We analyze optimal asset allocation in continuous time for a collective of tied-together investors. We rely on a specific collective utility function which dates back to Karatzas (1990), by which the fund manager maximizes the weighted average of expected individual utilities for the investors...

We present a general equilibrium model in which heterogeneous investors choose among bonds, stocks, and an Index Fund holding the market portfolio. We show that, under standard assumptions, an equilibrium exists. We then derive predictions for equilibrium asset prices, investor behavior, and...

With the collapse of LTCM in 1998, global macro investing / trading suffered a severe blow in terms of acceptance in the markets. Because of many highly leveraged hedge funds, investors and counterparts lost serious money, markets were at the brink of destabilisation and the regulators had to...

We examine the relative weights hedge fund investors attach to past information in the fund selection process. The weighting scheme appears inconsistent with the one of econometric forecast models that predict fund returns, alphas or Sharpe ratios. In particular, investor flows are highly...

This paper investigates the role of direct infrastructure investments in a multi-asset portfolio, by employing a US transaction-based index which covers the period Q2 1990 to Q2 2010. We determine time-varying asset allocations using a mean-variance, as well as a mean-downside risk optimization...

The paper presents and analyzes a new mutual fund management model that allocates fund's resources with respect to different time preferences of investors. Proposed model enables explicit definition of investment horizons in regular opened-end fund framework that utilizes popular portfolio...

This paper provides a new method to construct a dynamic optimal portfolio for asset management. This method generates a target payoff distribution using the cheapest dynamic trading strategy. As a practical example, the method is applied to hedge fund replication. This dynamic portfolio strategy...

Mutual fund risk-taking via active portfolio rebalancing varies both in the cross-section and over time. In this paper, I show that the same is true for funds' off- balance sheet risk-taking, even after controlling for on-balance sheet activities. For this purpose, I propose a novel measure of...

We develop a macroeconomic framework in which firms are large and have market power with respect to both products and labor. Each firm maximizes a share-weighted average of shareholder utilities, which makes the equilibrium independent of price normalization. In a one-sector economy, if returns...

This paper suggests a solution to what has become known as the "private equity premium puzzle" (Moskowitz and Vissing-Jorgensen (2002)). We interpret occupational choice as a dynamic portfolio choice problem of a life-cycle investor facing a liquidity constraint and imperfect information about...