Cristian Ioan Tiu
Assistant Professor of Finance
366 Jacobs Management Center
Department of Finance and Managerial Economics
School of Management
University at Buffalo, Buffalo, NY 14260
tel. (716) 645-3299
fax (716) 645-3823
CV my SSRN page Finance Seminar
Investments: Institutional Investments, Hedge Funds, Endowment Funds
(The descriptions are NOT abstracts!)
Decentralized Downside Risk Management (July 11, 2009)
(with Andrea Reed and Uzi Yoeli)
We propose a downside risk management method for decentralized investors. There are two novel things about this: one is that we treat return contributions from investment decisions and individual securities, which may be correlated, simultaneously. The other is that we prove a decomposition formula for downside risk and provide an interpretation for it. We then dissect the risk taken by university endowments ... and come up with findings that have something old (U.S. Equity matters), something new (hedge funds reduce the risk in a portfolio) and something borrowed (U.S. Fixed income reduces the risk in a portfolio).
Do Endowment Funds Select the Optimal Mix of Active and Passive Risk? (October 7, 2009)
(with Keith Brown)
Forthcoming at the Journal of Investment Management
Smaller endowments do not fully optimize their security selection abilities and because of internal frictions in the investment process leave money on the table.
Does Asset Allocation Determine Performance?:
Evidence from University Endowment Funds (July 2, 2009)
(with Keith Brown and Lorenzo Garlappi)
Forthcoming at the Journal of Financial Markets
If one wants to study how important asset allocation is in generating performance, university endowments are the ideal candidate, because they are virtually unrestricted and large enough to be diversified across asset classes. We find that the major determinant of performance, however, is the endowments' security selection abilities, and not their asset allocation.
On Level Curves of Value Functions in Optimization Models of Expected Utility
(with Thaleia Zariphopoulou), Mathematical Finance, Vol. 10, Issue 2, April 2000
Do the Best Hedge Funds Hedge? (December 17, 2008)
(with Sheridan Titman)
There is a lot of fuss about how hedge funds can be replicated using traditional or exotic 'systematic' risk factors. We find evidence that low R-square funds are better: they have better Sharpe ratios, higher returns and are better liked by their investors - low R-square managers charge higher fees and experience higher inflows.
Asset Pricing with Endogenous Peso Effects (December 17, 2008)
(with Uzi Yoeli)
Peso models can solve a multitude of asset pricing puzzles, but the trick to assume the peso effect. We propose a very simple model where a decline in productivity triggers a peso effect. It's a model without anything fancy -- all the assumptions are borrowed from the literature, but when pieced together they work out just right to produce a peso model.
The material is posted in UBLearns
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Some of my favorite companies
University at Buffalo Foundation
UTIMCO, my adoptive parents when I was a PhD student
ProtegePartners, a fund of funds
Albourne, a hedge fund consultant