Alternative assets have become as important as equities and fixed income in the portfolios of
major investors, and so their diversification properties are also important. However, adding …

“It's existential. That's the one-word summary of the scale of the challenges. You can pull
different levers, but the declines in rates is an existential problem for the entire pensions …

The aim of this paper is to compare the financial performance of “green” and “non-green” US
REITs from January 2010 to February 2016 using risk-adjusted performance measures …

This article proposes a generalized expected shortfall risk-budgeting investing framework,
which offers a simple and flexible way to deal with various risks beyond volatility—namely …

Choosing an appropriate performance measure is important for fund investors, nevertheless,
many researchers find empirically that the choice of measures does not matter because …

Purpose–The purpose of this paper is to gain a better understanding of the market timing
skills displayed by hedge fund managers during the 2007‐08 financial crisis …

In this paper, we address the optimal funding of pensions by means of portfolio choice
approach. Considering the unfunded (Paygo) pension system as a 'quasi-asset'with hedging …

The impact of administrative costs on the distribution of terminal wealth is approximated
using a simple formula applicable to many investment situations. We show that the reduction …

In addition to the well-established forms of real estate investing (direct and listed), investors
can also choose open-ended property funds (OPFs), which are considered a …

The goal of this article is to assess whether investable hedge fund indices represent a
worthwhile addition to an alternative investment portfolio. Adjusting index returns for liquidity …