This paper shows that the characteristics model provides a unifying framework for analyzing both financial intermediation and the process of financial innovation. The role of the financial intermediary is to buy-in the primary liabilities of firms, unbundle and repackage the characteristics...

This paper argues that the characteristics model of demand provides a unifying framework for examining preference-based asset portfolio behavior and asset pricing. In particular, the author shows that it encompasses a number of very familiar models of portfolio behavior and asset pricing: the...

This paper analyzes the international equity holdings of a large panel of U.K. pension funds. We model portfolio weights as a function of time-varying conditional moments and find that a substantial part of the evolution in portfolio weights is explained by time-varying conditional expected...

This paper discusses the financial risks faced by the UK Pension Protection Fund (PPF) and what, if anything, it can do about them. It draws lessons from the regulatory regimes under which other financial institutions, such as banks and insurance companies, operate and asks why pension funds are...

Using a data set on more than 300 U.K. pension funds' asset holdings, this article provides a systematic investigation of the performance of managed portfolios across multiple asset classes. We find evidence of slow mean reversion in the funds' portfolio weights toward a common, time-varying...

We present simulation results for the likely pension outcomes for different defined-contribution (DC) pension plan members distinguished by occupation and gender. While our results suggest that key differences between outcomes depend on the strategic asset allocation strategy chosen (and hence...

The past few decades have seen a major 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...