Regulation and pension fund risk-taking
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 …
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 …
arrangement that distributes the risk among participants, and a market-provided annuity …
Does Regulation Matter? Riskiness and Procyclicality in Pension Asset Allocation
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 …
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 …
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 …
that distributes the risk among participants, and a market-provided annuity contract. We …
[PDF][PDF] Does regulation matter
… 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 …
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 …
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 …
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 …
markets, as well as their interactions with equities, currencies and interest rates. Since …