Decision-Making and Solvency-Based Dynamic Asset Allocation at the ABN AMRO Pension Fund

8 Pages Posted: 17 Feb 2012

See all articles by Cees L. Dert

Cees L. Dert

Vrije Universiteit Amsterdam, School of Business and Economics

Geraldine Leegwater

affiliation not provided to SSRN

Date Written: December 1, 2011

Abstract

Since 2007, the board of trustees of the ABN AMRO Pension Fund has applied an innovative approach to determine its strategic investment policy. The strategic asset allocation is selected implicitly by choosing the pension fund’s set of risk-reward characteristics without knowing the underlying investment policy. This process ensures an effective separation between the decision about risk-reward trade-offs on one hand and investment beliefs and means to achieve those trade-offs, such as the investment policy, on the other hand. This decision-making process repeatedly has led to the choice of dynamic asset allocation strategies in which the level of risk depends on the pension fund’s funded ratio. Traditional static asset allocations with similar expected returns would have led to a significantly lower funded ratio.

Keywords: ABN AMRO pension fund, dynamic asset allocation

JEL Classification: G10, G11, G23

Suggested Citation

Dert, Cees L. and Leegwater, Geraldine, Decision-Making and Solvency-Based Dynamic Asset Allocation at the ABN AMRO Pension Fund (December 1, 2011). Journal of Investment Consulting, Vol. 12, No. 2, pp. 35-41, 2011. Available at SSRN: https://ssrn.com/abstract=2004656

Cees L. Dert (Contact Author)

Vrije Universiteit Amsterdam, School of Business and Economics ( email )

De Boelelaan 1105
Amsterdam, 1081HV
Netherlands

Geraldine Leegwater

affiliation not provided to SSRN ( email )

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