This paper sets out an analytical framework for optimal asset allocation of sovereign wealth, based on the theory of contingent claims analysis applied to the sovereigns economic balance sheet. A country solves an asset-liability management problem involving its sources of income and its...

This paper sets out a new analytical framework for optimal asset allocation of sovereign wealth, based on the theory of contingent claim ana lysis (CCA) applied to the sovereign’s economic balance sheet. A country solves an asset-l iability management (ALM) problem between its sources of...

Cet article évalue l'impact sur la croissance potentielle à l'horizon 2020 de différentes trajectoires de dette publique française, sous l'hypothèse d'une accélération des dépenses de retraite entièrement financée par endettement. Un modèle analytique avec fonction de production et...

This paper addresses management of sovereign wealth from the perspective of the theory of contingent claims. Starting with the sovereign's balance sheet, we frame sovereign fund management as an asset-liability management (ALM) problem, covering all public entities and taking explicit account of...

Using the most comprehensive publicly available data to-date, we study the effect of three aspects of pension regulation (namely quantitative investment restrictions, minimum return or benefit guarantee, and the type of supervising authority) on risk-adjusted funded pension performance in 27...

The American pension funds system reinforces the sensibility of the American economy to financial markets fluctuations. Market risk is supported by companies as concerns defined benefits funds (DB) and by households as regards defined contributions plans (DC). DC funds are often over-invested in...

Inflation shocks are one of the pitfalls of developing economies and are usually difficult to hedge. This paper examines the optimal strategic asset allocation for a Brazilian investor seeking to hedge inflation risk at different horizons, ranging from one to 30 years. Using a...

The exceptional rise in government deficits following the subprime crisis, the recent commodity price spikes and the increase in inflation volatility have revived the debate on medium to long-term resurgence of inflation. Using a vector-autoregressive model, this paper investigates the...

Elective affinity seems to link reform of retirement, development of long-term investments and SRI next decades. They so suggest the possibility of an endogenous evolution of financial capitalism which would become more favourable to a long term perspective, without departing from the principle...