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...

Based on two samples of non-financial large caps from the FTSE 100 and the CAC 40 and a third sample of non-financial mid caps from the SBF 120, this study looks at four monthly periods to compare market liquidity before and after the entry into effect of MiFID. Over the last monthly period,...

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...

This paper provides an overview of the knowledge available to date on market fragmentation and its consequences, with a specific focus on the European experience. Since the implementation of MiFID1 on 1 November 2007, market fragmentation has considerably increased in European stock markets...

This book chapter provides an overview of market fragmentation in Europe since the first implementation of the Markets in Financial Instruments Directive (MiFID) on 1 November 2007. It makes a brief literature review on the consequences of lit and dark fragmentation for liquidity. It presents an...

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,...