Earticle

초록

영어

This study examines ex-post responses in pension fund asset management when pre-determined asset allocation constraints are breached due to abrupt market fluctuations or unexpected expenditure shocks. In practice, Korean pension funds typically rely on static strategic asset allocation frameworks that specify target weights and allowable ranges for each asset class. While such frameworks play a central role in risk management and long-term portfolio governance, they are inherently static and provide limited guidance on how investment committees should respond once allocation constraints are violated. This limitation becomes particularly critical in the presence of alternative assets, which are characterized by substantial illiquidity and high transaction costs when liquidated prematurely. Hence, this study develops a formal decision-making model that explicitly incorporates the illiquidity of alternative assets and evaluates the economic implications of different ex-post responses from the perspective of the funding ratio. We consider a pension fund portfolio consisting of two asset classes: liquid traditional assets and illiquid alternative assets. In the presence of an exogenous expenditure shock that necessitates asset sales, the fund faces a discrete ex-post decision between two response strategies. The first strategy is immediate liquidation, in which both liquid and alternative assets are sold in proportions that strictly adhere to the original target allocation weights. This response maintains consistency with the pre-defined strategic asset allocation and the associated risk-return profile, but it entails potentially large and deterministic transaction costs due to the forced liquidation of illiquid assets. The second strategy is a temporary suspension of allocation constraints, under which the fund meets its liquidity needs solely by selling liquid assets while postponing the liquidation of alternative assets. This approach avoids immediate transaction costs but allows for deviation from target weights, potentially worsening the risk-return trade-off relative to the efficient frontier implied by mean-variance optimization. The model evaluates these two ex-post responses by comparing the expected utility of the funding ratio at the end of the period. Preferences are represented by a constant relative risk aversion (CRRA) utility function defined over the funding ratio, reflecting the objective of pension fund investment committees to balance return generation against the risk of underfunding. Within this framework, we examine how the optimal ex-post response depends on three key determinants: the transaction costs associated with alternative assets, the magnitude of the expenditure shock, and the pension fund’s constant relative risk aversion coefficient. Our analysis yields several notable findings. The relative risk aversion coefficient emerges as the dominant factor in determining the optimal ex-post response. While higher transaction costs generally increase the attractiveness of suspending allocation constraints by making immediate liquidation more expensive, their effect is often dominated by the fund's degree of risk aversion. Pension funds with higher levels of risk aversion exhibit a strong preference for immediate liquidation, even when transaction costs are substantial. This preference arises because highly risk-averse decision makers penalize the increased uncertainty and tail risk associated with deviations from the target allocation more heavily than the certainty of transaction costs incurred through liquidation. In contrast, the magnitude of the expenditure shock itself plays a relatively minor role in the decision, once the effects of risk aversion and transaction costs are taken into account. Furthermore, the study highlights the critical role of the gap between the initial allocation to alternative assets and the optimal allocation implied by mean-variance optimization. When the initial weight of alternative assets exceeds the mean-variance optimal level, suspending allocation constraints exacerbates the deviation from the efficient portfolio and further deteriorates the risk-return trade-off. In such cases, immediate liquidation is more likely to be optimal, particularly for risk-averse funds. Conversely, when the initial allocation to alternative assets is below the optimal level, a temporary suspension of allocation constraints can be welfare-improving. By selling only liquid assets, the relative share of alternative assets increases endogenously, moving the portfolio closer to the optimal allocation while simultaneously avoiding transaction costs. This result demonstrates that the desirability of ex-post flexibility is contingent upon the ex-ante positioning of the portfolio. These findings underscore the importance of linking ex-post decision rules to ex-ante asset allocation design. While ex-post flexibility can mitigate unnecessary costs and improve outcomes following shocks, such flexibility is not unconditional. Rather, it is supported by an appropriately calibrated strategic asset allocation that aligns initial portfolio weights with optimal risk-return trade-offs. In this sense, the study emphasizes that effective ex-post responses are not substitutes for sound ex-ante asset allocation, but complements that depend on the quality of the initial allocation. This study contributes to the literature by providing a structured and tractable framework for evaluating ex-post responses in pension fund asset management under illiquidity and allocation constraints. Unlike existing studies that primarily focus on ex-ante optimization or permanent changes in allocation policy, this paper formalizes the trade-off faced by pension funds when responding to realized shocks within a static strategic allocation framework. From a practical perspective, the results offer clear guidance for pension fund investment committees and outsourced chief investment officer (OCIO) managers. By jointly considering transaction costs, risk preferences, and the alignment between initial and optimal asset allocations, the proposed framework supports more disciplined and transparent ex-post decision-making. Ultimately, the analysis suggests that a model-based approach to ex-post responses can enhance the robustness of pension fund governance by preventing mechanically enforced rebalancing and by promoting economically justified flexibility under well-defined conditions.

한국어

본 연구는 연기금 자산운용에서 급격한 시장 변동이나 지출부담 충격으로 인해 사전에 설정된 자산배분 비중제약을 이탈하는 경우, 어떠한 사후대응이 적립비율 측면에서 최적인지를 분석한다. 특히 중도 매각 시 거래비용이 크고 비유동적인 대체투자 자산의 특성을 명시적으로 반영한 의사결정 모형을 제시하고, (i) 목표비중을 준수하기 위한 즉각적 유동화와 (ii) 비중제약 적용유예라는 두 가지 사후대응 방안을 비교한다. 분석 결과, 최적 사후대응 결정에는 대체투자의 거래비용이나 지출부담 충격의 크기보다 연기금의 상대적 위험회피계수가 가장 지배적인 영향을 미치는 것으로 나타났다. 위험회피계수가 높을수록 비중 이탈로 인한 위험-수익 상충관계의 악화를 회피하기 위해 거래비용을 감수하고서라도 즉각적 유동화를 선호하는 경향이 확인되었다. 또한 대체투자의 초기비중과 평균-분산 최적화에 따른 최적비중의 차이가 사후대응의 유연성을 결정하는 핵심 요인임을 보여 사전적 자산배분의 중요성을 역설하였다. 본 연구는 전략적 자산배분의 사전적 한계를 보완할 수 있는 체계적인 사후대응 기준을 제시함으로써, 연기금 기금운용심의회 및 OCIO 운용사의 실무적 의사결정에 유용한 시사점을 제공한다.

목차

요약
Abstract
Ⅰ. 서론
1. 연구의 배경
2. 연구의 목적
3. 선행연구
Ⅱ. 모형 설계
1. 금융시장
2. 모수
3. 현금흐름 충격 및 연기금의 자산배분 가정
4. 사후대응
5. 최적 사후대응
Ⅲ. 모수설정
1. 모수 설정
Ⅳ. 분석: 모수 측면
1. 거래비용과 충격 크기
2. 위험회피계수와 충격 크기
3. 위험회피계수와 거래비용
4. 종합
Ⅴ. 분석: 초기 자산배분 측면
Ⅵ. 결론
References

키워드

저자

• 박용헌 [ Yonghun Park | 포항공과대학교 산업경영공학과 통합과정 ]
• 장봉규 [ Bong-Gyu Jang | 포항공과대학교 산업경영공학과 교수 ] 교신저자

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  재무연구 [Asian Review of Financial Research]

• 간기

  계간

• pISSN

  1229-0351

• eISSN

  2713-6531

• 수록기간

  1988~2026

• 등재여부

  KCI 등재,SCOPUS

• 십진분류

  KDC 325 DDC 330