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

42

DOWNLOADS
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Top 8,867

in Total Papers Downloads

5,560

SSRN CITATIONS
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SSRN RANKINGS

Top 14,730

in Total Papers Citations

32

CROSSREF CITATIONS

34

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 (42)

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 606 (47,016)
Citation 4

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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 430 (72,168)

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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 428 (72,598)

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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 (109,733)
Citation 2

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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 45 (441,955)

Abstract:

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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 266 (123,499)
Citation 1

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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 222 (148,008)
Citation 4

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

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 210 (155,853)
Citation 3

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

8.

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 194 (167,880)
Citation 2

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

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 190 (171,003)
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 (183,208)

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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 173 (185,917)
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.

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 166 (192,652)

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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®

13.

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 166 (192,652)
Citation 5

Abstract:

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

14.

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 162 (196,715)
Citation 1

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

15.

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 (212,178)
Citation 2

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

16.

Ensuring Retirement Security with Simple GLIDeS

Financial Analysts Journal, Forthcoming
Number of pages: 38 Posted: 30 May 2019 Last Revised: 15 Apr 2020
Adam Kobor and Arun Muralidhar
New York University (NYU) and AlphaEngine Global Investment Solutions
Downloads 145 (215,714)
Citation 1

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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

17.

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 124 (243,745)
Citation 4

Abstract:

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

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 111 (264,223)
Citation 2

Abstract:

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

19.

Asset Pricing, Asset Allocation and Risk-Adjusted Performance with Multiple Goals and Agency: The Goals and Risk-based Asset Pricing Model

Number of pages: 40 Posted: 13 Feb 2020
Arun Muralidhar
AlphaEngine Global Investment Solutions
Downloads 107 (271,244)

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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

20.

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 106 (272,998)

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21.

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 104 (276,613)

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CAPM, RAPM, LDI

22.

SeLFIES: A New Pension Bond and Currency for Retirement

Number of pages: 11 Posted: 30 Mar 2020
Robert C. Merton and Arun Muralidhar
Massachusetts Institute of Technology (MIT) - Sloan School of Management and AlphaEngine Global Investment Solutions
Downloads 103 (278,453)
Citation 1

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SeLFIES, Retirement Security, Currency for Retirement, Standard-of-Living Risk, Financial Innovation, Annuity Puzzle, Target Date Funds, Retirement Income

23.

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 92 (299,750)

Abstract:

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relative asset pricing model, asset pricing theory

24.

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 87 (310,392)
Citation 2

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

25.

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 75 (339,141)
Citation 1

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

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 73 (344,313)

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

27.

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 71 (349,610)

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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

28.

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 (363,604)
Citation 4

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

29.

From Defined-Contribution Towards Target-Income Retirement Systems

Number of pages: 58 Posted: 22 May 2020
Universidad de Los Andes - School of Management, Universidad de los Andes, Colombia - School of Management, Inter-American Development Bank (IDB) and AlphaEngine Global Investment Solutions
Downloads 62 (375,461)

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Asset Allocation, Pension Fund Regulation, Portfolio Insurance, Risk Management

30.

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 59 (384,740)
Citation 2

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

31.

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 56 (394,555)

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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

32.

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 55 (397,888)

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

33.

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 45 (433,651)
Citation 5

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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

34.

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 31 (494,491)

Abstract:

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

35.

SeLFIES: A-New(-ity) Look for Retirement

Number of pages: 9 Posted: 01 Apr 2020
Arun Muralidhar, Robert C. Merton and Paula Hogan
AlphaEngine Global Investment Solutions, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Creative Planning
Downloads 28 (510,292)

Abstract:

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SeLFIES; Retirement Security, Retirement Income, Retirement Wealth; Financial Innovation

36.

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 23 (539,140)
Citation 1

Abstract:

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37.

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 (551,530)

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

38.

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 17 (576,722)

Abstract:

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

39.

Managing Longevity Risk: The Case for Longevity-Indexed Variable Expiration Bonds

Retirement Management Journal, Vol. 8, No. 1, 2019, pp. 31-44
Number of pages: 16 Posted: 31 Jan 2020
Arun Muralidhar
AlphaEngine Global Investment Solutions
Downloads 11 (616,349)

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

40.

SeLFIES Can Help Brazil Create a SUPER Supplementary Pension

Revista Brasileira de Previdência, 11ª edição – Primeiro Semestre I-2020
Number of pages: 8 Posted: 13 May 2020
Arun Muralidhar, Robert C. Merton and Alexandre Vitorino
AlphaEngine Global Investment Solutions, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Organizações e Sociedade
Downloads 10 (623,071)

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Supplementary Pensions, SeLFIES, Social Security, Brazil, Financial Innovation, Pension Design

41.

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

42.

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