Optimal portfolio and spending rules for endowment funds

We investigate the role of different spending rules in a dynamic asset allocation model for university endowment funds. In particular, we consider the fixed consumption-wealth ratio (CW) rule and the hybrid rule which smoothes spending over time. We derive the optimal portfolios under these two strategies and compare them with a theoretically optimal (Merton) strategy. We show that the optimal portfolio with habit is less risky compared to the optimal portfolio without habit. A calibrated numerical analysis on U.S. data shows, similarly, that the optimal portfolio under the hybrid strategy is less risky than the optimal portfolios under both the CW and the classical Merton strategies, in typical market conditions. Our numerical analysis also shows that spending under the hybrid strategy is less volatile than the other strategies. Thus, endowments following the hybrid spending rule use asset allocation to protect spending. However, in terms of the endowment’s wealth, the hybrid strategy comparatively outperforms the conventional Merton and CW strategies when the market is highly volatile but under-performs them when there is strong stock market growth and low volatility. Overall, the hybrid strategy is effective in terms of stability of spending and intergenerational equity because, even if it allows short-term fluctuation in spending, it ensures greater stability in the long run

Weyl collineations that are not curvature collineations

Though the Weyl tensor is a linear combination of the curvature tensor, Ricci tensor and Ricci scalar, it does not have all and only the Lie symmetries of these tensors since it is possible, in principle, that "asymmetries cancel". Here we investigate if, when and how the symmetries can be different. It is found that we can obtain a metric with a finite dimensional Lie algebra of Weyl symmetries that properly contains the Lie algebra of curvature symmetries. There is no example found for the converse requirement. It is speculated that there may be a fundamental reason for this lack of "duality".Comment: 9 page

International linkage of the Russian market and the Russian financial crisis: A multivariate GARCH analysis

This study considers the linkage of the Russian equity market to the world market, examining the international transmission of the Russia’s 1998 financial crisis utilizing the GARCH-BEKK model proposed by Engle and Kroner (1995). We find evidence of direct linkage between the Russian equity market and the world markets with regards to returns and volatility. While the weakness of the linkage suggests that the Russian equity market was only partially integrated into the world market at the time of the crisis, evidence of contagion is clear.multivariate GARCH; volatility spillovers; Russian Financial crisis; contagion; partial integration

Symmetries of the Weyl tensor in Bianchi V spacetimes

Symmetries of geometrical and physical quantities in general relativity provide important information about the curvature structure of the spacetimes. Symmetries of the curvature and the Weyl tensors, known as curvature and Weyl collineations respectively, are two of such important symmetries. Some results on these symmetries for Bianchi type V spacetimes are discussed.Comment: 4 pages; Proc. 11th Marcel Grossmann Meeting on General Relativity, World Scientific, 200