Prof, Andre Perold has shown how the Capital Asset Pricing Model (with implications for asset pricing and risk-adjusted performance) can be derived from maximizing the Sharpe ratio as opposed to the traditional approach of assuming that investors maximize the utility of wealth. More recently,...

Investment organizations are complex to understand because decisions are the aggregation of multiple individuals who influence the process. This applies to organizations that apply both quantitative and qualitative investment approaches because the first step in a quantitative approach is still...

Asset owners have to deal with the challenge of a potentially low-yielding investment environment for the foreseeable future. The traditional approach to raise the expected return typically leads to increasing allocations to illiquid assets such as private equity, real estate, or infrastructure....

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...

This asset pricing model incorporates four positive realities of investing; that investors have many stochastic goals, seek to delegate to skillful agents, explicitly specify risk budgets, and maximize risk-adjusted relative returns. Critical to investment practice, it provides asset pricing,...

Using case studies of two investment companies, this paper highlights that organizations may have “investment tribes,” i.e., groups of individuals who appear to exhibit similar risk tendencies for gambles involving gains or losses, possibly with a wide spread of risk preferences. Tribes and...