This paper takes an investor's view on the problem of delegating asset management authority to a manager. We study the implications of a typical hedge fund contract when the manager is allowed to adjust the activeness of the portfolio dynamically over time in a setting similar to Carpenter...

Conventional methods of asset allocation employ a mean variance framework for allocating assets across asset classes, with the assumption of a symmetrical normal distribution of returns. However, in the context of multiple active strategies such as multi-strategy funds or fund-of-funds, three...

Tail risk arises at multiple stages in the investment management process – from the high level asset allocation decision down to the individual portfolio manager's process for selecting securities. We believe that conventional practices followed in these investment decision processes, largely...

Most plan sponsors formulate a single long term asset allocation for their assets, and then spend a great deal of effort to select a number of active managers within each silo of asset class or style. This process, they hope, combines their top down asset class return expectations (beta) with...