In this paper we propose a multi-objective decision framework for lifecycle investment choice. Instead of optimizing individual strategies with respect to a single-valued objective, we suggest evaluation of classes of strategies in terms of the quality of the tradeoffs that they provide. The...

We discuss business cycle effects on the management of a trust fund set up to provide regular income on a continuing basis. Fund managers must find a balance between short-term and long-term variability of income. In our model the managers know that the expected return is mean-reverting, but...

Although most of the theory development concerning risk measures has concentrated on convex or even coherent risk measures, nonconvex risk measures are used in practice, the prime example of course being Value-at-Risk. The purpose of this paper is to investigate the relations between various...

This paper addresses investment and spending policies of endowment funds aiming to generate a stable income stream in perpetuity. The standard academic approach to the design of such policies is based on optimization of utility aggregated over time. However, the explicit purpose of many funds to...