Vol. 18, No. 4, 2020 By Simone Polillo (Reviewed by Joe Sherman) View PDF… Read more
Fourth Quarter (2020)
Practitioner’s Digest
Vol. 18, No. 4, 2020 Practitioner’s Digest View PDF… Read more
Multi-Period Portfolio Selection: A Practical Simulation-Based Framework
Vol. 18, No. 4, 2020 Kenneth Blay, Anish Ghosh, Steven Kusiak, Harry Markowitz, Nicholas Savoulides and Qi Zheng 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… Read more
What Drives Active Share? Active Stock Selection or Active Stock Weights
Vol. 18, No. 4, 2020 Aymen Karoui and Saurin Patel Active Share is a popular measure of active management. However, it is not clear what drives Active Share. To improve our understanding, we decompose Active Share into Active Stock Selection (ASE) and Active Stock Weights (ASW). ASE captures portfolio weights in stocks outside the portfolio… Read more
A Personal Tribute to Professor Harry Markowitz on the Occasion of the JOIM Special Achievement Award
Vol. 18, No. 4, 2020 A Personal Tribute to Professor Harry Markowitz on the Occasion of the JOIM Special Achievement Award View PDF… Read more
How Much Can Collective Defined Contribution Plans Improve Risk-Sharing?
Vol. 18, No. 4, 2020 Deborah Lucas and Daniel Smith Collective Defined Contribution (CDC) plans have been suggested as an attractive and sustainable alternative to public sector DB plans. A CDC plan is a hybrid structure, designed to provide more predictable retirement benefits than a traditional DC plan while operating at the lower cost of… Read more
Towards Replacing the Defined Benefit Plan: Assured Retirement Income Provided by a Liquid Investment Fund
Vol. 18, No. 4, 2020 Miguel Palacios, Hayne Leland and Sasha Karimi Traditional corporate defined benefit (DB) plans provided retirees with constant retirement income, butDB plans have now all but disappeared. While defined contribution (DC) plans now permit low-fee wealth accumulation, the conversion of wealth to predictable nominal or real income during retirement remains opaque… Read more
A Six-Component Integrated Approach to Addressing the Retirement Funding Challenge
Vol. 18, No. 4, 2020 Robert C. Merton and Arun Muralidhar This paper offers an integrated approach to addressing the global retirement funding challenge, especially in light of the coronavirus shock that has created an unanticipated and unprecedented impact on lifetime income/consumption. It frames the problem in a six-component approach to the funding challenge with… Read more