Using Constraints to Improve the Robustness of Asset Allocation

Insulating Your Nest Egg in the Storm of Social Security Reform

Gupta, Francis, (2003)

RISK MANAGEMENT - U.S. Corporate Pension Plans - Using the universe of the 200 largest corporate pension plans in 1998, the authors report their value at risk (VaR) estimates and perform peer group comparisons on the basis of sector, plan assets, funding status, asset allocation, and performance. The results indicate that VaR estimates differ significantly for this sample, ranging from about 10% ...

Gupta, Francis, (2000)

PERFORMANCE EVALUATION - The Information Ratio and Performance - When it comes to selecting managers, the predictors of alpha and performance persistence are of primary concern to investors. The authors find that it is more difficult for domestic asset class managers (small-cap is an exception) to outperform their respective benchmarks than it is for international asset class managers. ...

Gupta, Francis, (1999)