We investigate optimal investment and drawdown decisions in retirement, and show that the asset mix and drawdown strategy vary significantly with financial circumstances and preferences. Loss aversion preferences lead to hedging strategies to secure the target consumption through use of...

We investigate why investors may be willing to participate in active management, notwithstanding that the average manager is likely to generate negative alpha after fees. We model the alpha an investor expects from a dynamic strategy of investing in a portfolio of active investment managers, and...

We interview professional institutional investors to learn how they choose between active and passive management, select active equity managers and construct multi-manager portfolios. We find that many of the aspects emphasized in the fund management literature, such as returns generated by the...

One of the primary objectives of the regulatory regime governing superannuation funds is to safeguard the interests of members. However members are implicitly characterized in different ways in different parts of the regulatory regime. This causes inconsistencies in the way different parts of...

A simulation approach is used to investigate how various investment strategies affect the ability of retirees to spend at a desired level up until death. Retirees are assumed to maintain all investment and longevity risk, and also have access to a government-sponsored and means tested Age...