Category: Expected Return
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Eric Falkenstein to Society of Actuaries: There Is No Risk Premium
When I accepted the Investment Section spot on the Society of Actuaries Annual Meeting planning committee, the first person I thought of to invite to speak was Eric Falkenstein. Eric Falkenstein is a quant, an author, and a blogger. He has a PhD in Finance from Northwestern University’s Kellogg School of Management. He has developed…
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Looming Demographic Trends and Their Investment Implications
Another popular session I moderated at the Society of Actuaries annual meeting was #132, Looming Demographic Trends and Their Investment Implications. This session featured Jason Hsu, CIO of Research Affiliates, and Richard Hokenson, of Hokenson & Company. Dr. Hsu had the floor for the first 30 minutes. He presented Research Affiliates’ increasingly renowned view on…
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An Inconvenient Truth about Stocks for the Long Run
At last week’s Society of Actuaries annual meeting I moderated several sessions to which I have alluded in this space before. One of the best received presentations was by Lubos Pastor from the University of Chicago Booth School of Business. Pastor, a graduate of Wharton and student of Jeremy Siegel, presented a wake-up call for…
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Why Use Monte Carlo Simulations? To Guard Against Tunnel Vision
Sam Savage, author of “The Flaw of Averages,” is a missionary for making business decisions using probability distributions instead of point estimates. I’m an avid disciple, which might surprise some who read the previous post. The earlier post, “Modeling Expected Returns: The Future Is Not What It Used to Be” described a formula derived…
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Modeling Expected Returns: The Future Is Not What It Used to Be
Statistical methods that most practitioners get wrong Do you use financial planning software which projects future returns to assist you with asset allocation? Next month I will moderate several sessions at the Society of Actuaries (SOA) 2011 Annual meeting for the SOA’s Investment Section. A consistent thread running through several of these sessions will…
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Arithmetic Means and Expected Returns: Don’t Fool Yourself
(Author’s note: This year I have volunteered to coordinate the Society of Actuaries (SOA) Investment Section’s sessions at the SOA annual meeting, which will be held this October in Chicago. For more information, visit the SOA annual meeting website). At this year’s Society of Actuaries’ annual meeting, one of the more anticipated discussions is likely…