Next Boston QWAFAFEW Meeting: Nov 16, 2021, 6:30PM ET

EXPLO: A Unified Model of Investor Utility, Valuation, and Liquidity


A QWAFAFEW discussion led by,

Emilian Belev, CFA, ARPM



This presentation demonstrates a model of investor utility that builds on key principles of investor behavior that derives an intuitive mathematical result with direct real-world applications.  It recognizes ideas familiar from prior work by Kelly, Rubenstein, and Wilcox, but reflects them in a distinct multiperiod setting, incorporating the effect of leverage, periodic levels of required liquidity for consumption, and probability of bankruptcy.  In its basic form the utility model shows that investors like expected profits, and dislike expected losses that are scaled by a loss aversion coefficient.  The loss aversion itself is a function of leverage, and the amount and timing of required periodic liquidity.  One of the implications is also that levered investors are particularly averse to kurtosis and negative skew due to the potential of bankruptcy.  These ideas are intuitive to common sense, and the model provides the relationship among the variables involved.  An empirical study is included that reflects the application of the utility model as a valuation tool on three major public investments.   The comparison of computed vs actual prices of these investments over two decades of monthly history demonstrates that the accuracy of the model to compute fair value is superior to other popular models.


Emilian Belev has led the research and development of Northfield’s Enterprise Risk Analytics at Northfield for more than two decades.  He is responsible for an integrated framework of multi-asset class analysis including equity, fixed income, currency, interest rate, and credit derivatives, structured products, directly owned real estate, private equity, and infrastructure.  He has introduced innovative approaches to both public and private asset investment analysis and has presented on some of these topics at industry events internationally and published research in peer reviewed journals and book chapters.

Prior to joining Northfield, Emilian was with State Street Global Advisors. Emilian is an actively involved CFA charter holder, a recipient of the Certificate in Advanced Risk and Portfolio Management, and a member of the PRMIA expert advisory group for Market Risk.

Emilian is a winner of the 2013 Professional Risk Management International Association Award “New Frontiers in Risk Management”, and recipient of the 2015 American Real Estate Society Award for Best Practitioner Research.

He enjoys part-time teaching of finance graduate students and industry professionals in finance and risk, in addition to his full time industry involvement.

His research passion is the connection between valuation and risk for private assets.  This led him to become one of the co-founders of cash flow and valuation analytics firm Aspequity, which closely partners with Northfield on multi-asset class assignments.




The pandemic induced – Zoom meetings are suspended from November 2021 onwards. We are back to in-person only meetings at the Tennis & Racquet Club, 939 Boylston St. There is a mask mandate (optional if you are eating or drinking). 

Dues are back: $30 / night, $150 / year.  We have to pay for the wine, beer and room rental.



Time: 6:30 PM sharpe

Boston QWAFAFEW Mailing List:

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Steerage Committee:
Hugh Crowther
Dan diBartolomeo
Mike Dunn
Steve Gaudette
Sri Krishnamurthy
Mark Kritzman
John Minahan
Donna Cool Murphy
Larry Pohlman
Dan Potter
Dan Rie
Evan Schulman
Michael Schwartzman
Michael Wilcox

The members of the Steerage Committee are responsible for coordinating the program content.

Program suggestions from members are always welcome.








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