Using Value at Risk to Enhance Asset Allocation in Life-Cycle Investment Funds

被引：4
|
作者：
Lewis, Nigel D. [1 ]
Okunev, John [2 ]
机构：
[1] Teacher Retirement Syst Texas, Strateg Res & Risk Management, Austin, TX 78701 USA
[2] Global Alpha Portfolio Management LLC, Sydney, NSW, Australia
来源：
JOURNAL OF INVESTING | 2009年 / 18卷 / 01期
关键词：
D O I：
10.3905/JOI.2009.18.1.087
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
引用
收藏
页码：87 / 91
页数：5
相关论文
共 50 条
  • [41] Corporate Life-Cycle, Corporate Governance and Investment Efficiency
    Ding, Fangfei
    Zhang, Lulu
    [J]. PROCEEDINGS OF 2013 INTERNATIONAL CONFERENCE ON QUALITY, RELIABILITY, RISK, MAINTENANCE, AND SAFETY ENGINEERING (QR2MSE), VOLS I-IV, 2013, : 1980 - 1985
  • [42] Decision support for life-cycle optimization using risk assessment
    Marques M.
    Neves-Silva R.
    [J]. IFIP Advances in Information and Communication Technology, 2010, 314 : 112 - 121
  • [43] Decision Support for Life-Cycle Optimization Using Risk Assessment
    Marques, Maria
    Neves-Silva, Rui
    [J]. EMERGING TRENDS IN TECHNOLOGICAL INNOVATION, 2010, 314 : 112 - +
  • [44] Investment horizon effect on asset allocation between value and growth strategies
    In, Francis
    Kim, Sangbae
    Gencay, Ramazan
    [J]. ECONOMIC MODELLING, 2011, 28 (04) : 1489 - 1497
  • [45] Life-cycle effects of health risk
    Capatina, Elena
    [J]. JOURNAL OF MONETARY ECONOMICS, 2015, 74 : 67 - 88
  • [46] CONSUMER DEMAND AND THE LIFE-CYCLE ALLOCATION OF HOUSEHOLD EXPENDITURES
    BLUNDELL, R
    BROWNING, M
    MEGHIR, C
    [J]. REVIEW OF ECONOMIC STUDIES, 1994, 61 (01): : 57 - 80
  • [47] Nanotechnology - Life-cycle risk management
    Sweet, Leonard
    Strohm, Bradford
    [J]. HUMAN AND ECOLOGICAL RISK ASSESSMENT, 2006, 12 (03): : 528 - 551
  • [48] Measuring the life-cycle value of enduring systems
    Browning, Tyson R.
    Honour, Eric C.
    [J]. SYSTEMS ENGINEERING, 2008, 11 (03) : 187 - 202
  • [49] Asset allocation and value at risk in shipping equity portfolios
    Syriopoulos, Theodore
    Roumpis, Efthimios
    [J]. MARITIME POLICY & MANAGEMENT, 2009, 36 (01) : 57 - 78
  • [50] Asset allocation with conditional value-at-risk budgets
    Boudt, Kris
    Carl, Peter
    Peterson, Brian G.
    [J]. JOURNAL OF RISK, 2013, 15 (03): : 39 - 68
12345