.
Lockbox Separation (June 2007)
A note showing that in a
complete market any retirement financial strategy can be implemented
with a series of lockboxes, each of which is designed to fund spending
in a specified year. Each such lockbox will have an initial amount
invested and a specified investment strategy to be followed until its
maturity date. The paper also uses a simple setting to show the
relationships between investment and spending strategies in an overall
retirement financial plan.
Equilibrium
Simulation (Oct. 2006)
Slides from a presentation given
at the Institute for Quantitative Research in Finance.
Procedures for optimization and
reverse optimization analysis in asset allocation studies. Assumes that
investors wish to maximize expected utility, does not require that
investors care only about the mean and variance of portfolio return and
allows for general distributions of asset returns.
A formal framework for
finding the most desirable retirement financial
plan for an individual or family. Allows for maximization of expected
utility where utility can depend on the state of the world.