We simulate the performances of a standard derivatives portfolio to evaluate the relevance of benchmarking in terms of downside risk reduction. The simulation shows that benchmarking always leads to significantly more severe losses in average than those generated by letting the portfolio reach...

This paper analyses the relationship between governance, asset allocation, and risk among state and local government-operated pension systems in the United States. It is argued that governance influences investment decisions and risk profiles of public sector pension systems, creating the...