search query: @author Sharpe, W. F. / total: 9
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| Author: | Sharpe, W. F. |
| Title: | Budgeting and Monitoring Pension Fund Risk |
| Journal: | Financial Analysts' Journal
2002 : SEP-OCT, VOL. 58:5, p. 74-86 |
| Index terms: | BUDGETING PENSION FUNDS RISK ANALYSIS FINANCE |
| Language: | eng |
| Abstract: | This article describes a set of mean-variance procedures for setting targets for the risk characteristics of components of a pension fund portfolio and for monitoring the portfolio over time to detect significant deviations from those targets. Because of the significant correlations of the returns provided by the managers of a typical defined-benefit pension fund, the risk of the portfolio cannot be characterized as simply the sum of the risks of the individual components. Expected returns, however, can be so characterized. The author shows that the relationship between marginal risks and implied expected excess returns provides the economic rationale for the risk budgeting and monitoring being implemented by a number of pension funds. |
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