There is an annuity puzzle in that the actual allocation by individuals to annuities is low. Longevity bonds, to hedge overall economy-wide mortality risk, have been proposed, but these bonds have challenges and the proponents have not shown how governments are hedged. This paper recommends that...

There is a growing retirement crisis and most of the focus has been on the fact that individuals are not saving enough for retirement, may not have access to pension schemes, or are financially illiterate. More critically, assets/financial products available to investors, may not be appropriate...

There is an annuity puzzle in that despite the welfare gains to individuals and society from consumers purchasing annuities, the actual allocation to these instruments by individuals is very low. Many explanations have been provided including adverse selection, complexity and inflexibility of...

Dynamic beta is a program that dynamically allocates to beta assets based on formal rules. It contrasts with standard mean-variance optimization and static risk-parity approaches, which are static. Dynamic beta lowers the overall risk of the fund — where risk includes volatility of returns...

Since the development of modern portfolio theory (MPT) in the late 1950s and early 1960s, academics have offered numerous competing theories. MPT's simplicity is appealing: The expected return on an asset is simply a function of the return of the market portfolio and the asset's beta to the...

One of the key issues dominating the institutional investing industry is impact investing and the need to reduce carbon emissions (measured in Carbon Dioxide Equivalents or CO2e). Many investors have signed the Net Zero Asset Owner Alliance (NZAOA), which has specific goals and targets to be met...

Investment managers require a consistent asset pricing model, asset allocation recommendations and risk-adjusted performance measures (or the “three facets of investing”) to be effective in managing portfolios. Incorporating three critical realities of investing into these models (i.e., that...

Investors live in a multi-period, volatile world and base their decisions on theories of asset pricing, and asset allocation, often derived from a single period model. They make assumptions about asset returns and volatilities and use optimizers to set their long term allocations, and often...

The primary purpose of this research is to empirically test a new asset pricing model, the Relative Asset Pricing Model (RAPM), and to confirm whether hedge portfolios on two new risk factors highlighted in that model, and embedded in all portfolios, have negative and significant risk premia. In...

The Capital Asset Pricing Model (CAPM) has been the backbone of asset market finance even though many academic studies have revealed its limitations, both theoretical and empirical. This paper argues that including liability or benchmark considerations in investment decisions may provide a...