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Socialism and Intrafirm Asset Allocation
SSRN Electronic Journal, 2003Abstract We rely on a survey of Swiss firms to document deviation from first‐best for reasons of internal ‘fairness’ when allocating resources. This ‘socialist’ practice is more widespread in smaller than in larger firms. It ignores the reputation and past performance of the managers who apply for funding, but takes into account their hierarchical ...
Loderer, Claudio +2 more
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Robust Portfolio Asset Allocation
2011Selection of stocks in a portfolio of shares represents a very interesting problem of ‘optimal classification’. Often such optimal allocation is determined by second-order conditions which are very sensitive to outliers. Classical Markowitz estimators of the covariance matrix seem to provide poor results in financial management, so we propose an ...
Grossi L., Laurini F.
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On The Shape of Risk Aversion and Asset Allocation [PDF]
SSRN Electronic Journal, 2011 This paper demonstrates the simple incorporation of any shape of risk aversion into an asset allocation framework. Indeed, the relevant literature about risk aversion shows mixed evidence regarding the shape of this important but subjective variable. Our setting builds on, and can be compared with, the well-known constant relative risk aversion (CRRA)
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A Possibilistic Framework for Asset Allocation
2003This paper is a first step in laying down a theoretical foundation for asset allocation under uncertainty, based on possibility theory. First, fuzzy financial knowledge representation is treated. Then, some issues relevant to financial decision making are approached from the standpoint of possibility theory.
Célia da Costa Pereira +1 more
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Horses for courses: Mean-variance for asset allocation and 1/N for stock selection
European Journal of Operational Research, 2021Emmanouil Platanakis +2 more
exaly
Risk Allocation Instead of Asset Allocation
AIMR Conference Proceedings, 1998The unrewarded allocation of investment risk is leading to a revolution in U.K. pension fund management—a movement away from balanced fund management toward specialist management. Pension fund trustees are realizing that asset managers may be managing their own business risk rather than the pension fund’s risk.
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Evolutionary Multiperiod Asset Allocation.
2000Portfolio construction can become a very complicated problem, as regulatory constraints, individual investor's requirements, non-trivial indices of risk and subjective quality measures are taken into account, together with multiple investment horizons and cash-flow planning.
S. Baglioni +3 more
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