Retirees face longevity risk, or the risk of living longer (or less long) than expected; market risk, or the risk of poor investment returns over the retirement horizon, and finally; failure risk, or the risk of running out of money before death. The authors examine the sensitivity of these three...

Grinold linked investment alpha and Information Ratio to the breadth of independent active bets in an investment universe with his Fundamental Law of Active Management. Breadth is often misinterpreted as the number of eligible securities in a manager's investment universe, but this ignores the...

The paper addresses flaws in the traditional application of Modern Portfolio Theory related to Strategic Asset Allocation. Estimates of parameters for portfolio optimization based on long-term observed average values are shown to be inferior to alternative estimates based on observations over...

Mean-Variance Optimization (MVO) as introduced by Markowitz (1952) is often presented as an elegant but impractical theory. MVO is "an unstable and error-maximizing" procedure (Michaud 1989), and "is nearly always beaten by simple 1/N portfolios" (DeMiguel, 2007). And to quote Ang (2014):...

Information on the uncertainty of quantitative results feeding into public decision making is essential for designing robust policies. However, this information is often not available in relation to the economics of greenhouse gas (GHG) mitigation in agriculture. This paper analyses the...

Compositional data record the relative proportions of different components within a mixture and arise frequently in many fields. Standard statistical techniques for the analysis of such data assume the absence of proportions which are genuinely zero. However, real data can contain a substantial...