-036x.2010.00594.x
VL  - 19
ER  -
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