Since private equity investments are not publicly traded, a key issue in measuring investment risks of institutional private equity investors arises from a careful measurement of investment returns in the first place. Prices of private equity investments are typically observed at low frequency...

Fund managers are paid a fixed management fee in proportion to their assets under management. This means to maximize revenue, managers hoard assets. Whilst this results in increased revenue for the manager often, due to diseconomies of scale, it results in lower returns for the investor. Here we...

In this paper, we use stock price data between the years 2007 and 2010 to investigate the allocation of assets on the GSE. The Classical Markowitz optimization method shows that, the most profitable portfolio is obtained by investing 90% of wealth in non-financial assets and 10% in financial...

Gone are the days when inflation fears had receded under years of 'Great Moderation' in macroeconomics. The US subprime financial crisis, the ensuing 'Great Recession' and the sovereign debt scares that spread throughout much of the industrialized world brought about a new order characterized by...

We find evidence that conflicts of interest are pervasive in the asset management business owned by investment banks. Using data from 1990 to 2008, we compare the alphas of mutual funds, hedge funds and institutional funds operated by investment banks and non-bank conglomerates. We find that...

We survey empirical studies on the development and effects of increased computerization across equity, foreign exchange, derivatives, and fixed-income markets. While the changes in the trading process due to computerization in less liquid markets such as the corporate bond market have been...

Mean-Variance portfolios are optimal in-sample, however they tend to perform poorly out-of-sample (even worse than the 1/N naïve portfolio!) We introduce a new portfolio construction method that substantially improves the Out-Of-Sample performance of diversified portfolios.The full paper is...

This paper analyzes how government intervention in the market for banks' troubled assets is best designed, and also uses this analysis to evaluate the public-private investment program announced by the U.S. government in March 2009. I begin by presenting the case for using government funds to...

Long-short and market neutral funds seek superior risk-adjusted returns while limiting their exposure to stock market risk. Over the 1999 to 2013 period the number of funds with these investment objectives increased by over 700 percent. Despite their growing popularity, we find that long-short...