Optimal Pension Fund Management with Foreign Investment in a Stochastic Environment by Mei-Ling Tang, Ting-Pin Wu, Ming-Chin Hung

“…This study focuses on developing international asset allocation criteria for a DC pension plan; accordingly, we consider risk exposure relative to stochastic interest rates and ex- change rates with minimum guarantees. …”
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Shipping : is it a high risk low return business? by Patitsas, Leon S

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Pension funds and urban investment: four models of financial intermediation. by Clark, G

“…In this paper, I assess the current state of play in the pension fund investment management industry, noting the conservatism of many fund trustees with respect to alternative investment products (AIPs) as well as noting that standard models of asset allocation hardly ever allocate significant resources to such products. …”

Pension funds and urban investment: four models of financial intermediation by Clark, G

“…In this paper, I assess the current state of play in the pension fund investment management industry, noting the conservatism of many fund trustees with respect to alternative investment products (AIPs) as well as noting that standard models of asset allocation hardly ever allocate significant resources to such products. …”

Inflation And The Subsequent Timing Of The Chinese Stock Market by Hui , Hong, O'Brien, Fergal, Ryan, James

“…However, this practice might experience time variations in a real-time framework, which draws investors' attention to asset allocation under economic uncertainty.…”
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Size Effect on the Performance of Listed Real Estate Companies by Mohd. Ali, Hishamuddin

“…Many previous studies explore the effects of size to the securitised real estate such as real estate share and real estate trust from the perspective of returns, risk and asset allocation. The study aims to explore the effects of size to the performance of listed real estate share by looking on the implications of real estate company size to the mixed assets portfolio and identifying the relationship between firm size and unsystematic risk of real estate share. …”
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The relationship between performance and graphic presentation in unit trusts' annual reports: Malaysian evidence by Saad, Ram Al Jaffri, Yahya, Mohd Azlan, Md Hussain, Md Hairi

“…This study investigates the use and abuse of graphs in the annual reports of unit trust companies.It is found that 78% of companies use graphs and that 2.1 is the mean number of graphs per graph-using companies.The most commonly graphed financial variables are asset allocation, performance, investment and fund size.Line and pie graphs are more popular than bar and column.Thus, in contrast to previous studies of graphs in annual reports, no relationship is found between performance and graphic presentation in unit trusts’ annual reports.The result may suggest that graphic presentation in unit trust’s annual report is normally dependent on the discretion of company’s management.…”
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A correlation between performance and graphic presentation in unit trust’s annual report by Saad, Ram Al Jaffri, Md Hussain, Md Hairi, Yahya, Mohd Azlan

“…The most commonly graphed financial variables are asset allocation, performance, investment and fund size. …”
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A correlation between performance and graphic presentation in unit trust's annual report by Saad, Ram Al Jaffri, Yahya, Mohd Azlan, Md Hussain, Md Hairi

“…The most commonly graphed financial variables are asset allocation, performance, investment and fund size. …”
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Using causal loop diagram in understanding financial activities of Malaysia Pension Fund by Sapiri, Hasimah, Ahmad, Nazihah, Aziz, Nazrina, Zainon, Fatinah

“…Methodology/Technique-Numerous factors influencing the financial condition pension fund is summarized.Based on the set of system factors in literature summarization, causal loop diagram is used to analyse the interrelationships among these factors.Findings – Causal loop diagram shows a relationship between these factors, which can be used in analysing financial condition of a pension fund.In the developed causal loop diagram, it shows the main sources of Malaysia pension fund, the asset allocation, and the future benefit payment.Novelty – The causal loop diagram will then, be used as a dynamic hypothesis of this study and serves as a basis for quantitative models.…”
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A robust linear programming model for index fund construction by Mohammad Mahdi Bahrololoum, Mirfeiz Fallahshams, Ghasem Blue

“…In this study, the strategy of effective asset allocation under uncertainty with the capability of risk control, transaction cost reduction and favorable return realization is investigated. …”
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Multi-assets Asian rainbow options pricing with stochastic interest rates obeying the Vasicek model by Yao Fu, Sisi Zhou, Xin Li, Feng Rao

“…Asian rainbow options provide investors with a new option solution as an effective tool for asset allocation and risk management. In this paper, we address the pricing problem of Asian rainbow options with stochastic interest rates that obey the Vasicek model. …”
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Affine Term Structure Models: Applications in Portfolio Optimization and Change Point Detection by Konstantinos Bisiotis, Stelios Psarakis, Athanasios N. Yannacopoulos

“…The results indicate that control chart procedures can be useful in the detection of changes in the optimal asset allocation of fixed income portfolios.…”
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Investment Education: Understanding Portfolio Optimization by Ahmad Bukhari Mohd Yasin, Khairu Amin Ismail, Zulkifli Mohamed

“…Therefore, this study aimed to provide an exposition to investors and students about managing a portfolio’s risk and the importance of asset allocation. A case study of two risky-asset portfolios has been used in the construction of efficient portfolios using a mean–variance model. …”
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AN EMPIRICAL ANALYSIS OF FACTORS INFLUENCING PERFORMANCE OF SHARIAH MUTUAL FUNDS IN INDONESIA by A. Dewantoro Marsono, Ubud Salim, Kusuma Ratnawati, Siti Aisjah

“…Further research will ascertain the inability of market-timing skills and asset allocation strategies to improve mutual fund performance.…”
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Stock profiling using time–frequency-varying systematic risk measure by Roman Mestre

“…Significant differences exist in short-run and long-run risk profiles, implying a different asset allocation. We conclude that the standard CAPM assumes short-run investment. …”
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Do global geopolitical risks affect connectedness of global stock market contagion network? Evidence from quantile-on-quantile regression by Fujun Lai, Sicheng Li, Liang Lv, Sha Zhu

“…They also provide ideas on how to effectively hedge such risks during asset allocation and policy formulation.…”
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When do stop-loss rules stop losses? by Kaminski, Kathryn M., Lo, Andrew W

“…Keywords: Investments; Portfolio management; Risk management; Asset allocation; Performance attribution; Behavioral finance…”
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Empirical studies on dynamic trading strategies with autoregressive assets by Goh, Chian Yi

“…Enhancement through adjusting the desired required return may lead to a better achievement in balancing risk and return of asset allocation. This paper contributes to the evaluation of the practical use of dynamic trading strategies and hence the best choice among them, which is previously questionable.…”
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Applied mathematics and machine learning for optimal portfolio allocation by Suresh Babu, Vignesh Raja

“…This research explores asset allocation techniques, leveraging mathematical methods to optimise and analyse equity portfolios for the Singapore Exchange (SGX). …”
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