The influence of market imperfections

on recovery strategies for pension funds

Theme Coordinator: Laura Spierdijk

Participating researchers

Introduction
The academic literature largely ignores market imperfections in large institutional trades. The recent financial crisis has made it crystal clear how important liquidity issues and the absence of trading opportunities can be. Likewise, the crisis has demonstrated how shocks may easily spread out from one market to another and from the local to the global level. The research question in this theme is concerned with what asset and liability strategies are optimal for pension funds, in the presence of market imperfections and systemic risks. The theme project is divided in five subprojects (see below).

Contribution to knowledge development

  • Main research findings:
    1. Subproject Mean Reversion and Solvency Requirements
    2. Subproject Inflation Hedging
    3. Subproject Pension Fund Allocation
    4. Subproject Pension Fund Model
    5. Subproject Alternative Investments
  • Publications
  • Academic events and presentation

    Contribution to knowledge exchange

  • Sounding board and its meetings
  • Topical and other non-academic events and presentations
  • Theme conferences

    Contribution to human capital investment

  • MSc courses
  • Netspar - UM SBE Academy courses
  • Supervised theses