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Identifying Risk-Taking Behavior and Prudent Asset Allocation in Pension

Indonesia Financial Group (IFG) Progress, Jakarta, Indonesia et al.

Economics and Finance in Indonesia2024https://doi.org/10.47291/efi.2024.02article
ABDC C
Weight
0.30

What the paper says

This research aims to investigate asset allocation strategies in the pension fund industry in Indonesia in relation to liability profiles and risk-taking behavior. Utilizing data on market returns for each asset class and several financial indicators of pension funds, we applied the risk-taking behavior model proposed by Andonov & Rauh (2022) and a modified model to observe the Liability-Driven Investment (LDI) strategies of pension funds in Indonesia. We discovered that private defined contribution pension fund schemes (PPIP) tend to exhibit higher risk-taking behavior, primarily through investment allocation in equities. On the other hand, private defined benefit pension funds (PPMP) demonstrate a less aggressive risk-taking approach, allocating investments in bonds and cap/blue-chip stocks. PPMP also indicates relatively better implementation of the LDI strategies by considering the sensitivity of long-term bonds concerning return on investment (ROI).

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https://doi.org/https://doi.org/10.47291/efi.2024.02

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@article{indonesia2024,
  title        = {{Identifying Risk-Taking Behavior and Prudent Asset Allocation in Pension}},
  author       = {Indonesia Financial Group (IFG) Progress, Jakarta, Indonesia et al.},
  journal      = {Economics and Finance in Indonesia},
  year         = {2024},
  doi          = {https://doi.org/https://doi.org/10.47291/efi.2024.02},
}

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Identifying Risk-Taking Behavior and Prudent Asset Allocation in Pension

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Evidence weight

0.30

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.00 × 0.4 = 0.00
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.