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JOIM Conference Series

The JOIM Conference Series (founded in 2006) extends the mandate of the Journal Of Investment Management (JOIM) publication of bridging the theory and practice of investment management. Whereas the JOIM publication is a rigorous peer reviewed publication, the JOIM Conference Series showcases very high quality presentations and a platform for interactive discussions of current topics in the investment management arena. Prevalent throughout both activities is the highest quality material suitable for the academic, practitioner and student.


Climate Change & Retirement Investing
Hybrid Conference /
May 23 – 24, 2022
Santa Clara University campus
Charney Hall, Room 106 (first floor)
500 El Camino Real, Santa Clara, CA 95053

co-hosted with Leavey School of Business, Santa Clara University 

We will be exploring the practical research associated with two themes, Climate Change and Retirement Investing. The coverage will include actionable insights of these important topics by leading experts from these specialty areas with physical and virtual attendance available.  

Program / Agenda (click here)

Hersh Shefrin, Santa Clara University, Keynote Presenter
Fear, Hope, and Bias in the Judgments and Decisions About Climate Change

Jeff Bohn, OneConcern
Resilience-adjusted Valuation for Commercial Properties: Quantifying Resilience to Climate-driven Catastrophe Event Risk

Resilience-adjusted Valuation for Commercial Properties: Quantifying Resilience to Climate-driven Catastrophe Event Risk
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As more property-related data are becoming available, unprecedented granular analyses have become facilitated with hybrid methodologies that incorporate machine learning (ML) into physics-based models. These modeling capabilities open the door to resilience analyses—especially with respect to climate-change scenarios—that are becoming important parallel assessments to other types of longer-term, non-financial (at least in the short term) focused, risk analyses that look at environment, social, and governance (ESG) drivers for business and property. This presentation will touch on these developments addressing ESG + R(esilience) in the context of adjusting a simple discounted-cash-flow model. I will outline an approach to adjusting commercial property valuation (and related securities such as mortgages) for resilience. I will conclude with possible extensions to credit risk models to account for resilience to catastrophic events that could disrupt supply chains and operations.

Guido Giese, MSCI
Strategic Approaches to Net-zero Investing and Their Real World Impact

Strategic Approaches to Net-zero Investing and Their Real World Impact
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The presentation / paper raises the question whether and how net-zero investing (in particular, decarbonizing an asset owner’s investment portfolio over time, using voting and engagement on “decarbonization laggards”) may have a real-world effect in decarbonizing the global economy. In addition, we are looking at the question how to maximize the potential real-world impact in their investment approach.

Joshua Kazdin, BlackRock
Extreme Weather and Retirement Savings

Extreme Weather and Retirement Savings
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This paper discusses the impact of climate change on US families with a specific focus on household finances. We first derive a lifecycle model of consumption, then introduce climate change oriented consumption shocks as an additional expense which is proportional to labor income. We then test this model by empirically demonstrating that households experienced a statistically significant drop in contributions to deferred compensation during environmental disasters from 2000-2020. Over the same period, debt-to-income (DTI) ratios increased for households during disasters, leaving families exposed to steeper declines in consumption and riskier financial well-being. We conclude with a discussion on how climate change may accelerate a retirement crisis and recommend suggestions for how the financial industry can help households can address this challenge.

Lionel Martellini, EDHEC Business School / EDHEC-Risk Institute
Introducing the Retirement Bond – The New Risk-Free Asset in Decumulation Investing

Introducing the Retirement Bond – The New Risk-Free Asset in Decumulation Investing
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- Academic perspectives on decumulation investing – The annuity and duration puzzles
- Introducing the retirement bond – Design and replication challenges in decumulation
- Benefits of retirement bonds in retirement planning – Maximally moderate withdrawal strategies
- Benefits of retirement bonds in retirement investing – Efficient goal-based decumulation strategies

Jonathan A. Parker, MIT Sloan School of Management
Household Portfolios and Retirement Saving over the Life Cycle

Household Portfolios and Retirement Saving over the Life Cycle
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This paper shows that middle-class investors in the United States hold more than two thirds of their investable wealth in equities during their working lives, and that this share has a clear life-cycle pattern, rising modestly early in life and falling significantly as people approach retirement. Prior to 2000, investors held less investable wealth in equity and did not adjust the share over the working life. Further equity shares have become less dependent on income or wealth. While these changes in portfolio behavior are part of a broad, secular trend, they have been accelerated by the development and regulation of target date funds (TDFs). The Pension Protection Act (PPA) of 2006 allowed the use of TDFs as default options in retirement saving plans. We compare investors who enroll in the same savings plan shortly before and after the PPA, and find that those enrolling afterwards – who are defaulted into TDFs – have higher equity shares that decrease by more as they approach retirement. We also study retirement contribution rates over the life-cycle and find that in contrast to portfolio choices, these rates have been relatively stable, are increasing over the life-cycle, and are similar across cohorts and initial enrollment dates

Deep Srivastav, Franklin Templeton;  Anand Radhakrishnan, Franklin Templeton and Dan Ostrov, Santa Clara University
Goals, Death, and Taxes: New Frontiers in Retirement Optimization

Goals, Death, and Taxes: New Frontiers in Retirement Optimization
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In this talk, we present recent work in retirement optimization in the goals-based wealth management (GBWM) domain, with its notions of risk that are different from traditional utility optimization models. The presentation will touch upon recent papers, which (a) show how to improve on tax optimization across taxable and tax-free accounts, (b) whether or not annuities are useful in GBWM-based planning, and (c) how to assist GBWM investors in choosing the best dynamic trading strategy for multiple goals through the use of a new artifact, the efficient goal probability frontier, which complements the Markowitz mean-variance frontier.

Nicholas Savoulides, Invesco
Multi-Period Portfolio Selection: A Practical Simulation-Based Framework

Multi-Period Portfolio Selection: A Practical Simulation-Based Framework
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The topic of optimal portfolio selection over time has garnered significant attention from investment researchers since the introduction of portfolio theory in 1952. While computational, theoretical, and numerical methods have advanced, solutions introduced to date have yet to effectively address many practical aspects of the multi-period portfolio selection problem.

In this presentation, we propose three key requisites for practical multi-period portfolio selection solutions that highlight the central challenges of managing portfolios across a multiperiod
investment horizon: effective duration management, incorporating real-world asset dynamics, and considering investment frictions and illiquidities. Based on these criteria, we detail an analytical framework for multi-period portfolio selection that provides intuition and yields guiding principles that describe how allocations and duration should evolve across a multi-period investment horizon, given specific investor objectives.

We then introduce a practical simulation-based portfolio selection (SBPS) framework and present solutions for common investor objectives that are not only aligned with intuitive principles but also demonstrate the flexibility afforded by SBPS in allowing us to address the three stated requisites for practical multi-period solutions.

Authors: Kenneth Blay, Anish Ghosh, Steven Kusiak, Harry Markowitz, Nicholas Savoulides and Qi Zheng

 

Risk Managers, Portfolio Managers, Pension Managers, Plan Sponsors, Endowments, Senior Executives of Financial Firms and Academics would all benefit from attending.

Sponsors:

                                                 

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JOIM Conference Series

Climate Change & Retirement Investing
May 23 – 24, 2022
Santa Clara University Campus

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