We investigate the conditions under which life-cycle investment strategies based on age may be ‘near enough' to optimal, focusing on the treatment of the pension account balance and assumptions about risk aversion. We show that dynamically adjusting the strategy in response to fluctuations in...

Chapter 1 - Estimating Determinants of a Mutual Fund's Risk and Managerial Performance: In this chapter, we construct a framework that can be used by investors to independently estimate a mutual fund's actual and policy weights in a set of predefined asset classes, and to estimate a mutual...

I introduce a method of portfolio selection based on the idea that investment risk is not having enough wealth when you need it. Not having enough wealth translates into a required return. When you need wealth translates into an investment horizon. These two ingredients, when combined with...

The phrase long-term investing in triple leveraged ETFs is somewhat of an anathema for investment academicians. As a result of daily rebalancing and so-called beta slippage or “the constant leverage trap” it is highly likely over the long term to significantly deviate from the targeted...

We derive and interpret the mathematical principles for portfolio selection. We show these principles not only guarantee efficiency and value-adding, but also ideally address Treynor and Black (1973)’s long-standing normative call for reconciling subjective analyst views with objective...

The most recent financial crisis highlights the importance of event risks and the ensuing market illiquidity and worsening investment opportunity set for optimal portfolio selection. However, the existing portfolio selection literature does not consider the joint impact of these risks. In this...

By analyzing the portfolio allocations of Target Date Funds (TDFs), we document that the observed durations of TDF portfolios are inconsistent with the durations predicted by classical portfolio theory. We call this stylized fact the duration puzzle. We investigate to what extent several...

In this paper, we consider the ruin probability minimization of an insurance company that buys proportional reinsurance and invests in markets where borrowing is constrained. We use a diffusion approximation model for the surplus process of this company and assume that the company invests its...

Purpose of this paper was to research portfolio optimization problem on Croatian capital market using Markowitz theory. Research systematically investigated the selection of securities, and defined the importance of using fundamental analysis when selecting the best combination of securities....