A method for providing unequal allocation of rights among agents while operating according to fair principles, comprising assigning a hierarchal rank to each agent; providing a synthetic economic value to a first set of agents at the a high level of the hierarchy; allocating portions of the synthetic economic value by the first set of agents to a second set of agents at respectively different hierarchal rank than the first set of agents; and conducting an auction amongst agents using the synthetic economic value as the currency. A method for allocation among agents, comprising assigning a wealth generation function for generating future wealth to each of a plurality of agents, communicating subjective market information between agents, and transferring wealth generated by the secure wealth generation function between agents in consideration of a market transaction. The method may further comprise the step of transferring at least a portion of the wealth generation function between agents.

Multifactorial optimization system and method

Strategic Asset Allocation: Portfolio Choice for Long‐Term Investors.

https://www.nber.org/system/files/working_papers/w8066/w8066.pdf

The Risk and Return of Venture Capital

Recent research on the equity risk premium has questioned the ability of historical estimates of the risk premium to provide reliable estimates of the expected risk premium. We calculate the equity risk premium for a number of countries over longer horizons than has been attempted to date. We show that the realised US equity premium is consistent with the premia obtained elsewhere. Furthermore, using well over a century of data, we find that current estimates of the equity premia are close to those observed during the pre-1914 era. This is of particular relevance given the argument that the financial environment during that period bears a closer resemblance to today than the 1914-1945 period, and possibly also the 1945-1971 period. This points to a current equity risk premium that is considerably lower than consensus forecasts (Welch 2001).

The Equity Premium

Strategic Asset Allocation

The distinction between subjective and objective risk tolerance is illustrated by expected utility analyses of portfolios Optimal portfolios were derived for one, 5, and 20 year investment horizons for 6 major financial asset categories The important aspects of objective risk tolerance are the proportion of an investor's total wealth (including human wealth) in financial assets, and the investment horizon Even investors with very low subjective risk tolerance levels should have aggressive portfolios if their horizons are 20 years or more

Subjective And Objective Risk Tolerance: Implications For Optimal Portfolios

A method, system and medium for optimally allocating investment assets for a given investor within and between annuitized assets and non-annuitized assets retrieves an investor's utility of consumption, utility of bequest, objective and subjective probabilities of survival and expected rates of return from each of a plurality of annuity and nonannuity assets having varying degrees of risk and return. Based on these inputs, an objective utility function is maximized by adjusting the asset allocation weights. The optimal asset allocation weights may be used to allocate the assets of the investor's portfolio among predetermined investment vehicles or as an analytical tool by portfolio managers.

Optimal asset allocation during retirement in the presence of fixed and variable immediate life annuities (payout annuities)

An automated retirement plan manager manages the assets of an employee retirement benefits plan on behalf of an employer. The plan manager executes trades on investment vehicles based on instructions from an automated independent investment advisor. The advisor calculates a human capital for each plan participant based on data derived from the employer and from the participant through an interface, and based on that human capital calculation recommends an allocation of portfolio assets to the participant. This recommendation, once presented for review by and perhaps modified by the participant, becomes an instruction to the plan manager. As the participant ages his or her human capital is recalculated, and this is used to determine whether the participant's present portfolio type should now be switched to a more conservative one.

Automatically allocating and rebalancing discretionary portfolios

What is the relative importance of asset allocation policy versus active portfolio management in explaining variability in performance? Considerable confusion surrounds both time-series and cross-sectional regressions and the importance of asset allocation. Cross-sectional regressions naturally remove market movements; therefore, the cross-sectional results in the literature are equivalent to analyses of excess market returns even though the regressions were performed on total returns. In contrast, time-series analyses of total returns do not naturally remove market movements. Time-series analyses of excess market returns and cross-sectional analyses of either total or excess market returns, however, are consistent with each other. With market movements removed, asset allocation and active management are equally important in determining portfolio return differences within a peer group. Finally, an examination of period-by-period cross-sectional results reveals why researchers using the same regression technique can get widely different results.

The Equal Importance of Asset Allocation and Active Management

Despite the retrenchment of the hedge fund industry in 2008, hedge fund assets under management are currently over one and a half trillion dollars We analyze the potential biases in reported hedge fund returns, in particular survivor-ship bias and back fill bias We then decompose the returns into three components: the systematic market exposure (beta), the value added by hedge funds (alpha), and the hedge fund fees (costs) We analyze the performance of a universe of about 8,400 hedge funds from the TASS database from January 1995 through December 2009 Our results indicate that both survivor-ship and back fill biases are potentially serious problems Adjusting for these biases brings the net return from 1426% to 763% for the equally weighted sample Over the entire period, this return is slightly lower than the S&P 500 return of 804%, but includes a statistically significant positive alpha We estimate a pre-fee return of 1142%, which we split into a fee (378%), an alpha (301%), and a beta return (462%) The positive alpha is quite remarkable, since the mutual fund industry in aggregate does not produce alpha net of fees The year by year results also show that alphas from hedge funds were positive during every year of the last decade, even through the recent financial crisis of 2008 and 2009

https://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1581559_code2315.pdf?abstractid=1581559&rulid=5173998&mirid=2

Peng Chen

Papers

Subjective And Objective Risk Tolerance: Implications For Optimal Portfolios

Optimal asset allocation during retirement in the presence of fixed and variable immediate life annuities (payout annuities)

Automatically allocating and rebalancing discretionary portfolios

The Equal Importance of Asset Allocation and Active Management

The ABCs of Hedge Funds: Alphas, Betas, & Costs