Thạc Sĩ Essays on Endowment Fund Management

Table of Contents
Page
Dedication ii
Acknowledgements iii
Abstract v
CHAPTER 1 Introduction 1
CHAPTER 2 Literature Review 10
2.1 Modeling Issues in the Management of University Endowment Funds . 10
2.2 Continuous-time Finance and Martingale Methodology . 14
2.3 Behavioral Finance 19
2.4 Compensation of Investment Managers . 25
2.5 Alternative Forms of Utility Functions . 28
2.6 International Diversification 34
2.7 Currency Hedging . 38
CHAPTER 3 Optimal Asset Allocation and Spending Rules . 42
3.1 Introduction . 42
3.2 Framework 45
3.3 Optimization Program and Optimal Spending Stream 48
3.4 Optimal Endowment Value 54
3.5 Optimal Spending Rate 56
3.6 Optimal Portfolio Strategy . 58
3.7 Simulation Results . 61
3.8 Sensitivity Analysis . 67
3.9 Conclusion 68
CHAPTER 4 Currency Hedging for International Portfolios . 74
4.1 Introduction . 74
4.2 Framework 79
4.3 Active Currency Hedging for a Disappointment-Averse Investor . 90
4.4 Conclusion 98
References 100
Appendix Sensitivity Analysis . 109
Vita . 189