Harmful diversification: Evidence from alternative investments
E Platanakis, A Sakkas, C Sutcliffe - The British Accounting Review, 2019 - Elsevier
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 …
major investors, and so their diversification properties are also important. However, adding …
The search for yield: Implications to alternative investments
“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 …
different levers, but the declines in rates is an existential problem for the entire pensions …
The financial performance of green REITs revisited
A Coën, P Lecomte, D Abdelmoula - Journal of Real Estate …, 2018 - Taylor & Francis
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 …
REITs from January 2010 to February 2016 using risk-adjusted performance measures …
Expected shortfall asset allocation: A multi-dimensional risk-budgeting framework
E Jurczenko, J Teiletche - The Journal of Alternative …, 2019 - jai.pm-research.com
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 …
which offers a simple and flexible way to deal with various risks beyond volatility—namely …
A note on why doesn't the choice of performance measure matter?
B Guo, Y Xiao - Finance Research Letters, 2016 - Elsevier
Choosing an appropriate performance measure is important for fund investors, nevertheless,
many researchers find empirically that the choice of measures does not matter because …
many researchers find empirically that the choice of measures does not matter because …
The market timing skills of hedge funds during the financial crisis
A Cave, G Hubner, D Sougne - Managerial Finance, 2011 - emerald.com
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 …
skills displayed by hedge fund managers during the 2007‐08 financial crisis …
A portfolio approach to the optimal mix of funded and unfunded pensions
L Bouhakkou, A Coën, D Folus - Applied Economics, 2020 - Taylor & Francis
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 …
approach. Considering the unfunded (Paygo) pension system as a 'quasi-asset'with hedging …
[HTML][HTML] Risk-adjusted impact of administrative costs on the distribution of terminal wealth for long-term investment
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 …
using a simple formula applicable to many investment situations. We show that the reduction …
Open-ended property funds: Risk and return profile—Diversification benefits and liquidity risks
LH Haß, L Johanning, B Rudolph… - International Review of …, 2012 - Elsevier
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 …
can also choose open-ended property funds (OPFs), which are considered a …
[HTML][HTML] Are investable hedge fund indices holding their promise?
P Boigner, G Gadzinski - Journal of Derivatives & Hedge Funds, 2013 - Springer
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 …
worthwhile addition to an alternative investment portfolio. Adjusting index returns for liquidity …