An analytical model provides a solution to the retirement problem of how to allocate
investment between risky and risk-free assets. The objective is to minimize the probability …

The risk of outliving your money (or shortfall) with low risk, low return investments is very
often more serious than the risk of losing money on high risk investments, until quite late in …

This dissertation evaluates international real estate as an alternative asset for the
institutional investor. Real estate returns in the US and UK were examined in both a mixed …

Incorporating exchange rate fluctuations into the analysis of aninternational investment
substantially alters the expected risk andreturn characteristics of the investments. With …

This paper examines the role played by the investor's investment horizon in the choice of
optimal portfolios. A complete discrete‐time, multiperiod, portfolio model is presented with a …

Dynamic asset allocation (DAA) is a term usually reserved for a class of investment
strategies that shift the content of portfolios between 2 or more assets or asset classes in …

Today, the economic environment in which the firms operate is highly volatile and uncertain.
Increased volatility, greater interdependence and new risk have made the structure of risk …

Purpose–Although the modern portfolio theory (MPT) asset allocation framework can be
adopted to enable decision making for international and direct real estate investing, and that …

Uses Monte Carlo simulation to demonstrate the benefits of employing a currency swap to
hedge the exchange rate exposure in a single international real estate investment. The only …

Although Canadian pension funds have largely neglected international assets,
diversification into international equity over the past 13 years would have offered Canadian …