Regulation and pension fund risk-taking

LN Boon, M Brière, S Rigot - Journal of International Money and Finance, 2018 - Elsevier
We investigate the extent to which regulations governing investment, valuation and funding
affect the riskiness of defined benefit pension funds' asset allocation. We compare the …

Systematic longevity risk: to bear or to insure?

LN Boon, M Brière, BJM Werker - Journal of Pension Economics & …, 2020 - cambridge.org
We compare two contracts for managing systematic longevity risk in retirement: a collective
arrangement that distributes the risk among participants, and a market-provided annuity …

Does Regulation Matter? Riskiness and Procyclicality in Pension Asset Allocation

LN Boon, M Brière, S Rigot - 2014 - papers.ssrn.com
We investigate the influence of investment regulations on the riskiness and procyclicality of
defined-benefit (DB) pension funds' asset allocations. We provide a global comparison of the …

Determining the maximum number of uncorrelated strategies in a global portfolio

LN Boon, F Ielpo - The Journal of Alternative Investments, 2014 - search.proquest.com
What is the optimal number of uncorrelated strategies to include in a portfolio consisting of
cross-asset strategies? Various criteria have been proposed for finding the optimal number of …

[PDF][PDF] Longevity risk: To bear or to insure

LN Boon, M Brière, BJ Werker - Tilburg, The Netherlands …, 2017 - cerp.carloalberto.org
We compare two longevity risk management contracts in retirement: a collective arrangement
that distributes the risk among participants, and a market-provided annuity contract. We …

[PDF][PDF] Does regulation matter

LN Boon, M Briere, S Rigot - Riskiness and procyclicality …, 2014 - fileserver.carloalberto.org
… LN Boon Amundi, Paris Dauphine and Tilburg University, Netspar …

An anatomy of global risk premiums

LN Boon, F Ielpo - Journal of Asset Management, 2016 - Springer
Long-term investors are attuned to the thought that risk is rewarded. By making an investment
with more potential variation in returns, investors demand a risk premium – the expected …

Pension regulation and investment performance: Rule-based vs. risk-based

LN Boon, M Brière, C Gresse, BJM Werker - 2014 - papers.ssrn.com
We investigate the relationship between rule-based versus risk-based regulatory choices in
different countries and the real investment performance of their pension funds. Pension …

Regulatory Environment and Pension Investment Performance

LN Boon, M Brière, C Gresse… - 11th Workshop on Pension …, 2013 - hal.science
Using the most comprehensive publicly available data to-date, we study the effect of three
aspects of pension regulation (namely quantitative investment restrictions, minimum return or …

Common risk factors in commodities

J Chevallier, F Ielpo, LN Boon - Economics Bulletin, 2013 - ideas.repec.org
This article aims at establishing an understanding of the common risk factors in commodity
markets, as well as their interactions with equities, currencies and interest rates. Since …