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Vol. 16, No.3, 2018 Richard Franz Without doubt the financial returns of asset classes are interlinked with the economy. However, a direct link between financial returns and return-driving forces has not been discovered yet. Moreover, there exist many robust approaches for within-asset-class allocation but few advances have been made for between-asset-class allocation. To address these… Read more

Vol. 16, No.3, 2018 Gregory C. Allen, Ivan S. Cliff and Walter J. Meerschaert The authors propose a practical technique to correct for survivorship bias across return distributions for investment product universes. The technique is designed to work efficiently in a large-scale performance measurement environment. It uses all available data for survivors and non-survivors, corrects for bias across… Read more

Vol. 16, No.3, 2018 Clemens Sialm, Laura Starks and Hanjiang Zhang Defined contribution (DC) pension plans constitute an important component of mutual fund assets. Flows into DC plans depend on the decisions of plan sponsors and plan participants: The sponsors select the investment menus made available to employees and the participants decide how to allocate… Read more

Vol. 16, No.3, 2018 Sanjiv R. Das, Daniel Ostrov, Anand Radhakrishnan and Deep Srivastav We introduce a novel framework for goals-based wealth management (GBWM), where risk is understood as the probability of investors not attaining their goals, not just the standard deviation of investor’s portfolios. Our framework is based on a foundation of developments in… Read more