Aglietta, Michel; Brière, Marie; Rigot, Sandra; … - In: Journal of Banking & Finance 36 (2012) 9, pp. 2565-2574
Pension fund returns can be decomposed into different sources, including market movements, asset allocation policy, and active portfolio management. We use a unique database covering the asset allocations of US defined-benefit pension funds for the period 1990–2008, and we test the role of...