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Media type:
E-Book
Title:
Extending the Scope of ALM to Social Investment – Investing in Population Growth to Enhance Sustainability of the Korean National Pension Service
Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 16, 2018 erstellt
Description:
The Korean National Pension Service (NPS) is a funded and defined-benefit system. The accumulated fund of the NPS has increased gradually, and has now reached 35% of the national gross domestic product (GDP). However, this large fund will become depleted by 2060 due to the aging population and the low fertility rate. In this study, we have developed an asset–liability management (ALM) model to resolve this sustainability problem using multi-stage stochastic programming. We found the optimal portfolio by including the investment in raising the fertility rate, which is a concept that is new to ALM. Extending the scope of ALM to social investment is a new approach that has not been attempted in other ALM studies. As a result, we showed that an investment in population growth can enhance the sustainability of funds. Thus, we demonstrate that socially driven investments can also be a good investment asset in which the NPS should consider to invest