Aglietta, Michel; Brière, Marie; Rigot, Sandra; … - Université Paris-Dauphine (Paris IX) - 2012
, and active portfolio management. We use a unique database covering the asset allocations of US defined-benefit pension funds … of returns, leaving little room for active management, we show that taking explicit account of market movement can change … the results significantly. Although active management plays a minor role in global asset allocat ion, its role is …