The theme of this dissertation is to investigate how financial risks can be allocated in a multi-agent and multi-period setting under the economic principle of “Pareto efficiency and financial fairness” (PEFF). The dissertation is a combination of theory and practice and consists of three...

We show that fund families allocate their fund managers to different market segments such that their skill is rewarded best. Whether a fund manager's skill is rewarded by higher alpha depends on the efficiency of the market segment in which she works. Even skilled managers can generate alpha...