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...

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...

This paper deals with the principal-agent relationships involved by the management of pension funds. The focus is made on private defined benefit pension funds in the US. We first underline the main characteristics of management and financial pension policy. We then identify the principal-agent...

The asset allocation principles to be followed by pension funds have recently recorded some important modifications on the international level. Canadian pension funds have also been subject to these evolutions. The main modifications concern the gradual elimination of some portfolio constraints,...

Economic Analysis of Law versus Institutionnalism. A “in situation” comparison This paper compares two approaches of law economics concerning the same empirical object - the United States employees savings schemes – on one hand within the framework of mainstream Law and Economics and on...

Since ten years, an increasing proportion of pension funds faces to severe financial difficulties, addressing some questions about the management of these institutions and the effectiveness of the regulatory framework. This thesis aims to analyze the investment decisions and financial risk...

L'auteur montre pourquoi le système des fonds de pension américain ne peut pas être introduit en France. Devant concilier à la fois la protection sociale et la spéculation financière, il repose sur un régime de propriété typiquement anglo-saxon, le trust. L'auteur analyse ce régime et...