Description: This article speculates on the presence and magnitude of the benefits attributable to regular rebalancing of one's investment portfolio. It surveys the extant literature, discusses certain implications, and presents conclusions.

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: Diverse Risks 2016 Call for Essays

Description: Complete issue of the August 2014 Risk Management newsletter.

Description: First, the presenters will discuss long term asset mix for an insurance company. Many people attempt to find a perfect solution. Unlike tactical calls on the trading floor, a good strategic asset allocation analysis oftentimes requires the understanding the company's liability and a good long term view of the economy. Many challenging issues arise during this analysis: Best method or metric to determine the optimal asset allocation strategy, alignment with risk tolerance, variation for inforce versus new business, asset classes and derivative instruments available and fit into the modeling exercise. We will attempt to answer these questions by comparing a few popular measures in an Efficient Frontier Analysis. Second, the presenters will cover derivative from a practitioner's point of view. Derivatives are perceived as complex, risky investment vehicles from the public. However, derivatives are commonly used in various areas. Hedging is always a common topic in management discussion. Actuaries should keep current on this important topic. We will provide an overview on the current usage of derivatives in insurance companies. They will also touch on how derivatives are used in product development, the ongoing changes in the derivatives regulation and challenges faced by insurance companies from the practitioner's perspective.

Description: Infrastructure investments are growing as an asset class in institutional portfolios because they present significant diversification benefits to investors, and importantly for pension plans, typically represent long-term projects. Infrastructure presents a unique opportunity for investors interested in long-duration products that help match liabilities. This session outlines the structure of infrastructure deals, how investments can be made through either equity or debt financing, the importance of ESG, and how to incorporate infrastructure in an institutional portfolio.

Description: 1998 SOA Spring Meeting, Maui. The panelists discussed the many factors involved with insurance company decisions on whether they are putting their money to work in a most prudent fashion. This session focused on the practical aspects of asset allocation.