Modelling pension fund investment behaviour:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
London u.a.
Routledge
1992
|
| Edition: | 1. publ. |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XXII, 282 S. graph. Darst. |
| ISBN: | 0415009898 |
Staff View
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| 245 | 1 | 0 | |a Modelling pension fund investment behaviour |c David Blake |
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| 264 | 1 | |a London u.a. |b Routledge |c 1992 | |
| 300 | |a XXII, 282 S. |b graph. Darst. | ||
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Record in the Search Index
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| adam_text | Contents
List of figures viii
List of tables xvi
Preface xxi
1 UK pension funds and their investments 1
2 A theoretical model of portfolio behaviour 16
3 The investments and returns of private sector
pension funds 39
4 Modelling the expected returns and risks of private
sector pension funds 113
5 Modelling the portfolio behaviour of private sector
pension funds 161
6 Simulating the portfolio behaviour of private sector
pension funds 212
Postscript 273
Index 276
Figures
4.1 Actual and expected real rate of return on UK bills,
exogenous indicators 131
4.2 Actual and expected real rate of return on UK
property, exogenous indicators 131
4.3 Actual and expected real rate of return on UK bonds,
exogenous indicators 132
4.4 Actual and expected real rate of return on UK loans,
exogenous indicators 132
4.5 Actual and expected real rate of return on UK
shares, exogenous indicators 133
4.6 Actual and expected real rate of return on US bills,
exogenous indicators 133
4.7 Actual and expected real rate of return on US bonds,
exogenous indicators 134
4.8 Actual and expected real rate of return on US shares,
exogenous indicators 134
4.9 Actual and expected real rate of return on UK bills,
cyclical indicators 148
4.10 Actual and expected real rate of return on UK
property, cyclical indicators 148
4.11 Actual and expected real rate of return on UK bonds,
cyclical indicators 149
4.12 Actual and expected real rate of return on UK loans,
cyclical indicators 149
Figures ix
4.13 Actual and expected real rate of return on UK
shares, cyclical indicators 150
4.14 Actual and expected real rate of return on US bills,
cyclical indicators 150
4.15 Actual and expected real rate of return on US bonds,
cyclical indicators 151
4.16 Actual and expected real rate of return on US shares,
cyclical indicators 151
5.1 Actual and predicted values of private pension funds
holdings of bills in the UK, exogenous indicators 180
5.2 Actual and predicted values of private pension funds
holdings of property in the UK, exogenous indicators 180
5.3 Actual and predicted values of private pension funds
holdings of bonds in the UK, exogenous indicators 181
5.4 Actual and predicted values of private pension funds
holdings of loans in the UK, exogenous indicators 181
5.5 Actual and predicted values of private pension funds
holdings of shares in the UK, exogenous indicators 182
5.6 Actual and predicted values of private pension funds
holdings of bills in the USA, exogenous indicators 182
5.7 Actual and predicted values of private pension funds
holdings of bonds in the USA, exogenous indicators 183
5.8 Actual and predicted values of private pension funds
holdings of shares in the USA, exogenous indicators 183
5.9 Actual and predicted values of private pension funds
holdings of bills in the UK, cyclical indicators 200
5.10 Actual and predicted values of private pension funds
holdings of property in the UK, cyclical indicators 200
5.11 Actual and predicted values of private pension funds
holdings of bonds in the UK, cyclical indicators 201
5.12 Actual and predicted values of private pension funds
holdings of loans in the UK, cyclical indicators 201
5.13 Actual and predicted values of private pension funds
holdings of shares in the UK, cyclical indicators 202
x Figures
5.14 Actual and predicted values of private pension funds
holdings of bills in the USA, cyclical indicators 202
5.15 Actual and predicted values of private pension funds
holdings of bonds in the USA, cyclical indicators 203
5.16 Actual and predicted values of private pension funds
holdings of shares in the USA, cyclical indicators 203
6.1 Financial innovation experiment 1: pre and post
innovation values of private pension funds holdings
of bills in the UK 217
6.2 Financial innovation experiment 1: pre and post
innovation values of private pension funds holdings
of property in the UK 217
6.3 Financial innovation experiment 1: pre and post
innovation values of private pension funds holdings I
of bonds in the UK 218
6.4 Financial innovation experiment 1: pre and post
innovation values of private pension funds holdings
of loans in the UK 218
6.5 Financial innovation experiment 1: pre and post
innovation values of private pension funds holdings
of shares in the UK 219
6.6 Financial innovation experiment 1: pre and post :
innovation values of private pension funds holdings
of bills in the USA 219
6.7 Financial innovation experiment 1: pre and post I
innovation values of private pension funds holdings
of bonds in the USA 220
6.8 Financial innovation experiment 1: pre and post
innovation values of private pension funds holdings
of shares in the USA 220
6.9 Financial innovation experiment 1: pre and post
innovation values of private pension funds holdings
of new asset 221
6.10 Financial innovation experiment 2: pre and post
innovation values of private pension funds holdings
of bills in the UK 224
Figures xi
6.11 Financial innovation experiment 2: pre and post
innovation values of private pension funds holdings
of property in the UK 225
6.12 Financial innovation experiment 2: pre and post
innovation values of private pension funds holdings
of bonds in the UK 225
6.13 Financial innovation experiment 2: pre and post
innovation values of private pension funds holdings
of loans in the UK 226
6.14 Financial innovation experiment 2: pre and post
innovation values of private pension funds holdings
of shares in the UK 226
6.15 Financial innovation experiment 2: pre and post
innovation values of private pension funds holdings
of bills in the USA 227
6.16 Financial innovation experiment 2: pre and post
innovation values of private pension funds holdings
of bonds in the USA 227
6.17 Financial innovation experiment 2: pre and post
innovation values of private pension funds holdings
of shares in the USA 228
6.18 Financial innovation experiment 2: pre and post
innovation values of private pension funds holdings
of new asset 228
6.19 Financial innovation experiment 3: pre and post
innovation values of private pension funds holdings
of bills in the UK 232
6.20 Financial innovation experiment 3: pre and post
innovation values of private pension funds holdings
of property in the UK 233
6.21 Financial innovation experiment 3: pre and post
innovation values of private pension funds holdings
of bonds in the UK 233
6.22 Financial innovation experiment 3: pre and post
innovation values of private pension funds holdings
of loans in the UK 234
xii Figures
6.23 Financial innovation experiment 3: pre and post
innovation values of private pension funds holdings
of shares in the UK 234
6.24 Financial innovation experiment 3: pre and post
innovation values of private pension funds holdings
of bills in the USA 235
6.25 Financial innovation experiment 3: pre and post
innovation values of private pension funds holdings
of bonds in the USA 235
6.26 Financial innovation experiment 3: pre and post
innovation values of private pension funds holdings I
of shares in the USA 236
6.27 Financial innovation experiment 3: pre and post
innovation values of private pension funds holdings
of new asset 93/5
6.28 Financial innovation experiment 4: pre and post
innovation values of private pension funds holdings
of bills in the UK 240
6.29 Financial innovation experiment 4: pre and post
innovation values of private pension funds holdings
of property in the UK 240
6.30 Financial innovation experiment 4: pre and post
innovation values of private pension funds holdings
of bonds in the UK 941
6.31 Financial innovation experiment 4: pre and post
innovation values of private pension funds holdings
of loans in the UK 241
6.32 Financial innovation experiment 4: pre and post
innovation values of private pension funds holdings
of shares in the UK 242
6.33 Financial innovation experiment 4: pre and post
innovation values of private pension funds holdings
of bills in the USA 242
6.34 Financial innovation experiment 4: pre and post
innovation values of private pension funds holdings
of bonds in the USA 243
Figures xiii
6.35 Financial innovation experiment 4: pre and post
innovation values of private pension funds holdings
of shares in the USA 243
6.36 Financial innovation experiment 4: pre and post
innovation values of private pension funds holdings
1 of new asset 244
6.37 Financial innovation experiment 5: pre and post
innovation values of private pension funds holdings
of bills in the UK 250
6.38 Financial innovation experiment 5: pre and post
innovation values of private pension funds holdings
of property in the UK 250
6.39 Financial innovation experiment 5: pre and post
innovation values of private pension funds holdings
of bonds in the UK 251
6.40 Financial innovation experiment 5: pre and post
innovation values of private pension funds holdings
of loans in the UK 251
6.41 Financial innovation experiment 5: pre and post
innovation values of private pension funds holdings
of shares in the UK 252
6.42 Financial innovation experiment 5: pre and post
innovation values of private pension funds holdings
of bills in the USA 252
6.43 Financial innovation experiment 5: pre and post
innovation values of private pension funds holdings
of bonds in the USA 253
6.44 Financial innovation experiment 5: pre and post
innovation values of private pension funds holdings
of shares in the USA 253
6.45 Financial innovation experiment 5: pre and post
innovation values of private pension funds holdings
of new asset 254
6.46 Financial innovation experiment 6: pre and post
innovation values of private pension funds holdings
of bills in the UK 255
xiv Figures
6.47 Financial innovation experiment 6: pre and post
innovation values of private pension funds holdings
of property in the UK 256
6.48 Financial innovation experiment 6: pre and post
innovation values of private pension funds holdings
of bonds in the UK 256
6.49 Financial innovation experiment 6: pre and post
innovation values of private pension funds holdings
of loans in the UK 257
6.50 Financial innovation experiment 6: pre and post
innovation values of private pension funds holdings
of shares in the UK 257
6.51 Financial innovation experiment 6: pre and post
innovation values of private pension funds holdings
of bills in the USA 258
6.52 Financial innovation experiment 6: pre and post
innovation values of private pension funds holdings
of bonds in the USA 258
6.53 Financial innovation experiment 6: pre and post
innovation values of private pension funds holdings
of shares in the USA 259
6.54 Financial innovation experiment 6: pre and post
innovation values of private pension funds holdings
of new asset 259
6.55 Financial innovation experiment 7: pre and post
innovation values of private pension funds holdings
of bills in the UK 262
6.56 Financial innovation experiment 7: pre and post
innovation values of private pension funds holdings
of property in the UK 263
6.57 Financial innovation experiment 7: pre and post
innovation values of private pension funds holdings
of bonds in the UK 263
6.58 Financial innovation experiment 7: pre and post
innovation values of private pension funds holdings
of loans in the UK 264
Figures xv
6.59 Financial innovation experiment 7: pre and post
innovation values of private pension funds holdings
of shares in the UK 264
6.60 Financial innovation experiment 7: pre and post
innovation values of private pension funds holdings
of bills in the USA 265
6.61 Financial innovation experiment 7: pre and post
innovation values of private pension funds holdings
of bonds in the USA 265
6.62 Financial innovation experiment 7: pre and post
innovation values of private pension funds holdings
of shares in the USA 266
6.63 Financial innovation experiment 7: pre and post
innovation values of private pension funds holdings
of new asset 266
Tables
1.1 Estimates of the income and expenditure of pension
schemes in 1983 2
1.2 Market value of pension fund assets in 1963 and
1989 3
1.3 The asset mix of pension funds in 1979 and 1989 6
1.4 The geographical distribution of the overseas assets
of pension funds in 1989 7
1.5 Number of pension funds and value of assets in 1989
analysed by size of fund 7
1.6 The asset mix of pension funds in 1989 analysed by
size of fund 8
1.7 The top fifty pension funds in 1989 10
1.8 Details of the top three public sector pension
schemes in 1989 11
1.9 Details of the top three private sector pension
schemes in 1989 12
1.10 Annual rates of return of UK pension fund assets,
1963 1990 13
3.1 Relationship between the components of the
combined income expenditure accounts of the life
assurance and superannuation funds in the UK,
1963 1978 42
3.2 Primary assets held by UK private sector pension
funds, with corresponding asset prices and yields 44
Tables xvii
3.3 Composite assets held by UK private sector pension
funds 50
3.4 Nominal prices and yields on composite assets held
by UK private sector pension funds 52
3.5 Transactions costs of buying and selling property in
the UK 59
3.6 Scale of minimum commission rates on the London
Stock Exchange 60
3.7 Average rate of commission on a transaction of
£100,000 market value on the London Stock
Exchange 62
3.8 Scale of effective commission rates on the New York
Stock Exchange 63
3.9 Regulations of the Exchange Control Act 1947 65
Al Real income expenditure accounts of UK private
sector pension funds, 1963.I 1978.IV 73
A2 Real beginning of period values of composite net
assets held by UK private sector pension funds,
1963.II 1978.IV 76
A3 Asset mix for composite net assets held by UK
private sector pension funds, 1963.I 1978.IV 79
A4 Real prices of composite net assets held by UK
private sector pension funds, 1963.I 1978.IV 82
A5 Real gross rate of capital gain on composite net assets
held by UK private sector pension funds,
1963.11 1978.IV 85
A6 Nominal gross rate of rental, interest or dividend on
composite net assets held by UK private sector
pension funds, 1963.H 1978.IV 88
A7 Real gross rate of rental, interest or dividend on
composite net assets held by UK private sector
pension funds, 1963.11 1978.IV 91
A8 Total realgross rate of return on composite net assets
held by UK private sector pension funds,
1963.II 1978.IV 94
xviii Tables
A9 Real beginning of period net demands for composite
net assets by UK private sector pension funds,
1963.II 1978.IV 97
A10 Real gross cash flows from rents, interest or dividends
on composite net assets held by UK private sector
pension funds, 1963.II 1978.IV 100
All Real gross cash flows from sales of composite net
assets held by UK private sector pension funds,
1963.II 1978.IV 103
A12 Real brokerage commission plus stamp duty paid on
transactions in composite net assets held by UK
private sector pension funds, 1963.II 1978.IV 106
A13 Real exchange rate change on composite net assets
held by UK private sector pension funds,
1963.II 1978.IV 109
A14 Total real net rate of return on net demands of
composite net assets held by UK private sector
pension funds, 1963.II 1978.IV 112
A15 Real gross rate of capital gain on a non traded
portfolio holding constant 1963.1 asset proportions,
1963.II 1978.IV 115
4.1 Exogenous and cyclical indicators for the UK and
USA 122
4.2 Ordinary least squares estimates and summary
statistics for the final version of the exogenous
indicators dynamic expectations model,
1966.I 1978.IV 126
4.3 Properties of the expectations from the exogenous
indicators model, 1966.I 1978.IV 135
4.4 Ordinary least squares estimates and summary
statistics for the final version of the exogenous
indicators dynamic risks models, 1966.I 1978.IV 138
4.5 Ordinary least squares estimates and summary
statistics for the final version of the cyclical indicators
dynamic expectations model, 1966.I 1978.IV 142
Tables xix
4.6 Properties of the expectations from the cyclical
indicators model, 1966.I 1978.IV 147
4.7 Ordinary least squares estimates and summary
statistics for the final version of the cyclical indicators
dynamic risks models, 1966.1 1978.IV 154
5.1 Three dynamic adjustment models of portfolio
behaviour with seven risky assets 166
5.2 Parameters of the non linear model of portfolio
behaviour 168
5.3 Three stage least squares estimates of the non linear
model of portfolio behaviour with exogenous
indicators and (A) dynamic rational expectations
with constant risks and (B) dynamic rational
expectations with common dynamic risks 170
5.4 Ex post system dynamic simulation properties of the
non linear model of portfolio behaviour with
exogenous indicators, dynamic rational expectations
and constant risks, 1966.I 1978.IV 185
5.5 Long run multipliers for the non linear model of
portfolio behaviour with exogenous indicators,
dynamic rational expectations and constant risks 186
5.6 Three stage least squares estimates of the non linear
model of portfolio behaviour with cyclical indicators
and (A) dynamic rational expectations with constant
risks and (B) dynamic rational expectations with
common dynamic risks 190
5.7 Expostsystem dynamic simulation properties of the
non linear model of portfolio behaviour with cyclical
indicators, dynamic rational expectations and
constant risks, 1966.I 1978.IV 204
5.8 Long run multipliers for the non linear model of
portfolio behaviour with cyclical indicators, dynamic
rational expectations and constant risks 206
6.1 Financial innovation experiments new asset
characteristics 216
6.2 Financial innovation experiment 1 222
xx Tables
6.3 Financial innovation experiment 2 230
6.4 Financial innovation experiment 3 238
6.5 Financial innovation experiment 4 246
6.6 Financial innovation experiment 5 248
6.7 Financial innovation experiment 6 260
6.8 Financial innovation experiment 7 268
6.9 Long run multipliers 270
|
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| dewey-sort | 3332.6 47254 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 1. publ. |
| format | Book |
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| geographic | Großbritannien |
| geographic_facet | Großbritannien |
| id | DE-604.BV006610515 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T16:49:12Z |
| institution | BVB |
| isbn | 0415009898 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-004223437 |
| oclc_num | 24069085 |
| open_access_boolean | |
| owner | DE-739 |
| owner_facet | DE-739 |
| physical | XXII, 282 S. graph. Darst. |
| publishDate | 1992 |
| publishDateSearch | 1992 |
| publishDateSort | 1992 |
| publisher | Routledge |
| record_format | marc |
| spelling | Blake, David Verfasser aut Modelling pension fund investment behaviour David Blake 1. publ. London u.a. Routledge 1992 XXII, 282 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Caisses de retraite - Investissements - Grande-Bretagne - Modèles économétriques Gestion de portefeuille - Grande-Bretagne - Modèles économétriques Investeringen gtt Pensioenfondsen gtt Portfolio-theorie gtt Ökonometrisches Modell Pension trusts Investments Great Britain Econometric models Portfolio management Great Britain Econometric models Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Pensionskasse (DE-588)4045107-0 gnd rswk-swf Großbritannien Pensionskasse (DE-588)4045107-0 s Portfolio Selection (DE-588)4046834-3 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=004223437&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Blake, David Modelling pension fund investment behaviour Caisses de retraite - Investissements - Grande-Bretagne - Modèles économétriques Gestion de portefeuille - Grande-Bretagne - Modèles économétriques Investeringen gtt Pensioenfondsen gtt Portfolio-theorie gtt Ökonometrisches Modell Pension trusts Investments Great Britain Econometric models Portfolio management Great Britain Econometric models Portfolio Selection (DE-588)4046834-3 gnd Pensionskasse (DE-588)4045107-0 gnd |
| subject_GND | (DE-588)4046834-3 (DE-588)4045107-0 |
| title | Modelling pension fund investment behaviour |
| title_auth | Modelling pension fund investment behaviour |
| title_exact_search | Modelling pension fund investment behaviour |
| title_full | Modelling pension fund investment behaviour David Blake |
| title_fullStr | Modelling pension fund investment behaviour David Blake |
| title_full_unstemmed | Modelling pension fund investment behaviour David Blake |
| title_short | Modelling pension fund investment behaviour |
| title_sort | modelling pension fund investment behaviour |
| topic | Caisses de retraite - Investissements - Grande-Bretagne - Modèles économétriques Gestion de portefeuille - Grande-Bretagne - Modèles économétriques Investeringen gtt Pensioenfondsen gtt Portfolio-theorie gtt Ökonometrisches Modell Pension trusts Investments Great Britain Econometric models Portfolio management Great Britain Econometric models Portfolio Selection (DE-588)4046834-3 gnd Pensionskasse (DE-588)4045107-0 gnd |
| topic_facet | Caisses de retraite - Investissements - Grande-Bretagne - Modèles économétriques Gestion de portefeuille - Grande-Bretagne - Modèles économétriques Investeringen Pensioenfondsen Portfolio-theorie Ökonometrisches Modell Pension trusts Investments Great Britain Econometric models Portfolio management Great Britain Econometric models Portfolio Selection Pensionskasse Großbritannien |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=004223437&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT blakedavid modellingpensionfundinvestmentbehaviour |