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

26

DOWNLOADS
Rank 13,995

SSRN RANKINGS

Top 13,995

in Total Papers Downloads

3,162

CITATIONS

0

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

Scholarly Papers (26)

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 425 (62,595)

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

2.

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 307 (92,269)

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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 270 (104,325)

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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 33 (434,772)

Abstract:

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4.

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 192 (146,837)

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

5.

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 181 (154,942)

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

6.

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 167 (166,324)

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

7.

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 159 (173,524)

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

8.

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

Number of pages: 43 Posted: 12 Oct 2017 Last Revised: 16 Nov 2017
Arun Muralidhar
AlphaEngine Global Investment Solutions
Downloads 158 (174,499)

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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

9.

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 158 (174,499)

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

10.

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 142 (190,544)

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

11.

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 136 (198,490)

Abstract:

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

12.

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 132 (202,040)

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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

13.

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 104 (241,067)

Abstract:

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

14.

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 102 (244,331)

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

15.

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 95 (256,234)

Abstract:

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16.

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 94 (257,946)

Abstract:

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CAPM, RAPM, LDI

17.

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 70 (307,790)

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®

18.

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 68 (312,655)

Abstract:

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relative asset pricing model, asset pricing theory

19.

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 40 (397,104)

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

20.

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 34 (420,540)

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

21.

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 32 (428,752)

Abstract:

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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

22.

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 28 (446,814)

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

23.

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 18 (499,873)

Abstract:

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24.

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 17 (505,336)

Abstract:

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

25.

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

Abstract:

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

26.

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: 4    Citations: 0
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 4

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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