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Volatility, Time Varying Correlation and International Portfolio Diversification : An Empirical Study of Australia and Emerging Markets
Gupta, Rakesh - 2010
This paper examines the changing correlations between the equity returns of Australia and the emerging equity markets … that the correlations between Australia's equity return and emerging markets' equity returns, represented by the respective …
Persistent link: https://www.econbiz.de/10013152875
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Can global bond fund managers generate alpha using currency volatility?
Konstantinov, Gueorgui - In: International journal of bonds and derivatives 1 (2014) 2, pp. 111-133
Persistent link: https://www.econbiz.de/10011312444
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Pension fund capitalism
Clark, Gordon L. - 2000 - 1. publ.
Persistent link: https://www.econbiz.de/10013480517
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Portfolio allocation for public pension funds
Pennacchi, George G.; Rastad, Mahdi - 2010
"This paper presents a dynamic model of a public pension fund's choice of portfolio risk. Optimal portfolio allocations are derived when pension fund management maximize the utility of wealth of a representative taxpayer or when pension fund management maximize their own utility of compensation....
Persistent link: https://www.econbiz.de/10008697801
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Portfolio allocation for public pension funds
Pennacchi, George G.; Rastad, Mahdi - In: Journal of pension economics and finance 10 (2011) 2, pp. 221-245
Persistent link: https://www.econbiz.de/10009154344
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The role of sovereign wealth funds as activist or passive fund managers
Mietzner, Mark; Schiereck, Dirk; Schweizer, Denis - In: The journal of asset management 16 (2015) 5, pp. 303-315
Persistent link: https://www.econbiz.de/10011416602
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Sovereign wealth funds : their investment strategies and performance
Chhaochharia, Vidhi; Laeven, Luc - 2008
Persistent link: https://www.econbiz.de/10003760538
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Portfolio Allocation for Public Pension Funds
Pennacchi, George - 2012
This paper presents a dynamic model of a public pension fund's choice of portfolio risk. Optimal portfolio allocations are derived when pension fund management maximize the utility of wealth of a representative taxpayer or when pension fund management maximize their own utility of compensation....
Persistent link: https://www.econbiz.de/10013115597
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Global Asset Return in Pension Funds : A Dynamical Risk Analysis
Bianchi, Sergio - 2011
The aim of the paper is to develop a technique for rebalancing pension fund portfolios in function of their point wise level of risk. The performance of pension funds is often measured by their global asset returns because of the latter's influence on periodic contributions and/or future...
Persistent link: https://www.econbiz.de/10013122380
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Portfolio Allocation for Public Pension Funds
Pennacchi, George - 2010
This paper presents a dynamic model of a public pension fund's choice of portfolio risk. Optimal portfolio allocations are derived when pension fund management maximize the utility of wealth of a representative taxpayer or when pension fund management maximize their own utility of compensation....
Persistent link: https://www.econbiz.de/10012462201