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Somefun, Koye; Perchet, Romain; Yin, Chenyang; … - 2021

In this paper we introduce the notion of themes as an additional investment dimension beyond asset classes, regions …

Persistent link: https://www.econbiz.de/10013212526

Investments as Probability Distributions

Jacobsen, Brian - 2010

theory. I cannot recommend enough the insights provided in Modern Portfolio Theory and Investment Analysis, 8/e, by Edwin …The core of the theory behind portfolio construction was developed in 1956 by Harry Markowitz. Many pages have been … the original integrity behind Markowitz's insights and addresses many of the criticisms of the theory …

Persistent link: https://www.econbiz.de/10013147812

Robust Portfolios and Weak Incentives in Long Run Investments

Guasoni, Paolo - 2013

When the planning horizon is long, and the safe asset grows indefinitely, iso-elastic portfolios are nearly optimal for investors who are close to iso-elastic for high wealth, and not too risk averse for low wealth. We prove this result in a general arbitrage-free, frictionless, semi-martingale...

Persistent link: https://www.econbiz.de/10013080721

Investment Beliefs of Endowments

Ang, Andrew - 2014

American university and college endowments now hold close to one-third of their portfolios in private equity and hedge funds. We estimate the implied beliefs of endowments about alternative assets' returns relative to equities and bonds. At the end of 2012, the typical endowment believes that...

Persistent link: https://www.econbiz.de/10013062870

The Characteristics of Factor Investing

Blitz, David - 2018

We dissect the realized performance of factor-based equity portfolios using a characteristics-based multi-factor return model. We show that generic single-factor portfolios, which invest in stocks with high scores on one particular factor, are sub-optimal because they ignore the possibility that...

Persistent link: https://www.econbiz.de/10012915593

The Heterogeneous Relationship of Owner-Occupied and Investment Property with Household Portfolio Choice

Felici, Marco; Fuerst, Franz - 2021

The special, dual nature of property as both a consumption and an investment goodmakes it salient for portfolio choice …. In fact, the theoretical literature predicts a con-straint imposed by property on investment and the empirical literature … differentiate between owner-occupied and investment property. Withreference to the predictions of a stochastic control model, we …

Persistent link: https://www.econbiz.de/10014087858

Generating Alpha Through Hedge Fund Investing : Effective Investment Template for Hedge Fund Investment

Pani, Bijon - 2012

are an Investment Professional or academic who would like to discuss the original research, please contact me on my email …

Persistent link: https://www.econbiz.de/10013104716

Redefining Sustainable Investing : A 'Next Economy' Model Approach

Jabusch, Garvin - 2013

evolution of modern portfolio theory are discussed. A new, 'next economy' methodology is proposed to practically apply modern … realities to portfolios in meaningful ways. Existing yet insufficient attempts to modify portfolio theory to address climate and …

Persistent link: https://www.econbiz.de/10013086462

Generalized Risk-Based Investing

Jurczenko, Emmanuel - 2013

, to name the most famous - have become increasingly popular in the investment industry due to their return-agnostic and …

Persistent link: https://www.econbiz.de/10013088063

Financial Investment and Human Capital During Life Cycle

Anastasopoulos, Anastasios - 2018

inheritance) and a number of units of human capital.Human capital is measured in efficiency units, as in the theory of growth. By … contrast to the theory of growth, efficiency units increase as the result of training and education. Training is a costly …

Persistent link: https://www.econbiz.de/10012937948