Volume 12, Number 1, (2014) View PDF… Read more
1st Quarter (2014)
SURVEYS AND CROSSOVERS: An Introduction to Peer-To-Peer Loans as Investments
Ethan Namvar This paper constitutes a discussion of the rise of Peer-to-peer loans as alternative investments. Peer-to-peer loans are being incorporated into portfolios in the interest of diversification. This paper outlines this strategy and provides a guided tour of this new alternative asset class along with the current risks and barriers. View PDF… Read more
BOOK REVIEWS: Risk-Return Analysis
Risk Return Analysis Harry M. Markowitz and Kenneth A. Blay Reviewed by Mark Kritzman View PDF… Read more
The Interest Rate Sensitivity of Tax-Exempt Bonds Under Tax-Neutral Valuation
Andrew Kalotay We explore the effect of taxes on the prices of municipal bonds. Although interest is tax-exempt, the gain resulting from purchasing a muni at a deep discount below the so-called de minimis threshold is subject to severe tax treatment. The gain is taxed as ordinary income at maturity; currently for a typical investor… Read more
Sovereign Wealth and Risk Management: A Framework for Optimal Asset Allocation of Sovereign Wealth
Zvi Bodie and Marie Briere This paper sets out an analytical framework for optimal asset allocation of sovereign wealth, based on the theory of contingent claims analysis applied to the sovereigns economic balance sheet. A country solves an asset-liability management problem involving its sources of income and its expenditures. We derive analytically the optimal asset… Read more
The Performance of Leveraged and Inverse Leveraged Exchange Traded Funds
Brian J. Henderson and Gerald W. Buetow We document significant abnormal daily returns to leveraged and inverse leveraged exchange-traded funds (ETFs). Abnormal returns are positive for leveraged funds and negative to inverse leveraged funds, and the magnitude increases in the absolute value of the leverage multiple. We propose and test a model linking the abnormal… Read more
INSIGHTS: Norway’s Summit on Responsible Investing
Mitch Towner This is a summary of the issues discussed at the 2013 Investment Strategy Summit of the Norwegian Government Pension Fund Global. The emphasis of the summit was responsible investing with a special emphasis on ways to strengthen the Funds work on responsible investment. The summit brought together experts (both practitioners and academics) and… Read more
INSIGHTS: Stakeholders Perspectives on Norwegian Investment Responsibility
Sarah Takaki The Strategy Council for Norway’s Government Pension Fund Global, supported by the Norwegian Ministry of Finance, hosted the Responsible Investment Conference held in Oslo on 20 June 2013. The conferences goal was to facilitate dialogue with stakeholders on environmental, social, and governance (ESG) issues to inform the Strategy Councils forthcoming report on the… Read more
CASE STUDIES: NEW FINANCING METHODS IN THE BIOPHARMA INDUSTRY: A CASE STUDY OF ROYALTY PHARMA, INC.
Andrew W. Lo and Sourya V. Naraharisetti The biotechnology and pharmaceutical industries are facing significant challenges to their existing business models because of expiring drug patents, declining risk tolerance of venture capitalists and other investors, and increasing complexity in translational medicine. In response to these challenges, new alternative investment companies have emerged to bridge the… Read more