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Table of contents
1 Introduction
1.1 Background
1.2 Problematization
1.3 Purpose
1.4 Research Questions
1.5 Expected Contribution
1.6 Assumptions and Delimitations
1.7 Subsequent Chapters
2 Methodology
2.1 Research Process
2.2 Literature Review
2.3 Data Collection
2.3.1 Sample Time
2.3.2 Pension Fund’s Annual Reports
2.3.3 Historical Prices
2.4 Quantitative analysis
2.4.1 Statistical tools
2.5 Source Criticism
2.6 Reliability
2.7 Validity
3 Literature & Theoretical Framework 1
3.1 What is a Hedge Fund
3.2 What is a Pension Fund
3.3 Previous Research
3.3.1 Allocation towards Hedge Funds
3.3.2 Responses to Low Interest-Rate Environment
3.4 Portfolio Theory
3.4.1 Strategic Asset Allocation with Mean-Variance Optimization
3.4.2 The Assumptions of Mean-Variance Optimization
3.5 Conditional Value-at-Risk
4 Results
4.1 Studied Pension Funds
4.2 Pension Fund’s Asset Allocation
4.3 Distribution of Asset Returns
4.4 Cumulative Return of Indices
4.5 Efficient Frontier
4.6 Cumulative Portfolio Return
4.7 Drawdown
5 Discussion
5.1 Pension Funds Asset Allocation During the Period
5.1.1 Comparison to Previous Research and Theory
5.1.2 Analysis of Method
5.2 Optimal Allocation Policy
5.2.1 Comparison to Previous Research
5.2.2 Analysis of Method
6 Conclusion, Implication and Future Research
6.1 Answering the Research Questions
6.2 Implications
6.3 Future Research
References
A Appendices
