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- Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies
- In this article, the authors examine analytically the optimal consumption and portfolio policies in an economy with incomplete financial markets where agents have power utility over intermediate consumption and bequest, and face portfolio constraints and a stochastic investment opportunity set. The source of changes in the investment opportunity set could...
- White papers 2000-07-01
- Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies
- In this article, we show how to analyze analytically the equilibrium policies and prices in an economy with a stochastic investment opportunity set and incomplete financial markets, when agents have power utility over both intermediate consumption and terminal wealth, and face portfolio constraints. The exact local comparative statics and approximate...
- Webcasts 2003-01-01
Additional Resources
- Re-Balancing A Global Policy Benchmark: How To Profit From Necessity
- The need to rebalance institutional assets to a policy benchmark is a simple fact of life. It may be possible for an investor to allow his portfolio to drift. But over a period of time, he will eventually have to address the misallocation this causes, as the portfolio drifts to...
- White papers 2002-01-01
- Equity Portfolio Structure And Design In The Presence Of Taxes
- In discussing the main decisions that an investor faces, one identifies the following: long-term strategy, asset allocation, policy normal mix, active/passive, manager selection and portfolio management, and implementation. In this, paper one focus on Equity Structure. It also addresses the taxable investor and argues that Equity Portfolio Structure is a...
- White papers 2001-10-01
- Applying Portfolio Theory to EU Electricity Planning and Policy-Making
- This study presents an effort to apply one of the well-known elements of modern finance theory to the process of evaluating generating technologies and generating portfolios: Mean-Variance Portfolio Theory. The underlying motive for the study is a perception that there has been only limited understanding to date of how improved...
- White papers 2003-02-01
- Capital Account Liberalization, Capital Flow Patterns, and Policy Responses in the EU's New Member States
- This paper discusses the experience of the European Union's EU eight new member countries (EU8) between 1995 and 2003 when the bulk of capital account liberalization took place, focusing on interest-rate-sensitive portfolio flows and financial flows. It takes stock of the lessons from capital flow patterns to draw policy conclusions....
- White papers 2005-11-01
- Taxation of a Venture Capitalist With a Portfolio of Firms
- Venture capitalists not only finance but also advise and thereby add value to young entrepreneurial firms. The prospects of venture capital backed firms thus depend on joint efforts of entrepreneurs and informed venture capitalists, and are subject to double moral hazard. For this reason, managerial support and the number of...
- White papers 2004-03-17
- For a Fork in the Road, a Barbell Portfolio
- Cam Hui submits: Whew! The official intervention in the last few weeks seems to be finally taking effect. Credit markets are finally starting to normalize as we see LIBOR starting to edge down.Now that the panic seems to be starting to end, I began to muse the implications...
- External links 2008-10-23
- Shareholders Approve Policy Changes For Two Piper Funds
- MINNEAPOLIS--BUSINESS WIRE--Sept. 12, 1996--Piper Capital Management Incorporated announced that the shareholders for its Institutional Government Income Portfolio and Equity Strategy Fund approved two proposals effective today.For Institutional Government Income Portfolio, shareholders approved the discontinuance of the fund's policy limiting its investments to U.S. government securities. As a result, the...
- Research articles 1996-09-12
- Goldman's China Portfolio: Professional Investing or Day Trading Rag?
- Vincent Fernando submits: Sometimes "professional" investment research resembles little more than a day trader rag with nicer charts and fancier wording to make the reader feel less guilty and more professional about the kind of "investing" he or she is actually performing. Thus we point to Goldman's GS recent...
- External links 2009-08-04
- National Life of Vt. unveils WL portfolio. (National Life Insurance Co.'s National Series, whole life insurance)
- National Life Insurance Co has revised its entire whole life insurance portfolio and is marketing a new, lower-priced National Series package. The portfolio includes two second-to-die contracts, Pace and Estate Value builder; Apex II and Apex III, a lower and higher premium individual contract; and LP-Plus, a second-to-die policy. The...
- Research articles 1993-02-01
- Risk and Returns to Policy-Created Assets in a Portfolio Context: California Dairy Quota
- This article exploits particular characteristics of the California dairy quota program and an unusually rich data set to study the capitalization of program benefits and risks associated with farm policy. The design of the California dairy quota program helps make flow returns to quota ownership and the capitalized value of...
- White papers 2002-03-01
- When Interest Rates Go Up, Markets Go Down, New Study Finds; Study Points to Historically Lower-Than-Average Returns and Higher Risk During Periods of Restrictive Monetary Policy
- CHARLOTTESVILLE, Va. -- How might interest rate changes enacted by the Federal Reserve affect your investment portfolio? A June 2004 study titled, "Is Fed Policy Still Relevant for Investors?" conducted by researchers from CFA Institute, Northern Illinois University, University of Richmond and Texas Tech University, found a strong connection between...
- Research articles 2004-08-16
- A Critical Look At The Case For Hedge Funds: Lessons From The Bubble
- Hedge funds are supposed to be largely market neutral, meaning their returns exhibit relatively little correlation with those of the market. In this vein, one often hears that they make money in down markets as well as up. To the extent, hedge fund returns are uncorrelated with those of markets...
- White papers 2003-01-01
- Health Policy and Systems Research Agendas in Developing Countries
- This paper offers a conceptual framework and defines the HPSR portfolio as a set of research projects under implementation. The research portfolio is influenced by factors external to the research system as well as internal to it. These last include the capacity of research institutions, the momentum of research programs,...
- White papers 2004-08-05
- Monopolistic Pricing in the Banking Industry: A Dynamic Portfolio Model
- This work develops a portfolio model of the banking firm where both the size and composition of the portfolio are jointly determined. The model provides a quite simple micro-foundation of the credit channel of the transmission of monetary policy. It allows analyzing the pricing policies of the banking firm, and...
- White papers 2004-11-09
- The Equivalence of the Social Security's Trust Fund Portfolio Allocation and Capital Income Tax Policy
- This paper proves that the stock-bond portfolio choice of the public social security trust fund is Arrow-Debreu equivalent to the tax treatment of private capital income by the non-social security part of government: the state-contingent consumption of every agent is the same under both policies. A larger [smaller] share of...
- White papers 2001-07-08
- Senate Passes Renewables Portfolio Standard.
- The American Wind Energy Association (AWEA, American Wind Energy Association, 122 C St., NW, Washington, DC 20001; Tel: 202/383- 2500; Email: christine@awea.org, Website: www.awea.org) released a statement applauding the recent passage by the U.S. Senate of the 2002 Senate energy bill that includes a national renewable...
- Research articles 2003-08-01
- Board of Directors Approves Proposed Policy Changes for Two Piper Capital Open-End Funds; Merger of a Third
- MINNEAPOLIS--BUSINESS WIRE--June 19, 1996--Piper Capital Management Incorporated announced today that the board of directors for its Institutional Government Income Portfolio, Equity Strategy Fund and Institutional Government Adjustable Portfolio mutual funds has approved a number of proposals.Specifically, the board has approved restructuring Institutional Government Income Portfolio as an intermediate bond fund...
- Research articles 1996-06-19
- Solsoft Policy Server Integration Achieves HP OpenView Certification
- MOUNTAIN VIEW, Calif. -- Adds policy-based management to HP network security partner portfolio; integrated solution links Solsoft Policy Server with HP OpenView Network Node Manager
- Research articles 2004-09-08
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