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How, if at all, do the recommendations of modern portfolio theory vary as a function of an investor's time horizon? Can "patient" investors such as endowments, universities, sovereign wealth funds, and public and private pension plans capture extra returns by investing in relatively illiquid asset classes? Does the measurement and definition of risk differ for long- and short-horizon investors? These are among the core questions that are explored by the NBER's Project on Long Term Asset Management. With the generous support of the Norwegian Finance Initiative, the NBER has convened a series of three research meetings on this topic, bringing together researchers who are exploring the theory and practice of long-term investing.

The most recent meeting, held in New York City on May 3-4, 2018, brought together nearly 50 researchers and a small group of investment practitioners to explore some of the issues that distinguish long-term from short-horizon investing. The researchers who gathered at this meeting examined a wide range of issues, including the optimal risk allocation for endowment investors, the source and persistence of asset pricing anomalies that seem to have offered opportunities for above-market risk-adjusted returns over some historical time periods, and the role of cross-border investors in affecting market efficiency. The meeting also included a keynote address from former US Secretary of the Treasury and Harvard University Professor Lawrence Summers, who addressed the implications of chronic weakness in aggregate demand for long-term asset returns.

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Participants

Joseph Abadi, Federal Reserve Bank of Philadelphia
Simona Abis, Columbia University
Christopher S. Anderson, Federal Reserve Board
Shmuel Baruch, University of Rome Tor Vergata
Ole Christian Bech-Moen, The Norwegian Finance Initiative
Mohammadreza Bolandnazar, Columbia University
Edwin Cass, Canada Pension Plan Investment Board
Michael Chin, Norges Bank Investment Management
Kent D. Daniel, Columbia University and NBER
Michael J. Fleming, Federal Reserve Bank of New York
Thomas J. Gilbert, University of Washington
Arpit Gupta, New York University
Valentin Haddad, University of California, Los Angeles and NBER
Elizabeth Hewitt, Sloan Foundation
Antti Ilmanen, AQR
Takatoshi Ito, Columbia University and NBER
Erica Xuewei Jiang, University of Southern California
Marcin Kacperczyk, Imperial College London
Yann Koby, Brown University
Natalia Kovrijnykh, Arizona State University
Jonathan Lewellen, Dartmouth College and NBER
Lise Lindbäck, The Norwegian Finance Initiative
Lars A. Lochstoer, University of California, Los Angeles and NBER
Rajnish Mehra, Arizona State University and NBER
Lira Mota, Massachusetts Institute of Technology
Tyler Muir, University of California, Los Angeles and NBER
Thomas Philippon, New York University and NBER
Monika Piazzesi, Stanford University and NBER
Christopher Polk, London School of Economics
James M. Poterba, Massachusetts Institute of Technology
Seth Pruitt, Arizona State University
Gianluca Rinaldi, Harvard University
Robert F. Stambaugh, University of Pennsylvania and NBER
Laura Starks, University of Texas at Austin and NBER
Yinan Su, Johns Hopkins University
Lawrence H. Summers, Harvard University and NBER
Savitar Sundaresan, Imperial College London
Paul Tetlock, Columbia University
Tuomas Tomunen, Boston College Carroll School of Management
Morten Trysnes, Norges Bank Investment Management
Boris Vallee, Harvard University
Laura Veldkamp, Columbia University and NBER
Luis M. Viceira, Harvard University and NBER
Vegard Vik, Norges Bank Investment Management
Neng Wang, Columbia University and NBER
Tianyu Wang, School of Economics and Finance, Tsinghua University
Robert F. Whitelaw, New York University and NBER
Fredrik Willumsen, Norges Bank Investment Management
Kairong Xiao, Columbia University
Chen Xue, University of Cincinnati
Motohiro Yogo, Princeton University and NBER
Lu Zhang, The Ohio State University and NBER
Xiaodi (Eddie) Zhang, University of Central Florida
Minchen Zheng, Colunbia University

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