This paper uses a novel numerical optimization technique – robust optimization – that is well suited to solving the asset-liability management (ALM) problem for pension schemes. It requires the estimation of fewer stochastic parameters, reduces estimation risk and adopts a prudent approach...

We build a macroeconomic model for Switzerland, the Euro Area, and the USA that drives the dynamics of several asset classes and the liabilities of a representative Swiss (defined-contribution) pension fund. This encompassing approach allows us to generate correlations between returns on assets...

Managers investing on behalf of pension plan sponsors (i.e. pension funds) face greater fiduciary responsibilities and more stringent investment mandates than mutual funds. These constraints may reduce the information content of pension fund trading. Consistent with this view, we find that the...

This paper analyses investment strategies of three types of institutional investors – pension funds, life insurers and non-life insurers – over the period 1999-2005. We use balance sheet and cash flow data, including purchases and sales of equity, fixed income and real estate. We trace asset...

This paper surveys the recent literature on investing in illiquid assets. The paper takes a practical perspective and contains recommendations for the investment policy of a large sovereign wealth fund. We first summarize the theoretical literature on liquidity level and liquidity risk premiums....

This paper examines the pattern of investment by Australian defined-contribution superannuation funds in illiquid assets, using a unique but confidential database. Not-for-profit funds allocate more of their portfolios to illiquid assets, on average, than retail funds. Their allocations reflect...

Using a unique dataset of 225 Dutch occupational pension funds with a total of 928 billion euro of assets under management, we provide a comprehensive analysis of the relation between investment costs and pension fund size. Our dataset is free from self-reporting biases and decomposes investment...