Optimal asset allocation for university endowment funds is very important in USA. The management of endowment funds is challenging due to the need of finding out the balance between providing adequate and stable spend...Optimal asset allocation for university endowment funds is very important in USA. The management of endowment funds is challenging due to the need of finding out the balance between providing adequate and stable spending for beneficiaries and growth of the portfolio. In this paper, the author address these allocation constraints in a dynamic framework, in which minimum subsistence levels are introduced in the objective function and derive explicit formulas for the optimal portfolio strategy.展开更多
This work is supported in part-by Shandong Province Natural Science Foundation under Grant No. ZR2010AQ010 and a Project of Shandong Province Higher Educational Science and Technology Program under Grant Nos. JllLA09 ...This work is supported in part-by Shandong Province Natural Science Foundation under Grant No. ZR2010AQ010 and a Project of Shandong Province Higher Educational Science and Technology Program under Grant Nos. JllLA09 and J10LA01.展开更多
文摘Optimal asset allocation for university endowment funds is very important in USA. The management of endowment funds is challenging due to the need of finding out the balance between providing adequate and stable spending for beneficiaries and growth of the portfolio. In this paper, the author address these allocation constraints in a dynamic framework, in which minimum subsistence levels are introduced in the objective function and derive explicit formulas for the optimal portfolio strategy.
文摘This work is supported in part-by Shandong Province Natural Science Foundation under Grant No. ZR2010AQ010 and a Project of Shandong Province Higher Educational Science and Technology Program under Grant Nos. JllLA09 and J10LA01.
