Volume 13, Number 3, Third Quarter 2015 View PDF… Read more
Third Quarter (2015)
Insights: Consumption, Investment and Insurance in the Game of Life
Volume 13, Number 3, 2015 Harry M. Markowitz Markowitz (1991) proposed the development of a “Game of Life” simulator in which portfolio selection was just one type of move in the financial actions of a subject household. Sherri Grabot’s invitation to Markowitz in the late 1990s to form and join the design committee of GuidedChoice… Read more
Retirement Readiness and Behavioral Finance
Volume 13, Number 3,(2015 Burton G. Malkiel More than 10,000 Baby Boomers will be reaching retirement age every year from now through 2030. Inadequate savings, high cost and poorly designed retirement plans as well as investor behavioral mistakes combine to level most of them woefully unprepared for retirement. The paper suggests a number of possible… Read more
Decentralization in Pension Fund Management
Volume 13, Number 3, (2015) David Blake, Alberto Rossi, Allan Timmermann, Ian Tonks and Russ Wermers The past few decades have seen a major shift from centralized to decentralized investment management by pension fund sponsors, despite the increased coordination problems that this brings. Using a unique, proprietary dataset of pension sponsors and managers, we identify… Read more
Augmented Risk Models to Mitigate Factor Alignment Problems
Volume 13, Number 3, (2015) Anureet Saxena and Robert A. Stubbs Construction of optimized portfolios entails a complex interaction between three key entities, namely, the risk factors, the alpha factors and the constraints. The problems that arise due to mutual misalignment between these three entities are collectively referred to as Factor Alignment Problems (FAP). Examples… Read more
Beware of Children Trading
Volume 13, Number 3, 2015 Henk Berkman, Paul D. Koch and P. Joakim Westerholm Guardians behind underaged accounts are successful at picking stocks. These informed traders tend to channel their best trades through the accounts of children, especially when they trade just before major earnings announcements, large price changes, and takeover announcements. Building on these… Read more
The Value of Active Investing
Craig William French Volume 13, Number 3, Third Quarter 2015 We examine whether the value of active investment management can exceed its cost, and find that it can, by a substantial margin. We consider the 0.67% average cost estimate in French (2008), comparing it with the expected value of a known active investment strategy. For… Read more
CASE STUDIES: The New Colonialism
Jack L. Treynor Volume 13, Number 3, Third Quarter 2015 View PDF… Read more
BOOK REVIEW: Investors and Markets
Volume 13, Number 3, (2015) Investors and Markets William F. Sharpe Reviewed by Wei Chen… Read more