Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JPM
    • Awards
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Portfolio Management
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Portfolio Management

The Journal of Portfolio Management

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JPM
    • Awards
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter
Primary Article

How Derivatives Can Help Solve the Pension Fund Crisis

Huub F. van Capelleveen, Harry M. Kat and Theo P. Kocken
The Journal of Portfolio Management Summer 2004, 30 (4) 244-253; DOI: https://doi.org/10.3905/jpm.2004.244
Huub F. van Capelleveen
is a director of Cardano Risk Management in Rotterdam, The Netherlands.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Harry M. Kat
is professor of risk management and director of the Alternative Investment Research Centre at the Cass Business School of City University in London, UK.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Theo P. Kocken
is CEO of Cardano Risk Management in Rotterdam, The Netherlands.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Abstract

Properly constructed option strategies can add substantial value to pension fund management, according to a scenario-based asset-liability model that analyzes their effects on the risk-return profile of defined-benefit pension funds. The results are robust with respect to variations in horizon, equity risk premium, and volatility assumptions. The optimal strategy should be determined in an asset-liability context and not ad hoc, as the intuitively most appealing strategies are not necessarily the most effective. Different types of funds may require significantly different option strategies. What works well for one fund may be less effective or even counter-productive for another. Overall, incorporating options appears an efficient way to improve long-term pension fund health and thus the sustainability of defined-benefit pension plans.

  • © 2004 Pageant Media Ltd

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Portfolio Management
Vol. 30, Issue 4
Summer 2004
  • Table of Contents
  • Index by author
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Portfolio Management.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
How Derivatives Can Help Solve the Pension Fund Crisis
(Your Name) has sent you a message from The Journal of Portfolio Management
(Your Name) thought you would like to see the The Journal of Portfolio Management web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
How Derivatives Can Help Solve the Pension Fund Crisis
Huub F. van Capelleveen, Harry M. Kat, Theo P. Kocken
The Journal of Portfolio Management Jul 2004, 30 (4) 244-253; DOI: 10.3905/jpm.2004.244

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
How Derivatives Can Help Solve the Pension Fund Crisis
Huub F. van Capelleveen, Harry M. Kat, Theo P. Kocken
The Journal of Portfolio Management Jul 2004, 30 (4) 244-253; DOI: 10.3905/jpm.2004.244
del.icio.us logo Digg logo Reddit logo Twitter logo CiteULike logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • No citing articles found.
  • Google Scholar

More in this TOC Section

  • An Assessment of Terrorism-Related Investing Strategies
  • Dividends versus Share Repurchase
  • Pricing Stock and Bond Options in Incomplete Markets
Show more Primary Article
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • News
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Sign In
  • Update your profile
  • Give us your feedback

© 2021 Pageant Media Ltd | All Rights Reserved | ISSN: 0095-4918 | E-ISSN: 2168-8656

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies