Description: The paper demonstrates that the most popular rationalization for evolving glide paths is flawed and should be discarded. The paper also demonstrates that glide paths should generally evolve for investors that endeavor to optimize outcomes and reevaluate their portfolios regularly.

Description: Read the August 2017 issue of Risks & Rewards published by the Investment Section.

Description: Read the February 2017 issue of Risks and Rewards published by the Investment Section.

Description: The impact of Fed’s QE program on the financial markets has been enormous and profound. The tapering and the eventual removal of the stimulus will be equally enormous and profound, and may be disruptive. To adapt to the potential regime change in near future, some investment strategies have been proposed: (1) shorten duration to focus on the short end of the yield curve and create laddered portfolios; (2) reduce allocation to high yield bonds; (3) rotate out interest rate sensitive sectors such as utilities; and (4) use interest rate derivatives to hedge the interest rate uncertainties lying ahead. On the other hand, contrarians who see the QE program continuing may stay the course and consider (1) adding duration, (2) gaining exposure to high yield bonds, and (3) increasing allocation to utilities and telecoms.

Description: Is Risk/Return a sound tool for decision-making? No. It is not consistent, not objective, distorts decision and degrades governance. Why? What shall we do then?

Description: An overview of the SOA annual meeting session 154 panel discussion: the coming retirement financial crisis and how actuaries will be part of the solution.

Description: Description of new regulatory risk disclosure for private fund advisers.

Description: Part one of a two-part article, to be contined in Feb 2014. Provides useful rules of thumb for breaking out investment return into components of periodic arithmetic return, geometric return, the volatility of returns and the correlation of returns by asset class. Develops and relates these axiomatic concepts into rules of thumb for estimating quantiles of a range of stochastic returns.

Description: The author summarizes the content of a seminar entitled “Integrated Approaches to Risk Management in the Financial Services Industry,” including a description of the papers presented.

Description: Derives appropriate hedge ratios for CPPI strategies, taking into account discrete hedge times and market dislocations (gap risk).