This publication, produced as part of the BNP Paribas
Investment Partners research chair on asset-liability management and
institutional investment management at EDHEC-Risk Institute, shows that
sophisticated dynamic allocation strategies can usefully be implemented by
pension funds. One of the key findings of the paper is to show that imposing a
cap on the funding ratio, in addition to a floor, has a positive impact on both
pensioners and bondholders, while only having a minor negative effect on equity
value
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