Optimal asset allocation strategies of university endowment funds

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.

The Era of Global Asset Allocation Is Coming

There is a common saying in the realm of wealth management in China that the era of global asset allocation is coming.

The research on China equity fund about the ability of asset allocation

The ability of fund asset allocation is an important factor of influence the fund performance. Choose stock funds, starting from the stock fund investment strategy, different investment strategies have their respective asset allocation. For fund asset allocation ability, this paper chose different performance indicators, through the method of comparison between group and group, listed stock funds of our country classification in K - W single factor ANOVA. At the same time, according to the result of test, analyze the causes affect the ability of the fund asset allocation, and gives the corresponding investment advice.

Asset allocation： Evidence From China

As a key part of a corporate＇s operation, Asset allocation is critical to its survival and development This paper uses Markowitz financial security portfolio theory on corporate＇s asset allocation, to derive the optimal asset allocation for an corporate in China through case study.

Overseas operations and corporate financial asset allocation

Using data on Chinese listed companies for 2008-2018,we find that firms participating in overseas operations,proxied by overseas subsidiaries,generally have higher financial asset allocations than other firms.At the micro level,the effects are more pronounced when the parent company faces serious financing constraints,has no overseas returned executives,has a business that is inconsistent with that of its overseas subsidiaries and has overseas subsidiaries that experience losses.At the macro level,the effects are more pronounced when overseas operations are in OECD and Belt and Road countries,or in areas with higher economic or political risks and greater investment opportunities.Financial asset allocation helps mitigate cash flow fluctuations and operational risks for multinational firms.This study advances research on the determinants of financial asset allocation and has implications relevant to the Chinese government’s“Go Global”and Belt and Road strategies and its efforts to realize a developed financial sector to service the Chinese economy.

Dynamic Asset Allocation with Loss Aversion in a Jump-diffusion Model

This paper investigates a dynamic asset allocation problem for loss-averse investors in a jumpdiffusion model where there are a riskless asset and N risky assets. Specifically, the prices of risky assets are governed by jump-diffusion processes driven by an m-dimensional Brownian motion and a（N- m）-dimensional Poisson process. After converting the dynamic optimal portfolio problem to a static optimization problem in the terminal wealth, the optimal terminal wealth is first solved. Then the optimal wealth process and investment strategy are derived by using the martingale representation approach. The closed-form solutions for them are finally given in a special example.

Strategic Asset Allocation for China's Foreign Reserves:A Copula Approach

In this paper, we study strategic asset allocation for China＇s foreign reserves using a risk- based approach. Four aspects of the risk management are investigated： an investment universe, dependence structure, allocation strategies under risk minimization and trade-off between risks and returns. A regime-switching copula model is developed to investigate the dynamic dependence between assets. One regime emphasizes a short-term safe asset and the other regime emphasizes a long-term safe asset. The optimal allocation is derived following two strategies： risk minimization and trade-off between risks and returns in utility maximization with disappointment avoidance, lf the central bank focuses solely on risk minimization, the asymmetries in the asset return dependence encourage the flight to safety. However, if higher risks are allowed in exchange for higher returns, even the exchange is very conservative, and the asymmetries would discourage the flight to safety. Therefore, we suggest that China should mitigate its flight to safety after 2008 and increase holdings of short-term bank deposits, long-term treasury bonds and euro bonds.

Dynamic assets allocation based on market microstructure model with variable-intensity jumps

In order to characterizc large fluctuations of the financial markets and optimize financial portfolio, a new dynamic asset control strategy was proposed in this work. Firstly, a random process item with variable jump intensity was introduced to the existing discrete microstructure model to denote large price fluctuations. The nonparametric method of LEE was used for detecting jumps. Further, the extended Kalman filter and the maximum likelihood method were applied to discrete microstructure modeling and the estimation of two market potential variables： market excess demand and liquidity. At last, based on the estimated variables, an assets allocation strategy using evolutionary algorithm was designed to control the weight of each asset dynamically. Case studies on IBM Stock show that jumps with variable intensity are detected successfully, and the assets allocation strategy may effectively keep the total assets growth or prevent assets loss at the stochastic financial market.

Timing Prediction Error Volatility and Dynamic Asset Allocation

We solve a portfolio selection,problem in which,return predictability,risk predictability and transaction cost are incorporated.In the problem,both expected return,prediction error volatility,and transaction cost are time-varying.Our optimal strategy suggests trading partially toward a dynamic aim portfolio,which is a weighted average of expected future tangency portfolio and is highly influenced by the common fluctuation of prediction error volatility(CPE).When CPE is high,the investor would invest less and trade less frequently to avoid risk and transaction cost.Moreover,the investor trades more closely to the aim portfolio with a more persistent CPE signal.We also conduct an empirical analysis based on the commodities futures in Chinese market.The results reveal that by timing prediction error volatility,our strategy outperforms alternative strategies.

Life-cycle cost model and evaluation system for power grid assets based on fuzzy membership degree

Life-cycle cost(LCC)theory can be effectively applied to improve the efficiency and quality of power plant equipment and asset management.However,specific aspects of the LCC calculation and evaluation model require further research for practical application.This paper proposes an LCC assessment model for the management of electric power plant equipment during its service life.A membership function method based on fuzzy logic is used to improve the allocation of modernization and overhaul projects to multiple equipment assets.An LCC assessment model and evaluation system for power equipment are proposed and successfully applied to the equipment and project management of a Guangzhou power plant in the China Southern Power Grid,providing a decision-making mechanism that facilitates efficient operation and optimal utilization of power plant equipment and assets.

An Analysis of Annual Household Income From the Survey of Consumer Finances

This paper presents a brief analysis of the frequency and cumulative distributions of Americans＇ annual household income. In addition, a thorough discussion of the correlations between average income and some key demographic variables are included. The data come from the 2004 Survey of Consumer Finances. Utilizing the Survey a new, extraordinarily close, power law, relationship between current annual household income and accumulated financial assets is demonstrated. Another startling result is that the dependence of mean annual income on portfolio composition has nearly perfect power law dependence too. As money has scale, and power laws do not, this makes no sense.