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Investment Decisions On Illiquid Assets
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Book Synopsis Investment Decisions on Illiquid Assets by : Jaroslaw Morawski
Download or read book Investment Decisions on Illiquid Assets written by Jaroslaw Morawski and published by Springer Science & Business Media. This book was released on 2009-02-14 with total page 467 pages. Available in PDF, EPUB and Kindle. Book excerpt: Jaroslaw Morawski offers a practicable and theoretically well-founded solution to the problems encountered when investing in illiquid assets and develops a model of the liquidation process for this category of investments. The result is a coherent investment decision framework designed specifically for private real estate but applicable also to other illiquid assets.
Book Synopsis Mastering Illiquidity by : Thomas Meyer
Download or read book Mastering Illiquidity written by Thomas Meyer and published by John Wiley & Sons. This book was released on 2013-06-10 with total page 309 pages. Available in PDF, EPUB and Kindle. Book excerpt: Arms investors with powerful new tools for measuring and managing the risks associated with the various illiquid asset classes With risk-free interest rates and risk premiums at record lows, many investors are turning to illiquid assets, such as real estate, private equity, infrastructure and timber, in search of superior returns and greater portfolio diversity. But as many analysts, investors and wealth managers are discovering, such investments bring with them a unique set of risks that cannot be measured by standard asset allocation models. Written by a dream team of globally renowned experts in the field, this book provides a clear, accessible overview of illiquid fund investments, focusing on what the main risks of these asset classes are and how to measure those risks in today's regulatory environment. Provides solutions for institutional investors in need of guidance in today's regulatory environment Offers detailed descriptions of risk measurement in illiquid asset classes, illustrated with real life case studies Helps you to develop reliable risk management tools while complying with the regulations designed to contain the individual and systemic risks arising from illiquid investments Features real-life case studies that capture an array of risk management scenarios you are likely to encounter
Book Synopsis Managing Illiquid Assets by : Savita Verma
Download or read book Managing Illiquid Assets written by Savita Verma and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The perspectives of experts and practitioners are brought together on managing these high-risk, and frequently complex, financial assets.
Book Synopsis Investment Decisions Under Uncertainty by : Reginald Ansell Day Egerton
Download or read book Investment Decisions Under Uncertainty written by Reginald Ansell Day Egerton and published by Liverpool, U. P. This book was released on 1960 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Analytic Methods for Asset Allocation with Illiquid Investments and Low-frequency Data by : Adam R. Slakter
Download or read book Analytic Methods for Asset Allocation with Illiquid Investments and Low-frequency Data written by Adam R. Slakter and published by . This book was released on 2018 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investing in illiquid assets poses a challenge to investors, as the low-frequency data makes it difficult to quantify the risks across portfolios and make asset allocation decisions. This work reviews several principal methods to infer missing data and tests their implications for asset allocation. It compares these methods by applying them to hypothetical portfolios in a realistic simulation environment, helping allocators decide which methodology to use and when. Proxy-based methods, which utilize a related series of higher-frequency observations, outperform non proxy-based inference techniques when the correlation of the available proxy is above 0.3. If data autocorrelation is high, models such as Kalman filters, which are capable of explicitly modeling the autocorrelation outperform other proxy-based methods. In normal market conditions, the CL Method gives the best overall performance of methods tested, indicated by low RMSEs and reliable forecasts for mean return, volatility, Sharpe Ratio, and drawdown. Keywords: Illiquid Investments, Low-Frequency Data, Missing Data.
Book Synopsis Liquidity Preference Under Uncertainty by : Carliss Y. Baldwin
Download or read book Liquidity Preference Under Uncertainty written by Carliss Y. Baldwin and published by Forgotten Books. This book was released on 2018-02-16 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: Excerpt from Liquidity Preference Under Uncertainty: A Model of Dynamic Investment in Illiquid Assets, November 1978 In what follows, we shall consistently distinguish between investments and opportunities. Opportunities in our model are potential capital investments, which the investor perceives, but has not yet acted upon. An opportunity becomes an investment if and only if the investor acts to accept it (commits resources to it). About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
Book Synopsis Pricing Illiquid Assets by : John Robert Krainer
Download or read book Pricing Illiquid Assets written by John Robert Krainer and published by . This book was released on 1997 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Asset Pricing in Markets with Illiquid Assets by : Francis A. Longstaff
Download or read book Asset Pricing in Markets with Illiquid Assets written by Francis A. Longstaff and published by . This book was released on 2005 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many important classes of assets are illiquid in the sense that they cannot always be traded immediately. Thus, a portfolio position in these types of illiquid investments becomes at least temporarily irreversible. We study the asset-pricing implications of illiquidity in a two-asset exchange economy with heterogeneous agents. In this market, one asset is always liquid. The other asset can be traded initially, but then not again until after a quot;blackoutquot; period. Illiquidity has a dramatic effect on optimal portfolio decisions. Agents abandon diversification as a strategy and choose highly polarized portfolios instead. The value of liquidity can represent a large portion of the equilibrium price of an asset. We present examples in which a liquid asset can be worth up to 25 percent more than an illiquid asset even though both have identical cash flow dynamics. We also show that the expected return and volatility of an asset can change significantly as the asset becomes relatively more liquid.
Book Synopsis Portfolio Choice with Illiquid Assets by : Miklós Koren
Download or read book Portfolio Choice with Illiquid Assets written by Miklós Koren and published by . This book was released on 2003 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Delivering Alpha: Lessons from 30 Years of Outperforming Investment Benchmarks by : Hilda Ochoa-Brillembourg
Download or read book Delivering Alpha: Lessons from 30 Years of Outperforming Investment Benchmarks written by Hilda Ochoa-Brillembourg and published by McGraw Hill Professional. This book was released on 2018-12-21 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt: From a former World Bank Executive and renowned investor—a detailed roadmap to adding consistent, sustainable value to globally diversified portfolios For many investors, alpha is akin to the Holy Grail. Risk-adjusted returns above benchmarks—alpha—are particularly challenging to achieve even with a sound strategy. Hilda Ochoa-Brillembourg is an expert on alpha. Over the past four decades, she and her team consistently exceeded benchmarks and delivered appreciable value added on their investments. In Delivering Alpha, she reveals the principles and methods employed in her investment strategies, along with insights drawn from her personal life. She shows how timing, market awareness, price, and relative value to the investor are critical drivers of effective investment decisions. Ochoa-Brillembourg also debunks common investment myths that often trip up both new and experienced investors. Delivering Alpha provides practical advice on: •Creating successful decision-making governance to reduce errors and correctly assign responsibilities and incentives •Dealing thoughtfully and effectively with governance challenges•Building the right policy portfolio, specifying desired allocations to each asset class•Structuring asset classes and adding value-oriented or other opportunistic “tilts”•Measuring and managing risks, avoiding common mistakes, and more Light on theory and serious on practice, this book is the culmination of a lifetime’s experience from one of the most successful women in finance. It’s essential reading for investors looking to add sustainable value to globally diversified portfolios.
Book Synopsis Liquidity Preference Under Uncertainty by : Carliss y Baldwin
Download or read book Liquidity Preference Under Uncertainty written by Carliss y Baldwin and published by Sagwan Press. This book was released on 2018-02-07 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work was reproduced from the original artifact, and remains as true to the original work as possible. Therefore, you will see the original copyright references, library stamps (as most of these works have been housed in our most important libraries around the world), and other notations in the work. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work. As a reproduction of a historical artifact, this work may contain missing or blurred pages, poor pictures, errant marks, etc. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.
Book Synopsis The 'Ostrich Effect' and the Relationship between the Liquidity and the Yields of Financial Assets by : Dan Galai
Download or read book The 'Ostrich Effect' and the Relationship between the Liquidity and the Yields of Financial Assets written by Dan Galai and published by . This book was released on 2005 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper documents a puzzling observed anomaly in the relative value of a liquid and comparable illiquid asset. During a prolonged period of time Government T-bills provided a higher Yield to Maturity than an equally risky illiquid asset (bank deposits). This cannot be attributed to taxes, risk or transaction costs. We relate our finding to the literature on behavioral finance and, more specifically,to the Myopic Loss Aversion literature (MLA) that investigates the impact of the frequency of investment information flow on investment decisions. We suggest that the observed puzzle is due to the positive correlation between liquidity and the flow of market information. We use the term Ostrich Effect, to describe investor behavior, since ostriches are believed to treat apparently risky situations by pretending they do not exist. As predicted by the Ostrich Effect, we find that the difference between the return on the liquid asset relative to the illiquid asset is higher in periods of greater uncertainty.
Book Synopsis The Sec's 'Fair Value' Standard for Mutual Fund Investment in Restricted Shares and Other Illiquid Assets by : Janet Kiholm Smith
Download or read book The Sec's 'Fair Value' Standard for Mutual Fund Investment in Restricted Shares and Other Illiquid Assets written by Janet Kiholm Smith and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mutual funds generally do not invest in venture capital, private equity, or restricted shares of public companies. Consequently, individuals who desire to invest in such securities are unable to do so through diversified mutual funds. In this paper, we identify public policies and regulations that discourage mutual fund involvement in the markets for illiquid equity. We also present evidence that changes in SEC policy caused mutual funds to retreat from investing in illiquid equity. Under the Investment Company Act of l940, the SEC requires mutual fund boards to determine and report the "fair value" of their investments in restricted shares and other illiquid equity claims. The SEC interprets fair value to mean value in current sale. Under the Investment Company Act, fair value reporting is a "certification" standard that presumes investors rely on the value representations of the fund board and its auditors. We consider whether alternatives to certification and current sale valuation could reduce barriers to mutual fund investment, without exposing individuals who invest in mutual funds to excessive risk or potential manipulation. To assess the effects of public policies, we analyze recent efforts of the SEC to apply the fair-value standard and examine court decisions arising from subsequent litigation. We also analyze the financial economics literature concerning discounts for illiquidity and the implications for valuing restricted shares. The paper concludes with a discussion of policy alternatives, including allowing funds to rely more on "transparency" in lieu of certification and allowing funds more latitude in determining and reporting the values of their illiquid securities.
Book Synopsis Alternative Investments by : H. Kent Baker
Download or read book Alternative Investments written by H. Kent Baker and published by John Wiley & Sons. This book was released on 2013-03-25 with total page 660 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive guide to alternative investments that reveals today's latest research and strategies Historically low interest rates and bear markets in world stock markets have generated intense interest in alternative investments. With returns in traditional investment vehicles relatively low, many professional investors view alternative investments as a means of meeting their return objectives. Alternative Investments: Instruments, Performance, Benchmarks, and Strategies, can put you in a better position to achieve this difficult goal. Part of the Robert W. Kolb Series in Finance, Alternative Investments provides an in-depth discussion of the historic performance, benchmarks, and strategies of every major alternative investment market. With contributions from professionals and academics around the world, it offers valuable insights on the latest trends, research, and thinking in each major area. Empirical evidence about each type of alternative investment is featured, with research presented in a straightforward manner. Examines a variety of major alternative asset classes, from real estate, private equity, and commodities to managed futures, hedge funds, and distressed securities Provides detailed insights on the latest research and strategies, and offers a thorough explanation of historical performance, benchmarks, and other critical information Blends knowledge from the conceptual world of scholars with the pragmatic view of practitioners in this field Alternative investments provide a means of diversification, risk control, and return enhancement and, as such, are attractive to many professional investors. If you're looking for an effective way to hone your skills in this dynamic area of finance, look no further than this book.
Book Synopsis InvestTech and Crowdsourcing Best Ideas by : Samuel Kunz
Download or read book InvestTech and Crowdsourcing Best Ideas written by Samuel Kunz and published by . This book was released on 2017 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: Asset owners have to deal with the challenge of a potentially low-yielding investment environment for the foreseeable future. The traditional approach to raise the expected return typically leads to increasing allocations to illiquid assets such as private equity, real estate, or infrastructure. However, that method is not suitable to all asset owners. This paper provides a different and complementary approach: leveraging an asset owner's unique position as a gateway to best ideas and non-traditional, diverse data sets. It demonstrates how assets owners, especially one located close to Silicon Valley, can utilize two key innovations to improve governance, risk management, and potentially expected returns: Crowdsourcing and Investment Technologies (InvestTech). Specifically, the paper shows how asset owners can leverage the best ideas and data sets of their partners (asset managers, banks, custodians, and research firms), and then convert these best ideas into implementable investment decisions. In this specific application, we examine how a limited form of “crowdsourcing” and InvestTech allowed the Office of the Chief Investment Officer of the Regents of the University of California (UC Investments) to develop its own internal investment model to manage asset allocations. In doing so, the portfolio and risks are better managed by the investment team. This approach is easily replicable by other asset owners, and each fund can develop its own bespoke approach based on relationships with vendors and key risks and objectives.
Book Synopsis Essays in Intertemporal Investment Decisions and Asset Prices by : Fernando Restoy
Download or read book Essays in Intertemporal Investment Decisions and Asset Prices written by Fernando Restoy and published by . This book was released on 1991 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Liquidity Preference Under Uncertainty by : Carliss Y. Baldwin
Download or read book Liquidity Preference Under Uncertainty written by Carliss Y. Baldwin and published by . This book was released on 2013-10 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a reproduction of a book published before 1923. This book may have occasional imperfections such as missing or blurred pages, poor pictures, errant marks, etc. that were either part of the original artifact, or were introduced by the scanning process. We believe this work is culturally important, and despite the imperfections, have elected to bring it back into print as part of our continuing commitment to the preservation of printed works worldwide. We appreciate your understanding of the imperfections in the preservation process, and hope you enjoy this valuable book.
