This paper shows that revenues from a sample of publicly traded US asset management companies carry substantial market risks. Not only does this challenge the academic risk management literature about the predominance of operative risks in asset management. It also is at odds with current...

Disappointed with the performance of market weighted benchmark portfolios yet skeptical about the merits of active portfolio management, investors in recent years turned to alternative index definitions. Minimum variance investing is one of these popular rule driven, i.e. new passive concepts. I...

Cochrane and Piazzesi (2005) use forward rates to forecast future bond returns. We extend their approach by applying their model to international bond markets. Our results indicate that the unrestricted Cochrane and Piazzesi (2005) model has a reasonable forecasting power for future bond...

We develop a framework for partially hedging the market risk of oil reserves through appropriately allocating financial assets in 'oil revenue' or 'petroleum' funds. Empirically, the hedge potential is substantial even when using relatively coarse partitions of the investment universe, such as...

Market capitalization relative to assets under management is a metric often used to value asset management firms. The dividend discount model of HUBERMAN (2004) implies that cross-sectional variations in this metric are explained by cross-sectional differences in operating margins, yet that does...

We analyze the diversification choices of fund of hedge fund managers. Diversification is not a free lunch. It is not available for every fund of fund. Instead we find a positive log-linear relation between the number of constituent funds in a fund of hedge fund (n) and the respective assets...

MiFID II forces banks and wealth managers to ask clients for their investment knowledge and experience. The implied regulatory view is that less experience should result in less risk taking. While this is neither shared in theoretical nor in empirical finance, it becomes a source of legal risk...

We develop a point-in-time index to approximate changes in transition risk from climate-related news events. We overcome the assumption that “no news is good news on climate” inherent in previous research as we specifically consider news to signal an increase or a decrease in the external...

The author formalizes the concept of a portfolio factory as the automated implementation of an active model portfolio on a wide range of client portfolios that differ across benchmarks and regulatory or client-specific constraints. Within this context, the paper shows that portfolio factory as...

Investment committees are widespread across asset management firms, private and public institutional investors or family offices. Poorly designed boards can potentially destroy substantial value in the investment management industry, yet little research has been undertaken on their optimal...