Using a data set on more than 300 UK pension funds' asset holdings, this paper provides a systematic investigation of the performance of managed portfolios across multiple asset classes. We ̄nd evidence of slow mean reversion in the funds' portfolio weights towards a common, time-varying strategic asset allocation. We also ̄nd surprisingly little cross-sectional variation in the average ex post...

We study the level and severity of asset poverty, the characteristics of asset-poor households, the trends and persistence of asset poverty, and the role of major lifetime events affecting transitions in and out of asset poverty. We find that, contrary to a sharp decline in the official measure of poverty, which is based on income, the asset poverty rate barely changed over the 1984–99 period a...

Alternative assets, such as private equity, hedge funds, and real assets, are illiquid and opaque, and thus pose a challenge to traditional models of asset allocation. In this paper, we study asset allocation and asset pricing in a generalequilibrium model with liquid assets and an alternative risky asset, which is opaque and incurs transaction costs, and investors who differ in their experienc...

In a New Monetarist framework, we study the trade of indivisible goods under credit, divisible money and divisible asset in a frictional market. We show how indivisibility on the goods side, instead of the money or asset side, matters for equilibria. The bargaining solution generates a price that is independent of nominal interest rate, dividend value of the asset, or the number of active buyer...

For many kinds of assets, the growth rate of the real asset stock is a nonlinear function of the economic owner’s decision whether to invest or extract the asset. Examples within the economy are primarily biological assets, both privately owned (such as those found in aquaculature and agriculture) and publicly owned or regulated (such as fish stocks, and in some case, timber stocks.) Optimal ex...

We consider a model where investors can invest directly or search for an asset manager, information about assets is costly, and managers charge an endogenous fee. In equilibrium, the efficiency of asset prices is linked to the efficiency of the asset management market: (1) if investors can find managers more easily then more money is allocated to active management, fees are lower, and asset pri...

What is the characterization of asset prices and investor’s behavior under myopic or time-inconsistent preferences? This paper investigates the characterization of financial market equilibrium when individuals are myopic or time-inconsistent. We consider an infinite horizon economy under certainty with two heterogeneous CRRA individuals, one good and one long-lived asset. The question of surviv...

In the 21st century asset management and resource allocation will be key technologies for the successful management of many public and private enterprises. In teaching asset management techniques in construction management and manufacturing courses in industrial technology programs, there is a challenge of finding enhancements to textbook-based instruction. Software tools to simulate realworld ...