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Prudent person rules or quantitative restrictions? The regulation of long-term institutional investors' portfolios

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  • DAVIS, E. PHILIP

Abstract

This paper examines the rationale, nature and financial consequences of two alternative approaches to portfolio regulations for life insurers and pension funds, namely prudent person rules and quantitative portfolio restrictions. The argument draws on the financial-economics of investment and the differing characteristics of institutions liabilities, as well as evidence drawn from major OECD countries. The overall conclusion is that prudent person rules are superior to restrictions, particularly for pension funds, except in certain circumstances that may hold temporarily in emerging market economies.

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Bibliographic Info

Article provided by Cambridge University Press in its journal Journal of Pension Economics and Finance.

Volume (Year): 1 (2002)
Issue (Month): 02 (July)
Pages: 157-191

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Handle: RePEc:cup:jpenef:v:1:y:2002:i:02:p:157-191_00

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Cited by:
  1. De Giorgi, Enrico, 2008. "Evolutionary portfolio selection with liquidity shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 32(4), pages 1088-1119, April.
  2. Wade D. Pfau, 2008. "Emerging Market Pension Funds and International Diversification," GRIPS Discussion Papers 08-10, National Graduate Institute for Policy Studies.
  3. Boon, Ling-Ni & Brière, Marie & Gresse, Carole & Werker, Bas J. M., 2013. "Regulatory Environment and Pension Investment Performance," Economics Papers from University Paris Dauphine 123456789/13629, Paris Dauphine University.
  4. E. Philip Davis, 2002. "Le secteur européen de la gestion des pensions," Revue d'Économie Financière, Programme National Persée, vol. 68(4), pages 229-255.
  5. Thomas, Ashok & Spataro, Luca & Mathew, Nanditha, 2014. "Pension funds and stock market volatility: An empirical analysis of OECD countries," Journal of Financial Stability, Elsevier, vol. 11(C), pages 92-103.
  6. Kumara, Ajantha Sisira & Pfau, Wade Donald, 2011. "Would emerging market pension funds benefit from international diversification: investigating wealth accumulations for pension participants," MPRA Paper 31395, University Library of Munich, Germany, revised 10 Jun 2011.
  7. Poonam Puri, 2009. "A Matter of Voice: The Case for Abolishing the 30 percent Rule for Pension Fund Investments," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 283, February.
  8. Broeders, Dirk & Chen, An & Koos, Birgit, 2011. "A utility-based comparison of pension funds and life insurance companies under regulatory constraints," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 1-10, July.
  9. Jiye Hu, 2014. "An empirical approach on regulating China’s pension investment," European Journal of Law and Economics, Springer, vol. 37(3), pages 495-516, June.
  10. Pasiouras, Fotios & Gaganis, Chrysovalantis, 2013. "Regulations and soundness of insurance firms: International evidence," Journal of Business Research, Elsevier, vol. 66(5), pages 632-642.

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