Relevant bibliographies by topics / Investment portfolio of assets

Contents

  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers
  6. Reports

Academic literature on the topic 'Investment portfolio of assets'

Author: Grafiati
Published: 30 May 2022
Last updated: 31 July 2025

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Journal articles on the topic "Investment portfolio of assets"

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SARAL, KUNIKA. "Analyzing the Relationship between Real Estate Investments and Portfolio Diversification." INTERANTIONAL JOURNAL OF SCIENTIFIC RESEARCH IN ENGINEERING AND MANAGEMENT 08, no. 05 (2024): 1–5. http://dx.doi.org/10.55041/ijsrem32966.

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Real estate has long been considered an attractive investment option for individuals and institutions seeking to build wealth and diversify their portfolios. Unlike traditional investment vehicles such as stocks and bonds, real estate offers unique characteristics that can potentially enhance returns and mitigate risk. This analysis aims to explore the role of real estate investments in portfolio diversification and assess their potential impact on overall portfolio performance. Portfolio diversification is a fundamental principle in investment management, as it helps to spread risk across dif
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Gusliana, Shindi Adha, and Yasir Salih. "MEAN-VARIANCE INVESTMENT PORTFOLIO OPTIMIZATION MODEL WITHOUT RISK-FREE ASSETS IN JII70 SHARE." International Journal of Business, Economics, and Social Development 3, no. 4 (2022): 168–73. http://dx.doi.org/10.46336/ijbesd.v3i4.352.

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In investing, investors will try to limit all the risks in managing their investments. Investor strategies to minimize investment risk are diversification by forming investment portfolios, one of which is the Mean-Variance without risk-free assets. The calculation results will show the composition of the optimum portfolio return for each stock that forms the portfolio. Optimum portfolio obtained with wT = (0.39853, 0.25519, 0.13644, 0.09788, 0.11196) sequential weight composition for TLKM, KLBF, INCO, HRUM, and FILM stocks. The composition of this optimal portfolio return is ???? 0.04 with a r
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Dr., Keshav Gupta, and Ritika Gupta Ms. "CONSTRUCTING INVESTMENT PORTFOLIO: AN ANALYSIS OF PRICING OF SECURITIES." International Journal of Marketing & Financial Management 2, no. 1 (2014): 150–71. https://doi.org/10.5281/zenodo.10782296.

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Abstract: <strong>&nbsp;</strong> An investment portfolio is a collection of assets owned by an individual or by an institution. An investor's portfolio can include real estate and so-called "hard" assets, such as gold bars. But most investment portfolios, particularly portfolios that are assembled to pay for a retirement, are made up mainly of securities, such as stocks, bonds, mutual funds, money market funds and exchange traded funds. The Objectives of the study is to explore application of financial modeling in selection of securities portfolio. The stress has been given to check validity
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Gusliana, Shindi Adha, and Yasir Salih. "Mean-Variance Investment Portfolio Optimization Model Without Risk-Free Assets in Jii70 Share." Operations Research: International Conference Series 3, no. 3 (2022): 101–6. http://dx.doi.org/10.47194/orics.v3i3.185.

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In investing, investors will try to limit all the risks in managing their investments. Investor strategies to minimize investment risk are diversification by forming investment portfolios, one of which is the Mean-Variance without risk-free assets. The calculation results will show the composition of the optimum portfolio return for each stock that forms the portfolio. Optimum portfolio obtained with wT = (0.39853, 0.25519, 0.13644, 0.09788, 0.11196) sequential weight composition for TLKM, KLBF, INCO, HRUM, and FILM stocks. The composition of this optimal portfolio return is 𝜏 0.04 with a retu
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Mats, Vladyslav. "Hedge performance of different asset classes in varying economic conditions." Radioelectronic and Computer Systems 2024, no. 1 (2024): 217–34. http://dx.doi.org/10.32620/reks.2024.1.17.

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In the realm of long-term investment, strategic portfolio allocation is an essential tool, especially in relation to risk management and return optimisation. There are many ways to pursue optimal portfolio composition, and their effectiveness depends on many factors, including the investor’s goals, risk appetite, and investment horizon. One of the primary means of portfolio optimisation is diversification. The core idea of diversification is to maintain a diverse portfolio with weakly correlated assets that can vastly reduce portfolio exposure to different market stress factors. Diversificatio
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Sai, Priya KV. "Evaluating the Role of Virtual Digital Assets in Diversifying Investment Portfolios." Journal of Research and Review in Digital Marketing and Communications 2, no. 1 (2024): 54–61. https://doi.org/10.5281/zenodo.14032548.

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<em>Cryptocurrencies have emerged as the new type of assets that recently became popular in the financial markets. This paper focuses on the effects of virtual digital assets on investment portfolios. Using MPT as a theoretical framework, the research analyzes how the digital assets impact portfolio risk, return, and diversification. Its distinguishing features are decentralization, non-correlation with conventional financial instruments and relative high incidence. These features give portfolio optimization a new angle in diversification which would eliminate general risks and also improve po
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Purata-Aldaz, José, Juan Frausto-Solís, Guadalupe Castilla-Valdez, Javier González-Barbosa, and Juan Paulo Sánchez Hernández. "MASIP: A Methodology for Assets Selection in Investment Portfolios." Mathematical and Computational Applications 30, no. 2 (2025): 34. https://doi.org/10.3390/mca30020034.

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This paper proposes a Methodology for Assets Selection in Investment Portfolios (MASIP) focused on creating investment portfolios using heuristic algorithms based on the Markowitz and Sharpe models. MASIP selects and allocates financial assets by applying heuristic methods to accomplish three assignments: (a) Select the stock candidates in an initial portfolio; (b) Forecast the asset values for the short and medium term; and (c) Optimize the investment portfolio by using the Sharpe metric. Once MASIP creates the initial portfolio and forecasts its assets, an optimization process is started in
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Kong, Silin, and Mingchen Xu. "Portfolio Optimization for Junior Investors under Different Industries." BCP Business & Management 38 (March 2, 2023): 1506–15. http://dx.doi.org/10.54691/bcpbm.v38i.3925.

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Portfolio optimization has long been considered as an integral procedure of the financial markets. However, optimizing the portfolio may be difficult for junior investors. Therefore, this paper conducts a portfolio containing five diversified assets covering the e-commerce, entertainment industry, finance and insurance, and energy industries, and explores the optimal portfolio by maximizing the Sharpe ratio and minimizing the variance for each of these five assets through three models which are mean-variance analysis, CAPM and FF3F model. The results show that under both the FF3F and CAPM mode
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Kiyko, S., L. Deineha, M. Basanets, D. Kamienskyi, and A. Didenko. "PORTFOLIO MANAGEMENT OF ENERGY SAVING PROJECTS BASED ON THE MARKOVITS THEORY." Integrated Technologies and Energy Saving, no. 3 (November 9, 2021): 79–91. http://dx.doi.org/10.20998/2078-5364.2021.3.08.

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The goal of the work was to identify research and compare methods of portfolio management of energy saving projects and to develop software for optimizing portfolio investments using several methods. The key elements and strategies of creating an effective investment portfolio are considered: diversification, rebalancing, active portfolio management, passive portfolio management.&#x0D; Given the basic principles of investment theory, the task of portfolio investment is to form an investment portfolio with known shares of certain assets to maximize returns and minimize risk. To solve this probl
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Abdul Hali, Nurfadhlina, and Ari Yuliati. "Markowitz Model Investment Portfolio Optimization: a Review Theory." International Journal of Research in Community Services 1, no. 3 (2020): 14–18. http://dx.doi.org/10.46336/ijrcs.v1i3.104.

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In the face of investment risk, investors generally diversify and form an investment portfolio consisting of several assets. The problem is the fiery proportion of funds that must be allocated to each asset in the formation of investment portfolios. This paper aims to study the optimization of the Markowitz investment portfolio. In this study, the Markowitz model discussed is that which considers risk tolerance. Optimization is done by using the Lagrangean Multiplier method. From the study, an equation is obtained to determine the proportion (weight) of fund allocation for each asset in the fo
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Dissertations / Theses on the topic "Investment portfolio of assets"

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Lekander, Jon. "Institutional Real Investments : Real Estate in a Multi-Asset Portfolio." Doctoral thesis, KTH, Bygg- och fastighetsekonomi, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-196536.

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The purpose of this thesis is to analyze real estate investments from the vantage point of an institutional multi asset investor perspective, both in terms of the potential benefits real estate can bring as well as the challenges it can pose. The thesis consists of six papers and approaches the research question from three distinct perspectives. The quantitative papers consists of paper 1 and 5. Paper 1 analyses the portfolio characteristics of domestic and international real estate in a mean variance framework over seven investor domiciles. It is found that the optimal allocation to real esta
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Huber, Florian, and Maria Teresa Punzi. "The shortage of safe assets in the US investment portfolio: Some international evidence." WU Vienna University of Economics and Business, 2017. http://epub.wu.ac.at/5460/1/wp243.pdf.

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This paper develops a Bayesian Global VAR (GVAR) model to track the international transmission dynamics of two stylized shocks, namely a supply and demand shock to US-based safe assets. Our main findings can be summarized as follows. First, we find that (positive) supply-sided shocks lead to pronounced increases in economic activity which spills over to foreign countries. The impact of supply-sided shocks can also be seen for other quantities of interest, most notably equity prices and exchange rates in Europe. Second, a demand-sided shock leads to an appreciation of the US dollar and generall
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Полоз, К. С. "Інвестиційний портфель банку". Thesis, Одеський національний економічний університет, 2021. http://local.lib/diploma/Poloz.pdf.

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Доступ до роботи тільки на території бібліотеки ОНЕУ, для переходу натисніть на посилання нижче<br>У роботі розглядаються теоретичні аспекти інвестиційного портфелю банку: поняття, функції інвестиційного портфеля банку, класифікаційні ознаки інвестиційного портфеля банку, структура та оцінка якості інвестиційного портфеля банку, концепція формування інвестиційного портфеля та інвестиційна політика банку. Проаналізовано загальну характеристику АТ КБ "ПриватБанк", характеристику інвестиційного портфеля банків України, формування інвестиційного портфеля АТ КБ "ПриватБанк", оцінена якість інвести
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Yamashita, Takashi. "Housing as an asset in portfolio decisions /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 1999. http://wwwlib.umi.com/cr/ucsd/fullcit?p9949688.

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Ahlersten, Krister. "Empirical asset pricing and investment strategies." Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics [Ekonomiska forskningsinstitutet vid Handelshögskolan i Stockholm] (EFI), 2007. http://www2.hhs.se/efi/summary/726.htm.

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Joubert, Hennie. "The allocation of real estate in an investment portfolio." Thesis, Stellenbosch : Stellenbosch University, 2015. http://hdl.handle.net/10019.1/97342.

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Thesis (MBA)--Stellenbosch University, 2015.<br>ENGLISH ABSTRACT: In this study investors were informed of the benefits of diversification and the reduction of systematic risk when property is included in an asset allocation portfolio. It also provided investors with information that will assist them in deciding on asset class allocations, specifically including real estate within a mixed-asset portfolio for both the short and long term. The method applied to answer the research questions started with a detailed literature review in order to gain a thorough understanding of the topic. The sec
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Cahill, Michael A. "The Role of U.S. Infrastructure Investment in Strategic Asset Allocation." Scholarship @ Claremont, 2013. http://scholarship.claremont.edu/cmc_theses/560.

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This paper investigates the role of U.S. infrastructure investments in a multi-asset portfolio, by using monthly return data for eight different asset classes from the period December 2002 to March 2013. Applying mean variance, as well as mean-downside risk, optimization models, I show that U.S. infrastructure plays an important role in delivering better risk/return trade-offs than more traditional portfolios. Infrastructure proves to be most beneficial to moderate-risk portfolios where the standard deviation ranges from 2% to 6% and the maximum allocation to infrastructure is 65.49%. Additi
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Flavin, Thomas J. "Tactical asset allocation." Thesis, University of York, 1999. http://etheses.whiterose.ac.uk/2493/.

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Ahlvar, Mathias, and Fredrik Berg. "Investment companies as an investment – Could a person without experience from investments bee helped by the active ownership of investment companies?" Thesis, KTH, Fastigheter och byggande, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-152601.

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In this essay we have been studying the development of investment companies that is traded at Mid Cap and Large Cap at the Stockholm stock market. We took out five investment companies at random from the mentioned markets above. We used these companies as benchmarking for the study. To measure the development we looked at the change in the stock price and the total yield over the given time period, we then compared these to three random portfolios of 8 stocks each and the index called Six-Return index. All the companies in the random portfolios have another type of owner structure and lack Inv
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Lynch, Dustin Shane. "Asset Allocation Technique for a Diversified Investment Portfolio Using Artificial Neural Networks." Ohio University / OhioLINK, 2015. http://rave.ohiolink.edu/etdc/view?acc_num=ohiou1432805760.

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Books on the topic "Investment portfolio of assets"

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Leibowitz, Martin L. Modern Portfolio Management. John Wiley & Sons, Ltd., 2009.

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J, Fabozzi Frank, ed. Managing institutional assets. Harper & Row, 1990.

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Campbell, John Y. Strategic asset allocation: Portfolio choice for long-term investors. Oxford University Press, 2002.

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Karnosky, Denis S. Global asset management and performance attribution. Research Foundation of the Institute of Chartered Financial Analysts, 1994.

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Huxley, Stephen J. Asset dedication: How to grow wealthy with the next generation of asset allocation. McGraw-Hill, 2005.

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Pástor, Lubos̆. Comparing asset pricing models: An investment perspective. National Bureau of Economic Research, 1999.

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M, Viceira Luis, ed. Strategic asset allocation: Portfolio choice for long-term investors. Oxford University Press, 2002.

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Fraser-Sampson, Guy. Multi Asset Class Investment Strategy. John Wiley & Sons, Ltd., 2006.

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Albuquerque, Rui. Agency conflicts, investment, and asset pricing. National Bureau of Economic Research, 2007.

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Albuquerque, Rui. Agency conflicts, investment, and asset pricing. National Bureau of Economic Research, 2007.

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Book chapters on the topic "Investment portfolio of assets"

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Böni, Pascal, and Tim Kröncke. "The Risk-Free Investment." In The Evidence-Based Investor. Springer Nature Switzerland, 2025. https://doi.org/10.1007/978-3-031-88675-1_7.

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Abstract The optimal combination of the global market portfolio and the alpha portfolio may result in a portfolio that is too risky for a particular investor. To meet individual risk preferences, investors may invest parts of their total portfolio into risk-free assets. In practice, the concept of a risk-free asset is ambiguous. Accordingly, investors may instead invest in a portfolio of near-risk-free assets, such as money market funds. We consider two types of investors to objectify the subjective term “risk”. First, an investor for whom standard deviation is a good measure of risk, and seco
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Jones, Colin A., and Edward Trevillion. "Portfolio Theory and Property in a Multi-Asset Portfolio." In Real Estate Investment. Springer International Publishing, 2022. http://dx.doi.org/10.1007/978-3-031-00968-6_7.

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Böni, Pascal, and Tim Kröncke. "The Alpha Portfolio." In The Evidence-Based Investor. Springer Nature Switzerland, 2025. https://doi.org/10.1007/978-3-031-88675-1_6.

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Abstract The alpha portfolio combines alternative asset classes and active investment strategies based on theoretical and empirical evidence. Backed by a strong rationale for economic mechanisms likely driving outperformance, the alpha portfolio improves the performance of the global market portfolio. We emphasise that investors need to consider a potential mispricing in financial markets, and consciously think about priced but not yet considered risk factors when selecting assets for the alpha portfolio. Moreover, they must continually gather and evaluate empirical evidence on the performance
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Mei, Bin, and Michael L. Clutter. "Portfolio Theory and Asset Pricing Models." In Forestland Investment. Routledge, 2023. http://dx.doi.org/10.4324/9781003366737-6.

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Kolari, James W., Wei Liu, and Seppo Pynnönen. "Multifactor Asset Pricing Models." In Professional Investment Portfolio Management. Springer Nature Switzerland, 2023. http://dx.doi.org/10.1007/978-3-031-48169-7_3.

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Kolari, James W., Wei Liu, and Seppo Pynnönen. "General Equilibrium Asset Pricing Models." In Professional Investment Portfolio Management. Springer Nature Switzerland, 2023. http://dx.doi.org/10.1007/978-3-031-48169-7_2.

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Kolari, James W., Wei Liu, and Seppo Pynnönen. "A New Asset Pricing Model: The ZCAPM." In Professional Investment Portfolio Management. Springer Nature Switzerland, 2023. http://dx.doi.org/10.1007/978-3-031-48169-7_4.

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Kolari, James W., and Seppo Pynnönen. "Portfolio Theory and Practice." In Investment Valuation and Asset Pricing. Springer International Publishing, 2023. http://dx.doi.org/10.1007/978-3-031-16784-3_1.

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Eppli, Mark J., and Charles C. Tu. "Commercial real estate investment in a portfolio of risky assets." In Routledge Companion to Real Estate Investment. Routledge, 2018. http://dx.doi.org/10.1201/9781315775579-14.

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Savchenko, Serhii, and Vitaliy Kobets. "Allocation of Investment Portfolio Assets Classes Using Machine Learning." In Communications in Computer and Information Science. Springer Nature Switzerland, 2025. https://doi.org/10.1007/978-3-031-81372-6_21.

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Conference papers on the topic "Investment portfolio of assets"

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Nnakenyi, Norbert, Simon Olushola Amos, Mobolaji Abegunde, et al. "Effective Asset/Portfolio Management: NAPIMS Perspective." In SPE Nigeria Annual International Conference and Exhibition. SPE, 2022. http://dx.doi.org/10.2118/211998-ms.

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Abstract NAPIMS is the investment portfolio management arm of the NNPC that has been entrusted with investments of the federal government of Nigeria in the oil and gas sector. In alignment with best international practices, NAPIMS adopted an efficient asset-based management organizational structure to monitor the true performance of the entire assets within its portfolio. Having an overview of all assets serves as a roadmap/link to obtaining vital background information about legacy performance as well as plans and strategies. Over the years, NAPIMS had a less structured asset overview for pro
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Sousa e Silva, M., and P. F. Correia. "Investment decisions in generation assets: A portfolio theory approach." In 2008 IEEE International Engineering Management Conference (IEMC-Europe 2008). IEEE, 2008. http://dx.doi.org/10.1109/iemce.2008.4617961.

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Cook, Laetitia, and Fabio Walter Nava. "Hotels as an Alternative Property Investment Asset Class and its Funding Challenges in South Africa." In 13th International Conference on Applied Human Factors and Ergonomics (AHFE 2022). AHFE International, 2022. http://dx.doi.org/10.54941/ahfe1002242.

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Institutional investors and corporates constantly strive for above-inflation yields in relation to investments in traditional real estate assets. This study set out to determine how hotels perform compared to traditional property investment asset classes in terms of investment yields and whether investors (property developers and institutional investment funds) consider the hospitality sector for investment or diversification of current portfolios. Furthermore, to determine how aligned the commercial banks, Development Funding Institutions (DFI), and Section 12J funds are with funding single h
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Finogenova, Yulia Yurievna, Mikhail Aleksandrovich Kokarev, and Roman Arkadyevich Neiman. "Development of ESG investments in the Russian market." In Sustainable and Innovative Development in the Global Digital Age. Dela Press Publishing House, 2022. http://dx.doi.org/10.56199/dpcsebm.fnwi4854.

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In Russia, ESG investing is just beginning to develop, the state supports and promotes this concept, encourages companies with a high ESG rating and introduces benefits for them - subsidizing coupon income on bonds to cover part of the issuers' expenses. Regulators also create common standards by which to assess whether a company really follows ESG principles. Current research is devoted to the developing the indicators (indexes), which enable to evaluate possible ESG- nvestment strategies. The goal of the research is to suggest the benchmark of the balanced investment portfolio, which is less
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Kocúrek, Martin. "A Review of Selected Equity and Credit Investment Strategies of Reinsurer." In EDAMBA 2023: 26th International Scientific Conference for Doctoral Students and Post-Doctoral Scholars. University of Economics in Bratislava, 2024. http://dx.doi.org/10.53465/edamba.2023.9788022551274.104-115.

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This paper analyses specific type of investor on financial markets – a reinsurance company and its value-creating process, with focus on its investment activities. A special attention is focused on reinsurer’s idiosyncratic investor’s profile due to core business activities, i.e. underwriting. This makes its investment profile and objectives different to other market participants. We modelled and analysed reinsurer’s three main investment strategies based on underlying asset classes of particular portfolios. Each of these portfolios is comprising of three sub-portfolios which are managed by di
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Arribas, Iván, Jairo González-Bueno, Francisco Guijarro, and Javier Oliver. "Impact of foreign exchange risk on investment portfolio performance in Latin American stock indexes." In Business and Management 2016. VGTU Technika, 2016. http://dx.doi.org/10.3846/bm.2016.15.

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This article aims to analyze whether investing in international assets, and fluctuations in their own currencies, allow the possibility of structuring diversified investment portfolios that would not only maximize the expected return, but also minimize risk. For this,it is evaluated the impact of currency risk on the profitability of investment portfolios in the stock indexes in Argentina, Brazil, Chile, Colombia, Mexico and Peru from the point of view 6 investors (one American and five located in each of these countries) during the period 2002–2014.
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Rutkauskas, Aleksandras Vytautas, Viktorija Stasytytė, and Andrius Rutkauskas. "Reliability as Main Factor for Future Value Creation." In Contemporary Issues in Business, Management and Education. Vilnius Gediminas Technical University, 2017. http://dx.doi.org/10.3846/cbme.2017.075.

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The main objective of the paper is to present the solution to the problem of possibilities’ reliability management, which is an important problem of uncertainty (risk) economics. Also, the paper aims to propose adequate methods of stochastic optimization and reveal their broad implementation possibilities. Along with that, the concept of utility function is being disclosed, when we take into account not only the possibilities of prices and costs, but also their reliability, in order to achieve the highest value added in this process. The original methods of stochastic optimization are used, wh
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Martins, Márcia, and Afshin Ashofteh. "A Systematic Review on Robo-Advisors in Fintech." In 23ª Conferência da Associação Portuguesa de Sistemas de Informação. Associação Portuguesa de Sistemas de Informação, APSI, 2023. http://dx.doi.org/10.18803/capsi.v23.160-185.

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Technology has been the main driver for the financial sector. Fintech tools emerged to support the provision of financial services, especially Robo-Advisors (RAs), which allow the automation of the investment management process. The main functions are the creation of an investment portfolio and allocating assets, and daily management of investment portfolios based on a machine learning algorithm. This paper presents a literature review to summarise the importance of RAs in the financial sectors as well as the perception of investors. Also, this literature review presents the main algorithm’s c
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Yeter, Baran, Yordan Garbatov, and Carlos Guedes Soares. "Analysis of Life Extension Performance Metrics for Offshore Wind Assets." In ASME 2022 41st International Conference on Ocean, Offshore and Arctic Engineering. American Society of Mechanical Engineers, 2022. http://dx.doi.org/10.1115/omae2022-78184.

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Abstract The objective of the present study is to investigate systematically the key metrics to evaluate the life extension performance of offshore wind farm operations. Finding the appropriate performance metric for an operation is essential for a durable, reliable, and profitable offshore wind farm operation. The analyzed key performance metrics are gross profit margin, return on asset, compounded annual rate of return of initial investment and levelized cost of energy. The mean value and standard deviation of each performance metric are calculated within a probabilistic techno-economic asse
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Syrovatkin, Alexander. "Mixed Investment Portfolio with Limited Asset Selection." In 2020 13th International Conference Management of large-scale system development (MLSD). IEEE, 2020. http://dx.doi.org/10.1109/mlsd49919.2020.9247765.

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Reports on the topic "Investment portfolio of assets"

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Cruces, Lidia, Isabel Micó-Millán, and Susana Párraga. Female Financial Portfolio Choices and Marital Property Regimes. Banco de España, 2024. http://dx.doi.org/10.53479/37794.

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This paper studies the relationship between married couples’ portfolio choices and property division rules. Using rich household survey data, we exploit the regional variation in marital laws across Spain to estimate the causal effects of property division rules on household financial investment. We find that separate-property couples hold riskier financial portfolios than community-property ones when wives take charge of the household finances. To understand this gap in risky asset holdings, we develop a financial portfolio choice model where couples are subject to divorce risk but differ in
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Marzani, Matías, Eduardo A. Cavallo, and Eduardo Fernández-Arias. Making International Financial Integration Work for Low-Saving Countries. Inter-American Development Bank, 2017. http://dx.doi.org/10.18235/0011806.

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Deeper financial integration is expected to enable low-saving countries to increase domestic investment but also to increase crisis risks by facilitating the accumulation of risky foreign liabilities. This paper explores the connections between financial integration, investment and crisis risk to assess this tradeoff. It confirms expectations but also finds that the accumulation of safe foreign assets that financial integration brings is an important risk offset that in many cases even eliminates the risk factor from the tradeoff altogether. Furthermore, it shows that the risk features of asse
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Marzani, Matías, Eduardo A. Cavallo, and Eduardo Fernández-Arias. Varieties of Saving and Crises. Inter-American Development Bank, 2016. http://dx.doi.org/10.18235/0009294.

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This paper shows, using probit analysis, that low national savings increase the risk of macroeconomic crisis. Foreign savings are a poor substitute of national savings not only for domestic investment (Feldstein-Horioka result), but also for stability. It is found that deeper financial integration does not cure low investment and can improve the situation only to the extent that the risks of the foreign saving portfolio can be kept under control. Overall, a fundamental conclusion is that strong national savings are key for robust growth. Extending the probit analysis, the paper shows that the
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Goldberg, Linda S., and Oliver Hannaoui. Drivers of Dollar Share in Foreign Exchange Reserves. Federal Reserve Bank of New York, 2024. http://dx.doi.org/10.59576/sr.1087.

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The share of U.S. dollar assets in the official foreign exchange reserve portfolios of central banks is sometimes taken as an indicator of dollar status. We show that the observed decline in the aggregate share of U.S. dollar assets does not stem from a systematic shift in currency preferences away from holding dollar assets. Instead, a small group of countries with large foreign exchange reserve balances drive the dollar share decline observed in aggregate statistics. This arises either due to countries conducting monetary policy vis-à-vis the euro or due to preference shifts away from dollar
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Green, Crystal, Fares Georges Khalil, Laren Ziegler, and Ariunkhishig Gonchigdorj. The Resource Portfolio: Maximising Investments in Education Innovation. HundrED, 2024. http://dx.doi.org/10.58261/omys3131.

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In this report, we propose resourcing the implementation of innovations at scale through a more holistic approach to how people share and regenerate the energy to enact innovation and sustain quality education. This approach has significant implications for how public and private funders of education might rethink their strategies for resourcing change, particularly by recognizing the diverse types of resources required to support meaningful transformation. We propose five types of resources that, when employed in combination, can sustain the implementation of education innovations at scale: f
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Ortu, Fulvio, Pietro Reggiani, and Federico Severino. Persistence-based capital allocation along the FOMC cycle. CIRANO, 2024. http://dx.doi.org/10.54932/tuhb8180.

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The Federal Reserve holds two main sets of monetary policy meetings, the “Federal Open Market Committee” (FOMC) and the “Board Meetings”, which gather with sixweek and two week cadence respectively. Cieslak, Morse, and Vissing-Jorgensen (2019) show that the cadence of these meetings is associated with cycles of corresponding frequencies in stock markets. These can be fruitfully exploited through a portfolio strategy that invests in the whole market at alternate weeks (the even-week strategy). This simple investment rule is based on the cycles identified empirically but, so far, lacks a theoret
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García-Mantilla, Daniel. PLAC Network Best Practices Series: Target-Income Design of Incentives, Benchmark Portfolios and Performance Metrics for Pension Funds. Inter-American Development Bank, 2021. http://dx.doi.org/10.18235/0003599.

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In defined contribution systems, at the end of the accumulation phase the assets in the retirement account are exchanged for a pension. The conversion rate from assets to retirement income (which depends on the level of interest rates) is very volatile, and its variations constitute the main investment risk facing pension fund affiliates. In this sense, performance metrics, management fees and benchmark portfolios that focus on assets (and asset returns) and ignore the variations in the conversion rate, embed several problems: i. they send wrong signals to regulators, fund managers and workers
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Cabrera, Wilmar, Santiago Gamba, Camilo Gómez, and Mauricio Villamizar-Villegas. Examining Macroprudential Policy through a Microprudential Lens. Banco de la República, 2022. http://dx.doi.org/10.32468/be.1212.

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In this paper, we examine the financial and real effects of macroprudential policies with a new identifying strategy that exploits borrower-specific provisioning levels for each bank. Locally, we compare similar firms just below and above regulatory thresholds established in Colombia during 2008--2018 for the corporate credit portfolio. Our results indicate that the scheme induces banks to increase the provisioning cost of downgraded loans. This implies that, for loans with similar risk but with a discontinuously lower rating, banks offer a lower amount of credit, demand higher quality guarant
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Ang, Andrew, Dimitris Papanikolaou, and Mark Westerfield. Portfolio Choice with Illiquid Assets. National Bureau of Economic Research, 2013. http://dx.doi.org/10.3386/w19436.

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Schwartz, Eduardo, and Claudio Tebaldi. Illiquid Assets and Optimal Portfolio Choice. National Bureau of Economic Research, 2006. http://dx.doi.org/10.3386/w12633.

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