Risks in Long Term Investments - Case study: Iran and Global Markets

This work applies a new asset allocation framework which can be used by longterm institutional investors, such as endowments and pensions, whose goal is to satisfy an annual spending need as well as maintain and expand intergenerational equity. This Framework focuses on short term and long term risk objectives and by using bootstrapping and simulation methods, calculate the risks for different portfolio distributions. In next step with the combination of these two risks, obtain the optimal balance between minimizing the portfolio`s short term drawdown risk and long term shortfall risk. To make the results more comparable, the same methodology applied on two dataset with totally different characteristics (Iran`s market and Global market) and at the end by using scenario analysis, the sensitivity of the portfolio has been measured.