The 27th SUERF Colloquium in Munich in June 2008: New Trends in Asset Management: Exploring the Implications was already topical in the Summer of 2008. The subsequent dramatic events in the Autumn of 2008 made the presentations in Munich even more relevant to investors and bankers that want to...

While static factor-based investing is nowadays a common way of allocating portfolios, the next step, a dynamic progression towards time-varying components and factor cyclicity, is still far less established. This study offers a survey on the state of the art of factor timing in asset management...

Is the asset management sector a source of financial instability? This paper contributes to the debate by performing a macroprudential stress test in order to quantify systemic risks in the mutual fund sector. For this purpose we include the welldocumented flow-performance relationship as an...

These lecture notes cover old and new investment methods, regulatory and legal developments and the role of technology as a game changer in asset management. The discussion gives the same weight to the theoretical and practical aspects of asset management. The focus is on portfolio...

The standard portfolio approach assumes that investors maximize Expected Utility functions and that the Markowitz Mean-Variance Standard Portfolio Optimization approach can be applied. Behavioral Research, however, indicates that investors' behavior with respect to risk or uncertainty is not...

People spend days together in taking recommendation and studying various models making before purchasing a vehicle. This practice is however never replicated when it comes to making a financial investments entailing far reaching consequences.Since the last two decades, Indian economy has...

Investors live in a multi-period, volatile world and base their decisions on theories of asset pricing, and asset allocation, often derived from a single period model. They make assumptions about asset returns and volatilities and use optimizers to set their long term allocations, and often...

Institutional funds have concentrated ownership by a few institutional investors, infrequent outflows and essentially no leverage. Yet using unique granular data on the bond holdings of institutional funds, we show that their trading behavior is strongly procyclical: they actively move into...

We use unique institutional securities holdings data to examine the trading behaviour of delegated institutional capital and its impact on bond risk premia. We show that institutional fund managers trade strongly procyclically: they actively move into higher yielding, longer duration and lower...