The two research projects are funded under NFI`s Research Programme, and will commence on 1 January 2016. NFI established the NFI Research Programme in 2014, with the aim of facilitating research of the highest academic standard in areas of particular relevance for the long-term management of the fund.
Portfolio choice for long-term investors
National Bureau of Economic Research (NBER) has received a three-year grant to carry out a series of research conferences on topics within long-term asset management. NBER is a private, non-profit, independent research organisation dedicated to promoting a greater understanding of how the economy works. NBER is committed to promoting unbiased economic research among public policy makers, as well as members of the business and academic community.
The NBER project will support and disseminate research on central challenges facing long-term investors. This includes issues such as portfolio choice in the presence of a time-varying investment opportunity set, the search for inflation protection, the shifting interrelations between returns on various asset categories over time, the measurement of liquidity and optimal portfolio selection in the presence of differentially liquid assets, and the interplay between the investors’ objectives and their optimal portfolio stance. The aim is to bring together the research community to facilitate tangible advances in the field.
The project will be led by NBER Research Associates Monika Piazzesi, who is the Joan Kenney Professor of Economics at Stanford University, and Luis M. Viceira, the George E. Bates Professor at Harvard Business School. Professor Piazzesi currently serves as Program Director of the NBER Asset Pricing Program.
London Business School (LBS) has received a three-year grant to investigate engaged ownership. LBS will conduct the project in cooperation with researchers from Bocconi and ULB.
Professors Marco Becht (Université libre de Bruxelles), Julian Franks (LBS), and Hannes Wagner (Bocconi) will examine the effectiveness of engaged ownership by analysing the extent, impact and value of engaged ownership by Standard Life Investments (SLI).
SLI is a global asset manager headquartered in the UK. It is a diversified minority investor with actively managed equity portfolios. The researchers will study both private and public actions of this manager, based on recorded data from the period 2004-2014.