Fantastic conversation with Igor Halperin around the application of reinforcement learning into forecasting problem, and the limits to data and understanding the world.
NZ Super cuts benchmark return expectation on US valuation concerns
A view that the US stock market is overvalued and equity risk premia will be lower over the long term has driven New Zealand Super to lower the return expectations for its reference portfolio following its recent five-yearly review of the benchmark. Co-chief investment officer Brad Dunstan also flags underweight commodity exposure as an area to address and explains why the fund remains sceptical of illiquidity premia despite seeing a growing case for private markets.
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Portfolio choice with illiquid assets
New research by Columbia University’s Andrew Ang, Dimitris Papanikolaou from Northwestern University, and Mark Westerfield from the University of Southern California, shows that illiquidity, modelled as the ability to trade only at randomly occurring discrete points in time, has large effects on policies and optimal asset allocation. mrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3
Stock exchange merger would end Australia’s ‘inward focus’
Australia’s financial sector would be strengthened if the proposed merger between its national stock exchange and the Singapore Exchange gained political approval, the Australian Centre for Financial Studies (ACFS) has argued.mrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3
Coming out for gay and lesbian themes
With the return to favour of top-down equities management and renewed focus by pension funds on their asset allocation and beta exposures, there has consequently been a resurgence in thematic investment styles and products.mrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3
Sustainability among key industry’s tagged for China’s growth
It’s not very salubrious but it’s secure. The four-star Jingxi Hotel in Beijing (pictured), which is owned by the People’s Liberation Army, hosted the annual plenum of the Communist Party’s Central Committee to draft the country’s next five-year plan.mrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3
Asian equities no longer an asset class?
One of the ironies about the way big pension funds are rethinking their asset allocation strategies is that regional specialisation appears to be becoming less popular, even for the world’s fastest-growing region.mrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3
CalPERS to finalise alternative asset classifications
CalPERS’s investment committee is expected to make a decision on its alternative asset classification at a November asset liability management workshop.mrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3
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