Essays on investments, portfolio management and pensions.

Summary This thesis studies the financial stability of pension systems, the financing of pensions and the optimal portfolio allocation strategies for managing pension savings. The financial stability of pension systems is a necessary condition for them to fulfill their objectives of wealth redistribution, risk insurance, consumption smoothing and financial security for retirees. This thesis emphasizes the diversification and hedging properties intrinsic to the pay-as-you-go pension system. The optimal mix between pay-as-you-go and funded pension systems is discussed in the context of a stochastic portfolio management model. First, in the context of a mean-variance model and then in the context of a linear exponential model. Theoretical solutions and empirical estimates are presented for a sample of several countries covering a period from 1897 to 2016. The last part of the thesis deals with optimal portfolio allocations of retirement savings. Two new measures for evaluating retirement strategies are introduced. These measures are constructed to overcome the shortcomings of existing valuation measures in the literature. This thesis has several interests, both academic and in terms of investment and economic policy.