We will also show that this representation is more consistent with both practice and empirical outcomes in high risk investing areas such as venture capital, pharmaceutical research, and movie financing.

We would assert that the conventional view of defined benefit pension plans for both corporate and public entities is substantially flawed because there is an implicit assumption that the sponsoring entity will exist in perpetuity and is essentially immune from default.

The overall conclusion of that review was that the risk management policies of most pension funds are woefully inadequate in their conceptual representation of pension risk, leading to an inevitable failure in the execution of the risk management process. Here is our list of key issues

MPT also assumes that all assets are completely liquid so transaction costs are zero. Again, in the real world transaction costs are not zero and in crisis conditions are often extremely large. Our second challenge will be to form a more realistic framework for this issue.

This paper will attempt to contribute to this area of research in three ways. First, we will propose a particular functional form for market impact models that we believe has certain important advantages over the models currently available to practitioners. We will also illustrate the empirical estimation of this model. Secondly, we will introduce a very simple method for extending any existing model of US trading costs to any market around the world, particularly those with very low liquidity levels. Finally, we will introduce a method for estimating this class of models from “tick data” that is available for all global markets.

The financial press has brought forward numerous, sometimes conflicting explanations of the causes. Some articles have suggested that extremely rare events (e.g. seven to ten standard deviations) have been observed on several occasions between August and today in various markets. This explanation is paradoxical because it simultaneously asserts that these large return events are very, very rare and yet have occurred frequently between September 2007 and March 2008.

Investors are constantly looking to invest with superior active managers, but have a hard time finding the managers that will be superior in the future. Typically, active managers are evaluated by looking at simple performance measures over fixed past time periods. In our process, we use a combination of returns based style analysis, CUSUM analysis and a Bayesian framework for past excess returns.