The purpose of this study is twofold. On one hand we derive an optimal allocation framework between stocks and bonds, with and without a momentum factor, taking into account a regime-switching model based on monthly equity and interest rate data since 1870. On the other, we investigate the...

This paper studies the economic implications of regulatory systems which allow equityholders of pension companies to not only charge a specific premium to compensate them for their higher risk (compared to policyholders), but also to accumulate these risk charges in a so-called shadow account in...

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....

In his Berkshire Hathaway annual newsletter to investors c.20 years ago, Warren Buffett while discussing the Long Term Capital Management LTCM and Enron collapses, famously called derivatives: "financial weapons of mass destruction, carrying dangers that, while now latent, are potentially...

We evaluate private equity (PE) performance using investor-specific stochastic discount factors, and examine whether investors could benefit from changing their allocation to PE. Plans invest in PE funds with higher average risk-adjusted performance. This is mainly due to access to successful PE...

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...

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...

This article will focus on the research for the strategic allocation of reserve fund of the Moroccan pension scheme in order to ensure and improve its solvency. The first aim of this paper is to construct and test an Economic Scenario Generator (ESG) based on a model inspired of the Ahlgrim...

We analyze changes in portfolios of pension funds since the start of current low interest rate environment. We find that they have on average decreased the allocation to equity and increased the allocation to fixed income, which is inconsistent with the literature on strategic asset allocation....

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...