This paper discusses the implications of mean reversion in stock prices for longterm investors such as pension funds. We start with a general definition of a meanreverting price process and explain how mean reversion in stock prices is related to mean reversion in stock returns. Subsequently, we...

The adequate performance of banks, insurers and pension funds is of crucial importance to their private and business customers. The prices and quality of financial products sold by such entities are largely determined by operational efficiency and the degree of competition in the markets...

This paper models policy responses to changes in solvency by Dutch occupational pension funds using a unique panel dataset containing the balance sheets of all registered pension funds in the Netherlands over a period of 15 years (1993-2007). The model describes how nominal pension rights are...

This paper examines the financial behaviour of 77 Dutch pension funds during 2002-2005. Using microdata, we investigate differences across various types of funds. Both the asset mix and the degree of home bias are related to the size of pension funds: large institutions invest more in equity and...

This paper discusses the valuation of wage-indexed pension fund liabilities. Valuation by replication with market instruments is typically not possible as there are no wage-indexed assets. This paper discusses several methods to find a value in such incomplete markets and advocates utility-based...

Around the world today there are striking differences in pension systems. The roles played by families, employers, trade unions, financial intermediaries, community organizations, affiliation groups, and governmental agencies vary tremendously. Yet despite these differences, in almost every...

This paper analyzes optimal investment policies for pension funds of a defined benefit (DB) type. The nature of a DB fund induces a natural modeling of preferences being of the mean-downside risk type. With compensation for inflation as an explicit goal of a pension fund, a natural reference...

This paper is the first to analyze market impact and execution costs of equity trading by a pension fund. We find that, on average, these costs are nonnegligible. Average market impact costs equal 20 basis points for buys and 30 basis points for sells; average execution costs equal 27 basis...

This paper analyzes optimal investment policies for pension funds of a defined benefit (DB) type. The nature of a DB fund induces a natural modeling of preferences being of the mean-downside risk type. With compensation for inflation as an explicit goal of a pension fund, a natural reference...