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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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