CFA Society Boston and New Frontier Institute Distinguished Lecture Series

Pension Lessons Learned from the Pension Crisis

Join us for the first of four Distinguished Lectures: a presentation by Ron Ryan, CFA, CEO of Ryan ALM, Inc.  Ron will provide an overview of the circumstances that have pushed the pension industry to the brink of insolvency today as well as discuss policy solutions that may help stave off a potential systemic crisis.  

Featured Research

Estimation Error and the "Fundamental Law of Active Management": Is Quant Fundamentally Flawed?

The authors show with intuitive discussion followed by a novel simulation study that applications of the Grinold (1989) "Fundamental Law" theory for optimized portfolio design are often unreliable and self-defeating.

The Markowitz Optimization Enigma: Is Optimized Optimal?

The major problem with mean variance optimization is its tendency to maximize the effects of errors in the input assumptions.  Unconstrained mean variance optimization can yield results that are inferior to those of simple equal-weighting schemes.

Risk Policy and Long-Term Investment

This paper explores the relationship between the geometric mean and terminal wealth distribution.