This paper introduces a general continuous-time mathematical framework for solution of dynamic mean-variance control problems. We obtain theoretical results for two classes of functionals: the first one depends on the whole trajectory of the controlled process and the second one is based on its...

Previous literature documents that mutual funds' flows increase more than linearly with realized performance. I show this convex flow-performance relationship is consistent with a dynamic contracting model in which investors learn about the fund manager's skill. My model predicts that flows...

In this note, we focus on the portfolio optimization problem for a DC pension fund. We extended the work in [Gao, J., 2009. Optimal portfolios for DC pension plans under a CEV model. Insurance: Mathematics & Economics 44, 479-490] by considering pension funds with multiple contributors. Benefit...

This paper examines how cross-cultural differences influence institutional investors' trading frequency within their own portfolio. We find evidence that as cultural distance between the investors and their stock holdings increases, institutions trade with lower frequency. Findings are...

In order to shed light on the "black boxʺ of institutional equity investing in a systematic manner, I conducted a broadly based questionnaire which received a large response from German mutual fund companies. The survey asked fund managers for their basic views and practices and for insights...

Institutional investors will often consider international real estate investment as a response to a limited opportunity set at home. Each investable real estate market has different characteristics that require analysis and validation. Some markets have better conditions and prospects than...

This paper assesses the sophistication of pension funds’ investment policies using data on 748 Dutch pension funds during the 1999–2006 period. We develop three indicators of sophistication: gross rounding of investment choices, investments in alternative sophisticated asset classes and...

Investment in infrastructure is important to the society and the economy. The focus of the current debates is primarily on economic infrastructure, especially on transport and energy networks. In contrast, investment in social sectors, such as education and health, has so far received...

We study the effect of institutional ownership on firm coverage by equity analysts. To account for the endogeneity of institutional ownership we employ instrumental variable approach. Acquisition for cash of a company from an institutional investor's portfolio serves as an exogenous shock to the...

Using survey-based measures of mutual fund manager loss aversion, we study the effects of institutional investor preferences on their investment decisions, performance, and career outcomes. We find that managers with higher aversion to losses choose portfolios with lower downside risk, increase...