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This paper studies the optimal asset allocation problem of a defined contribution (DC) pension plan with a stochastic salary and value under a constraint within a stochastic volatility model. It is assumed that the financial market contains a risk-free asset and a risky asset whose price process satisfies the Stein–Stein stochastic volatility model. To comply with regulatory standards and offer a risk management tool, we integrate the dynamic versions of Value-at-Risk (VaR), Conditional Value-at-Risk (CVaR), and worst-case CVaR (wcCVaR) constraints into the DC pension fund management model. The salary is assumed to be stochastic and characterized by geometric Brownian motion. In the dynamic setting, a CVaR/wcCVaR constraint is equivalent to a VaR constraint under a higher confidence level. By using the Lagrange multiplier method and the dynamic programming method to maximize the constant absolute risk aversion (CARA) utility of terminal wealth, we obtain closed-form expressions of optimal investment strategies with and without a VaR constraint. Several numerical examples are provided to illustrate the impact of a dynamic VaR/CVaR/wcCVaR constraint and other parameters on the optimal strategy. [ABSTRACT FROM AUTHOR]

This paper investigates the optimal management of an aggregated defined benefit pension plan in a stochastic environment. The interest rate follows the Ornstein-Uhlenbeck model, the benefits follow the geometric Brownian motion while the contribution rate is determined by the spread method of fund amortization. The pension manager invests in the financial market with three assets: cash, a zero-coupon bond and a stock. Regardless of the initial status of the plan, we suppose that the pension fund may become underfunded or overfunded in the planning horizon. The optimization goal of the manager is to maximize the expected utility in the overfunded region minus the weighted solvency risk in the underfunded region. By introducing an auxiliary process and related equivalent optimization problems and using the martingale method, the optimal wealth process, optimal portfolio and efficient frontier are obtained under four cases (high tolerance towards solvency risk, low tolerance towards solvency risk, a specific lower bound, and high lower bound). Moreover, we also obtain the probabilities that the optimal terminal wealth falls in the overfunded and underfunded regions. At last, we present numerical analyzes to illustrate the manager's economic behaviors. [ABSTRACT FROM AUTHOR]

Defined benefit (DB) pension plans are a primary type of pension schemes with the sponsor assuming most of the risks. Longevity-indexed bonds have been used to hedge or transfer risks in pension plans. Our objective is to study an aggregated DB pension plan's optimal risk management problem focusing on minimizing the solvency risk over a finite time horizon and to investigate the investment strategies in a market, comprising a longevity-indexed bond and a risk-free asset, under stochastic nominal interest rates. Using the dynamic programming technique in the stochastic control problem, we obtain the closed-form optimal investment strategy by solving the corresponding Hamilton–Jacobi–Bellman (HJB) equation. In addition, a comparative analysis implicates that longevity-indexed bonds significantly reduce solvency risk compared to zero-coupon bonds, offering a strategic advantage in pension fund management. Besides the closed-form solution and the comparative study, another novelty of this study is the extension of actuarial liability (AL) and normal cost (NC) definitions, and we introduce the risk neutral valuation of liabilities in DB pension scheme with the consideration of mortality rate. [ABSTRACT FROM AUTHOR]

Insurers and pension funds face the challenges of historically low-interest rates and high volatility in equity markets, that have been accentuated due to the COVID-19 pandemic. Recent advances in equity portfolio management with a target volatility have been shown to deliver improved on average risk-adjusted return, after transaction costs. This paper studies these targeted volatility portfolios in applications to equity, balanced, and target-date funds with varying constraints on leverage. Conservative leverage constraints are particularly relevant to pension funds and insurance companies, with more aggressive leverage levels appropriate for alternative investments. We show substantial improvements in fund performance for differing leverage levels, and of most interest to insurers and pension funds, we show that the highest Sharpe ratios and smallest drawdowns are in targeted volatility-balanced portfolios with equity and bond allocations. Furthermore, we demonstrate the outperformance of targeted volatility portfolios during major stock market crashes, including the crash from the COVID-19 pandemic. [ABSTRACT FROM AUTHOR]

This paper focuses on defined-benefit pension funds in which heterogeneous plan members differ in age, salary, contribution rate, and other characteristics. The co-variation of these characteristics proves to have an important effect on the management of the fund. For example, we find that members' ages and salary growths, if co-vary in unfavourable way, can substantially increase the funds' liability, which in turn drives up the amount of funding required and the proportion of risky investment. This coupling effect of heterogeneity is demonstrated first through analytical statements which we derive under a simplified assumption of no investment constraints. In constrained cases for which analytical solutions are unavailable, we develop a numerical method that finds the heterogeneity-adjusted management decisions using a so-called adaptive representative agent (ARA), whose characterization is given explicitly in a key theorem. Whereas traditional methods often suffer from numerical complexity that grows exponentially with the number of heterogeneous members, the computational cost of the proposed ARA method is only linear in the number of time steps. This advantage of the ARA method and its ability to rectify the coupling effects of heterogeneity are demonstrated through our numerical example. [ABSTRACT FROM AUTHOR]

Purpose: Traditionally, the Nigerian pension fund system was based on a defined benefit scheme for the public and private sectors and coincided with serious challenges in the payment of retirement benefits to retirees. These challenges led to the introduction of a defined contribution scheme in terms of the Pension Reforms Act. Since the management of pension fund assets is the sole responsibility of pension fund managers, there is a need to investigate the adequacy of pension fund managers' financial performance since the change in pension fund regime. The pertinent research question in the study was: To what extent do pension cost incurred, revenue, the inflation rate and total contribution affect benefits paid and cash inflow? The extent to which federal government bonds, securities, total contribution and the inflation rate affect investment income were also examined. Methodology: Autoregressive distributed lag (ARDL) cointegration and multiple regression were used in the analysis of the data. Findings: The results of the study revealed that in both the shortterm and long-term analysis, other costs incurred by pension fund management lead to lower benefits paid to retirees. Furthermore, higher administrative costs lead to higher benefits paid, given that increases in administrative costs promote higher inflow contributions, and investing in federal government bonds and, in particular, Treasury bills promotes higher investment income. Thus, securities increase investment income, and the higher the inflation rate, the higher the investment income. Originality/Value: The policy implication signifies a need to reduce pension costs incurred on pension fund management and to encourage more investment in real assets that can militate against inflation. [ABSTRACT FROM AUTHOR]

Pension funds provide income in retirement years. To accomplish this, they collect monthly contribution throughout the working life of beneficiaries and engage in investment activities. Rising inflation rates, higher life expectancy, increment to payments make it difficult for contributions alone to suffice the payment of benefits sustainably. Thus, for pension funds to fulfill their organisational objective of providing income for beneficiaries in their retirement years, investment has to be managed well. In addition to achieving the purpose of social insurance, the investment of pension funds boosts economic growth, resource mobilisation and operation of stock markets. Understanding the importance of pension fund management, this research attempts to assess the pension fund management practice of Public Servant Social Security Administration (PSSSA) and Private Organisation Employees Social Security Administration (POESSA). It attempts to assess the investment identification procedure, measure of performance, opportunities and challenges faced. It is descriptive research, where interview of respondents was analysed qualitatively to assess the aforementioned objectives. The researcher found that both PSSSA and POESSA used to engage in investment activities per directives of MOFED (previously MoF), but since 2022, they are in the process of drafting their own investment guideline and policy. The measurement and accounting standard used to measure performance were found to be inappropriate. The primary opportunity for the pension funds was participating in the capital market soon to emerge. Threats to the pension funds were lack of skilled manpower, rising contribution payments, inflation and behaviour of certain beneficiaries. The researchers recommends the critical evaluation of guidelines, proper measurement and disclosure of performance, account for the pension fund using IPSAS, train and outsources to contest the lack of skilled manpower. [ABSTRACT FROM AUTHOR]

This article discusses the provisions in the Pension Funds Act 5 of 2019 (PFA 2019) that regulate the payment of death benefits after a member of a pension fund has died. While the article welcomes the death benefit provisions in the PFA 2019, it discusses two potential problems that will likely confront Lesotho as it implements those provisions. The first problem is the possible contradiction between sections 32 and 35(1) of the PFA 2019. The article suggests ways to avoid this potential contradiction short of amending the PFA 2019. The second problem is the absence of a definition of a "dependant" in the PFA 2019 and the constitutional implications of this. The article recommends reliance on the common-law definition of dependency or the inclusion of such a definition in the regulations to the PFA 2019. [ABSTRACT FROM AUTHOR]

One important aspect of public finance is understanding expenditure allocations among competing purposes. Applying the public choice paradigm and fiscal illusion framework, this study explores the interplay between current state expenditures and financial needs, and long‐term financial responsibility to pension funds. Using state finance and pension data during 2004–2018, we found actuarially determined employer contributions paid by a state are inversely related to budgetary fund balances, total reserve fund balances, and state expenditures. Especially when governments are fiscally stressed, state officials appear to delay pension contributions while prioritizing operational spending. Interestingly, more stringent TELs and technical BBRs are effective at promoting prudent pension fund management. The study contributes to the public finance literature by providing empirical evidence to advance the argument that government's financing choices can affect the level of public expenditure while demonstrating the mechanism of the relationship between fiscal illusion and government budgetary decisions. Applications for Practice: Pension contribution shortfalls, which are analogous to government borrowing from pension trust funds, can be a source of fiscal illusion. A decrease in actuarial determined employer contribution (ADEC) paid is found to be inversely associated with an increase in public expenditures in the following year.Because of the implicit nature of ADEC and the fiscal illusion effect, pension contributions can be treated as part of the fiscal slack toolbox, especially during fiscal stress periods.State‐imposed fiscal restrictions such as tax and expenditure limits and balanced budget requirements appear to encourage fiscally responsible behavior, including sustaining pension contributions.Underfunding pensions may be the result of a lack of information and attention related to fund management. More complete and transparent information on pension contributions is needed to reduce the fiscal illusion effect and delayed pension contribution. [ABSTRACT FROM AUTHOR]

Copyright of Journal of Research in Finance & Accounting is the property of Journal of Research in Finance & Accounting and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

We develop a model for asset liability management of pension funds, which is solved by stochastic programming techniques. Using data provided by the Bank of Uganda Defined Benefits Scheme, which is closed to new members, we obtain the optimal investment policies. Randomly sampled scenario trees using the mean and covariance structure of the return distribution are used for generating the coefficients of the stochastic program. Liabilities are modelled by remaining years of life expectancy and guaranteed period for monthly pension. We obtain the funding situation of the scheme at each stage, and the terminal cash injection by the sponsor required to meet all future benefit payments, in absence of contributing members. [ABSTRACT FROM AUTHOR]

We apply a dynamic stochastic control (DSC) approach based on an open-loop linear feedback policy to a classical asset-liability management problem as the one faced by a defined-benefit pension fund (PF) manager. We assume a PF manager seeking an optimal investment policy under random market returns and liability costs as well as stochastic PF members' survival rates. The objective function is formulated as a risk-reward trade-off function resulting in a quadratic programming problem. The proposed methodology combines a stochastic control approach, due to Primbs and Sung (IEEE Trans Autom Control 54(2):221–230, 2009), with a chance constraint on the PF funding ratio (FR) and it is applied for the first time to this class of long-term financial planning problems characterized by stochastic asset and liabilities. Thanks to the DSC formulation, we preserve the underlying risk factors continuous distributions and avoid any state space discretization as is typically the case in multistage stochastic programs (MSP). By distinguishing between a long-term PF liability projection horizon and a shorter investment horizon for the FR control, we avoid the curse-of-dimensionality, in-sample instability and approximation errors that typically characterize MSP formulations. Through an extended computational study, we present in- and out-of-sample results which allows us to validate the proposed methodology. The collected evidences confirm the potential of this approach when applied to a stylized but sufficiently realistic long-term PF problem. [ABSTRACT FROM AUTHOR]

To ensure the success of a pension plan under a self-contained defined contribution (DC) retirement plan, the inclusion of foreign assets in a local pension portfolio could be beneficial for risk diversification and the efficient improvement of a fund's investment performance during its accumulation phase. This study focuses on developing international asset allocation criteria for a DC pension plan; accordingly, we consider risk exposure relative to stochastic interest rates and ex- change rates with minimum guarantees. An arbitrage-free framework, namely, the cross-currency Heath–Jarrow–Morton interest rate model, is introduced in dynamic optimization programming for the DC pension fund. The proposed solution based on the generalized stochastic framework provides tractable and appropriate criteria for the dynamic allocation of a DC pension fund. The constituents of the optimal solution can reflect changes in investment lifecycles and shifts in risk preferences during the accumulation phase of a DC pension plan. [ABSTRACT FROM AUTHOR]

Sustainable development is a way of conducting business on the basis of economic, social and environmental responsibilities. All activities of the organization must be conducted on the principle of sustainability and with sustainable results in order to create value, recognition, and trust for all stakeholders. The Government Pension Fund is a large government fund with a large number of members. It used to be an organization that was considered by society and its members on the matter of good governance. In order to gain confidence and trust from all stakeholders and to achieve the ultimate goal of remaining sustainable, the Government Pension Fund has improved its organization in order to become an organization of good governance. It has also operated according to the principles of good governance until the present. The objectives of this research were to study: 1) the levels of good governance, management policies, management achievement, and sustainability of the Government Pension Fund; 2) the influences of good governance, management policies, and management achievement on the sustainability of the Government Pension Fund; and 3) develop a model for the sustainability of the Government Pension Fund. This research employed a mixed research methodology combining quantitative and qualitative methods. For the quantitative research part, the research sample consisted of 420 members of the Government Pension Fund. The sample size was determined based on the criterion of 20 times the observed variables. They were selected via stratified sampling. Data were collected with the use of a questionnaire and analyzed with a structural equation model. As for the qualitative research component, in-depth interviews were conducted with 20 key informants consisting of experts and members of the Government Pension Fund. The data were analyzed with content analysis. The findings showed that: 1) good governance, management policy, management achievement, and sustainability of the Government Pension Fund were rated at the highest level; 2) good governance, management policy, and management achievement had influence on the sustainability of the Government Pension Fund, with a. 05 level of statistical significance, and all of these factors could predict the results by 95 percent; and 3) the model for the sustainability of the Government Pension Fund, developed by the researcher, was called the UCIP Model, consisting of U (referring to utility), C (referring to corporate governance), I (referring to internal process perspective), and P (referring to performance). These research findings can create sustainability for the organizations by integrating 3 key elements, namely good governance, management policies and management achievement, to drive concretely throughout the organizations under the legal business operation, morality and code of conduct, along with setting up appropriate organizational management policies, and create management achievement by using the balanced scorecard strategic management tool to measure the performance and decision-making. [ABSTRACT FROM AUTHOR]

This study sought to identify the main drivers of and barriers to attracting capital market investments to the infrastructure sector in Brazil. The research findings indicate that the incentives vary according to the type of investor. Individual investors are strongly attracted by the tax exemption provided for in Statute 1,2431/2011 to purchase incentivized debentures, and, today, they represent one of the main investors in infrastructure in the country. On the other hand, domestic pension funds have no incentives based on this piece of legislation (their investments are exempt from income tax). For these pension funds, the spread paid by the issuers of incentivized debentures is low. Foreign investors consider the investment environment in the country to be unfavorable due to factors such as high exchange rate volatility and political instability. Therefore, broader institutional reforms are needed to fill the gap in infrastructure investments and attract long-term investors. Green certification of infrastructure projects represents another interesting strategy for attracting investments, especially foreign investors. [ABSTRACT FROM AUTHOR]

The article identifies challenges to the prudence expected of pension fund trustees. It outlines the historical evolution of the law's approach to regulating trustee investments and conceptions of risk in trust laws. It addresses the adverse effects of inflation, diversification, best interest of beneficiaries, climate change, cyber economy and COVID-19. Emphasis is given on the importance of governance, decision around pension scheme design, internal obligations and information management.

There has been concern among the public and policymakers on the adequacy of Brunei Darussalam's pension system, with particular emphasis on the returns generated. This paper will investigate the historical returns since 1993, comparing them with other countries as well as theoretical optimal asset allocations. The detailed financial statements, statistics and annual reports released by Tabung Amanah Pekerja (TAP) provide the basis for a robust assessment. This paper will then conclude with recommendations to improve the returns generated by Brunei Darussalam's pension system. [ABSTRACT FROM AUTHOR]

This paper is concerned with a Stackelberg game of backward stochastic differential equations (BSDEs) with partial information, where the information of the follower is a sub- σ σ -algebra of that of the leader. Necessary and sufficient conditions of the optimality for the follower and the leader are first given for the general problem, by the partial information stochastic maximum principles of BSDEs and forward-backward stochastic differential equations (FBSDEs), respectively. Then a linear-quadratic (LQ) Stackelberg game of BSDEs with partial information is investigated. The state estimate feedback representation for the optimal control of the follower is first given via two Riccati equations. Then the leader's problem is formulated as an optimal control problem of FBSDE. Four high-dimensional Riccati equations are introduced to represent the state estimate feedback for the optimal control of the leader. Theoretic results are applied to a pension fund management problem of two players in the financial market. [ABSTRACT FROM AUTHOR]

The ESG Movement is one of the most potent forces affecting the investment world today. (ESG stands for "environmental/social/gover-nance" and it is the latest iteration of the long-established Corporate Social Responsibility (CSR) movement. ESG has been embraced by managers of some of the world's largest pension plan administration companies, such as BlackRock. The goal of the Movement is to pressure boards of directors and top management of companies where pension plan managers own significant shares of stock into doing what these pension plan managers consider to be "the right thing", even if the actions they promote result in less profitability for those companies, at least in the short run. (Stockholders are not generally considered to owe fiduciary duties to the companies in which they own stock. Pension plan managers, however, are fiduciaries of the beneficiaries of their respective pension plans. How does being a fiduciary harmonize to being a promoter of ESG when following the tenets of that Movement can result in less profitability for the plans they manage? The Trump Administration has expressed doubt over the legality of ESG-motivated actions as they relate to federally-regulated qualified pension plans subject to the Employee Retirement Income Security Act of 1974 (ERISA). (According to an Administration Executive Order, the fiduciary duty of a pension plan manager subject to ERISA is to "maximize" profits for the plan beneficiaries. (This paper will discuss the origins and precepts of the ESG Movement, the fiduciary responsibilities of pension plan trustees, the concerns of ESG proponents that making profits at the expense of the planet and the health of the global population is counter-productive, and arguments about whether ERISA mandates fiduciaries to maximize profits. [ABSTRACT FROM AUTHOR]

When it comes to performance evaluation, productivity analytics, and benchmarking, Data Envelopment Analysis (DEA) is the most widely used tool. To this aim, the paper considers pre-processed data via DEA and adds the DEA efficiency value into the logistic regression model, which can improve the accuracy of the basic logistic regression model. Based on a sample of U.S. public firms from 2012 to 2016, the empirical results illustrate that, compared to the conventional DEA models, the proposed models yield more useful productivity expression for diversified firms, and that the model-suggested resource reallocation is linked to better firm performance. [Extracted from the article]

A critical issue for ensuring long-term sustainability of pension funds is how the Public Service Pension Fund Management Board (PSPFMB) makes entrusting decisions to choose investment trust corporations (ITCs). To design a more comprehensive performance measure, this study uses the additive network data envelopment analysis (DEA) approach to measure efficiency scores of 34 ITCs, including operating performance, equity fund performance, and bond fund performance. We further propose a method to effectively forecast the future efficiency scores of each ITC by using a trend analysis technique. Our mechanism for ITC evaluation helps improve the deficiency of old decision-making processes that merely look at ITCs' past performances. Our proposed approach offers a theoretical contribution to the additive DEA literature by through its practicality and by integrating measurement and prediction procedures. For a practical implication with additive network DEA, we provide a more feasible method for selecting ITCs that will run the Public Service Pension Fund. [ABSTRACT FROM AUTHOR]

The article is part of contemporary discussions that challenge economic sociology and the sociology of work to reflect on a new socioeconomic phenomenon: the arrival of trade unionists in the financial market, through creation and, above all, the management of pension funds. Social actors of the construction of this new financial phenomenon, unionists come to (re)signify not only their strategies, but also their speeches, adding moral and social questions to the interests of the market. The work demonstrates that using the logic of capitalism itself in the fight against financialization of the economy and the productive restructuring would be the new ethos of Brazilian unionism. [ABSTRACT FROM AUTHOR]

This paper considers an extension of the common asset universe of a pension fund to investment certificates. Investment certificates are a class of structured products particularly interesting for their special payoff structures and they are acquiring relevancy in the worldwide markets. In fact, some subclasses of certificates offer loss protection and show high liquidity and, thus, they can be very appreciated by pension fund managers. We consider the problem of a pension fund manager who has to implement an Asset and Liability Management model trying to achieve a long-term sustainability. Therefore, we formulate a multi-stage stochastic programming problem adopting a discrete scenario tree and a multi-objective function. We propose a technique to price highly structured products such as investment certificates on a discrete scenario tree. Finally, we solve the investment problem considering some investment certificate types both in term of payoff structure and protection level, and we test whether they are preferred or not to standard hedging contract such as put options. Moreover, we test the inclusion of first-order and second-order stochastic dominance constraints on multiple stages with respect to a benchmark portfolio. Numerical results show that the portfolio composition reacts to the inclusion of the stochastic dominance constraints, and that the optimal portfolio is efficiently able to reach several targets such as liquidity, returns, sponsor's extraordinary contribution and funding gap. [ABSTRACT FROM AUTHOR]

Approximately 40% of pension funds for military officials, civil servants, and educators in Taiwan are entrusted to international and domestic management funds. However, the average return rate for domestically outsourced funds is not greater than the earnings of self-managed funds. This study establishes a selection mechanism for pension fund outsourcing that conforms to current outsourcing management policies and accounts for both safety and profitability. This study conducts a network data envelopment analysis with considerations of dynamism to gauge the internal management efficiency and investment performance of 37 investment trust companies in Taiwan, thereby accurately measuring the links between internal economic activities and improving overlooked internal productivity activities. The results of this study indicate the internal and external corporate learning benchmarks, which are sequenced to assist the optimal outsourcing measures by applying rough set theory concepts. This study also provides suggestions for the Public Service Pension Fund Management Board in Taiwan in terms of future operations in domestic investment trust companies. [ABSTRACT FROM AUTHOR]

This study explores the underlying drivers of US public pension funds' tendency to tilt their portfolios towards companies with stronger corporate social responsibility (CSR). Studying the equity holdings of large, internally managed US state pension funds, we find evidence that the political leaning of their beneficiaries and political pressures by state politicians affect funds' investment decisions. State pension funds from states with Democratic-leaning beneficiaries tilt their portfolios more strongly towards companies that perform well on CSR issues, and this tendency is intensified when the state government is dominated by Democratic state politicians. Moreover, we find that funds which tilt their portfolios towards companies with superior CSR scores generate a slightly higher return compared with their counterparts. Overall, our findings indicate that funds align their investment choices with the financial and non-financial interests of their beneficiaries when deciding whether to incorporate CSR into their equity allocations. [ABSTRACT FROM AUTHOR]

• We analyze a reform in Peru introducing a new pension fund management fee. • Both individuals actively choosing a fee and falling into the default fee are negatively affected. • About 2/3 of individuals lose with the reform. • High financial literacy is associated with choosing well. • The reform may increase inequality in pension balances. To shed light on the effects of individual choice on pension wealth, we study a policy change to the management fees of pension funds implemented by Peru's government in 2013. The reform established a new balance fee as a default option; this fee is calculated as a percentage of the pension balance. Each individual had the initial option of keeping the previous management fee, a load factor fee calculated as a percentage of the individual's salary. We use administrative data to simulate pension balances based on the individual's choice of fee and the corresponding counterfactual. Our results indicate that the reform has been potentially adverse to 63.1% of individuals, of whom 41.4% were assigned to the default option and 21.7% voluntarily chose the load fee. These results reflect both the potentially negative unintended effects of the policy and an alarming lack of financial literacy among citizens. We also detect heterogeneity in the intensity of the losses and gains due to the reform, which caused greater losses than gains. In particular, younger and poorer individuals, as well as those automatically assigned to the balance fee, experienced higher losses. Moreover, the new fee scheme is also associated with increasing inequality between individuals' pension wealth. [ABSTRACT FROM AUTHOR]

The interest rate and the market price of risk may be stochastic in a real-world financial market. In this paper, the interest rate is assumed to be driven by a stochastic affine interest rate model and the market price of risk from the stock market is a mean-reverting process. In addition, the dynamics of the stock are simultaneously driven by random sources of interest rate and the stock market itself. In pension fund management, different fund managers may have different risk preferences. We suppose risk preference is described by the hyperbolic absolute risk aversion utility, which is a general utility function describing different risk preferences. Legendre transform-dual theory is presented to successfully obtain explicit expressions for optimal strategies. A numerical example illustrates the sensitivity of optimal strategies to market parameters. Theoretical results imply that the risks from stochastic interest rate and stochastic return may be completely hedged by adopting specific portfolios. [ABSTRACT FROM AUTHOR]

The rising regulatory and public pressure to align investments with sustainability causes an increasing need to analyze how investment institutions conduct and execute investment strategies related to their environmental, social, and corporate governance (ESG) funds. A thorough literature review shows that multiple criteria decision-making models are rarely used to discuss the relationships and weights of ESG fund indices. Furthermore, no ESG investment strategy evaluation framework has been created to deal with such funds. Therefore, a comprehensive framework is developed in this study to help select appropriate investment trust companies (ITCs). Z-numbers are incorporated into the proposed decision-making model in order to reflect information uncertainty and to assess the confidence of expert evaluations. First, a Z-based decision-making trial and evaluation laboratory approach is used to obtain the relationships and weights of indices to generate a causality diagram that allows decision-makers to quickly recognize the critical influencing factors in their evaluation systems. Then, a Z-based reference ideal method is applied to integrate the performance of the ITCs. The empirical application provides a demonstration of the usefulness of the proposed approach for selecting ITCs, which can aid to formulate appropriate strategies. • A comprehensive framework is proposed for selecting ITCs aligned with ESG factors for pension fund management. • Z-numbers are used to reflect information uncertainty and assess expert evaluations. • Four dimensions and 16 indices for evaluating ESG investment strategies are considered. • Key indices for selecting ITCs are identified. • The study can aid the development of ESG investment strategies in the public sector. [ABSTRACT FROM AUTHOR]

Over the last two decades, institutional investing has rocked the world of corporate governance in a transformation that has begun to be reflected in the finance, legal, and management literatures. Traditional players have seen their roles change and bases of power shift, and new actors have entered the governance equation. These transitions have entailed an ethical upheaval that is only beginning to be addressed in the business ethics literature. This paper attempts to facilitate research in this area by integrating various literatures into an examination of a series of business ethics issues related to pension fund activism and portfolio management, fund staffing, and employee compensation. The primary intent of this project is to encourage increased business ethics research in the area of institutional investing in general and pension fund management in particular. [ABSTRACT FROM AUTHOR]

Copyright of NTU Management Review is the property of NTU Management Review and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)