Research on Pesnion Fund Investment when Liability is Indexed to CPI

2015 Fiscal Year Final Research Report

• Project/Area Number: 24530356
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Public finance/Monetary economics
• Research Institution: Nagoya City University
• Principal Investigator: Usuki Masaharu 名古屋市立大学, 経済学研究科(研究院), 教授 (90539058)
• Project Period (FY): 2012-04-01 – 2016-03-31
• Keywords: ベクトル自己回帰モデル / 最適化 / 下方部分積率 / モンテカルロシミュレーション / 代替資産投資 / 年金ALM / 物価上昇率 / 賃金上昇率

Outline of Final Research Achievements

In this research, we have explored the optimal asset allocation that minimizes portfolio shortfall risk from the target of inflation rate or wage hike rate, using VAR model in order to take into account of time series correlation of asset return.
As a result, firstly, we confirm the structural change in the economy and market in early 1990s from change in VAR coefficient matrix. Secondly, in portfolios that minimize second-order lower partial moment, the sum of domestic and overseas equity allocation surpasses 10% only when A. expected return of equity is relatively high as experienced prior to 1990s, B. the level of add-on return on inflation or wage hike included target return is substantial, and C. investment horizon is longer than 3 to 5 years. Thirdly, the experience in foreign country public pension shows liquidity cost and risk pose a serious concern for a large scale pension fund to make an investment in alternative asset classes and improve portfolio efficiency.

Free Research Field

年金管理　証券投資