Abstracts for Vol.
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This study is based on research conducted for the World Bank, and discusses the conceptual evolution int his area during the last twenty to twenty-five years. It outlines a core set of features that are an integral part of an efficient and accountable asset management system, and also provides an in-dept analysis of asset management issues in countries in transition, where municipal governments often are the largest property owners. Here portfolio weights are chosen not just by an asset's return and variance but also by its correlation with pension liabilities. This results in assets that arehighly correlated with pension liabilities being weighted higher in the portfolio. An examination of resulting efficient frontiers and their corresponding optimal portfolio weights across various levels of expected return reveals that the ability of public real estate to rebalance private real estate only portfolios, using either long or short positions, is very much in doubt.