Optimal Asset Allocation in Asset Liability Management

We study the impact of regulations on the investment decisions of a defined benefits pension plan. We assess the influence of ex ante (preventive) and ex post (punitive) risk constraints on the gains to dynamic, as opposed to myopic, decision making. We find that preventive measures, such as Value-at-Risk constraints, tend to decrease the gains to dynamic investment. In contrast, punitive constraints, such as mandatory additional contributions from the sponsor when the plan becomes underfunded, lead to very large utility gains from solving the dynamic program. We also show that financial reporting rules have real effects on investment behavior. For example, the current requirement to discount liabilities at a rolling average of yields, as opposed to at current yields, induces grossly suboptimal investment decisions.

The study of African law at the African Studies Centre, Leiden : in reaction to John Griffiths' overview of the anthropology of law in the Netherlands in the 1970's

In a critical overview of the anthropology of law in the Netherlands in the 1970s (NNR, 4 (1983), 2, p.132/140) Griffiths levels a very specific and violent attack on research and research policy at the African Studies Centre, Leiden. This article is a reply to what he says about the Centre. In his turn, Griffiths comments on Van Binsbergen's remarks, p. 208/21

Good-Specific Habit Formation and the Cross-Section of Expected Returns

I study asset prices in a general equilibrium framework in which agents form habits over individual varieties of goods rather than over an aggregate consumption bundle. Goods are produced by monopolistically competitive firms whose elasticities of demand depend on consumers\u27 habit formation. Firms that produce goods with a high habit level relative to consumption have low demand elasticities, set high prices for their product, have low expected returns on their stock and have low asset pricing betas and stock return volatilities. I find supportive evidence for these predictions in the data

Clearing the Air on Radon Testing: The Duty of Real Estate Brokers to Protect Prospective Homebuyers

This Note recommends that the federal government create legislation that will impose a duty on real estate brokers to test homes for radon and to disclose the results to prospective purchasers. Based on a common law negligence theory, such a duty would become part of the current obligation of a real estate broker: (1) to conduct a reasonably diligent and competent search of property for sale; and (2) to disclose to prospective homebuyers all material defects affecting the value or desirability of the home. In his investigation, the broker must use the expertise and knowledge that derive from his training and experience as a professional. Initially, the Note addresses the dilemma of the homebuyer who discovers radon only after occupying the home and who has no formally defined cause of action based on common law precedent or statute. Part II traces the development of a real estate broker\u27s liability in negligence to the recently imposed duty to discover and disclose latent defects. Part III analyzes the duty to discover and disclose latent defects with respect to radon and concludes that real estate brokers should have an affirmative duty to test for radon and to disclose the results to prospective purchasers. Finally, part IV recommends legislation to protect the unwary homebuyer who otherwise would take possession of the home and suffer potential economic loss and exposure to a carcinogenic substance

Optimal Decentralized Investment Management

We study a decentralized investment problem in which a CIO employs multiple asset managers to implement and execute investment strategies in separate asset classes. The CIO allocates capital to the managers who, in turn, allocate these funds to the assets in their asset class. This two-step investment process causes several misalignments of objectives between the CIO and his managers and can lead to large utility costs on the part of the CIO. We focus on i) loss of diversification ii) different appetites for risk, iii) different investment horizons, and iv) the presence of liabilities. We derive an optimal unconditional linear performance benchmark and show that this benchmark can be used to better align incentives within the firm. The optimal benchmark substantially mitigates the utility costs of decentralized investment management. These costs can be further reduced when the CIO can screen asset managers on the basis of their risk appetites. Each manager%u2019s optimal level of risk aversion depends on the asset class he manages and can differ substantially from the CIO%u2019s level of risk aversion.

Review of VSF-Belgium's 'Turkana emergency livestock off-take' intervention 2005

The 2005 'Turkana Emergency Livestock Off-take' (TELO) intervention contributed to VSFBelgium's overall goal to 'improve the socio-economic status of the pastoral communities living in arid areas of Kenya by creating markets for their livestock and improving the nutritional status of identified target populations'. The six outputs/objectives of the intervention are to increase household income (cash economy) among pastoralists; reduce pressure on water and pasture resources; increase food security for vulnerable school children; improve utilization of assets with livestock owners gaining benefit from vulnerable livestock before the condition of the livestock deteriorates beyond the point of selling; increase access to funds made available to livestock owners for future restocking and; use money saved from the school feeding program for school fees and/or other relevant projects for the pastoralists' school children. Viewed as a significant success, and used as a model for subsequent destocking interventions, it is the aim of this report to evaluate the efficiency and effectiveness of this destocking intervention to highlight both strengths and weaknesses of the approach used and to suggest improvements for future destocking interventions

Equity Yields

We study a new data set of prices of traded dividends with maturities up to 10 years across three world regions: the US, Europe, and Japan. We use these asset prices to construct equity yields, analogous to bond yields. We decompose these yields to obtain a term structure of expected dividend growth rates and a term structure of risk premia, which allows us to decompose the equity risk premium by maturity. We find that both expected dividend growth rates and risk premia exhibit substantial variation over time, particularly for short maturities. In addition to predicting dividend growth, equity yields help predict other measures of economic growth such as consumption growth. We relate the dynamics of growth expectations to recent events such as the financial crisis and the earthquake in Japan.

Livestock market access and opportunities in Turkana, Kenya

This study assesses the livestock market access and opportunities in Turkana, Kenya. Section one is introduction and it characterises traditional nomadic pastoralism in Turkana and discusses the changing character of nomadic pastoralism in the contemporary period. Section two characterizes people and livestock in Turkana. It determines the human and livestock populations and estimates the spread of both human and livestock populations as well as livestock numbers per household. This is followed by a section that estimates the livestock carrying capacity of distinct bio-physical zones (rangeland units). This is followed by a section that introduces the traditional livestock marketing systems in Turkana. The livestock marketing systems were characterized through an extensive literature review and field research during the first quarter of 2006. Then the report focuses specifically on the problems associated with livestock marketing in Turkana, including the subsistence of pastoralists, weak market infrastructure, structural inefficiencies and high transaction costs, low and variable producer prices, and the lack of political capital amongst both livestock producers and livestock traders. Then it characterizes contemporary livestock marketing in Turkana. It begins by outlining a relational typology of livestock markets and then goes on to characterize the main markets and local demand focusing on a detailed characterization of livestock flows, both within and outside the district. A range of options/recommendations that have the potential to increase the number of pastoralists profitably accessing livestock markets in Turkana are presented. This section stresses the need for quality research to underpin rational and sustainable interventions in livestock marketing in Turkana. It addresses the need to fill key knowledge gaps