Despite much work on hedging in incomplete markets, the literature still lacks tractable dynamic hedges in plausible environments, in this article, Professor Suleyman Basak and Dr Georgy Chabakauri provide a simple solution to this problem.
CalPERS’ alternatives SIO has responsibilities reinstated
The newly appointed senior investment officer of the alternative investments management program at CalPERS, Real Desrochers, will have authority and management delegation reinstated after it was withdrawn when the former SIO resigned amid a fraud lawsuit.
Diamonds do brilliantly with funds
It’s well-known that girls have always had a not-so-secret camaraderie with diamonds, now it seems the fund world is getting in on the benefits of that acquaintance. Diamonds are the icon of a harmonious bond, and the relationship between Harry Winston Diamond Corporation and Diamond Asset Advisors makes that symbol literal.
Implementing CalPERS new asset allocation
Setting a new asset allocation is one thing, implementing it is another thing altogether. CalPERS expects to have its new asset allocation implementation policies completed by the beginning of July, so head of asset allocation, Farouki Majeed, discusses the challenge.
Strategy should lead compensation: Ambachtsheer
A fund’s overall investment strategy should lead how senior staff are compensated, a recent survey into pension fund pay levels found. KPA Advisory Services recently asked 37 funds with combined assets of more than $2.2 trillion about how they structured their pay for senior staff and published the results in its latest monthly, The Ambachtsheer Letter.
Texas CIO dismisses calls for flexibility
A successful tactical bet by the investment team of the Teacher Retirement System of Texas fuelled a heated debate at the April investment committee meeting which concluded with chief investment officer, Britt Harris, dismissing the need for more flexibility in the fund’s policy statement.
