… (See Leibowitz et al. [1990] for full details.) We also consider the sensitivity of the risky
asset allocation to … For a detailed discussion of this concept, see Martin L. Leibowitz et al. [1989]. …

The concept of duration has proved to be a valuable tool for gauging the sensitivity of a
bond portfolio to movements in interest rates. By balancing the duration of a fixed income …

Most of the risk associated with fixed income price movements is accounted for by their
duration-that is, their sensitivity to changes in the discount rate. Thus, for bonds, duration and …

A cutting-edge look at the endowment model of investing Many larger endowments and
foundations have adopted a broadly diversified asset allocation strategy with only a small …

The search for incremental returns—“alphas” in current parlance—has become the holy grail
of active investment. This article begins by drawing a distinction between two broad classes …

… When this work was first presented by Martin Nowak at the Institute for Quantitative Research
in Finance, it received high accolades.Nowak is a leading academic theorist in the field of …

The portfolio optimization process determines the set of portfolios that achieve the highest
expected returns at given risk levels. In this context, risk is usually measured by the standard …

To achieve a reasonable balance between asset and surplus shortfall risks, a methodology
is presented for applying simultaneous shortfall constraints on both the asset performance …

This article looks" inside" the DDM-based price/earnings ratio and provides a surprisingly
simple model of the future investment opportunities required to support an above-market PIE. …

Perhaps the most difficult aspect of the asset allocation decision is determining how to balance
the fund's need for long-term growth against the manager's need to achieve investment …