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NRI Vol.9 2013.9

Contents 04 13 Restructuring Occupational Pension Plans in Crisis: A US Labor Management Case Study DAVID S. BLITZSTEIN (Rotman International Journal of Pension Management Vol.6 Issue 1 Spring 2013) 23 When Do Derivatives Add Value in Pension Fund Asset Allocation? JIAJIA CUI, BART OLDENKAMP, MICHEL VELLEKOOP (Rotman International Journal of Pension Management Vol.6 Issue 1 Spring 2013) 35 The Kay Review on Long-Horizon Investing: A Guide for the Perplexed GORDON L. CLARK (Rotman International Journal of Pension Management Vol.6 Issue 1 Spring 2013) 43 The Defi ned Ambition Pension Plan: A Dutch Interpretation NIELS KORTLEVE (Rotman International Journal of Pension Management Vol.6 Issue 1 Spring 2013)

vol.9 David S. Blitzstein 13

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vol.9 Notes 1. 2. References 22

vol.9 Jiajia Cui Bart Oldenkamp Michel Vellekoop 23

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vol.9 V ν κ ω db t =rb t dt ds t =(r+p t )S t dt+s t V t dy t +μs t- (dν t λv t dt) dv t =κ(ν V t )dt+ω V t(ρdy t + 1 ρ 2 dζ t) B S Y Z N S V ρ N λ >0 μ 1<μ < 0 p t p t = η V t + μ ( λ λ Q )V t ηλ Q λ ζ dπ t /π t- = rdt V t (ηdy t +ζdζ t )+(λ Q /λ 1)(dΝ t λv t dt). ω ( ρη+ ζ (1 ρ 2 )) S V ζ 25

vol.9 γ h (W max E t [ T hw t ) 1 γ ] α 1 γ W t t Α i t i t α i n W T =W tσα i i=1 i A T i A t γ 26

vol.9 γ γ γ = νζ κ Q κ κ Q κ= 27

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vol.9 Notes 1. 2. 3. 4. 5. 6. 7. 8. 9. 10. References 34

vol.9 Gordon L. Clark 35

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vol.9 Notes 1. 2. References 42

vol.9 Niels Kortleve 43

Articles must retain Creative Commons License Attribution-Noncommercial-No Derivative Works License - there is a Japanese version of the license which can be downloaded from www.creativecommons.org which must accompany print and online versions of the translation. Vol.9

Rotman International Journal of Pension Management Vol.6 Issue 1 Spring 2013 Editorial - Defining Defined Ambition Pension Plans KEITH AMBACHTSHEER The Defined Ambition Pension Plan: A Dutch Interpretation NIELS KORTLEVE Restructuring Occupational Pension Plans in Crisis: A US Labor Management Case Study DAVID S. BLITZSTEIN Dynamic DC: Keeping Your Options Open IOULIA TRETIAKOVA and MARK S. YAMADA Why Canada Has No Retirement Crisis FRED VETTESE Risk-Management Practices at Large Pension Plans: Findings from a Unique 27-Fund Survey ALEX BEATH and JODY MACINTOSH When Do Derivatives Add Value in Pension Fund Asset Allocation? JIAJIA CUI, BART OLDENKAMP, MICHEL VELLEKOOP The Kay Review on Long-Horizon Investing: A Guide for the Perplexed GORDON L. CLARK Platforms and Vehicles for Institutional Co-Investing JAGDEEP SINGH BACHHER and ASHBY H. B. MONK ICPM INVESTS IN PENSION RESEARCH: FOUR NEW PROJECTS RECEIVE FUNDING STEFAN LUNDBERGH