We construct portfolios based on characteristic weights and develop a novel way to measure capacity of these portfolios to absorb capital. Our estimates suggest that portfolio capacity is the highest for fundamental-weights, whereas portfolios based on momentum, equal risk budget, and equal...

Many articles show how portfolio composition depends on the investment horizon. Typically, they conclude that portfolio composition changes in a simple way as the investment horizon lengthens.Gunthorpe and Levy [1994] is a superior example. It presents the case for a simple relationship clearly,...

Germany benefits from an especially lively philanthropic sector, with over twenty three thousand active charitable foundations. An empirical assessment of the portfolio preferences of German foundations yields fundamental intragroup differences in their approach to asset allocation. We build on...

This paper analyzes the effect of the recent market crash on the international diversification of equity portfolios from the perspective of dependence structure. We use the generalized Pareto distribution to fit the left and the right tail of each return distribution in order to evaluate the...

Offshore assets present investors with an increased investment universe and additional opportunities for reward, but embedded exposure to exchange rates can result in additional risk. In this work, we consider a global equity portfolio of five equity indices (US, Japan, Europe, UK and Canada),...

The asset allocation is a practical problem for most institutional and private investors, who routinely deal with a wide variety of stocks, bonds and options. Evidence suggests that both the expected return and the volatility vary over time. Many studies find that the expected returns have...