Pension Risk Budgeting: Something Old, Something New, Something Borrowed…

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Pension Risk Budgeting: Something Old, Something New, Something Borrowed…
Leo de Bever, Ontario Teachers’ Pension Plan Board;
Wayne Kozun, Ontario Teachers’ Pension Plan Board;
Valter Viola, Ontario Teachers’ Pension Plan Board;
and Barbara ZVAN, Ontario Teachers’ Pension Plan Board

The authors contend that "risk budgeting" is a new label for a management discipline made possible by software that can measure risk as frequently as return.  The underlying methodology is mean-variance optimization and Value at Risk.  Their slant is in judging opportunities by return on risk, instead of return on assets.

Pension Risk Budgeting: Something Old, Something New, Something Borrowed...
Leo de Bever, Ontario Teachers’ Pension Plan Board;
Wayne Kozun, Ontario Teachers’ Pension Plan Board;
Valter Viola, Ontario Teachers’ Pension Plan Board;
and Barbara ZVAN, Ontario Teachers’ Pension Plan Board

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