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