F.M. Redington Prize-Winning Paper – Optimal Portfolios Under Worst-Case Scenarios Webcast


January 28, 2016

  • External Forces & Industry Knowledge

Presented by

Investment Section


In standard portfolio theories such as mean-variance optimization, expected utility theory, rank dependent utility theory, Yaari's dual theory and cumulative prospect theory, the worst outcomes for optimal strategies occur when the market declines. This is at odds with the needs of many investors. Hence, in this webcast, experts depart from the traditional settings and study optimal strategies for investors who impose additional constraints on their final wealth in the states corresponding to a stressed financial market. Experts provide a framework that maintains the stylized features of the SP/A theory while dealing with the goal of security in a more flexible way. They will construct optimal strategies explicitly and show how they outperform traditional diversified strategies under worst-case scenarios.

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Demonstrating the listening, writing and speaking skills required to effectively address diverse technical and nontechnical audiences in both formal and informal settings.

Professional Values

Adhering to standards of professional conduct and practice where all business interactions are based on a foundation of integrity, honesty and impartiality.

External Forces & Industry Knowledge

Identifying and incorporating the implications of economic, social, regulatory, geo-political and business changes into the design and delivery of actuarial solutions.


Initiating, innovating, inspiring, creating or otherwise acting to influence others regardless of level or role toward a common goal.

Relationship Management & Interpersonal Collaboration

Creating mutually beneficial relationships and work processes toward a common goal.

Technical Skills & Analytical Problem Solving

Applying the actuarial knowledge, skills and judgment required to provide value-added services.

Strategic Insight & Integration

Anticipating trends and strategically aligning actuarial practice with broader organizational business goals.

Results-Oriented Solutions

Providing effective problem solving that addresses relevant interests and needs.