In the introductory lectures, we have discussed Markowitz’ theory of mean-variance optimization (MVO) for the selection of portfolios of securities (or asset classes) in a manner that trades off the expected returns and the perceived risk of potential portfolios. Consider assets S1, S2, . . . , Sn (n ≥ 2) with random returns. Let μi and σi denote the expected return and the standard deviation o...

The purpose of the study is to examine how financial benchmark returns impact portfolio distribution mutual funds. scope paper limited Turkish funds market. Method employed in paper; Granger Causality Test based on VAR model used. Findings quantitative analysis: As return government debt securities (index) inclines, demand Government Domestic Debt Securities goes up, and then, weight increases ...

z z A real Marshall Plan would have to work as a ‘structural adjustment programme’, in much the same way as its famous predecessor, namely by achieving reforms through strong conditionality in return for serious money. To be credible the funds would have to be committed, but only released when reforms had been implemented satisfactorily – similar to the deal that worked in the context of EU enl...

A fund’s performance is usually compared to the performance of an index or other funds. If a fund trails the benchmark, the fund manager is often replaced. We argue that this may lead to excessive risk-taking if fund managers differ in ability and have the opportunity to take excessive risk. To match the benchmark, fund managers may increase the risk of their portfolio even if this decreases th...

We discuss the data available for the TSE 300 and S&P 500 total return indexes. We consider a number of models, including the Wilkie model and regime switching models. We discuss calibration by maximum likelihood and by Markov chain Monte Carlo for the regime switching lognormal model. We then show how to use this model to price and hedge simple segregated fund maturity guarantees. keywords: Re...

We compare asset allocations derived for cumulative prospect theory (CPT) based on two different methods: Maximizing CPT along the mean–variance efficient frontier and maximizing it without that restriction. We find that with normally distributed returns the difference is negligible. However, using standard asset allocation data of pension funds the difference is considerable. Moreover, with de...

■ Individual bonds can provide certain benefits over funds, and these advantages mostly have to do with a preference for control over security-specific decisions. The cost of these advantages can be thought of as a “control premium” that is reflected in generally higher (or additional) transaction costs, lower liquidity, more limited return opportunities, and higher bond portfolio risk. The con...

Theory suggests that long/short equity hedge funds’ returns come from long/short as well as directional exposure to the stock market and the fees related to stock loans. Empirical analysis finds persistent net exposures to the spread between small versus large cap stocks in addition to the overall market. Together, these factors account for over 80% of return variation. Additional factors are p...

Article history: Received 22 January 2014 Received in revised form 25 May 2015 Accepted 26 May 2015 Available online 29 May 2015 This paper investigates VC investment stage drifts as explained by the outcomes of managerial incentive schemes under different financial market conditions and past return performances. We exploit a unique dataset containing data for all of the venture capital funds i...