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Optimal asset allocation strategies of university endowment funds
XIE Yong-chao, YANG Zhong-zhi
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DOI:10.17265/1537-1506/2007.06.005
School of Management, Tianjin University, Tianjin 300072, China
Optimal asset allocation for university endowment funds is very important in USA. The management of endowment funds is challenging due to the need of finding out the balance between providing adequate and stable spending for beneficiaries and growth of the portfolio. In this paper, the author address these allocation constraints in a dynamic framework, in which minimum subsistence levels are introduced in the objective function and derive explicit formulas for the optimal portfolio strategy.
asset allocation; endowment fund; return; portfolio