This article examines real estate's role in institutional mixed‐asset portfolios using both
private‐and public‐real estate indices, as a means of examining varying real estate‐related …

O artigo apresenta os principais riscos com os quais as entidades fechadas de previdência
complementar (EFPCs), também conhecidas como fundos de pensão, têm que lidar na …

The Portfolio Selection Model developed by Markowitz in the 1950s offers a theore-cally
founded approach to combining securities into a utility-optimizing investment portfolio, that …

Alternative assets are gaining increasing importance in investors' portfolios. One of their
defining characteristic is their poor liquidity, which often translates into an inherent …

In this paper, we analyze whether model risk/asset-specific ambiguity is an issue for
institutional investors. For this purpose, we first show how model risk (which turns out to be …

Endowment life insurance products contain a collective component resulting in smoothed
returns. By unsmoothing the data of German life insurers we are able to extract the …

Valuation of alternative assets such as private equity and commercial real estate are
appraisal based, rather than marked-to-market. Empirical studies show that appraisal based …

We incorporate an illiquid life insurance investment in the multi-period investment strategy of
an investor with constant relative risk aversion and independent and identically distributed …

With-profit life insurance contracts are designed with a return smoothing collective savings
component sharing the investment risks amongst different generations of policyholders. We …

Hedge funds are favoured by pension funds, institutional investors, and high wealth
investors for their flexible investment trading strategies and possible diversification benefits …