SSRN Pension Risk Management eJournal

1.

‘The Prayer’ Ten-Step Checklist for Advanced Risk and Portfolio Management

Number of pages: 29 Posted: 11 May 2011 Last Revised: 14 May 2011

Working Paper Series

Attilio Meucci

ARPM - Advanced Risk and Portfolio Management

Downloads 12,084

2.

Are Stocks Really Less Volatile in the Long Run?

EFA 2009 Bergen Meetings Paper, AFA 2010 Atlanta Meetings Paper

Number of pages: 56 Posted: 26 May 2008 Last Revised: 13 Dec 2011

Working Paper Series

Lubos Pastor and Robert F. Stambaugh

University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School

There are 3 versions of this paper

Downloads 11,189

3.

The Volatility Effect: Lower Risk Without Lower Return

Journal of Portfolio Management, pp. 102-113, Fall 2007, ERIM Report Series Reference No. ERS-2007-044-F&A

Number of pages: 23 Posted: 17 Apr 2007

Accepted Paper Series

David Blitz and Pim van Vliet

Robeco Asset Management - Quantitative Strategies and Robeco Asset Management - Quantitative Strategies

Downloads 7,770

4.

Economists’ Hubris – The Case of Equity Asset Management

Journal of Financial Transformation, Vol. 29, pp. 9-16

Number of pages: 10 Posted: 02 May 2010 Last Revised: 07 Jan 2011

Accepted Paper Series

Shahin Shojai, George Feiger and Rajesh Kumar

Capco Institute, Aston Business School and Institute of Management Technology , Dubai

Downloads 7,453

5.

Preparing a Referee Report: Guidelines and Perspectives

Number of pages: 9 Posted: 11 Jan 2015 Last Revised: 21 Dec 2016

Working Paper Series

Jonathan Berk, Campbell R. Harvey and David A. Hirshleifer

Stanford Graduate School of Business, Duke University - Fuqua School of Business and University of California, Irvine - Paul Merage School of Business

Downloads 7,011

6.

The Norway Model

Journal of Portfolio Management, Vol. 38, No. 2, 2012, pages 67–81,

Number of pages: 17 Posted: 04 Oct 2011 Last Revised: 20 Mar 2016

Accepted Paper Series

David Chambers, Elroy Dimson and Antti Ilmanen

University of Cambridge - Judge Business School, Department of Finance & Accounting, University of Cambridge - Judge Business School and AQR Capital Management

Downloads 6,839

7.

An Efficient Frontier for Retirement Income

Number of pages: 12 Posted: 25 Sep 2012

Working Paper Series

Wade D. Pfau

The American College

Downloads 6,478

8.

The 4 Percent Rule is Not Safe in a Low-Yield World

Number of pages: 15 Posted: 16 Jan 2013 Last Revised: 17 Jan 2013

Working Paper Series

Michael S. Finke, Wade D. Pfau and David Blanchett

The American College, The American College and Morningstar Investment Management

Downloads 6,462

9.

A Literature Review of Risk Perception Studies in Behavioral Finance: The Emerging Issues

Number of pages: 41 Posted: 25 May 2007

Working Paper Series

Victor Ricciardi

Goucher College - Department of Business Management

Downloads 5,570

10.

Behind the Scenes: The Corporate Governance Preferences of Institutional Investors

Journal of Finance, Forthcoming

Number of pages: 46 Posted: 15 Mar 2010 Last Revised: 07 Jul 2015

Accepted Paper Series

Joseph A. McCahery, Zacharias Sautner and Laura T. Starks

Tilburg University - School of Law; European Banking Center (EBC), Frankfurt School of Finance & Management gemeinnützige GmbH and University of Texas at Austin - Department of Finance

Downloads 5,318

11.

Public Pension Promises: How Big are They and What are They Worth?

Journal of Finance, Forthcoming

Number of pages: 61 Posted: 05 Mar 2009 Last Revised: 13 Oct 2010

Working Paper Series

Robert Novy-Marx and Joshua D. Rauh

Simon Business School, University of Rochester and Stanford Graduate School of Business

Downloads 5,216

12.

Pension Fund Asset Allocation and Liability Discount Rates

Number of pages: 53 Posted: 29 May 2012 Last Revised: 22 Feb 2017

Working Paper Series

Aleksandar Andonov, Rob Bauer and Martijn Cremers

Erasmus University Rotterdam, Erasmus School of Economics, Maastricht University and University of Notre Dame

Downloads 4,540

13.

What if 8% is Really 0%? Pension Funds Investing with Fingers-Crossed and Eyes Closed

Cambria Quantitative Research Monthly, Issue 2, June 2011

Number of pages: 9 Posted: 13 Jun 2011 Last Revised: 20 Jun 2011

Accepted Paper Series

Meb Faber

Cambria Investment Management

Downloads 4,393

14.

The Efficacy of Publicly-Available Retirement Planning Tools

Number of pages: 33 Posted: 18 Feb 2016 Last Revised: 26 Feb 2016

Working Paper Series

Taft Dorman, Barry S. Mulholland, Qianwen Bi and Harold Evensky

Texas Tech University, Texas Tech University, Utah Valley University and Texas Tech University

Downloads 4,064

15.

Real World Index Annuity Returns

Number of pages: 16 Posted: 07 Oct 2009 Last Revised: 06 Jan 2011

Working Paper Series

David F. Babbel, Geoffrey VanderPal and Jack Marrion

University of Pennsylvania - The Wharton School - Finance and Insurance Departments, Webster University and affiliation not provided to SSRN

Downloads 3,771

16.

Predictive Regressions: A Present-Value Approach

Number of pages: 48 Posted: 04 Mar 2007 Last Revised: 15 Sep 2013

Working Paper Series

Jules H. van Binsbergen and Ralph S. J. Koijen

University of Pennsylvania - The Wharton School and New York University (NYU) - Department of Finance

There are 2 versions of this paper

Downloads 3,598

17.

Pension Time Bomb: Boon or Bane for Asset Managers?

Journal of Financial Transformation, Vol. 7, pp. 40-42, April 2003

Number of pages: 3 Posted: 15 Jun 2004 Last Revised: 24 Aug 2009

Accepted Paper Series

Shahin Shojai, George Feiger and Pedro L. Matthynssens Sr.

Capco Institute, Aston Business School and Boston Consulting Group - Brussels

Downloads 3,348

18.

Why Do Women Invest Differently than Men?

Financial Counseling and Planning, Vol. 7, 1996

Number of pages: 10 Posted: 01 Feb 1997

Accepted Paper Series

Vickie L. Bajtelsmit and Alexandra Bernasek

Colorado State University, Fort Collins and Colorado State University - Department of Economics

Downloads 3,284

19.

Pension Fund Performance and Costs: Small is Beautiful

Number of pages: 46 Posted: 27 Feb 2007 Last Revised: 06 Nov 2012

Working Paper Series

Rob Bauer, Martijn Cremers and Rik Frehen

Maastricht University, University of Notre Dame and Tilburg University - Department of Finance

Downloads 3,273

20.

Public Pension Plan Reform: The Legal Framework

Education, Finance & Policy, Vol. 5, 2010, Minnesota Legal Studies Research No. 10-13

Number of pages: 41 Posted: 24 Mar 2010

Accepted Paper Series

Amy Monahan

University of Minnesota - Twin Cities - School of Law

Downloads 3,256

21.

The 4% Rule - At What Price?

Journal Of Investment Management (JOIM), Third Quarter 2009

Number of pages: 24 Posted: 02 Apr 2008 Last Revised: 10 Nov 2009

Accepted Paper Series

Jason S. Scott, William F. Sharpe and John G. Watson

Financial Engines, Inc., Stanford University - Graduate School of Business and Financial Engines, Inc.

Downloads 3,020

22.

Can Large Pension Funds Beat the Market? Asset Allocation, Market Timing, Security Selection and the Limits of Liquidity

Number of pages: 48 Posted: 14 Jul 2011 Last Revised: 15 Nov 2012

Working Paper Series

Aleksandar Andonov, Rob Bauer and Martijn Cremers

Erasmus University Rotterdam, Erasmus School of Economics, Maastricht University and University of Notre Dame

Downloads 2,840

23.

Life-Cycle Funds

Number of pages: 37 Posted: 25 May 2007

Working Paper Series

Luis M. Viceira

Harvard Business School - Finance Unit

Downloads 2,788

24.

Managing Risk Exposures Using the Risk Budgeting Approach

Number of pages: 33 Posted: 23 Feb 2012 Last Revised: 10 Apr 2012

Working Paper Series

Benjamin Bruder and Thierry Roncalli

Lyxor Asset Management and Amundi Asset Management

Downloads 2,680

25.

R - Quick Guide for Implementing VaR (Value-at-Risk) and CTE (Conditional Tail Expectation)

Number of pages: 11 Posted: 26 Dec 2008 Last Revised: 18 May 2009

Working Paper Series

Wenchao Liao

Shih Chien University (Taiwan), Dept. of Finance and Banking

Downloads 2,671

26.

Risk Parity Portfolios with Risk Factors

Number of pages: 32 Posted: 03 Oct 2012 Last Revised: 06 Oct 2012

Working Paper Series

Thierry Roncalli and Guillaume Weisang

Amundi Asset Management and Clark University - Graduate School of Management

Downloads 2,556

27.

Safe Withdrawal Rates: A Guide for Early Retirees

Number of pages: 47 Posted: 11 Mar 2017

Working Paper Series

Ern EarlyRetirementNow

Independent

Downloads 2,447

28.

Dynamic Portfolio Choice

Number of pages: 59 Posted: 11 Jul 2012

Working Paper Series

Andrew Ang

BlackRock, Inc

Downloads 2,413

29.

Financial Literacy and Planning: Implications for Retirement Wellbeing

Michigan Retirement Research Center Research Paper No. WP 2005-108

Number of pages: 32 Posted: 21 Feb 2008

Working Paper Series

Annamaria Lusardi and Olivia S. Mitchell

George Washington University - Department of Accountancy and University of Pennsylvania - The Wharton School

There are 2 versions of this paper

Downloads 2,390

30.

The True Impact of Immediate Annuities on Retirement Sustainability: A Total Wealth Perspective

Number of pages: 18 Posted: 23 Jul 2013

Working Paper Series

Michael E. Kitces and Wade D. Pfau

The Kitces Report & Nerd's Eye View and The American College

Downloads 2,241

31.

Role of Institutional Investors in Corporate Governance

Number of pages: 11 Posted: 23 Apr 2009

Working Paper Series

Manya Srivardhan

affiliation not provided to SSRN

Downloads 2,230

32.

Covered Calls Uncovered

Financial Analysts Journal, Vol. 71, No. 6, November/December 2015

Number of pages: 24 Posted: 04 Jun 2014 Last Revised: 27 Jan 2017

Accepted Paper Series

Roni Israelov and Lars N Nielsen

AQR Capital Management, LLC and AQR Capital Management, LLC

Downloads 2,225

33.

Retirement Risk, Rising Equity Glidepaths, and Valuation-Based Asset Allocation

Number of pages: 21 Posted: 18 Sep 2014

Working Paper Series

Michael E. Kitces and Wade D. Pfau

The Kitces Report & Nerd's Eye View and The American College

Downloads 2,209

34.

Lifetime Expected Income Breakeven Comparison between SPIAs and Managed Portfolios

Number of pages: 65 Posted: 30 Aug 2013 Last Revised: 25 Apr 2015

Working Paper Series

Larry R. Frank Sr., John B. Mitchell and Wade D. Pfau

Academy of Financial Services, Central Michigan University - Department of Finance and Law and The American College

Downloads 2,204

35.

The Equity Risk Premium amid a Global Financial Crisis

Number of pages: 19 Posted: 17 May 2009

Working Paper Series

John R. Graham and Campbell R. Harvey

Duke University and Duke University - Fuqua School of Business

Downloads 2,198

36.

The Psychology of Risk: The Behavioral Finance Perspective

HANDBOOK OF FINANCE: VOLUME 2: INVESTMENT MANAGEMENT AND FINANCIAL MANAGEMENT, Frank J. Fabozzi, ed., John Wiley & Sons, pp. 85-111, 2008

Number of pages: 28 Posted: 07 Jul 2008 Last Revised: 04 Oct 2013

Accepted Paper Series

Victor Ricciardi

Goucher College - Department of Business Management

Downloads 2,140

37.

The 2010 Institutional Investment Report: Trends in Asset Allocation and Portfolio Composition

The Conference Board Research Report, No. R-1468-10-RR, 2010

Number of pages: 64 Posted: 12 Nov 2010

Accepted Paper Series

Matteo Tonello and Stephan Rahim Rabimov

The Conference Board, Inc. and Global Political Risk Consulting, LLC

Downloads 2,117

38.

Comparing Different Methods of Calculating Value at Risk

Number of pages: 16 Posted: 25 Apr 2005

Working Paper Series

Tapen Sinha and Francisco Chamu

Instituto Tecnológico Autónomo de México (ITAM) - Division of Actuarial Science, Statistics and Mathematics and University of North Carolina at Chapel Hill - Department of Statistics

Downloads 2,095

39.

Does VIX Truly Measure Return Volatility?

Number of pages: 32 Posted: 31 Aug 2014 Last Revised: 17 Nov 2014

Working Paper Series

Victor Chow, Wanjun Jiang and Jingrui Li

West Virginia University, Guang Hua School of Management, Peking University and West Virginia University

Downloads 2,059

40.

Beyond Diversification: The Pervasive Problem of Excessive Fees and 'Dominated Funds' in 401(k) Plans

Yale Law & Economics Research Paper # 493

Number of pages: 46 Posted: 22 Feb 2014 Last Revised: 30 Sep 2014

Working Paper Series

Ian Ayres and Quinn Curtis

Yale University - Yale Law School and University of Virginia School of Law

Downloads 2,058

41.

To Roth or Not to Roth: Analyzing the Conversion Opportunity for 2010 and Beyond

Bureau of National Affairs Daily Tax Report, Vol. 9, No. 181, September 22, 2009 , University of Illinois Law & Economics Research Paper No. LE09-026

Number of pages: 6 Posted: 23 Sep 2009 Last Revised: 10 Oct 2009

Accepted Paper Series

Richard L. Kaplan

University of Illinois College of Law

Downloads 2,036

42.

Stop-Outs Under Serial Correlation and 'The Triple Penance Rule'

Journal of Risk, 2014

Number of pages: 35 Posted: 16 Jan 2013 Last Revised: 10 Jun 2016

Accepted Paper Series

David H. Bailey and Marcos Lopez de Prado

Lawrence Berkeley National Laboratory and Guggenheim Partners, LLC

Downloads 1,934

43.

Analyzing Operational Due Diligence Frameworks in Fund of Hedge Funds

Number of pages: 12 Posted: 26 May 2009 Last Revised: 20 Jul 2010

Working Paper Series

Jason Scharfman

Corgentum Consulting

Downloads 1,863

44.

The New Era of Infrastructure Investing

Number of pages: 11 Posted: 12 May 2011

Working Paper Series

Gordon L. Clark, Ashby H. B. Monk, Ryan Orr and William Scott

Oxford University - Smith School of Enterprise and the Environment, Stanford University - Global Projects Center, Collaboratory for Research on Global Projects and Queensland Investment Corporation

Downloads 1,814

45.

Corporate Governance and Institutional Ownership

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming

Number of pages: 53 Posted: 25 May 2009

Accepted Paper Series

Kee H. Chung and Hao Zhang

State University of New York at Buffalo - School of Management and Rochester Institute of Technology (RIT) - Saunders College of Business

Downloads 1,774

46.

20 Years of VIX: Fear, Greed and Implications for Traditional Asset Classes

Number of pages: 18 Posted: 02 Apr 2010 Last Revised: 11 May 2010

Working Paper Series

Mikhail Munenzon

Reformation Technologies

Downloads 1,747

47.

Alpha-Beta-Separation: From Theory to Practice

Number of pages: 13 Posted: 27 May 2008

Working Paper Series

Stefan Engstrom, Richard Grottheim, Peter Norman and Christian Ragnartz

Stockholm School of Economics, Department of Finance, The Seventh Swedish National Pension Fund, The Seventh Swedish National Pension Fund and AP7

Downloads 1,722

48.

Nature or Nurture: What Determines Investor Behavior?

Fourth Singapore International Conference on Finance 2010 Paper

Number of pages: 56 Posted: 02 Sep 2009 Last Revised: 04 Mar 2010

Working Paper Series

Amir Barnea, Henrik Cronqvist and Stephan Siegel

HEC Montreal, University of Miami - Department of Finance and University of Washington - Michael G. Foster School of Business

Downloads 1,716

49.

Pricing Options on Realized Variance in the Heston Model with Jumps in Returns and Volatility

Journal of Computational Finance, Vol. 11, No. 4, pp. 33-70, 2008

Number of pages: 37 Posted: 21 May 2009 Last Revised: 05 Oct 2010

Accepted Paper Series

Artur Sepp

Julius Baer

Downloads 1,680

50.

The Investment Behavior of Buyout Funds: Theory and Evidence

ECGI - Finance Working Paper No. 174/2007, AFA 2008 New Orleans Meetings Paper, 20th Australasian Finance & Banking Conference 2007 Paper

Number of pages: 47 Posted: 20 Mar 2007

Working Paper Series

Alexander Ljungqvist, Matthew P. Richardson and Daniel Wolfenzon

New York University (NYU) - Department of Finance, New York University (NYU) - Department of Finance and Columbia Business School - Finance and Economics

There are 3 versions of this paper

Downloads 1,660

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