The author reviews the traditional mean-variance approach to asset allocation and suggests an alternative approach - mean-conditional value-at-risk. Using this new approach, retirement plan asset allocations are analyzed for optimization. From the Investment Symposium, Session R5, March 2012.

This session at the 2008 Investment Symposium examines the shift in strategic asset allocation determination for pension funds from one based solely on assets to one based on assets and liabilities. Benchmarks are also moving to a liability based approach.

2007 Asset Liability Management Conference, Phoenix. This seminar on Asset Liability Management focused on strategies for managing inflation and longevity risk in pension plans. Topics covered: 1. Overview of defined benefit pension risks 2. Measuring and managing inflation risk 3. Measuring and managing longevity risk

2007 Asset Liability Management Conference, Phoenix. This 2007 seminar focused on asset management within an ALM framework. Topics covered: 1. Focus on asset returns. 2. Assets managed against benchmark. – Asset-only benchmark. – Liability-driven benchmark. 3. Investment i.e. asset-only objectives specified by client. 4. Beating benchmark and/or achieving investment objectives does not necessarily mean financial objectives will be m.

For a pension plan, the investment of assets is a central and challenging problem. This paper addresses investing for retirement: optimal capital growth and dynamic asset allocation. From NAAJ, April 2000, Volume 4, Number 2.

In this paper, the authors propose an optimization-based methodology to substantially improve the skewness of portfolios in the mean-variance efficient frontier.

A current research stream in the portfolio allocation literature develops models that take into account the asymmetric nature of asset return distributions. This paper contributes to this research stream by extending the Krokhmal, Palmquist, and Uryasev [2002] approach. This paper adds CVaR-like constraints in the traditional portfolio optimization problem to reshape the tails of the portfolio return distribution while not significantly affecting its mean and variance.

To examine post-retirement asset allocation, an extension to the classic Markowitz risk-return framework is suggested in this paper. It is suggested that asset allocations strategies that vary with age do not add efficiency in this model, and asset allocation strategies that vary with wealth can add efficiency.

This is a discussion of a previously published paper, "Asset Allocation with Hedge Funds on the Menu."

This is a discussion of a previously published paper, "Markov Aging Process and Phase-Type Law of Mortality."