Extending the Scope of ALM to Social Investment: Investing in Population Growth to Enhance Sustainability of the Korean National Pension Service

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The Korean National Pension Service (NPS) is a partially funded and defined-benefit system. Although the accumulated Fund of the NPS has been increased gradually, this large fund is concerned about depletion in the near future due to the unprecedented aging population and the low fertility rate. In this study, we have developed an asset-liability management (ALM) model that endogenizes variables which were regarded as being exogenous by including them in investable assets. We present the multistage stochastic programming (MSP) formulation incorporating the population structure as a variable that is new to ALM. The optimal portfolio encompassing the investment in raising the fertility rate is obtained. Extending the scope of ALM to social investment is a new approach that has not been attempted in other ALM studies. We demonstrate that socially driven investments can also be a good investment asset in which the NPS should consider to invest.
Publisher
MDPI
Issue Date
2021-01
Language
English
Article Type
Article
Citation

SUSTAINABILITY, v.13, no.1, pp.401

ISSN
2071-1050
DOI
10.3390/su13010401
URI
http://hdl.handle.net/10203/280466
Appears in Collection
IE-Journal Papers(저널논문)
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