Abstract
Governments in various countries are holding large pools of resources managed for public goals. These pools are known under different names, like sovereign wealth funds, public investment funds, pension funds, saving funds, intergenerational funds and so on, reflecting their different historical roots and orientation. Mitchell et al. (2008) make a distinction between three types of publicly held funds, or of public investment funds as they call these funds: (i) reserve funds held for currency stabilization and macroeconomic stabilization purposes; (ii) sovereign wealth funds (SWF) accumulated from natural resource taxes or from fiscal surpluses aimed at sharing the revenues of the exploitation of natural resources with future generations (Norway, Kuwait, Abu Dhabi); and (iii) public pension funds built up either through an explicitly funded arrangement or the result of prefunding the foreseeable increase in social security benefits because of ageing (Japan, Canada).
The views expressed here are those of the authors only and not necessarily of the institutions with which they are affiliated.
This is a preview of subscription content, log in via an institution.
Buying options
Tax calculation will be finalised at checkout
Purchases are for personal use only
Learn about institutional subscriptionsPreview
Unable to display preview. Download preview PDF.
References
Ang, A., Bekaert, G. and Wei, M. (2008) ‘The term structure of real rates and expected inflation’, Journal of Finance, Vol. 63(2), 797–849.
Ang, A., Piazzesi, M. and Wei, M. (2005) ‘What does the yield curve tell us about GDP growth?’, Journal of Econometrics, Vol. 131(1–2), 359–403.
Brennan, M.J., Schwartz, E.S. and Lagnado, R. (1997) ‘Strategic Asset Allocation’, Journal of Economic Dynamics and Control, Vol. 21(9), 1377–1403.
Brennan, M.J. and Xia, Y. (2002) ‘Dynamic asset allocation under inflation’, Journal of Finance, 57(3), 1201–1238.
Campbell, J.Y. and Shiller, R.J. (1988) ‘Stock Prices, Earning, and Expected Dividends’; Journal of Finance, Vol. 43(3), 661–676.
Campbell, J.Y. and L.M. Viceira (2002) Strategic Asset Allocation, portfolio choice for long-term investors, Oxford University Press.
Campbell, J.Y. and L.M. Viceira (2005) ‘The Term Structure of the Risk-Return Tradeoff’, Financial Analysts Journal, Vol. 61(1), 34–44.
Chapman R.J., Gordon T.J. and Speed C.A. (2001) ‘Pensions, funding and risk’, British Actuarial Journal, Vol. 74, 605–663. [Author query: listed as 2002 in the text.]
Cochrane (2001) Asset Pricing, Princeton University Press.
De Jong, F. (2008) ‘Valuation of pension liabilities in incomplete markets’, Journal of Pension Economics and Finance, Vol. 7(3), 277–294.
Hoevenaars R.P.M.M., Molenaar R.D.J., Schotman P.C. and Steenkamp T.B.M. (2008) ‘Strategic Asset Allocation with Liabilities: Beyond Stocks and Bonds’, Journal of Economic Dynamics and Control, Vol. 32(9), 2939–2970.
Hoevenaars R.P.M.M., and Ponds, E.H.M. (2008) ‘Valuation of intergenerational transfers in funded collective pension schemes’, Insurance, Mathematics and Economics, Vol. 42, 578–593.
Kortleve N. and Ponds E.H.M. (2006) ‘Pension deals and value-based ALM’, in Kortleve N., Nijman Th. and Ponds E.H.M. (eds) Fair value and pension fund management, Elsevier Science.
Lee, B., Rogal, D. and Weinberger, F. (2009) ‘Asset allocation and portfolio construction for sovereign wealth managers’, in Strategic Asset Allocation for Central Banks & Sovereign Wealth Funds, Palgrave Macmillan. [Author query: editors?]
Mitchell, O.S., Piggott, J. and Kumru, C. (2008) ‘Managing public investment funds: best practices and new questions’, Journal of Pension Economics and Finance, Vol. 7(3), 321–356.
Nijman, Th. E. and Koijen, R.S.J. (2006) ‘Valuation and risk management of inflationsensitive pension rights’, in Kortleve N., Nijman Th. and Ponds E.H.M. (eds) Fair value and pension fund management, Elsevier Science.
Paulson, A.L. (2009) ‘Raising capital: The role of sovereign wealth funds’ Chicago Fed Letter, January, 321–356.
Ponds E.H.M. (2003) ‘Pension funds and value-based generational accounting’, Journal of Pension Economics and Finance, Vol. 2(3), 295–325.
Scherer, B. (forthcoming) ‘Portfolio choice for oil based sovereign wealth funds’, in A. Berkelaar, J. Coche, and K. Nyholm (Eds) Strategic Asset Allocation for Central Banks & Sovereign Wealth Funds, Palgrave Macmillan.
Sharpe, W.F. (1976) ‘Corporate pension funding policy’, Journal of Financial Economics, Vol. 3, 183–193.
Editor information
Editors and Affiliations
Copyright information
© 2010 Roy P.M.M. Hoevenaars, Roderick D.J. Molenaar and Eduard H.M. Ponds
About this chapter
Cite this chapter
Hoevenaars, R.P.M.M., Molenaar, R.D.J., Ponds, E.H.M. (2010). Public Investment Funds and Value-Based Generational Accounting. In: Berkelaar, A.B., Coche, J., Nyholm, K. (eds) Central Bank Reserves and Sovereign Wealth Management. Palgrave Macmillan, London. https://doi.org/10.1057/9780230250819_13
Download citation
DOI: https://doi.org/10.1057/9780230250819_13
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-349-36885-3
Online ISBN: 978-0-230-25081-9
eBook Packages: Palgrave Economics & Finance CollectionEconomics and Finance (R0)