Arun Muralidhar

AlphaEngine Global Investment Solutions

Chairman

Great Falls, VA

United States

http://www.mcubeit.com

George Washington University

Adjunct Professor

2121 I Street NW

Washington, DC 20052

United States

SCHOLARLY PAPERS

37

DOWNLOADS
Rank 9,711

SSRN RANKINGS

Top 9,711

in Total Papers Downloads

4,933

SSRN CITATIONS
Rank 19,396

SSRN RANKINGS

Top 19,396

in Total Papers Citations

5

CROSSREF CITATIONS

37

Ideas:
“  I am currently working on (a) The Relative Asset Pricing Model (and Goals-based Asset Pricing Model); (b) Dynamic Beta Management or SMART/Intelligent Rebalancing (c) Pension Reform; (d) New Financial Instruments; (e) Risk-Adjusted Performance and Attribution; and (f) the Importance of Time and Skill  ”

Scholarly Papers (37)

1.

The Mythology of Rebalancing: A Random Walk down Performance and Risk Management

Number of pages: 33 Posted: 17 Jan 2017 Last Revised: 20 Feb 2018
AlphaEngine Global Investment Solutions, Federated Investors Inc., Federated Investors Inc. and AlphaEngine Global Investment Solutions
Downloads 541 (51,811)
Citation 3

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Range Rebalancing, Calendar-Based Rebalancing, Intelligent Rebalancing, Robo-Advisors

2.

How Knowledge Management Can Capture Untapped Alpha: A Case Study of Informed Rebalancing at the San Bernardino County Employees’ Retirement Association

Number of pages: 16 Posted: 30 Apr 2019
Donald Pierce, Sanjay Muralidhar and Arun Muralidhar
affiliation not provided to SSRN, AlphaEngine Global Investment Solutions and AlphaEngine Global Investment Solutions
Downloads 418 (71,380)

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Knowledge Management, InvestTech, Alpha Generation, Risk Management, Asset Management, Investment Strategy; Rebalancing, Governance

3.

Time for Retirement ‘SeLFIES’?

Investments and Pensions Europe, Forthcoming
Number of pages: 2 Posted: 05 Apr 2017 Last Revised: 13 Apr 2017
Robert C. Merton and Arun Muralidhar
Massachusetts Institute of Technology (MIT) - Sloan School of Management and AlphaEngine Global Investment Solutions
Downloads 408 (73,519)

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Retirement SeLFIES, Pension REform, Financial Innovation, Forward Starting Bonds, DB Pensions, DC Pensions, Standard of Living Indexation

The Relative Asset Pricing Model: Implications for Asset Allocation, Rebalancing, and Asset Pricing

Journal of Financial Perspectives, 2014
Number of pages: 14 Posted: 23 Feb 2014 Last Revised: 03 Aug 2018
Arun Muralidhar, Kazuhiko Ohashi and Sung Hwan Shin
AlphaEngine Global Investment Solutions, Hitotsubashi University - Graduate School of International Corporate Strategy and Korea Fixed Income Research Institute
Downloads 296 (105,014)
Citation 1

Abstract:

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CAPM, RAPM, LDI, Fama-French, Prospect Theory, Zero Beta CAPM

The Relative Asset Pricing Model: Implications for Asset Allocation, Rebalancing and Asset Pricing

Journal of Financial Perspectives, Vol. 3, No. 1, 2015
Number of pages: 32 Posted: 04 Dec 2017 Last Revised: 27 Jul 2018
Arun Muralidhar, Kazuhiko Ohashi and Sunghwan Shin
AlphaEngine Global Investment Solutions, Hitotsubashi University - Graduate School of International Corporate Strategy and Hongik University
Downloads 38 (455,346)

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5.

The Sharpe Ratio Revisited: What It Really Tells Us

Journal of Performance Measurement, Vol 19, No. 3, 2015
Number of pages: 8 Posted: 20 Nov 2015
Arun Muralidhar
AlphaEngine Global Investment Solutions
Downloads 233 (135,352)

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Sharpe Ratio, Risk-Adjusted Performance, Confidence in Skill, Time

6.

Goals Based Investing, the KISS Principle, and the Case for New Financial Instruments

Number of pages: 49 Posted: 15 Jan 2016 Last Revised: 05 Feb 2016
Arun Muralidhar
AlphaEngine Global Investment Solutions
Downloads 210 (149,515)
Citation 2

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Goals Based Investing, GBI, RAPM, LDI, BEST, Financial Innovation, BFFS, College Savings Plans, Prepaid Tuition Plans, 529s

7.

InvestTech and Crowdsourcing Best Ideas: Investment Strategies for a Low-Yield Environment

Number of pages: 12 Posted: 17 Jan 2017
Samuel Kunz and Arun Muralidhar
University of California - Office of the President and AlphaEngine Global Investment Solutions
Downloads 191 (163,328)
Citation 2

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Crowdsourcing, InvestTech, Low Yielding Environment, Tactical, Beta Management, Dashboards, Governance, Risk Management

8.

Modern Prospect Theory: The Missing Link Between Modern Portfolio Theory and Prospect Theory

Number of pages: 37 Posted: 09 Sep 2014
Arun Muralidhar
AlphaEngine Global Investment Solutions
Downloads 189 (164,850)
Citation 2

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Prospect Theory, MPT, Kahneman-Tversky, Relative Asset Pricing, Funded Status, Liabilities, Utility

9.

A Very Simple Goals- and Risk-Based Asset Pricing Model (or Asset Pricing with Heterogeneous Investors)

Number of pages: 47 Posted: 12 Oct 2017 Last Revised: 03 Apr 2019
Arun Muralidhar
AlphaEngine Global Investment Solutions
Downloads 181 (171,506)
Citation 2

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Goals Based Investing, Asset Pricing, Asset Allocation, Risk-Adjusted Performance, Heterogeneous Investors, GBI, CAPM, MPT, RAPM, ICAPM, Three Fund Separation, Goal-Replicating Assets, SeLFIES, BFFS, BEST

10.

Asset Pricing Anomalies: Two Hedge Factors with Negative Risk Premia Embedded in Portfolios!

Number of pages: 38 Posted: 16 Jan 2017
Arun Muralidhar, Robert Savickas and Tzu-Jui Mao
AlphaEngine Global Investment Solutions, George Washington University - School of Business - Department of Finance and International Finance Corporations (IFC)
Downloads 176 (175,820)

Abstract:

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Relative Asset Pricing Model, RAPM, Fama-French, Factor-Based Investing, Asset Pricing Model Tests, Negative Risk Premia, Adaptive Markets Hypothesis

11.

Dare to Be Different: How to Commit to Investment Beliefs Through Knowledge Management

Number of pages: 14 Posted: 19 Mar 2018 Last Revised: 23 Mar 2018
Samuel Kunz and Arun Muralidhar
University of California - Office of the President and AlphaEngine Global Investment Solutions
Downloads 166 (184,958)
Citation 1

Abstract:

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Knowledge Management, Agent-Based Risk Management, InvestTech, Crowdsourcing, Alpha Generation, Risk Management, Asset Management, Investment Strategy, Active-Passive, Investment Beliefs, Rebalancing

12.

How a New Bond Can Greatly Improve Retirement Security

Forthcoming, The Retirement Management Journal, Investments and Wealth Institute
Number of pages: 32 Posted: 26 Mar 2018 Last Revised: 02 Sep 2018
Adam Kobor and Arun Muralidhar
New York University (NYU) and AlphaEngine Global Investment Solutions
Downloads 161 (189,765)
Citation 2

Abstract:

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Retirement Bond, BFFS, SeLFIES, Retirement Security, Retirement Income, Annuity Pricing, Monte Carlo Simulation, Historical Simulation

13.

Developing an Effective Dynamic Beta Overlay

Number of pages: 14 Posted: 26 Sep 2018 Last Revised: 07 Oct 2018
Joy Xu and Arun Muralidhar
Verizon Investment Management Corp (VIMCO) and AlphaEngine Global Investment Solutions
Downloads 150 (201,460)

Abstract:

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Global Tactical Asset Allocation, GTAA, Multi-Asset Investing, Crowdsourcing Best Ideas, InvestTech, Futures Overlay, Effective Cash Management, Untapped Alpha, SMART Rebalancing, Investment Decision Process, Dynamic Beta, AlphaEngine®

14.

The Time Contradiction (in Asset Management and Asset Pricing) Between Investor Decision Horizons and Time Needed to Establish Skill

Journal of Performance Measurement (Fall 2017)
Number of pages: 23 Posted: 25 Apr 2015 Last Revised: 30 Oct 2017
Arun Muralidhar
AlphaEngine Global Investment Solutions
Downloads 148 (203,717)
Citation 1

Abstract:

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Asset Pricing, Investment Decisions, Time Horizon, Time Contradiction, Rebalancing, Hedge Fund Fees, Peer Comparison

15.

Applying Behavioral Finance to Investments: The Existence and Importance of 'Investment Tribes'

Number of pages: 20 Posted: 20 Aug 2019
Sid Muralidhar and Arun Muralidhar
Risktyle and AlphaEngine Global Investment Solutions
Downloads 147 (204,902)

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Behavioral Finance; Investment Tribes; Risktyle, Consistency Smile, Behavioral Diagnostic; Behavioral Bias; Loss Aversion; Risk Seeking; Investment Decision-Making

16.

The Most Basic Missing Instrument in Financial Markets: The Case for Forward Starting Bonds

The Journal of Investment Consulting, Volume 17, Number 2, 2016
Number of pages: 16 Posted: 27 Oct 2015 Last Revised: 30 Jan 2017
Arun Muralidhar, Kazuhiko Ohashi and Sung Hwan Shin
AlphaEngine Global Investment Solutions, Hitotsubashi University - Graduate School of International Corporate Strategy and Korea Fixed Income Research Institute
Downloads 118 (243,201)
Citation 3

Abstract:

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Forward Starting Bond, Individual DB, myRA, DC, deferred annuity, RAPM

17.

Ensuring Retirement Security with Simple GLIDeS

Number of pages: 38 Posted: 30 May 2019 Last Revised: 26 Jun 2019
Adam Kobor and Arun Muralidhar
New York University (NYU) and AlphaEngine Global Investment Solutions
Downloads 109 (257,351)

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Intermediate Retirement Target, BFFS, SeLFIES, Retirement Security, Retirement Income, Monte Carlo Simulation, Historical Simulation, Dynamic Allocation, GLIDeS, Goals-based Investing, Lifetime Income strategy, Savings Implications

18.

Attribution Hears a Who! The Case for Decision-Maker Based Attribution

Journal of Performance Measurement, Spring 2016
Number of pages: 11 Posted: 21 Dec 2015 Last Revised: 06 Jan 2017
Arun Muralidhar
AlphaEngine Global Investment Solutions
Downloads 108 (258,998)
Citation 1

Abstract:

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Decision Based Performance Attribution, ARUN, Decision-Maker Based Attribution, Brinson Attribution, Risk-Adjusted Performance, Skill

19.

GBI = Gimme Better (Financial) Instruments: An Innovation to Greatly Simplify Complex Investment Approaches

Investments and Wealth Monitor, Forthcoming
Number of pages: 4 Posted: 07 Apr 2016
Arun Muralidhar
AlphaEngine Global Investment Solutions
Downloads 103 (267,636)

Abstract:

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20.

LDI: Does it Turn CAPM into RAPM?

Number of pages: 24 Posted: 04 Feb 2013
Arun Muralidhar, Kazuhiko Ohashi and Sung Hwan Shin
AlphaEngine Global Investment Solutions, Hitotsubashi University - Graduate School of International Corporate Strategy and Korea Fixed Income Research Institute
Downloads 103 (267,636)

Abstract:

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CAPM, RAPM, LDI

21.

The Relative Asset Pricing Model: Toward a Unified Theory of Asset Pricing

Journal of Investment Consulting, Vol. 15, No. 1, 51-66, 2014
Number of pages: 18 Posted: 30 Aug 2014 Last Revised: 16 Nov 2015
Arun Muralidhar, Kazuhiko Ohashi and Sung Hwan Shin
AlphaEngine Global Investment Solutions, Hitotsubashi University - Graduate School of International Corporate Strategy and Korea Fixed Income Research Institute
Downloads 91 (290,321)

Abstract:

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relative asset pricing model, asset pricing theory

22.

The F-Utility of Wealth: It’s All Relative

Forthcoming in Journal of Investment Management, 2019
Number of pages: 17 Posted: 17 Feb 2019 Last Revised: 29 Mar 2019
Arun Muralidhar
AlphaEngine Global Investment Solutions
Downloads 84 (305,160)

Abstract:

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Asset Allocation, Asset Pricing, Risk-Adjusted Performance, Relative Wealth, Agency, Skill of Managers, Relative Risk, Regulation

23.

Managing Longevity Risk – The Case for Longevity-Indexed Variable Expiration (LIVE) Bonds

Number of pages: 38 Posted: 18 Aug 2018 Last Revised: 20 Oct 2018
Arun Muralidhar
AlphaEngine Global Investment Solutions
Downloads 72 (333,878)
Citation 4

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Annuity Puzzle, Longevity Risk, Longevity Bonds, BFFS, Selfies, Live Bonds, Financial Innovation

24.

Retire In-Home: A New Way to Use a Home to Guarantee Retirement Income

Number of pages: 41 Posted: 12 Nov 2018 Last Revised: 03 Sep 2019
Arun Muralidhar
AlphaEngine Global Investment Solutions
Downloads 66 (350,006)

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Retirement Bonds, BFFS, SeLFIES, Longevity Hedge, LIVE Bonds, Retire In-Home, Reverse Mortgages, Retirement Security, Retirement Income, Deferred Annuity, CRIPTOs, Real Estate, Financial Innovation

25.

Can (Financial) Ignorance Be Bliss?

Financial Analysts Journal, Forthcoming
Number of pages: 16 Posted: 29 Aug 2018 Last Revised: 11 Oct 2018
Arun Muralidhar
AlphaEngine Global Investment Solutions
Downloads 66 (350,006)
Citation 1

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Financial Literacy; Financial Innovation; Retirement Bond; BFFS, SeLFIES, College Bond; 529 Plans; BEST; Goals-Based Investing; GBI; MPT Challenges; TIPS

26.

SeLFIES for Portugal - An Innovative Pan European Retirement Solution

Forthcoming in "Pension Plans in the EU Internal Market," edited by Prof. Nazare Cabral; Published by Springer, 2019
Number of pages: 26 Posted: 06 Nov 2019
Massachusetts Institute of Technology (MIT) - Sloan School of Management, AlphaEngine Global Investment Solutions and affiliation not provided to SSRN
Downloads 64 (355,638)

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SeLFIES, Portugal, Retirement Security, Complementary DC System, Financial Innovation, Market Completion, Financial Literacy

27.

The Most Basic Missing Instrument in Financial Markets: The Case for Bonds for Financial Security

Journal of Investment Consulting, Vol. 16, No. 2, p. 34-47, 2016
Number of pages: 16 Posted: 07 Feb 2017
Arun Muralidhar, Kazuhiko Ohashi and Sung Hwan Shin
AlphaEngine Global Investment Solutions, Hitotsubashi University - Graduate School of International Corporate Strategy and Korea Fixed Income Research Institute
Downloads 56 (380,026)

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Retirement Security, Inflation-Linked Bonds, Bonds for Financial Security, BFFS

28.

Intelligent Investment Dashboards to Improve Investment Efficiency

Number of pages: 14 Posted: 08 Jan 2019
Monel Amin and Arun Muralidhar
Diligence Vault and AlphaEngine Global Investment Solutions
Downloads 51 (396,448)

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Investment Dashboard, Governance,Technology, Reporting, Performance, Collaboration

29.

Addressing Financial Illiteracy Through Financial Innovation: The Case for Goal-Specific Bonds the Embed Inflation and Compounding

Number of pages: 27 Posted: 03 Jan 2018
Arun Muralidhar
AlphaEngine Global Investment Solutions
Downloads 42 (429,132)
Citation 3

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Financial Illiteracy, Financial Education, GBI, Goal-Replicating Assets, SeLFIES, BFFS, BEST, Financial Innovation, Retirement Security, Student Debt Crisis, 529s, Goals-Based Investing

30.

Retirement Security, Finance Science, SeLFIES and The Flex MMM Plan

Number of pages: 30 Posted: 06 Nov 2019
Arun Muralidhar
AlphaEngine Global Investment Solutions
Downloads 39 (441,304)

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Finance Science, Retirement Security, Consumption-linked Bonds, BFFS, SeLFIES, Relative Wealth, Funded Status, MPT, Relative Asset Pricing Model, Financial Innovation, Market Completion, Flex MMM Plan

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Pair-wise Equilibrium, GRAPM, Goals Based Investing, Asset Pricing, Asset Allocation, Risk-Adjusted Performance, Heterogeneous Investors, GBI, CAPM, RAPM, ICAPM, Three Fund Separation, Zeta, Relative Beta, Goal-Replicating Assets, SeLFIES, BFFS, BEST, M-cube, M-square, Sharpe Ratio

32.

The Next Step in the Evolution of Decision-Based Attribution: Micro or Rules-based Attribution (and the Atoms of Attribution)

Forthcoming, Journal of Performance Measurement
Number of pages: 13 Posted: 06 Jan 2020
Arun Muralidhar and Sanjay Muralidhar
AlphaEngine Global Investment Solutions and AlphaEngine Global Investment Solutions
Downloads 25 (508,125)

Abstract:

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Decision-based Performance Attribution; Micro Attribution; Macro Attribution; Rules-based Attribution; Investment Decision Process

33.

The Relative Asset Pricing Model - Incorporating Liabilities and Delegation to Chief Investment Officers: Version 0.1

Journal of Investment Consulting, Volume 14, Number 1, 2013, pp 25-40
Number of pages: 15 Posted: 29 Dec 2015
Arun Muralidhar and Sung Hwan Shin
AlphaEngine Global Investment Solutions and Korea Fixed Income Research Institute
Downloads 21 (531,521)

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Relative Asset Pricing Model, RAPM, Delegation, Agency, Skill

34.

New Bond Would Offer a Better Way to Secure DC Plans

Pensions and Investments, Online, December 2015
Number of pages: 2 Posted: 16 Dec 2015
Arun Muralidhar
AlphaEngine Global Investment Solutions
Downloads 21 (531,521)

Abstract:

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35.

How a New Bond Can Improve Retirement Security

Retirement Management Journal, Vol. 7, No. 1, 2018, pp. 16-30
Number of pages: 17 Posted: 20 May 2019
Adam Kobor and Arun Muralidhar
New York University (NYU) and AlphaEngine Global Investment Solutions
Downloads 13 (580,590)

Abstract:

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Retirement Bond, BFFS, SeLFIES, Retirement Security, Retirement Income, Annuity Pricing, Monte Carlo Simulation, Historical Simulation

36.

Selfies Can Improve the Nation's Retirement Security

Plan Sponsor Magazine, Forthcoming
Posted: 22 Nov 2017
Robert C. Merton and Arun Muralidhar
Massachusetts Institute of Technology (MIT) - Sloan School of Management and AlphaEngine Global Investment Solutions

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Annuities; SeLFIES; US Treasury; General Accounting Office; in-plan retirement income; funding infrastructure; financial innovation; GBI; forward-starting bonds

37.

The Relative Asset Pricing Model: Towards a Unified Theory of Asset Pricing

Posted: 20 Dec 2013
Arun Muralidhar, Sung Hwan Shin and Kazuhiko Ohashi
AlphaEngine Global Investment Solutions, Korea Fixed Income Research Institute and Hitotsubashi University - Graduate School of International Corporate Strategy

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relative asset pricing, liabilities, MPT, Prospect Theory, APT, agency

Other Papers (2)

Total Downloads: 5
1.

Opinion: How Not to Get Sued for Your DC Plan

CIO Magazine
Number of pages: 12 Posted: 21 Jul 2018
Arun Muralidhar
AlphaEngine Global Investment Solutions
Downloads 5

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Retirement Bond, BFFS, SeLFIES, Retirement Security, Retirement Income, DC Pensions, Safe Harbor, Financial Innovation, Lawsuits

2.

Invest Social Security, But Don't Privatize

Pensions and Investments, 2003
Posted: 23 Dec 2015
Franco Modigliani and Arun Muralidhar
Massachusetts Institute of Technology (MIT) (Deceased) and AlphaEngine Global Investment Solutions

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Social Security, guaranteed returns, reform, privatization