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Essays on endowment fund management.

Record Type:	Language materials, manuscript : Monograph/item
Title/Author:	Essays on endowment fund management./
Author:	Ogunc, Kurtay N.
Description:	1 online resource (194 pages)
Notes:	Source: Dissertations Abstracts International, Volume: 66-05, Section: A.
Contained By:	Dissertations Abstracts International66-05A.
Subject:	Finance. -
Online resource:	click for full text (PQDT)
ISBN:	9780496825301

Essays on endowment fund management.
Ogunc, Kurtay N.

Essays on endowment fund management. - 1 online resource (194 pages)

Source: Dissertations Abstracts International, Volume: 66-05, Section: A.

Thesis (Ph.D.)--Louisiana State University and Agricultural & Mechanical College, 2002.

Includes bibliographical references

The debate around the perpetual nature of endowment funds from the perspective of current versus future obligations is a major problem that I would like to address in two ways: (i) a macro-level treatment of the simultaneous asset allocation and spending rate with subsistence levels (analogous to the habit formation concept); and (ii) a micro-level analysis of one part of the endowment portfolio with a particular emphasis on the currency hedging decision. The purpose of the third chapter is to illustrate the significance of joint determination of appropriate asset allocation and spending rate decisions, and to describe the behavior of the endowment fund portfolio under certain modeling assumptions, including a sensitivity analysis that evaluates, in particular, the relationship between the spending rate and stock allocation over an extended period of time by changing the values of certain parameters in the model. The fourth chapter tackles the issue of international diversification from the point of view of active currency hedging. The ability to control risk with the possibility of return enhancement is the main reason why institutional investors such as university endowments should worry about the international diversification of investment portfolios. The pressure of enhancing the market value of an endowment fund, particularly, at times when the risk premia of stock investments are adjusted downward, along with the significance of outperforming peer institutions in terms of portfolio performance leads to the consideration of non-traditional approaches to total portfolio management such as the use of private equity, venture capital and hedge funds. Despite the fact that these alternative ways of managing endowment funds require high level of governance, indicating significant oversight by the board and serious commitment by the endowment management team, they could be very beneficial in providing a cutting-edge solution for the problem at hand and enabling the institution to create a comfortable cushion that is necessary for the survival of the fund at bad times. I have concentrated on an area, which has been overlooked by endowment funds for a long time. That is, the introduction of currency hedging in the context of an international portfolio and the provision of some behavioral considerations: first, implicitly, in the framework of the traditional expected utility maximization and then, explicitly, in the disappointment-averse functional context In both chapters, the discussion is heavily based on the specification of the utility function; i.e., habit formation through the use of a subsistence level in the case of asset allocation and spending rate determination, and behavioral/agency-related formulation of various aversion parameters in the international portfolio management chapter.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2024

Mode of access: World Wide Web

ISBN: 9780496825301Subjects--Topical Terms:

559073
Finance.
Subjects--Index Terms:

Asset allocationIndex Terms--Genre/Form:

554714
Electronic books.

Essays on endowment fund management.
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502 $a Thesis (Ph.D.)--Louisiana State University and Agricultural & Mechanical College, 2002.
504 $a Includes bibliographical references
520 $a The debate around the perpetual nature of endowment funds from the perspective of current versus future obligations is a major problem that I would like to address in two ways: (i) a macro-level treatment of the simultaneous asset allocation and spending rate with subsistence levels (analogous to the habit formation concept); and (ii) a micro-level analysis of one part of the endowment portfolio with a particular emphasis on the currency hedging decision. The purpose of the third chapter is to illustrate the significance of joint determination of appropriate asset allocation and spending rate decisions, and to describe the behavior of the endowment fund portfolio under certain modeling assumptions, including a sensitivity analysis that evaluates, in particular, the relationship between the spending rate and stock allocation over an extended period of time by changing the values of certain parameters in the model. The fourth chapter tackles the issue of international diversification from the point of view of active currency hedging. The ability to control risk with the possibility of return enhancement is the main reason why institutional investors such as university endowments should worry about the international diversification of investment portfolios. The pressure of enhancing the market value of an endowment fund, particularly, at times when the risk premia of stock investments are adjusted downward, along with the significance of outperforming peer institutions in terms of portfolio performance leads to the consideration of non-traditional approaches to total portfolio management such as the use of private equity, venture capital and hedge funds. Despite the fact that these alternative ways of managing endowment funds require high level of governance, indicating significant oversight by the board and serious commitment by the endowment management team, they could be very beneficial in providing a cutting-edge solution for the problem at hand and enabling the institution to create a comfortable cushion that is necessary for the survival of the fund at bad times. I have concentrated on an area, which has been overlooked by endowment funds for a long time. That is, the introduction of currency hedging in the context of an international portfolio and the provision of some behavioral considerations: first, implicitly, in the framework of the traditional expected utility maximization and then, explicitly, in the disappointment-averse functional context In both chapters, the discussion is heavily based on the specification of the utility function; i.e., habit formation through the use of a subsistence level in the case of asset allocation and spending rate determination, and behavioral/agency-related formulation of various aversion parameters in the international portfolio management chapter.
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650 4 $a Essays. $3 947995
650 4 $a Behavior. $3 582559
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650 4 $a Random variables. $3 598296
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650 4 $a Liability. $3 1468809
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653 $a Asset allocation
653 $a Behavioral finance
653 $a Currency hedging
653 $a Endowment
653 $a Fund management
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710 2 $a Louisiana State University and Agricultural & Mechanical College. $3 1413480
773 0 $t Dissertations Abstracts International $g 66-05A.
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