During the 2010s, the assets of public pension plans generated significantly higher returns than their assumed, or actuarial, rates of return. In a sample of sixty-nine U.S. public plans with a total of $2.1 trillion of assets, the return outperformance of assets over the assumed returns was...

The foundation for a long-term investment strategy is rebalancing to fixed asset class positions, which are determined in a one-period portfolio choice problem where the asset weights reflect the investor's attitude toward risk. Rebalancing is a counter-cyclical strategy that has worked well...

Stocks with large increases in call implied volatilities over the previous month tend to have high future returns while stocks with large increases in put implied volatilities over the previous month tend to have low future returns. Sorting stocks ranked into decile portfolios by past call...

This paper is no longer available on-line from the NBER. A revised version of the paper has been published as "Liability-Driven Investment with Downside Risk" in the Journal of Portfolio Management Fall 2013, Vol. 40, No. 1: pp. 71-87