This paper presents information on institutional investorsí and investment consultantsí attitudes towards and their performance assumptions for the alternative asset classes, property, and the mainstream markets. It also gives estimates of UK institutional exposures to these asset classes....

The key question that underlies this paper is whether real estate will continue to have a place in a mixed-asset portfolio, when institutional investors can select from a range of investments outside the core asset classes of bonds and equities. It is often stated that hedge funds, private...

We investigate loss aversion in financial markets using a typical asset allocation problem. Our theoretical and empirical results show that investors in financial markets are more loss averse than assumed in the literature. Moreover, loss aversion changes depending on market conditions;...

This paper applies LINEX loss functions to forecasting nonlinear functions of variance. We derive the optimal one-step-ahead LINEX forecast for various volatility models using data transformations such as ln(y2t) where yt is the return of the asset. Our results suggest that the LINEX loss...

This study investigates the effects of the market portfolio being unknown on the estimation of beta in the CAPM. Providing an analysis of the impact of using a proxy for the market portfolio when the market portfolio is known. This allows one to ask and answer 'if what' questions, such as if...

This paper applies LINEX loss functions to forecasting nonlinear functions of variance. We derive the optimal one-step-ahead LINEX forecast for various volatility models using data transformations such as ln(y2t) where yt is the return of the asset. Our results suggest that the LINEX loss...

In this study, we propose a method based on large deviation theory (LDT), which minimises credit risk (expected loss). We demonstrate how mortgage loan portfolios can be optimised using geographical differences in the risk characteristics of mortgage loans in the UK. Our empirical results show...

We investigate the dynamics of the value anomaly in order to identify the driving forces of the anomaly. We show that the large positive value-minus-growth portfolio returns are explained by an over-reaction (under-reaction) to the positive (negative) market movements in short, specific time...

type="main" <p>We investigate the dynamics of appraisal smoothing in the National Council of Real Estate Investment Fiduciaries (NCREIF) index return using time-varying asset pricing models. We find that smoothing is on average close to zero but varies substantially over time. From the inception of...</p>