In this article, the authors find that a typical application of volatility-timing strategies to the
stock market suffers from look-ahead bias, despite existing evidence on the success of the …

Liquidity is important for the stability of financial markets and the growth of national
economies. However, the liquidity of financial markets may be influenced by country risk …

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 …

Abstract The challenges of Portfolio Optimization have led to an increasing interest from the
multi-objective evolutionary algorithms research community; however, little attention has …

Investors have been increasing their allocations to private assets, seeking higher returns
and better portfolio diversification. However, as this allocation increases, the liquidity …

Abstract For 5500 North American hedge funds following 11 different strategies, we analyse
the stand-alone performance of these strategies using a stochastic discount factor approach …

Fully revised and updated to reflect changes in the private equity sector Building on and
refining the content of previous editions, Introduction to Private Equity, Debt and Real …

The correct measure and definition of liquidity in finance literature remains an unresolved
empirical issue. The main objective of the present study was to develop, validate and test the …

Private assets, such as private equity, venture capital, and real estate, have long been a
thorn in the side of asset allocators and chief investment officers. Their lack of liquidity …

All underlying data is monthly from Jan 1990 through Dec 2013, except for private equity
and real estate which are quarterly from Q1 1996 through Q3 2013. Country equity data are …