The aim of the paper is to develop a technique for rebalancing pension fund portfolios in function of their pointwise level of risk. The performance of pension funds is often measured by their global asset returns because of the latter’s influence on periodic contributions and/or future...

The past few decades have seen amajor shift from centralized to decentralized investment management by pension fund sponsors, despite the increased coordination problems that this brings. Using a unique, proprietary dataset of pension sponsors and managers, we identify two secular...

This study compares the performance of various fixed and lifecycle portfolio strategies for the accumulation phase of retirement planning in emerging market countries. With an expected utility framework and a bootstrapped Monte Carlo procedure, we find that the majority of emerging market...

This paper investigates whether foreign institutional investors in emerging markets can enhance shareholder value. We pay special attention to two dimensions of investor heterogeneity: whether an investor declares itself as an activist, and whether an investor comes from a country with a strong...

Insurance Industry is going through a very important stage of its transformation - the transition from the classical system of management into a risk-based management. These changes were launched in Europe by international organizations which deal with the development of the necessary...

Gone are the days when inflation fears had receded under years of 'Great Moderation' in macroeconomics. The US subprime financial crisis, the ensuing 'Great Recession' and the sovereign debt scares that spread throughout much of the industrialized world brought about a new order characterized by...

The growing presence of financial operators in the oil market has brought about the diffusion of techniques - such as feedback trading - which lead to departures of prices from their fundamental values and increase their variability. Oil price changes are here associated with changes in stocks,...

In the article the stability of pension funds market in Poland in 2007-2011 is appraised. Using the Hellwig method it is proved that main factors influencing ranks of pension funds are net assets and rate of return.

With an early welfare system, Argentina’s demography is more similar to the South European countries than to the majority of Latin American ones. The country reformed its old fashioned Pay-As-You-Go system in the 1990s, introducing a Fully Funded scheme, which was intended to solve the...

In this paper we study the opportunity loss of the Greek social security system in terms of risk and return, caused by the inflexible investment constraints under which Greek pension funds operated in the period 1958-2000. Using data on pension fund reserves as well as on money and capital...