Diana, Davide (2017) Fondi d'investimento universitari. Modello long-value per le università italiane. Doctoral Thesis.
I present an investment model designed to provide a self-financing scheme to Italian universities, which are experiencing deep cuts in public funding. The model is presented as a heuristic because psychologists have shown that in an environment with limited knowledge and limited capacity to process information, agents tend to resort to efficient algorithms to make decisions. Using a heuristic prevents cognitive biases by specifying the algorithm for the process in advance. The described procedure takes inspiration from the US endowment model which is an approach to investing popularized by Yale University that emphasizes diversification and active management of equity-oriented, illiquid assets. The research will provide a shortlist of British and American endowments. The investment heuristic will be presented as a long-value model. It will also be connected to the Value Investing discipline as first introduced by Benjamin Graham and championed by the like of Warren Buffett. The discussion will move into a criticism of the modern portfolio theory and the efficient market hypothesis. I believe that, while theoretical models of efficient markets prove useful as illustrations of an ideal world, we cannot accept their pure form as accurate descriptors of real markets. We have to distance ourselves from the idea that price changes always reflect legitimate information and that financial markets always work well. Standing these conditions, the institutional CIO of a proposed Italian endowment fund will dispose of a model on which to base his investment decisions.
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