We study the level sets of value functions in expected utility stochastic optimization models. We consider optimal portfolio management models in complete markets with lognormally distributed prices as well as asset prices modeled as diffusion processes with nonlinear dynamics. Besides the...

The process of risk management for institutional investors faces two challenges. First, since most institutions are decentralized as opposed to being direct investors in assets, it is difficult to separate the risks of the assets in the portfolio from the risks generated by the investment...

The process of risk management for institutional investors faces two challenges. First, since most institutions are decentralized as opposed to being direct investors in assets, it is difficult to separate the risks of the assets in the portfolio from the risks generated by the investment...

We provide a simple argument that suggests that better informed hedge funds choose to have less exposure to factor risk. Consistent with this argument we find that hedge funds that exhibit lower R-squares with respect to systematic factors have higher Sharpe ratios, higher information ratios,...

We propose a model with endogenous disasters generated through a labor dynamics mechanism. The model is parsimonious, having only one continuous state variable as well as CRRA agents with reasonable risk aversion. In such a simple setting we solve for prices in closed form and show that we can...

Using data for more than 800 college and university endowment funds over 2003-2011, we provide a comprehensive analysis of the spending policies used in practice as well as how frequently and why those mandates are revised over time. Given the long-term and relatively static nature of the...

We study the level sets of value functions in expected utility stochastic optimization models. We consider optimal portfolio management models in complete markets with lognormally distributed prices as well as asset prices modeled as diffusion processes with nonlinear dynamics. Besides the...