This paper investigates how the nature of risk changes as investment horizon lengthens, and what it means for investors. Accumulated wealth is analyzed in terms of four drivers: expected return, cash flow innovations, discount rate innovations, and reinvestment rates. This perspective highlights...

The concept of enterprise risk management will be examined in the context of multi-strategy hedge funds and fund of hedge funds. This paper seeks to demonstrate that risk at these organizations has to be considered holistically and not in “silos”. A number of qualitative and quantitative...

This article presents various techniques for downside risk control of an emerging markets equity index or long only fund. We evaluate different risk adjusted strategies applied to dynamic asset allocation between an emerging markets equity index and cash and at a later stage between an emerging...

The recent financial crisis and the corresponding market crash have had a tremendous impact on investors with significant exposures to equity markets but without appropriate risk control tools. Indeed, within just a few weeks a number of pension funds, university endowments, and mutual funds...

We study the interplay between tenure decisions, stock market investment and the public social security system. Housing equity not only serves a dual purpose as a consumption good and as an asset, but also provides insurance to buffer various risks in retirement. Our life cycle model captures...

The risk conscious investor is defined as the maximizer of a conservative valuation or dynamically a nonlinear expectation. Both the static and dynamic problems are addressed using distortions of tail probabilities or distortions of tail measures. The multivariate static problem is solved in the...

Dieser Beitrag entwickelt ein Verfahren, das die Komplexität der Endvermögensberechnung von Aktienanlagen unter Berücksichtigung der Besteuerung und regelmäßiger Portfolioumschichtung erheblich reduziert. Bisher ist eine vergleichbar präzise Berechnung wegen rekursiver Abhängigkeiten sehr...

The strategic asset allocation is the most important decision an investor undertakes. An adequate foundation requires a multi-step, structured process. The investor needs a realistic view of capital market behaviour and has to examine his own goals, his risk tolerance and maybe further...

This article reports the results of an empirical study of the effect of the new prudent investor rule on asset allocation by institutional trustees. Using federal banking data spanning 1986 through 1997, the authors find that, after adoption of the new prudent investor rule, institutional...