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Essays on endowment fund management.

Ogunc, Kurtay N.

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Essays on endowment fund management.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Essays on endowment fund management./
Author:	Ogunc, Kurtay N.
Published:	Ann Arbor : ProQuest Dissertations & Theses, : 2002,
Description:	194 p.
Notes:	Source: Dissertations Abstracts International, Volume: 66-05, Section: A.
Contained By:	Dissertations Abstracts International66-05A.
Subject:	Finance. -
Online resource:	https://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3135306
ISBN:	9780496825301

Essays on endowment fund management.
Ogunc, Kurtay N.

Essays on endowment fund management. - Ann Arbor : ProQuest Dissertations & Theses, 2002 - 194 p.

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

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

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.

ISBN: 9780496825301Subjects--Topical Terms:

542899
Finance.
Subjects--Index Terms:

Asset allocation

Essays on endowment fund management.
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100 1 $a Ogunc, Kurtay N. $3 3770724
245 1 0 $a Essays on endowment fund management.
260 1 $a Ann Arbor : $b ProQuest Dissertations & Theses, $c 2002
300 $a 194 p.
500 $a Source: Dissertations Abstracts International, Volume: 66-05, Section: A.
500 $a Publisher info.: Dissertation/Thesis.
500 $a Advisor: Koray, Faik;Kelle, Peter.
502 $a Thesis (Ph.D.)--Louisiana State University and Agricultural & Mechanical College, 2002.
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.
590 $a School code: 0107.
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650 4 $a Essays. $3 642973
650 4 $a Behavior. $3 532476
650 4 $a Government grants. $3 3563988
650 4 $a Random variables. $3 646291
650 4 $a Values. $3 518648
650 4 $a Liability. $3 3562832
650 4 $a Expenditures. $3 3556049
650 4 $a Partial differential equations. $3 2180177
650 4 $a Dynamic programming. $3 641303
650 4 $a Decision making. $3 517204
650 4 $a Preferences. $3 3560350
650 4 $a Design. $3 518875
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 783779
773 0 $t Dissertations Abstracts International $g 66-05A.
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791 $a Ph.D.
792 $a 2002
793 $a English
856 4 0 $u https://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3135306