MIT Libraries logoDSpace@MIT

MIT
View Item 
  • DSpace@MIT Home
  • Sloan School of Management
  • Laboratory for Financial Engineering
  • View Item
  • DSpace@MIT Home
  • Sloan School of Management
  • Laboratory for Financial Engineering
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

The Effects of Spending Rules and Asset Allocation on Non-Profit Endowments

Author(s)
Halem, Zachery M.; Lo, Andrew W; Matveyev, Egor; Quraishi, Sarah
Thumbnail
DownloadMain article (1.193Mb)
Metadata
Show full item record
Abstract
The long-run impact and implications of an endowment’s spending policy and asset allocation decisions are examined. Using a dynamic model, the authors explore how different endowment spending rules influence the dynamics of an endowment’s size and future spending. They find that different parameters within each spending rule have significant long-term impact on wealth accumulation and spending capacity. Using Merton's (1993) endowment model and compiled asset allocation data, they estimate the intertemporal preferences and risk aversion of several major endowments and find significant variation across endowments in their propensity to increase portfolio risk in response to increased spending needs.
Description
Research support from the MIT Laboratory for Financial Engineering is gratefully acknowledged. We thank the MIT Investment Management Company, particularly Seth Alexander and Tom Wieand, and the editor for helpful comments and discussion, and Jayna Cummings for editorial support. The views and opinions expressed in this paper are those of the authors only, and do not necessarily represent the views and opinions of any institution or agency, any of their affiliates or employees, or any of the individuals acknowledged above.
Date issued
2022-06-27
URI
https://hdl.handle.net/1721.1/143562
Department
Sloan School of Management. Laboratory for Financial Engineering; Sloan School of Management
Keywords
non-profit organizations, endowment spending, asset allocation

Collections
  • Laboratory for Financial Engineering

Browse

All of DSpaceCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsThis CollectionBy Issue DateAuthorsTitlesSubjects

My Account

Login

Statistics

OA StatisticsStatistics by CountryStatistics by Department
MIT Libraries
PrivacyPermissionsAccessibilityContact us
MIT
Content created by the MIT Libraries, CC BY-NC unless otherwise noted. Notify us about copyright concerns.